# EDGAR Filing Document

**Accession Number:** 0001581005
**File Stem:** 0001193125-26-287710
**Filing Date:** 2026-6
**Character Count:** 128936
**Document Hash:** 23dcfbbc7221d2ad89a13b45ac176bea
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001193125-26-287710.hdr.sgml**: 20260629

**ACCESSION NUMBER**: 0001193125-26-287710

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260430

**FILED AS OF DATE**: 20260629

**DATE AS OF CHANGE**: 20260629

**PERIOD START**: 20261031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Stone Ridge Trust II
- **CENTRAL INDEX KEY:** 0001581005

**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:** 811-22870
- **FILM NUMBER:** 261133413

**BUSINESS ADDRESS:**
- **STREET 1:** ONE VANDERBILT AVENUE
- **STREET 2:** 65TH FL.
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10017
- **BUSINESS PHONE:** (855) 609-3680

**MAIL ADDRESS:**
- **STREET 1:** ONE VANDERBILT AVENUE
- **STREET 2:** 65TH FL.
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10017

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Stone Ridge Trust II

- **b. Investment Company Act file number:** 811-22870

- **c. CIK number of Registrant:** 0001581005

- **d. LEI of Registrant:** 549300LQ130PDFGL9N50

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

  - **Street Address 1:** One Vanderbilt Ave

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10017

  - **Telephone number:** 833-612-1912

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

- **a. Name of Series:** Stone Ridge Reinsurance Risk Premium Interval Fund

- **c. LEI of Series:** 549300LQ130PDFGL9N50

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

- **a. Date of fiscal year-end:** 2026-10-31

- **b. Date as of which information is reported:** 2026-04-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1526999031.14

**Total Liabilities:** $4252234.41

**Net Assets:** $1522746796.73

**Amount of Assets Invested in Other Investment Companies:** $36153853.22

**Delayed Delivery Securities:** $648000.00

**Cash Not Reported:** $3668317.51

**Currency Risk Metrics (dv01):**

- 

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

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

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

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

**Monthly Return Information**

| Class        | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID N/A | 1.70%                | 1.25%                | 1.60%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-202.44                 | $5530843.52                                |
| Month 2  | $7168.61                 | $10646043.47                               |
| Month 3  | $51.21                   | $-7349207.78                               |

**Designated Index Information**

- **Index Name:** N/A

- **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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Blue Ridge Re Ltd.                                   | Blue Ridge Re 2025-1 Class C                            | CUSIP: 096003AE8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    301000 | PA      | $294302.75    | 0.02%             | 2029-01-08      | Floating      | 11.69%                | Yes           |                  2 | On Loan: No      |
| Bluebonnet Re Ltd.                                   | Bluebonnet Re 2025-1 Class C                            | CUSIP: 09610NAC6<br>LEI: 2549007DQLA6K2ACFN15 | Long             | DBT              | CORP              | BM        |    558000 | PA      | $582440.40    | 0.04%             | 2028-06-07      | Floating      | 15.44%                | Yes           |                  2 | On Loan: No      |
| Lower Ferry Re Ltd.                                  | Lower Ferry Re 2023-1 Class A                           | CUSIP: 547915AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    456000 | PA      | $457299.60    | 0.03%             | 2026-07-08      | Floating      | 8.34%                 | Yes           |                  2 | On Loan: No      |
| Mona Lisa Re Ltd.                                    | Mona Lisa Re 2025-1 Class B                             | CUSIP: 608800AK4<br>LEI: 549300R6SO6XBFDC7M25 | Long             | DBT              | CORP              | BM        |    678000 | PA      | $679457.70    | 0.04%             | 2028-01-07      | Floating      | 14.28%                | Yes           |                  2 | On Loan: No      |
| PoleStar Re Ltd.                                     | PoleStar Re 2024-3 Class A                              | CUSIP: 73110JAC6<br>LEI: 254900VQQ6V3O4PG3408 | Long             | DBT              | CORP              | BM        |   1682000 | PA      | $1755839.80   | 0.12%             | 2028-01-07      | Floating      | 14.28%                | Yes           |                  2 | On Loan: No      |
| Torrey Pines Re Ltd                                  | Torrey Pines Re 2023-1 Class A                          | CUSIP: 89141WAF9<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1132000 | PA      | $1133811.20   | 0.07%             | 2026-06-05      | Floating      | 9.00%                 | Yes           |                  2 | On Loan: No      |
| Yosemite Re Ltd.                                     | Yosemite Re 2025-1 Class A                              | CUSIP: 98740RAB5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    497000 | PA      | $518296.45    | 0.03%             | 2028-06-07      | Floating      | 10.94%                | Yes           |                  2 | On Loan: No      |
| Woodside (Horseshoe Re)                              | Woodside (Horseshoe Re)                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | BM        |   1012875 | NS      | $0.00         | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| MMIFS Re Ltd                                         | MMIFS Re 2026-1 Class A                                 | CUSIP: 000000000<br>LEI: 254900C86PCL10JRTQ88 | Long             | DBT              | CORP              | BM        |    660000 | PA      | $483357.01    | 0.03%             | 2029-01-08      | Floating      | 10.44%                | Yes           |                  2 | On Loan: No      |
| Four Lakes Re Ltd.                                   | Four Lakes Re 2024-1 Class B                            | CUSIP: 35087TAH1<br>LEI: 549300MG4RRU6DT7MN54 | Long             | DBT              | CORP              | BM        |    341000 | PA      | $342091.20    | 0.02%             | 2028-01-07      | Floating      | 12.92%                | Yes           |                  2 | On Loan: No      |
| Herbie Re Ltd.                                       | Herbie Re 2025-1 Class A                                | CUSIP: 42703VAM5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    261000 | PA      | $281358.00    | 0.02%             | 2027-06-07      | Floating      | 34.69%                | Yes           |                  2 | On Loan: No      |
| Hestia Re Ltd.                                       | Hestia Re 2026-1 Class B                                | CUSIP: 42815KAF9<br>LEI: 549300QRKQ1ZKOXEMZ38 | Long             | DBT              | CORP              | BM        |    458000 | PA      | $456832.10    | 0.03%             | 2029-04-16      | Floating      | 12.97%                | Yes           |                  2 | On Loan: No      |
| High Point Re Ltd.                                   | High Point Re 2023-1 Class A                            | CUSIP: 429932AA4<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   2582000 | PA      | $2603688.80   | 0.17%             | 2027-01-06      | Floating      | 9.18%                 | Yes           |                  2 | On Loan: No      |
| Integrity Re Ltd                                     | Integrity Re 2024-1 Class C                             | CUSIP: 45833UAL5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    542000 | PA      | $549533.80    | 0.04%             | 2026-06-06      | Floating      | 20.93%                | Yes           |                  2 | On Loan: No      |
| Integrity Re III Ltd.                                | Integrity Re III 2025-1 Class D                         | CUSIP: 45870GAF3<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |    483000 | PA      | $530478.90    | 0.03%             | 2027-06-06      | Floating      | 29.19%                | Yes           |                  2 | On Loan: No      |
| Kizuna Re III Pte. Ltd.                              | Kizuna Re III 2024-1 Class A                            | CUSIP: 49835JAB2<br>LEI: 984500004749BBB42B88 | Long             | DBT              | CORP              | SG        |    266000 | PA      | $269830.40    | 0.02%             | 2029-04-09      | Floating      | 6.45%                 | Yes           |                  2 | On Loan: No      |
| Kizuna Re III Pte. Ltd.                              | Kizuna Re III 2026-1 Class A                            | CUSIP: 49835JAC0<br>LEI: 984500004749BBB42B88 | Long             | DBT              | CORP              | SG        |    705000 | PA      | $704436.00    | 0.05%             | 2031-04-09      | Floating      | 6.22%                 | Yes           |                  2 | On Loan: No      |
| IBRD                                                 | IBRD CAR 133 Class B                                    | CUSIP: 000000000<br>LEI: ZTMSNXROF84AHWJNKQ93 | Long             | DBT              | CORP              | US        |    651000 | PA      | $657086.85    | 0.04%             | 2028-04-24      | Floating      | 14.69%                | Yes           |                  2 | On Loan: No      |
| Integrity Re Ltd                                     | Integrity Re 2024-1 Class A                             | CUSIP: 45833UAJ0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    542000 | PA      | $546227.60    | 0.04%             | 2026-06-06      | Floating      | 14.25%                | Yes           |                  2 | On Loan: No      |
| Integrity Re III Ltd.                                | Integrity Re III 2025-1 Class A-2                       | CUSIP: 45870GAB2<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |    317000 | PA      | $321850.10    | 0.02%             | 2028-06-06      | Floating      | 11.69%                | Yes           |                  2 | On Loan: No      |
| Locke Tavern Re Ltd.                                 | Locke Tavern Re 2026-1 Class A                          | CUSIP: 539694AB5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    360000 | PA      | $358794.00    | 0.02%             | 2029-04-09      | Floating      | 6.94%                 | Yes           |                  2 | On Loan: No      |
| Locke Tavern Re Ltd.                                 | Locke Tavern Re 2026-1 Class B                          | CUSIP: 539694AC3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    509000 | PA      | $506989.45    | 0.03%             | 2029-04-09      | Floating      | 7.94%                 | Yes           |                  2 | On Loan: No      |
| Long Point Re IV Ltd                                 | Long Point Re IV 2022-1 Class A                         | CUSIP: 54279PAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   3018000 | PA      | $3016792.80   | 0.20%             | 2026-06-01      | Floating      | 7.94%                 | Yes           |                  2 | On Loan: No      |
| Longleaf Pine Re Ltd.                                | Longleaf Pine Re 2024-1 Class A                         | CUSIP: 54307MAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1190000 | PA      | $1242538.50   | 0.08%             | 2027-05-25      | Floating      | 21.63%                | Yes           |                  2 | On Loan: No      |
| Merna Re II Ltd                                      | Merna Re II 2025-1 Class A                              | CUSIP: 59013MAN2<br>LEI: 549300478X5RX87PYX60 | Long             | DBT              | CORP              | BM        |    545000 | PA      | $554673.75    | 0.04%             | 2028-07-07      | Floating      | 11.44%                | Yes           |                  2 | On Loan: No      |
| Merna Re II Ltd                                      | Merna Re II 2025-2 Class A                              | CUSIP: 59013MAP7<br>LEI: 549300478X5RX87PYX60 | Long             | DBT              | CORP              | BM        |    943000 | PA      | $989065.55    | 0.06%             | 2028-07-07      | Floating      | 12.44%                | Yes           |                  2 | On Loan: No      |
| Mona Lisa Re Ltd.                                    | Mona Lisa Re 2024-1 Class A                             | CUSIP: 608800AH1<br>LEI: 549300R6SO6XBFDC7M25 | Long             | DBT              | CORP              | BM        |    299000 | PA      | $312694.20    | 0.02%             | 2027-06-25      | Floating      | 13.44%                | Yes           |                  2 | On Loan: No      |
| IBRD                                                 | IBRD CAR 132 Class A                                    | CUSIP: 000000000<br>LEI: ZTMSNXROF84AHWJNKQ93 | Long             | DBT              | CORP              | US        |   1865000 | PA      | $1899036.25   | 0.12%             | 2028-04-24      | Floating      | 7.69%                 | Yes           |                  2 | On Loan: No      |
| Acorn Re Ltd.                                        | Acorn Re 2023-1 Class A                                 | CUSIP: 00485YAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1096000 | PA      | $1107288.80   | 0.07%             | 2026-11-06      | Floating      | 8.04%                 | Yes           |                  2 | On Loan: No      |
| Ashera Re Ltd.                                       | Ashera Re 2024-1 Class A                                | CUSIP: 04401RAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    506000 | PA      | $509314.30    | 0.03%             | 2027-04-07      | Floating      | 8.93%                 | Yes           |                  2 | On Loan: No      |
| Eden Re II Segregated Account 2023-1                 | Eden Re II 2023-1 Class B                               | CUSIP: 27955GAB8<br>LEI: 549300LKX8PCP3SC3F42 | Long             | DBT              | CORP              | BM        |      5282 | PA      | $74897.85     | 0.00%             | 2027-03-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Gateway Re Ltd.                                      | Gateway Re 2023-3 Class A                               | CUSIP: 36779CAF3<br>LEI: 549300ZYFWQV9RCIN520 | Long             | DBT              | CORP              | BM        |    594000 | PA      | $603117.90    | 0.04%             | 2026-07-08      | Floating      | 14.58%                | Yes           |                  2 | On Loan: No      |
| Gateway Re Ltd.                                      | Gateway Re 2024-1 Class AA                              | CUSIP: 36779CAG1<br>LEI: 549300ZYFWQV9RCIN520 | Long             | DBT              | CORP              | BM        |    638000 | PA      | $647538.10    | 0.04%             | 2027-07-08      | Floating      | 9.59%                 | Yes           |                  2 | On Loan: No      |
| Gateway Re Ltd.                                      | Gateway Re 2025-1 Class AAA                             | CUSIP: 36779CAM8<br>LEI: 549300ZYFWQV9RCIN520 | Long             | DBT              | CORP              | BM        |    419000 | PA      | $419209.50    | 0.03%             | 2028-07-07      | Floating      | 7.94%                 | Yes           |                  2 | On Loan: No      |
| Fuchsia 2023-1 (London Bridge 2 PCC Protected Cell)  | Fuchsia 2023-1 Class A                                  | CUSIP: 54180TAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |    815000 | PA      | $839694.50    | 0.06%             | 2027-04-06      | Floating      | 13.19%                | Yes           |                  2 | On Loan: No      |
| MetroCat Re Ltd                                      | Metrocat Re 2023-1 Class A                              | CUSIP: 59165HAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    321000 | PA      | $321112.35    | 0.02%             | 2026-05-08      | Floating      | 9.44%                 | Yes           |                  2 | On Loan: No      |
| MSILF Government Portfolio                           | MSILF Government Portfolio                              | CUSIP: 61747C707<br>LEI: 549300BI6Y5SI6BYPB26 | Long             | STIV             | RF                | US        |  83297096 | NS      | $83297096.03  | 5.47%             |  |  |  | No            |                  1 | On Loan: No      |
| Nakama Re Pte. Ltd.                                  | Nakama Re Pte. 2021-1 Class 1                           | CUSIP: 62984JAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |    307000 | PA      | $306309.25    | 0.02%             | 2026-10-13      | Floating      | 5.74%                 | Yes           |                  2 | On Loan: No      |
| Northshore Re II Limited                             | Northshore Re II 2025-1 Class A                         | CUSIP: 666842AF6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    897000 | PA      | $899018.25    | 0.06%             | 2028-04-07      | Floating      | 8.69%                 | Yes           |                  2 | On Loan: No      |
| One Shield Re Ltd.                                   | One Shield Re 2026-1 Class A                            | CUSIP: 68257MAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1105000 | PA      | $1104281.75   | 0.07%             | 2029-04-27      | Floating      | 11.69%                | Yes           |                  2 | On Loan: No      |
| Palm Re Ltd.                                         | Palm Re 2026-1 Class A                                  | CUSIP: 69664FAC2<br>LEI: 984500D3C66DA10DAP11 | Long             | DBT              | CORP              | BM        |   1105000 | PA      | $1103895.00   | 0.07%             | 2029-06-07      | Floating      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| Purple Re Ltd.                                       | Purple Re 2025-1 Class A                                | CUSIP: 74639NAD5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    650000 | PA      | $673075.00    | 0.04%             | 2028-06-07      | Floating      | 10.94%                | Yes           |                  2 | On Loan: No      |
| Residential Reinsurance 2025 Limited                 | Residential Re 2025-II Class 2                          | CUSIP: 76091JAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    420000 | PA      | $414582.00    | 0.03%             | 2029-12-06      | Floating      | 13.94%                | Yes           |                  2 | On Loan: No      |
| Residential Reinsurance 2023 Limited                 | Residential Re 2023-I Class 14                          | CUSIP: 76133XAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   3072000 | PA      | $3097190.40   | 0.20%             | 2027-06-06      | Floating      | 10.45%                | Yes           |                  2 | On Loan: No      |
| Riverfront Re Ltd                                    | Riverfront Re 2025 Class A                              | CUSIP: 76870YAF9<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    677000 | PA      | $709800.65    | 0.05%             | 2029-01-08      | Floating      | 9.19%                 | Yes           |                  2 | On Loan: No      |
| Torrey Pines Re Ltd                                  | Torrey Pines Re 2024-1 Class C                          | CUSIP: 89141WAK8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    991000 | PA      | $995063.10    | 0.07%             | 2026-06-05      | Floating      | 13.07%                | Yes           |                  2 | On Loan: No      |
| Ursa Re Ltd.                                         | Ursa Re 2023-3 Class D                                  | CUSIP: 90323WAQ3<br>LEI: 549300O8X4DWGDJZ6W59 | Long             | DBT              | CORP              | BM        |   3123000 | PA      | $3195297.45   | 0.21%             | 2026-12-07      | Floating      | 12.44%                | Yes           |                  2 | On Loan: No      |
| Ursa Re Ltd.                                         | Ursa Re 2025-1 Class F                                  | CUSIP: 90323WAR1<br>LEI: 549300O8X4DWGDJZ6W59 | Long             | DBT              | CORP              | BM        |   2333000 | PA      | $2366361.90   | 0.16%             | 2028-02-22      | Floating      | 11.19%                | Yes           |                  2 | On Loan: No      |
| Veraison Re Ltd.                                     | Veraison Re 2024-1 Class A                              | CUSIP: 92335TAC3<br>LEI: 2549007WYB39A966J434 | Long             | DBT              | CORP              | BM        |   1096000 | PA      | $1111892.00   | 0.07%             | 2027-03-08      | Floating      | 9.07%                 | Yes           |                  2 | On Loan: No      |
| Veraison Re Ltd.                                     | Veraison Re 2025-1 Class A                              | CUSIP: 92335TAD1<br>LEI: 2549007WYB39A966J434 | Long             | DBT              | CORP              | BM        |   1795000 | PA      | $1804154.50   | 0.12%             | 2028-03-08      | Floating      | 7.88%                 | Yes           |                  2 | On Loan: No      |
| Veraison Re Ltd.                                     | Veraison Re 2026-1 Class B                              | CUSIP: 92335TAG4<br>LEI: 2549007WYB39A966J434 | Long             | DBT              | CORP              | BM        |    625000 | PA      | $624718.75    | 0.04%             | 2029-03-08      | Floating      | 7.84%                 | Yes           |                  2 | On Loan: No      |
| Arenal (Artex Segregated Account Company)            | Arenal (Artex Segregated Account Company)               | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | BM        |    165450 | NS      | $56755612.60  | 3.73%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Mohonk (Artex Segregated Account Company)            | Mohonk (Artex Segregated Account Company)               | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | BM        |       103 | NS      | $63704514.28  | 4.18%             |  |  |  | Yes           |                  3 | On Loan: No      |
| POINT DUME LLP                                       | POINT DUME LLP                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | EP               | CORP              | US        |         1 | NS      | $27315363.25  | 1.79%             |  |  |  | No            |                  3 | On Loan: No      |
| Series 2021-A Segregated Account (Sussex Re Limited) | Sussex Re 2021-A                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    344570 | PA      | $0.00         | 0.00%             | 2027-04-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Totara Re Pte. Ltd.                                  | Totara Re Pte. 2023-1                                   | CUSIP: 000000000<br>LEI: 984500B2A09D0F655059 | Long             | DBT              | CORP              | SG        |   2171000 | PA      | $1312852.47   | 0.09%             | 2027-06-08      | Fixed         | 13.38%                | Yes           |                  2 | On Loan: No      |
| Baltic PCC Ltd                                       | Baltic PCC 2026-1 Class A                               | CUSIP: 000000000<br>LEI: 549300GX6EH3ZRCQFX14 | Long             | DBT              | CORP              | GB        |    574000 | PA      | $781069.28    | 0.05%             | 2029-04-06      | Floating      | 9.20%                 | Yes           |                  2 | On Loan: No      |
| Acorn Re Ltd.                                        | Acorn Re 2024-1 Class A                                 | CUSIP: 00485YAE9<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1080000 | PA      | $1094904.00   | 0.07%             | 2027-11-05      | Floating      | 6.79%                 | Yes           |                  2 | On Loan: No      |
| Aquila Re I Ltd.                                     | Aquila Re I 2024-1 Class A-1                            | CUSIP: 037987AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    492000 | PA      | $502332.00    | 0.03%             | 2027-06-07      | Floating      | 9.08%                 | Yes           |                  2 | On Loan: No      |
| Aquila Re I Ltd.                                     | Aquila Re I 2023-1 Class B-1                            | CUSIP: 03843AAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1079000 | PA      | $1083639.70   | 0.07%             | 2026-06-08      | Floating      | 10.95%                | Yes           |                  2 | On Loan: No      |
| Armor Re II Ltd.                                     | Armor Re II 2024-1 Class A                              | CUSIP: 04227FAE5<br>LEI: 549300X573KDIHEJL317 | Long             | DBT              | CORP              | BM        |   1321000 | PA      | $1384804.30   | 0.09%             | 2027-05-07      | Floating      | 13.89%                | Yes           |                  2 | On Loan: No      |
| Armor Re II Ltd.                                     | Armor Re II 2024-2 Class A                              | CUSIP: 04227FAF2<br>LEI: 549300X573KDIHEJL317 | Long             | DBT              | CORP              | BM        |   1016000 | PA      | $1069136.80   | 0.07%             | 2028-01-07      | Floating      | 12.30%                | Yes           |                  2 | On Loan: No      |
| Blue Ridge Re Ltd.                                   | Blue Ridge Re 2023-1 Class B                            | CUSIP: 096003AB4<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   2518000 | PA      | $2543557.70   | 0.17%             | 2027-01-08      | Floating      | 11.97%                | Yes           |                  2 | On Loan: No      |
| Bluebonnet Re Ltd.                                   | Bluebonnet Re 2025-1 Class B                            | CUSIP: 09610NAB8<br>LEI: 2549007DQLA6K2ACFN15 | Long             | DBT              | CORP              | BM        |    690000 | PA      | $712045.50    | 0.05%             | 2028-06-07      | Floating      | 12.19%                | Yes           |                  2 | On Loan: No      |
| Cape Lookout Re Ltd.                                 | Cape Lookout Re 2024-1 Class A                          | CUSIP: 13947LAF9<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   4180000 | PA      | $4202990.00   | 0.28%             | 2027-04-05      | Floating      | 10.75%                | Yes           |                  2 | On Loan: No      |
| Cape Lookout Re Ltd.                                 | Cape Lookout Re 2026-1 Class B                          | CUSIP: 13947LAJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   2276000 | PA      | $2262457.80   | 0.15%             | 2029-03-21      | Floating      | 9.69%                 | Yes           |                  2 | On Loan: No      |
| Charles River Re Ltd.                                | Charles River Re 2024-1 Class A                         | CUSIP: 159873AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    885000 | PA      | $903363.75    | 0.06%             | 2027-05-10      | Floating      | 11.33%                | Yes           |                  2 | On Loan: No      |
| Citrus Re Ltd.                                       | Citrus Re 2025-1 Class A                                | CUSIP: 177510AQ7<br>LEI: 549300VWWT5SE805NK88 | Long             | DBT              | CORP              | BM        |    483000 | PA      | $489351.45    | 0.03%             | 2028-06-07      | Floating      | 11.44%                | Yes           |                  2 | On Loan: No      |
| Everglades Re II Ltd.                                | Everglades Re II 2024-1 Class A                         | CUSIP: 30014LAM6<br>LEI: 5493000EE11S6ONK0372 | Long             | DBT              | CORP              | BM        |   2964000 | PA      | $2969335.20   | 0.19%             | 2027-05-13      | Floating      | 14.19%                | Yes           |                  2 | On Loan: No      |
| Gateway Re Ltd.                                      | Gateway Re 2025-2 Class A                               | CUSIP: 36779CAS5<br>LEI: 549300ZYFWQV9RCIN520 | Long             | DBT              | CORP              | BM        |    583000 | PA      | $601714.30    | 0.04%             | 2028-07-07      | Floating      | 10.69%                | Yes           |                  2 | On Loan: No      |
| Gateway Re Ltd.                                      | Gateway Re 2026-1 Class AAA-2                           | CUSIP: 36779CAW6<br>LEI: 549300ZYFWQV9RCIN520 | Long             | DBT              | CORP              | BM        |    595000 | PA      | $591906.00    | 0.04%             | 2029-07-06      | Floating      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| Golden Bear Re Ltd.                                  | Golden Bear Re 2026-1 Class A                           | CUSIP: 38090EAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   3900000 | PA      | $3961620.00   | 0.26%             | 2029-01-08      | Floating      | 13.44%                | Yes           |                  2 | On Loan: No      |
| Hestia Re Ltd.                                       | Hestia Re 2026-1 Class D                                | CUSIP: 42815KAH5<br>LEI: 549300QRKQ1ZKOXEMZ38 | Long             | DBT              | CORP              | BM        |    611000 | PA      | $610297.35    | 0.04%             | 2029-04-16      | Floating      | 9.47%                 | Yes           |                  2 | On Loan: No      |
| Integrity Re Ltd                                     | Integrity Re 2024-1 Class B                             | CUSIP: 45833UAK7<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    310000 | PA      | $313379.00    | 0.02%             | 2026-06-06      | Floating      | 17.02%                | Yes           |                  2 | On Loan: No      |
| Titania Re Ltd.                                      | Titania Re 2026-1 Class B                               | CUSIP: 54180BAB0<br>LEI: 5493008E73M6FH2NSB56 | Long             | DBT              | CORP              | BM        |    555000 | PA      | $554528.25    | 0.04%             | 2029-04-30      | Floating      | 18.69%                | Yes           |                  2 | On Loan: No      |
| Mayflower Re Ltd.                                    | Mayflower Re 2023-1 Class B                             | CUSIP: 57839MAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   2082000 | PA      | $2088037.80   | 0.14%             | 2026-07-08      | Floating      | 10.21%                | Yes           |                  2 | On Loan: No      |
| Merna Re II Ltd                                      | Merna Re II 2023-1 Class A                              | CUSIP: 59013MAH5<br>LEI: 549300478X5RX87PYX60 | Long             | DBT              | CORP              | BM        |   1066000 | PA      | $1073088.90   | 0.07%             | 2026-07-07      | Floating      | 12.07%                | Yes           |                  2 | On Loan: No      |
| 1886 Re Ltd.                                         | 1886 Re 2025-1 Class A                                  | CUSIP: 68252UAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    427000 | PA      | $440279.70    | 0.03%             | 2029-07-09      | Floating      | 8.19%                 | Yes           |                  2 | On Loan: No      |
| Residential Reinsurance 2025 Limited                 | Residential Re 2025-I Class 15                          | CUSIP: 76091DAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |   1006000 | PA      | $1032105.70   | 0.07%             | 2029-06-06      | Floating      | 9.44%                 | Yes           |                  2 | On Loan: No      |
| Residential Reinsurance 2025 Limited                 | Residential Re 2025-II Class 5                          | CUSIP: 76091JAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    420000 | PA      | $415128.00    | 0.03%             | 2029-12-06      | Floating      | 6.94%                 | Yes           |                  2 | On Loan: No      |
| Residential Reinsurance 2022 Limited                 | Residential Re 2022-I Class 14                          | CUSIP: 76119YAE3<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |   2000000 | PA      | $2001100.00   | 0.13%             | 2026-06-06      | Floating      | 7.69%                 | Yes           |                  2 | On Loan: No      |
| Sanders Re II Ltd.                                   | Sanders Re II 2024-3 Class B                            | CUSIP: 80001RAB7<br>LEI: 254900VRQU0N0MF3CT92 | Long             | DBT              | CORP              | BM        |   1475000 | PA      | $1491520.00   | 0.10%             | 2029-04-07      | Floating      | 8.91%                 | Yes           |                  2 | On Loan: No      |
| Sanders Re II Ltd.                                   | Sanders Re II 2025-1 Class A-2                          | CUSIP: 80001TAB3<br>LEI: 254900VRQU0N0MF3CT92 | Long             | DBT              | CORP              | BM        |    942000 | PA      | $983448.00    | 0.06%             | 2030-04-08      | Floating      | 8.01%                 | Yes           |                  2 | On Loan: No      |
| Sanders Re II Ltd.                                   | Sanders Re II 2025-1 Class B-2                          | CUSIP: 80001TAD9<br>LEI: 254900VRQU0N0MF3CT92 | Long             | DBT              | CORP              | BM        |   1854000 | PA      | $1940211.00   | 0.13%             | 2030-04-08      | Floating      | 8.49%                 | Yes           |                  2 | On Loan: No      |
| Sanders Re III Ltd.                                  | Sanders Re III 2026-1B Class B-1                        | CUSIP: 80001UAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   2861000 | PA      | $2857995.95   | 0.19%             | 2030-04-08      | Floating      | 8.69%                 | Yes           |                  2 | On Loan: No      |
| Sanders Re III Ltd.                                  | Sanders Re III 2026-1B Class B-2                        | CUSIP: 80001UAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   2936000 | PA      | $2922788.00   | 0.19%             | 2031-04-07      | Floating      | 8.69%                 | Yes           |                  2 | On Loan: No      |
| Sanders Re IV Ltd.                                   | Sanders Re IV 2026-1A Class A-1                         | CUSIP: 80001WAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   2228000 | PA      | $2218642.40   | 0.15%             | 2030-04-08      | Floating      | 7.19%                 | Yes           |                  2 | On Loan: No      |
| Sutter Re Ltd.                                       | Sutter Re 2023-1 Class B                                | CUSIP: 86944RAE8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   2306000 | PA      | $2311073.20   | 0.15%             | 2026-06-19      | Floating      | 10.44%                | Yes           |                  2 | On Loan: No      |
| Titania Re Ltd.                                      | Titania Re 2024-1 Class A                               | CUSIP: 888329AE9<br>LEI: 5493008E73M6FH2NSB56 | Long             | DBT              | CORP              | BM        |    566000 | PA      | $569962.00    | 0.04%             | 2027-11-26      | Floating      | 10.70%                | Yes           |                  2 | On Loan: No      |
| Tomoni Re Pte. Ltd.                                  | Tomoni Re Pte 2024-1 Class A                            | CUSIP: 89009PAE8<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |    679000 | PA      | $678864.20    | 0.04%             | 2028-04-05      | Floating      | 6.96%                 | Yes           |                  2 | On Loan: No      |
| Tomoni Re Pte. Ltd.                                  | Tomoni Re Pte 2024-1 Class B                            | CUSIP: 89009PAF5<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |    853000 | PA      | $861231.45    | 0.06%             | 2028-04-05      | Floating      | 7.69%                 | Yes           |                  2 | On Loan: No      |
| Torrey Pines Re Ltd                                  | Torrey Pines Re 2024-1 Class A                          | CUSIP: 89141WAH5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1862000 | PA      | $1922887.40   | 0.13%             | 2027-06-07      | Floating      | 9.73%                 | Yes           |                  2 | On Loan: No      |
| Torrey Pines Re Ltd                                  | Torrey Pines Re 2024-1 Class B                          | CUSIP: 89141WAJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1263000 | PA      | $1302026.70   | 0.09%             | 2027-06-07      | Floating      | 10.80%                | Yes           |                  2 | On Loan: No      |
| Torrey Pines Re Ltd                                  | Torrey Pines Re 2025-1 Class A                          | CUSIP: 89141WAL6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    913000 | PA      | $930575.25    | 0.06%             | 2028-06-07      | Floating      | 7.44%                 | Yes           |                  2 | On Loan: No      |
| Turicum Re Ltd.                                      | Turicum Re 2026-1 A                                     | CUSIP: 90009JAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    521000 | PA      | $520140.35    | 0.03%             | 2029-04-09      | Floating      | 19.44%                | Yes           |                  2 | On Loan: No      |
| Ursa Re Ltd.                                         | Ursa Re 2023-2 Class E                                  | CUSIP: 90323WAN0<br>LEI: 549300O8X4DWGDJZ6W59 | Long             | DBT              | CORP              | BM        |   2489000 | PA      | $2544629.15   | 0.17%             | 2026-12-07      | Floating      | 12.94%                | Yes           |                  2 | On Loan: No      |
| TREASURY BILL                                        | United States Treasury Bill                             | CUSIP: 912797SW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  45000000 | PA      | $44879576.85  | 2.95%             | 2026-05-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Ursa Re II Ltd.                                      | Ursa Re II 2025-1 Class G                               | CUSIP: 91734PAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   3086000 | PA      | $3155897.90   | 0.21%             | 2028-06-07      | Floating      | 12.69%                | Yes           |                  2 | On Loan: No      |
| Vitality Re XIV Limited                              | Vitality Re XIV 2023 Class B                            | CUSIP: 92851QAB5<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    334000 | PA      | $336505.00    | 0.02%             | 2027-01-05      | Floating      | 8.19%                 | Yes           |                  2 | On Loan: No      |
| Winston Re Ltd                                       | Winston Re 2024-1 Class A                               | CUSIP: 975660AA9<br>LEI: 2549001Q4VX5Y31QFJ88 | Long             | DBT              | CORP              | BM        |    927000 | PA      | $958471.65    | 0.06%             | 2027-02-26      | Floating      | 13.90%                | Yes           |                  2 | On Loan: No      |
| Winston Re Ltd                                       | Winston Re 2025-1 Class A                               | CUSIP: 975660AC5<br>LEI: 2549001Q4VX5Y31QFJ88 | Long             | DBT              | CORP              | BM        |    675000 | PA      | $683673.75    | 0.04%             | 2028-02-21      | Floating      | 10.19%                | Yes           |                  2 | On Loan: No      |
| Winston Re Ltd.                                      | Winston Re 2026-1 Class A                               | CUSIP: 975660AD3<br>LEI: 2549001Q4VX5Y31QFJ88 | Long             | DBT              | CORP              | BM        |    863000 | PA      | $863000.00    | 0.06%             | 2029-05-04      | Floating      | 8.44%                 | Yes           |                  2 | On Loan: No      |
| Wrigley Re Ltd.                                      | Wrigley Re 2023-1 Class A                               | CUSIP: 982533AB7<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    507000 | PA      | $509661.75    | 0.03%             | 2026-08-07      | Floating      | 9.92%                 | Yes           |                  2 | On Loan: No      |
| Brighton (Horseshoe Re)                              | Brighton (Horseshoe Re)                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | BM        |   1022526 | NS      | $0.00         | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Hudson Charles (Mt. Logan Re)                        | Hudson Charles 2 (Mt. Logan Re)                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | BM        |     71313 | NS      | $71896048.88  | 4.72%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Sheepshead (Horseshoe Re)                            | Sheepshead (Horseshoe Re)                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | BM        |    969034 | NS      | $0.00         | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| SR0005 (Horseshoe Re)                                | SR0005 (Horseshoe Re)                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | BM        |   6966774 | NS      | $0.00         | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Sussex 2022-A Segregated Account (Sussex Re Limited) | Sussex Re 2022-A                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1820000 | PA      | $3498.13      | 0.00%             | 2027-04-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Azzurro Re II                                        | Azzurro Re II DAC 2024-1 Class A                        | CUSIP: 000000000<br>LEI: 635400NZWVDIAI82JP08 | Long             | DBT              | CORP              | IE        |    628000 | PA      | $744535.70    | 0.05%             | 2028-04-20      | Floating      | 8.49%                 | Yes           |                  2 | On Loan: No      |
| IBRD                                                 | IBRD CAR 134 Class C                                    | CUSIP: 000000000<br>LEI: ZTMSNXROF84AHWJNKQ93 | Long             | DBT              | CORP              | US        |   1408000 | PA      | $1457632.00   | 0.10%             | 2028-04-24      | Floating      | 17.15%                | Yes           |                  2 | On Loan: No      |
| London Bridge 2 PCC Limited                          | Vision 2039 2025-1 Class A                              | CUSIP: YQ2208250<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |    996000 | PA      | $1356863.48   | 0.09%             | 2028-04-06      | Floating      | 10.37%                | Yes           |                  2 | On Loan: No      |
| Asian Development Bank                               | Asian Development Bank Tajikistan Disaster Relief Notes | CUSIP: 000000000<br>LEI: 549300X0MVH42CY8Q105 | Long             | DBT              | CORP              | TJ        |    293000 | PA      | $293000.00    | 0.02%             | 2029-05-30      | Floating      | 9.69%                 | Yes           |                  2 | On Loan: No      |
| Yoho (Artex Segregated Account Company)              | Yoho (Artex Segregated Account Company)                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | BM        |    357363 | NS      | $1768125.27   | 0.12%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Vitality Re XV Limited                               | Vitality Re XV 2024 Class A                             | CUSIP: 92847CAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    372000 | PA      | $374938.80    | 0.02%             | 2028-01-07      | Floating      | 6.19%                 | Yes           |                  2 | On Loan: No      |
| Vitality Re XV Limited                               | Vitality Re XV 2024 Class B                             | CUSIP: 92847CAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    588000 | PA      | $593233.20    | 0.04%             | 2028-01-07      | Floating      | 7.19%                 | Yes           |                  2 | On Loan: No      |
| Wrigley Re Ltd.                                      | Wrigley Re 2023-1 Class B                               | CUSIP: 982533AC5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1166000 | PA      | $1175619.50   | 0.08%             | 2026-08-07      | Floating      | 10.39%                | Yes           |                  2 | On Loan: No      |
| Gateway Re Ltd.                                      | Gateway Re 2026-1 Class AA                              | CUSIP: 36779CAX4<br>LEI: 549300ZYFWQV9RCIN520 | Long             | DBT              | CORP              | BM        |    351000 | PA      | $348964.20    | 0.02%             | 2029-07-06      | Floating      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| Golden Bear Re Ltd.                                  | Golden Bear Re 2026-2 Class A                           | CUSIP: 38090EAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   2265000 | PA      | $2269077.00   | 0.15%             | 2029-03-07      | Floating      | 13.19%                | Yes           |                  2 | On Loan: No      |
| Herbie Re Ltd.                                       | Herbie Re 2024-2 Class B                                | CUSIP: 42703VAK9<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    462000 | PA      | $471933.00    | 0.03%             | 2029-01-08      | Floating      | 15.34%                | Yes           |                  2 | On Loan: No      |
| Nature Coast Re Ltd.                                 | Nature Coast Re 2026-1 Class A                          | CUSIP: 63901CAF8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1830000 | PA      | $1817281.50   | 0.12%             | 2030-02-26      | Floating      | 11.70%                | Yes           |                  2 | On Loan: No      |
| Purple Re Ltd.                                       | Purple Re 2025-1 Class B                                | CUSIP: 74639NAE3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    709000 | PA      | $730128.20    | 0.05%             | 2028-06-07      | Floating      | 11.44%                | Yes           |                  2 | On Loan: No      |
| Recoletos Re DAC                                     | Recoletos Re DAC 2024-1 Class A                         | CUSIP: 755933AA6<br>LEI: 635400FIY9UG8ZHKYH56 | Long             | DBT              | CORP              | IE        |    501000 | PA      | $500624.25    | 0.03%             | 2028-01-07      | Floating      | 9.27%                 | Yes           |                  2 | On Loan: No      |
| Residential Reinsurance 2023 Limited                 | Residential Re 2023-II Class 3                          | CUSIP: 76090WAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    817000 | PA      | $838323.70    | 0.06%             | 2027-12-06      | Floating      | 12.39%                | Yes           |                  2 | On Loan: No      |
| Residential Reinsurance 2024 Limited                 | Residential Re 2024-II Class 4                          | CUSIP: 76112AAE2<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    888000 | PA      | $905005.20    | 0.06%             | 2028-12-06      | Floating      | 9.07%                 | Yes           |                  2 | On Loan: No      |
| Residential Re 2021 Limited                          | Residential Re 2021-I Class 12                          | CUSIP: 76114NAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    301000 | PA      | $206937.50    | 0.01%             | 2028-06-06      | Floating      | 4.19%                 | Yes           |                  2 | On Loan: No      |
| Sanders Re III Ltd.                                  | Sanders Re III 2024-1 Class A                           | CUSIP: 799927AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1627000 | PA      | $1680935.05   | 0.11%             | 2028-04-07      | Floating      | 9.18%                 | Yes           |                  2 | On Loan: No      |
| Sanders Re III Ltd.                                  | Sanders Re III 2022-3 Class A                           | CUSIP: 80000YAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    789000 | PA      | $807738.75    | 0.05%             | 2027-04-07      | Floating      | 9.67%                 | Yes           |                  2 | On Loan: No      |
| Harambee Re Segregated Account 2019-1                | Harambee Re 2019                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | BM        |      2199 | NS      | $0.00         | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Peregrine LCA (Peregrine Segregated Account)         | Peregrine LCA                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | BM        |   2252060 | NS      | $42618005.96  | 2.80%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Peregrine LCA2 (Peregrine Segregated Account)        | Peregrine LCA2                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | BM        |   2990240 | NS      | $45291404.03  | 2.97%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Citrus Re Ltd.                                       | Citrus Re 2023-1 Class B                                | CUSIP: 177510AM6<br>LEI: 549300VWWT5SE805NK88 | Long             | DBT              | CORP              | BM        |    876000 | PA      | $879766.80    | 0.06%             | 2026-06-07      | Floating      | 12.40%                | Yes           |                  2 | On Loan: No      |
| Commonwealth Re Ltd.                                 | Commonwealth Re 2023-1 Class A                          | CUSIP: 203235AB2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    783000 | PA      | $784487.70    | 0.05%             | 2026-07-08      | Floating      | 7.55%                 | Yes           |                  2 | On Loan: No      |
| Everglades Re II Ltd.                                | Everglades Re II 2025-1 Class A                         | CUSIP: 30014LAT1<br>LEI: 5493000EE11S6ONK0372 | Long             | DBT              | CORP              | BM        |   2126000 | PA      | $2208701.40   | 0.15%             | 2028-05-19      | Floating      | 12.44%                | Yes           |                  2 | On Loan: No      |
| FloodSmart Re Ltd.                                   | FloodSmart Re 2022-1 Class B                            | CUSIP: 33975CAK1<br>LEI: 549300KK1LNVFW95S875 | Long             | DBT              | CORP              | BM        |     52645 | PA      | $37641.40     | 0.00%             | 2029-02-26      | Floating      | 4.19%                 | Yes           |                  3 | On Loan: No      |
| FloodSmart Re Ltd.                                   | FloodSmart Re 2024-1 Class A                            | CUSIP: 33975CAP0<br>LEI: 549300KK1LNVFW95S875 | Long             | DBT              | CORP              | BM        |   4099000 | PA      | $4269928.30   | 0.28%             | 2027-03-12      | Floating      | 18.05%                | Yes           |                  2 | On Loan: No      |
| FloodSmart Re Ltd.                                   | FloodSmart Re 2024-1 Class B                            | CUSIP: 33975CAQ8<br>LEI: 549300KK1LNVFW95S875 | Long             | DBT              | CORP              | BM        |    967000 | PA      | $963857.25    | 0.06%             | 2027-03-12      | Floating      | 21.32%                | Yes           |                  2 | On Loan: No      |
| Four Lakes Re Ltd.                                   | Four Lakes Re 2023-1 Class A                            | CUSIP: 35087TAE8<br>LEI: 549300MG4RRU6DT7MN54 | Long             | DBT              | CORP              | BM        |    314000 | PA      | $315679.90    | 0.02%             | 2027-01-07      | Floating      | 9.21%                 | Yes           |                  2 | On Loan: No      |
| Galileo Re Ltd.                                      | Galileo Re 2023-1 Class A                               | CUSIP: 36354TAN2<br>LEI: 549300MXI75DHMS7JH38 | Long             | DBT              | CORP              | BM        |   1313000 | PA      | $1352783.90   | 0.09%             | 2028-01-07      | Floating      | 10.69%                | Yes           |                  2 | On Loan: No      |
| Herbie Re Ltd.                                       | Herbie Re 2024-2 Class A                                | CUSIP: 42703VAJ2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    462000 | PA      | $461630.40    | 0.03%             | 2029-01-08      | Floating      | 11.84%                | Yes           |                  2 | On Loan: No      |
| Hestia Re Ltd.                                       | Hestia Re 2025-1 Class A                                | CUSIP: 42815KAC6<br>LEI: 549300QRKQ1ZKOXEMZ38 | Long             | DBT              | CORP              | BM        |   1148000 | PA      | $1160168.80   | 0.08%             | 2028-03-13      | Floating      | 10.44%                | Yes           |                  2 | On Loan: No      |
| Integrity Re III Ltd.                                | Integrity Re III 2025-1 Class B-2                       | CUSIP: 45870GAD8<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |    257000 | PA      | $262821.05    | 0.02%             | 2028-06-06      | Floating      | 13.44%                | Yes           |                  2 | On Loan: No      |
| Seawall Re Ltd. Segregated Account 2025-B            | Seawall Re Ltd 2025-B                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | BM        |      6866 | NS      | $27139072.30  | 1.78%             |  |  |  | Yes           |                  3 | On Loan: No      |
| London Bridge 2 PCC Limited                          | Fuchsia 2 2024-1 Class A                                | CUSIP: 541917AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |   1324000 | PA      | $1350215.20   | 0.09%             | 2028-04-06      | Floating      | 8.63%                 | Yes           |                  2 | On Loan: No      |
| Merna Re II Ltd                                      | Merna Re II 2025-3 Class A                              | CUSIP: 59013FAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1945000 | PA      | $2014436.50   | 0.13%             | 2028-07-07      | Floating      | 10.69%                | Yes           |                  2 | On Loan: No      |
| Nakama Re Ltd.                                       | Nakama Re 2025-1 Class 1                                | CUSIP: 62984JAD0<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |    268000 | PA      | $268871.00    | 0.02%             | 2030-04-23      | Floating      | 5.80%                 | Yes           |                  2 | On Loan: No      |
| Nature Coast Re Ltd.                                 | Nature Coast Re 2023-1 Class B                          | CUSIP: 63901CAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    470000 | PA      | $474253.50    | 0.03%             | 2026-12-07      | Floating      | 17.19%                | Yes           |                  2 | On Loan: No      |
| Purple Re Ltd.                                       | Purple Re 2023-2 Class A                                | CUSIP: 74639NAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    674000 | PA      | $678718.00    | 0.04%             | 2026-06-05      | Floating      | 14.27%                | Yes           |                  2 | On Loan: No      |
| Sanders Re III Ltd.                                  | Sanders Re III 2023-1 Class A                           | CUSIP: 80001QAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    423000 | PA      | $429873.75    | 0.03%             | 2027-04-07      | Floating      | 9.14%                 | Yes           |                  2 | On Loan: No      |
| Skyline Re II Ltd.                                   | Skyline Re II 2025-1 Class A                            | CUSIP: 83087AAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    403000 | PA      | $401005.15    | 0.03%             | 2030-01-07      | Floating      | 7.19%                 | Yes           |                  2 | On Loan: No      |
| Torrey Pines Re Ltd                                  | Torrey Pines Re 2025-1 Class C                          | CUSIP: 89141WAN2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    913000 | PA      | $937103.20    | 0.06%             | 2028-06-07      | Floating      | 10.19%                | Yes           |                  2 | On Loan: No      |
| Turris Re Ltd.                                       | Turris Re 2025-1 Class A                                | CUSIP: 900442AA2<br>LEI: 254900AYLTVDMB8FO181 | Long             | DBT              | CORP              | BM        |    687000 | PA      | $687961.80    | 0.05%             | 2029-01-08      | Floating      | 6.09%                 | Yes           |                  2 | On Loan: No      |
| Vitality Re XVII Ltd                                 | Vitality Re XVII 2026 Class B                           | CUSIP: 92853KAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    257000 | PA      | $255753.55    | 0.02%             | 2030-01-08      | Floating      | 6.09%                 | Yes           |                  2 | On Loan: No      |
| Florblanca (Artex Segregated Account Company)        | Florblanca (Artex Segregated Account Company)           | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | BM        |     77550 | NS      | $19730529.18  | 1.30%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Greenshoots Re Ltd. Segregated Account 2025-B        | Greenshoots Re 2025-B                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | BM        |     10000 | NS      | $14088853.77  | 0.93%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Pelham (Horseshoe Re)                                | Pelham (Horseshoe Re)                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | BM        |    264553 | NS      | $6241226.44   | 0.41%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Seawall Re II (Artex Segregated Account Company)     | Seawall Re II Ltd 2026                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | BM        |      1250 | NS      | $26509803.75  | 1.74%             |  |  |  | Yes           |                  3 | On Loan: No      |
| SR0006 (Horseshoe Re)                                | SR0006 (Horseshoe Re)                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | BM        |  39381541 | NS      | $71438.12     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Thopas Re Ltd. Segregated Account 2024-2 (S)         | Thopas Re Ltd. 2024-2 (S)                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | BM        |    348656 | NS      | $48948225.25  | 3.21%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Viribus Re Ltd. Series 2018 Segregated Account       | Viribus Re 2018                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | BM        |    265173 | NS      | $0.00         | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Taranis Reinsurance DAC                              | Taranis Re DAC 2023-1 Class A                           | CUSIP: 000000000<br>LEI: 635400FQ9HHTLYKADZ22 | Long             | DBT              | CORP              | IE        |    257000 | PA      | $312110.64    | 0.02%             | 2028-01-21      | Floating      | 10.07%                | Yes           |                  2 | On Loan: No      |
| IBRD                                                 | IBRD CAR 135 Class D                                    | CUSIP: 000000000<br>LEI: ZTMSNXROF84AHWJNKQ93 | Long             | DBT              | CORP              | US        |    613000 | PA      | $652753.05    | 0.04%             | 2028-04-24      | Floating      | 15.69%                | Yes           |                  2 | On Loan: No      |
| Madison (Artex Segregated Account Company)           | Madison (Artex Segregated Account Company)              | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | BM        |     97141 | NS      | $26647154.86  | 1.75%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Magnolia (Artex Segregated Account Company)          | Magnolia (Artex Segregated Account Company)             | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | BM        |     24436 | NS      | $51679205.48  | 3.39%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Bridge Street Re Ltd                                 | Bridge Street Re 2025-1 Class A                         | CUSIP: 10807LAA5<br>LEI: 2549008NKPLMU6X7ID58 | Long             | DBT              | CORP              | BM        |   1018000 | PA      | $1021003.10   | 0.07%             | 2028-01-07      | Floating      | 7.69%                 | Yes           |                  2 | On Loan: No      |
| Everglades Re II Ltd.                                | Everglades Re II 2024-1 Class B                         | CUSIP: 30014LAN4<br>LEI: 5493000EE11S6ONK0372 | Long             | DBT              | CORP              | BM        |   2980000 | PA      | $2986407.00   | 0.20%             | 2027-05-13      | Floating      | 15.19%                | Yes           |                  2 | On Loan: No      |
| Fidelity Government Portfolio                        | Fidelity Government Portfolio                           | CUSIP: 316175108<br>LEI: 549300FQDFZGLUOCWN51 | Long             | STIV             | RF                | US        |  78082547 | NS      | $78082547.32  | 5.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Four Lakes Re Ltd.                                   | Four Lakes Re 2024-1 Class A                            | CUSIP: 35087TAG3<br>LEI: 549300MG4RRU6DT7MN54 | Long             | DBT              | CORP              | BM        |    859000 | PA      | $874075.45    | 0.06%             | 2028-01-07      | Floating      | 8.74%                 | Yes           |                  2 | On Loan: No      |
| Herbie Re Ltd.                                       | Herbie Re 2024-2 Class C                                | CUSIP: 42703VAL7<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    402000 | PA      | $396231.30    | 0.03%             | 2027-01-08      | Floating      | 28.49%                | Yes           |                  2 | On Loan: No      |
| Integrity Re Ltd                                     | Integrity Re 2024-1 Class D                             | CUSIP: 45833UAM3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    852000 | PA      | $864763.81    | 0.06%             | 2026-06-06      | Floating      | 26.49%                | Yes           |                  2 | On Loan: No      |
| Integrity Re III Ltd.                                | Integrity Re III 2025-1 Class C                         | CUSIP: 45870GAE6<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |    786000 | PA      | $808322.40    | 0.05%             | 2028-06-06      | Floating      | 15.94%                | Yes           |                  2 | On Loan: No      |
| Mayflower Re Ltd.                                    | Mayflower Re 2024-1 Class A                             | CUSIP: 57839MAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    650000 | PA      | $659912.50    | 0.04%             | 2027-07-08      | Floating      | 8.62%                 | Yes           |                  2 | On Loan: No      |
| Mystic Re IV Ltd.                                    | Mystic Re IV 2025-1 Class B                             | CUSIP: 62865LAG2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    282000 | PA      | $283959.90    | 0.02%             | 2028-01-10      | Floating      | 13.35%                | Yes           |                  2 | On Loan: No      |
| Mystic Re IV Ltd.                                    | Mystic Re IV 2026-1 Class A                             | CUSIP: 62865LAJ6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    287000 | PA      | $285034.05    | 0.02%             | 2029-01-08      | Floating      | 6.94%                 | Yes           |                  2 | On Loan: No      |
| Nature Coast Re Ltd.                                 | Nature Coast Re 2023-1 Class A                          | CUSIP: 63901CAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1341000 | PA      | $1338854.40   | 0.09%             | 2026-12-07      | Floating      | 13.69%                | Yes           |                  2 | On Loan: No      |
| Nature Coast Re Ltd.                                 | Nature Coast Re 2025-1 Class A                          | CUSIP: 63901CAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1161000 | PA      | $1179169.65   | 0.08%             | 2029-01-16      | Floating      | 14.34%                | Yes           |                  2 | On Loan: No      |
| Palm Re Ltd.                                         | Palm Re 2025-1 Class A                                  | CUSIP: 69664FAB4<br>LEI: 984500D3C66DA10DAP11 | Long             | DBT              | CORP              | BM        |    824000 | PA      | $845424.00    | 0.06%             | 2028-06-07      | Floating      | 11.44%                | Yes           |                  2 | On Loan: No      |
| Purple Re Ltd.                                       | Purple Re 2026-1 Class A                                | CUSIP: 74639NAF0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   3059000 | PA      | $3053799.70   | 0.20%             | 2029-06-07      | Floating      | 6.19%                 | Yes           |                  2 | On Loan: No      |
| Residential Reinsurance 2024 Limited                 | Residential Re 2024-II Class 2                          | CUSIP: 76112AAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    418000 | PA      | $434761.80    | 0.03%             | 2028-12-06      | Floating      | 17.11%                | Yes           |                  2 | On Loan: No      |
| Sanders Re II Ltd.                                   | Sanders Re II 2025-2 Class A-1                          | CUSIP: 80001AAA6<br>LEI: 254900VRQU0N0MF3CT92 | Long             | DBT              | CORP              | BM        |    304000 | PA      | $314275.20    | 0.02%             | 2028-06-07      | Floating      | 10.69%                | Yes           |                  2 | On Loan: No      |
| Emerald Lake (Artex Segregated Account Company)      | Emerald Lake (Artex Segregated Account Company)         | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | BM        |    504899 | NS      | $0.00         | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Iseo (Artex Segregated Account Company)              | Iseo (Artex Segregated Account Company)                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | BM        |    183543 | NS      | $0.00         | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Kensington                                           | Kensington (Horseshoe Re)                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | BM        |    954585 | NS      | $396.15       | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Lion Re DAC                                          | Lion Re DAC 2025-1 Class B                              | CUSIP: 000000000<br>LEI: 635400VAABXOBOWHZR32 | Long             | DBT              | CORP              | IE        |    406000 | PA      | $480315.48    | 0.03%             | 2029-06-15      | Floating      | 9.70%                 | Yes           |                  2 | On Loan: No      |
| Alamo Re Ltd.                                        | Alamo Re 2023-1 Class A                                 | CUSIP: 011395AJ9<br>LEI: 5493003E22VRD25G0S03 | Long             | DBT              | CORP              | BM        |   6270000 | PA      | $6297901.50   | 0.41%             | 2026-06-07      | Floating      | 12.77%                | Yes           |                  2 | On Loan: No      |
| Alamo Re Ltd.                                        | Alamo Re 2024-1 Class B                                 | CUSIP: 011395AP5<br>LEI: 5493003E22VRD25G0S03 | Long             | DBT              | CORP              | BM        |   5434000 | PA      | $5538876.20   | 0.36%             | 2027-06-07      | Floating      | 12.13%                | Yes           |                  2 | On Loan: No      |
| Alamo Re Ltd.                                        | Alamo Re 2024-1 Class C                                 | CUSIP: 011395AQ3<br>LEI: 5493003E22VRD25G0S03 | Long             | DBT              | CORP              | BM        |   3851000 | PA      | $3868329.50   | 0.25%             | 2026-06-07      | Floating      | 15.57%                | Yes           |                  2 | On Loan: No      |
| Aquila Re I Ltd.                                     | Aquila Re I 2023-1 Class A-1                            | CUSIP: 03843AAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    265000 | PA      | $265662.50    | 0.02%             | 2026-06-08      | Floating      | 9.03%                 | Yes           |                  2 | On Loan: No      |
| Aragonite Re Ltd.                                    | Aragonite Re 2024-1 Class A                             | CUSIP: 03851YAA7<br>LEI: 254900LF29LPMNPHA287 | Long             | DBT              | CORP              | BM        |    627000 | PA      | $637533.60    | 0.04%             | 2027-04-07      | Floating      | 8.94%                 | Yes           |                  2 | On Loan: No      |
| Armor Re II Ltd.                                     | Armor Re II 2026-1 Class A                              | CUSIP: 04227FAG0<br>LEI: 549300X573KDIHEJL317 | Long             | DBT              | CORP              | BM        |    493000 | PA      | $493000.00    | 0.03%             | 2029-06-07      | Floating      | 3.69%                 | Yes           |                  2 | On Loan: No      |
| Bayou Re Ltd.                                        | Bayou Re 2023-1 Class A                                 | CUSIP: 07304LAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    750000 | PA      | $754162.50    | 0.05%             | 2026-05-26      | Floating      | 16.08%                | Yes           |                  2 | On Loan: No      |
| Bayou Re Ltd.                                        | Bayou Re 2024-1 Class A                                 | CUSIP: 07304LAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1257000 | PA      | $1304011.80   | 0.09%             | 2027-04-30      | Floating      | 12.03%                | Yes           |                  2 | On Loan: No      |
| Bayou Re Ltd.                                        | Bayou Re 2024-1 Class B                                 | CUSIP: 07304LAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    419000 | PA      | $447764.35    | 0.03%             | 2027-04-30      | Floating      | 21.62%                | Yes           |                  2 | On Loan: No      |
| Blue Ridge Re Ltd.                                   | Blue Ridge Re 2025-1 Class A                            | CUSIP: 096003AC2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    587000 | PA      | $589993.70    | 0.04%             | 2029-01-08      | Floating      | 7.19%                 | Yes           |                  2 | On Loan: No      |
| Bluebonnet Re Ltd.                                   | Bluebonnet Re 2025-2 Class A                            | CUSIP: 09610NAD4<br>LEI: 2549007DQLA6K2ACFN15 | Long             | DBT              | CORP              | BM        |   1145000 | PA      | $1172193.75   | 0.08%             | 2027-06-07      | Floating      | 15.69%                | Yes           |                  2 | On Loan: No      |
| Citrus Re Ltd.                                       | Citrus Re 2026-1 Class B                                | CUSIP: 177510AT1<br>LEI: 549300VWWT5SE805NK88 | Long             | DBT              | CORP              | BM        |    540000 | PA      | $538326.00    | 0.04%             | 2029-06-07      | Floating      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| East Lane Re VII Ltd.                                | East Lane Re VII 2026-1 Class A                         | CUSIP: 27332EAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    621000 | PA      | $620875.80    | 0.04%             | 2028-03-31      | Floating      | 12.19%                | Yes           |                  2 | On Loan: No      |
| Eden Re II Segregated Account 2022-1                 | Eden Re II 2022-1 Class B                               | CUSIP: 27955KAB9<br>LEI: 549300LKX8PCP3SC3F42 | Long             | DBT              | CORP              | BM        |     19608 | PA      | $0.00         | 0.00%             | 2026-03-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Everglades Re II Ltd.                                | Everglades Re II 2024-1 Class C                         | CUSIP: 30014LAP9<br>LEI: 5493000EE11S6ONK0372 | Long             | DBT              | CORP              | BM        |   2066000 | PA      | $2068789.10   | 0.14%             | 2027-05-13      | Floating      | 16.44%                | Yes           |                  2 | On Loan: No      |
| Everglades Re II Ltd.                                | Everglades Re II 2025-1 Class C                         | CUSIP: 30014LAV6<br>LEI: 5493000EE11S6ONK0372 | Long             | DBT              | CORP              | BM        |   2362000 | PA      | $2476202.70   | 0.16%             | 2028-05-19      | Floating      | 14.94%                | Yes           |                  2 | On Loan: No      |
| Foundation Re VI Ltd.                                | Foundation Re 2023-1 Class A                            | CUSIP: 349939AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    968000 | PA      | $982907.20    | 0.06%             | 2027-01-08      | Floating      | 9.94%                 | Yes           |                  2 | On Loan: No      |
| Gateway Re Ltd.                                      | Gateway Re 2026-1 Class A                               | CUSIP: 36779CAY2<br>LEI: 549300ZYFWQV9RCIN520 | Long             | DBT              | CORP              | BM        |   1784000 | PA      | $1770352.40   | 0.12%             | 2029-07-06      | Floating      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| Gateway Re Ltd.                                      | Gateway Re 2026-2 Class B                               | CUSIP: 36779CBA3<br>LEI: 549300ZYFWQV9RCIN520 | Long             | DBT              | CORP              | BM        |    980000 | PA      | $972993.00    | 0.06%             | 2029-07-06      | Floating      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| Handshake Re Ltd.                                    | Handshake Re 2025-1 Class A                             | CUSIP: 410290AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    296000 | PA      | $292684.80    | 0.02%             | 2030-01-08      | Floating      | 8.19%                 | Yes           |                  2 | On Loan: No      |
| Hestia Re Ltd.                                       | Hestia Re 2022-1 Class A                                | CUSIP: 42815KAA0<br>LEI: 549300QRKQ1ZKOXEMZ38 | Long             | DBT              | CORP              | BM        |      8829 | PA      | $4635.00      | 0.00%             | 2029-04-22      | Floating      | 3.79%                 | Yes           |                  3 | On Loan: No      |
| Hestia Re Ltd.                                       | Hestia Re 2025-1 Class B                                | CUSIP: 42815KAD4<br>LEI: 549300QRKQ1ZKOXEMZ38 | Long             | DBT              | CORP              | BM        |    530000 | PA      | $533471.50    | 0.04%             | 2028-03-13      | Floating      | 11.94%                | Yes           |                  2 | On Loan: No      |
| Hestia Re Ltd.                                       | Hestia Re 2026-1 Class C                                | CUSIP: 42815KAG7<br>LEI: 549300QRKQ1ZKOXEMZ38 | Long             | DBT              | CORP              | BM        |    321000 | PA      | $237154.80    | 0.02%             | 2027-04-16      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Kendall Re Ltd.                                      | Kendall Re 2024-1 Class A                               | CUSIP: 48878QAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1023000 | PA      | $1042692.75   | 0.07%             | 2027-04-30      | Floating      | 9.94%                 | Yes           |                  2 | On Loan: No      |
| Lower Ferry Re Ltd.                                  | Lower Ferry Re 2023-1 Class B                           | CUSIP: 547915AB4<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1139000 | PA      | $1140651.55   | 0.07%             | 2026-07-08      | Floating      | 9.20%                 | Yes           |                  2 | On Loan: No      |
| Matterhorn Re Ltd.                                   | Matterhorn Re 2025-1 Class A                            | CUSIP: 577092AW9<br>LEI: 549300QRZ77PO1BYWT39 | Long             | DBT              | CORP              | BM        |    283000 | PA      | $282405.70    | 0.02%             | 2028-02-04      | Floating      | 10.69%                | Yes           |                  2 | On Loan: No      |
| Matterhorn Re Ltd.                                   | Matterhorn Re 2025-1 Class B                            | CUSIP: 577092AX7<br>LEI: 549300QRZ77PO1BYWT39 | Long             | DBT              | CORP              | BM        |    432000 | PA      | $429840.00    | 0.03%             | 2028-02-04      | Floating      | 16.08%                | Yes           |                  2 | On Loan: No      |
| Mayflower Re Ltd.                                    | Mayflower Re 2023-1 Class A                             | CUSIP: 57839MAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1104000 | PA      | $1103503.20   | 0.07%             | 2026-07-08      | Floating      | 8.74%                 | Yes           |                  2 | On Loan: No      |
| Mayflower Re Ltd.                                    | Mayflower Re 2025-1 Class A                             | CUSIP: 57839MAD0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1159000 | PA      | $1179282.50   | 0.08%             | 2028-07-07      | Floating      | 7.19%                 | Yes           |                  2 | On Loan: No      |
| Meritage Re Ltd.                                     | Meritage Re 2026-1 Class A                              | CUSIP: 59002JAA0<br>LEI: 254900TG8PO2J3ZD4Q82 | Long             | DBT              | CORP              | BM        |   1347000 | PA      | $1328344.05   | 0.09%             | 2029-03-08      | Floating      | 9.19%                 | Yes           |                  2 | On Loan: No      |
| Merna Re II Ltd                                      | Merna Re II 2025-4 Class A                              | CUSIP: 59013HAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   2004000 | PA      | $2036665.20   | 0.13%             | 2028-07-07      | Floating      | 11.44%                | Yes           |                  2 | On Loan: No      |
| Merna Re II Ltd                                      | Merna Re II 2023-2 Class A                              | CUSIP: 59013MAJ1<br>LEI: 549300478X5RX87PYX60 | Long             | DBT              | CORP              | BM        |   1279000 | PA      | $1297161.80   | 0.09%             | 2026-07-07      | Floating      | 14.16%                | Yes           |                  2 | On Loan: No      |
| Merna Re II Ltd                                      | Merna Re II 2024-1 Class A                              | CUSIP: 59013MAK8<br>LEI: 549300478X5RX87PYX60 | Long             | DBT              | CORP              | BM        |   1980000 | PA      | $2036430.00   | 0.13%             | 2027-07-07      | Floating      | 11.16%                | Yes           |                  2 | On Loan: No      |
| Montoya Re Ltd.                                      | Montoya Re 2025-2 Class A                               | CUSIP: 613752AF1<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    446000 | PA      | $446223.00    | 0.03%             | 2030-04-09      | Floating      | 8.96%                 | Yes           |                  2 | On Loan: No      |
| Mountain Re Ltd.                                     | Mountain Re 2023-1 Class A                              | CUSIP: 62426LAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    804000 | PA      | $807216.00    | 0.05%             | 2026-06-05      | Floating      | 10.43%                | Yes           |                  2 | On Loan: No      |
| Mystic Re IV Ltd.                                    | Mystic Re IV 2025-1 Class C                             | CUSIP: 62865LAH0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    714000 | PA      | $680656.20    | 0.04%             | 2028-01-10      | Floating      | 17.82%                | Yes           |                  2 | On Loan: No      |
| Nakama Re Ltd.                                       | Nakama Re 2023-1 Class 2                                | CUSIP: 62983QAP8<br>LEI: 2549003ZFVVVVKMRJ633 | Long             | DBT              | CORP              | BM        |    802000 | PA      | $823132.70    | 0.05%             | 2028-05-09      | Floating      | 7.69%                 | Yes           |                  2 | On Loan: No      |
| Nature Coast Re Ltd.                                 | Nature Coast Re 2025-2 Class A                          | CUSIP: 63901CAE1<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    382000 | PA      | $393593.70    | 0.03%             | 2029-04-10      | Floating      | 13.87%                | Yes           |                  2 | On Loan: No      |
| Purple Re Ltd.                                       | Purple Re 2024-1 Class A                                | CUSIP: 74639NAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   2373000 | PA      | $2445969.75   | 0.16%             | 2027-06-07      | Floating      | 12.82%                | Yes           |                  2 | On Loan: No      |
| Residential Reinsurance 2024 Limited                 | Residential Re 2024-I Class 14                          | CUSIP: 76091BAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    439000 | PA      | $434719.75    | 0.03%             | 2028-06-06      | Floating      | 9.67%                 | Yes           |                  2 | On Loan: No      |
| Residential Reinsurance 2025 Limited                 | Residential Re 2025-I Class 13                          | CUSIP: 76091DAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    266000 | PA      | $266598.50    | 0.02%             | 2029-06-06      | Floating      | 16.69%                | Yes           |                  2 | On Loan: No      |
| Residential Reinsurance 2025 Limited                 | Residential Re 2025-I Class 14                          | CUSIP: 76091DAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    725000 | PA      | $743922.50    | 0.05%             | 2029-06-06      | Floating      | 11.44%                | Yes           |                  2 | On Loan: No      |
| Residential Re 2019 Ltd                              | Residential Re 2019-I Class 12                          | CUSIP: 76120FAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     84167 | PA      | $38257.96     | 0.00%             | 2026-06-06      | Floating      | 4.19%                 | Yes           |                  3 | On Loan: No      |
| Sanders Re II Ltd.                                   | Sanders Re II 2025-1 Class B-1                          | CUSIP: 80001TAC1<br>LEI: 254900VRQU0N0MF3CT92 | Long             | DBT              | CORP              | BM        |    618000 | PA      | $629742.00    | 0.04%             | 2028-04-07      | Floating      | 8.24%                 | Yes           |                  2 | On Loan: No      |
| Sanders Re IV Ltd.                                   | Sanders Re IV 2026-1A Class A-2                         | CUSIP: 80001WAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   2273000 | PA      | $2263908.00   | 0.15%             | 2031-04-07      | Floating      | 7.19%                 | Yes           |                  2 | On Loan: No      |
| 3264 Re Ltd.                                         | 3264 Re 2025-1 Class B                                  | CUSIP: 88577CAF8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    491000 | PA      | $493528.65    | 0.03%             | 2028-02-07      | Floating      | 6.69%                 | Yes           |                  2 | On Loan: No      |
| Veraison Re Ltd.                                     | Veraison Re 2025-1 Class B                              | CUSIP: 92335TAE9<br>LEI: 2549007WYB39A966J434 | Long             | DBT              | CORP              | BM        |    852000 | PA      | $859497.60    | 0.06%             | 2028-03-08      | Floating      | 9.85%                 | Yes           |                  2 | On Loan: No      |
| Winston Re Ltd                                       | Winston Re 2024-1 Class B                               | CUSIP: 975660AB7<br>LEI: 2549001Q4VX5Y31QFJ88 | Long             | DBT              | CORP              | BM        |    387000 | PA      | $400119.30    | 0.03%             | 2027-02-26      | Floating      | 15.38%                | Yes           |                  2 | On Loan: No      |
| Excelsa Re Ltd. Segregated Account 6                 | Excelsa Re Ltd.                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | BM        |  17021000 | NS      | $23019147.81  | 1.51%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Hatteras (Artex Segregated Account Company)          | Hatteras (Artex Segregated Account Company)             | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | BM        |     58673 | NS      | $61238402.68  | 4.02%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Kauai (Artex Segregated Account Company)             | Kauai (Artex Segregated Account Company)                | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | BM        |     51394 | NS      | $0.21         | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Mulholland (Artex Segregated Account Company)        | Mulholland (Artex Segregated Account Company)           | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | BM        |       114 | NS      | $165886.47    | 0.01%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Riverdale (Horseshoe Re)                             | Riverdale (Horseshoe Re)                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | BM        |    251610 | NS      | $0.00         | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Blue Sky Re DAC                                      | Blue Sky Re DAC 2023-1                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    353000 | PA      | $426397.35    | 0.03%             | 2027-01-26      | Floating      | 8.62%                 | Yes           |                  2 | On Loan: No      |
| MMIFS Re Ltd.                                        | MMIFS Re 2025-1 Class A                                 | CUSIP: 000000000<br>LEI: 254900C86PCL10JRTQ88 | Long             | DBT              | CORP              | BM        |    942000 | PA      | $693245.70    | 0.05%             | 2028-01-10      | Floating      | 5.02%                 | Yes           |                  2 | On Loan: No      |
| Baltic PCC Ltd                                       | Baltic PCC 2025-1 Class A                               | CUSIP: 000000000<br>LEI: 549300GX6EH3ZRCQFX14 | Long             | DBT              | CORP              | GB        |    847000 | PA      | $1152553.44   | 0.08%             | 2028-04-06      | Floating      | 9.58%                 | Yes           |                  2 | On Loan: No      |
| Hexagon IV Re Ltd.                                   | Hexagon IV Re 2025-1 Class A                            | CUSIP: 000000000<br>LEI: 984500B4771ADC9FDE26 | Long             | DBT              | CORP              | BM        |    666000 | PA      | $785561.71    | 0.05%             | 2030-01-22      | Floating      | 7.24%                 | Yes           |                  2 | On Loan: No      |
| Alamo Re Ltd.                                        | Alamo Re 2024-1 Class A                                 | CUSIP: 011395AN0<br>LEI: 5493003E22VRD25G0S03 | Long             | DBT              | CORP              | BM        |   4208000 | PA      | $4257654.40   | 0.28%             | 2027-06-07      | Floating      | 10.23%                | Yes           |                  2 | On Loan: No      |
| Aquila Re I Ltd.                                     | Aquila Re I 2024-1 Class B-1                            | CUSIP: 037987AB0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    299000 | PA      | $309659.35    | 0.02%             | 2027-06-07      | Floating      | 12.04%                | Yes           |                  2 | On Loan: No      |
| Aquila Re I Ltd.                                     | Aquila Re I 2023-1 Class C-1                            | CUSIP: 03843AAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1530000 | PA      | $1539486.00   | 0.10%             | 2026-06-08      | Floating      | 12.52%                | Yes           |                  2 | On Loan: No      |
| Baldwin Re Ltd.                                      | Baldwin Re 2023-1 Class A                               | CUSIP: 05826BAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    423000 | PA      | $432009.90    | 0.03%             | 2027-07-07      | Floating      | 8.74%                 | Yes           |                  2 | On Loan: No      |
| Bayou Re Ltd.                                        | Bayou Re 2026-1 Class A                                 | CUSIP: 07304LAF8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    648000 | PA      | $648000.00    | 0.04%             | 2029-05-08      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Blue Ridge Re Ltd.                                   | Blue Ridge Re 2025-1 Class B                            | CUSIP: 096003AD0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    587000 | PA      | $579192.90    | 0.04%             | 2029-01-08      | Floating      | 9.69%                 | Yes           |                  2 | On Loan: No      |
| Citrus Re Ltd.                                       | Citrus Re 2026-1 Class A                                | CUSIP: 177510AS3<br>LEI: 549300VWWT5SE805NK88 | Long             | DBT              | CORP              | BM        |    480000 | PA      | $478320.00    | 0.03%             | 2029-06-07      | Floating      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| Residential Reinsurance 2024 Limited                 | Residential Re 2024-II Class 3                          | CUSIP: 76112AAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |   1096000 | PA      | $1108604.00   | 0.07%             | 2028-12-06      | Floating      | 10.63%                | Yes           |                  2 | On Loan: No      |
| Sanders Re III Ltd.                                  | Sanders Re III 2023-2 Class A                           | CUSIP: 799925AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   2129000 | PA      | $2138261.15   | 0.14%             | 2026-06-05      | Floating      | 11.41%                | Yes           |                  2 | On Loan: No      |
| Armor Re II Ltd.                                     | Armor Re II 2026-1 Class B                              | CUSIP: 04227FAH8<br>LEI: 549300X573KDIHEJL317 | Long             | DBT              | CORP              | BM        |    539000 | PA      | $539000.00    | 0.04%             | 2029-06-07      | Floating      | 3.69%                 | Yes           |                  2 | On Loan: No      |
| Baldwin Re Ltd.                                      | Baldwin Re 2025-1 Class A                               | CUSIP: 05826BAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1024000 | PA      | $1037824.00   | 0.07%             | 2029-07-09      | Floating      | 7.44%                 | Yes           |                  2 | On Loan: No      |
| Sanders Re III Ltd.                                  | Sanders Re III 2023-1 Class B                           | CUSIP: 80001QAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    528000 | PA      | $523723.20    | 0.03%             | 2027-04-07      | Floating      | 19.53%                | Yes           |                  2 | On Loan: No      |
| Rondout (Artex Segregated Account Company)           | Rondout (Artex Segregated Account Company)              | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | BM        |     48289 | NS      | $59210955.67  | 3.89%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Bayou Re Ltd.                                        | Bayou Re 2023-1 Class B                                 | CUSIP: 07304LAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1206000 | PA      | $1218723.30   | 0.08%             | 2026-05-26      | Floating      | 22.74%                | Yes           |                  2 | On Loan: No      |
| Bayou Re Ltd.                                        | Bayou Re 2025-1 Class A                                 | CUSIP: 07304LAE1<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    992000 | PA      | $1000779.20   | 0.07%             | 2028-05-08      | Floating      | 10.69%                | Yes           |                  2 | On Loan: No      |
| Blue Ridge Re Ltd.                                   | Blue Ridge Re 2023-1 Class A                            | CUSIP: 096003AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   2068000 | PA      | $2087335.80   | 0.14%             | 2027-01-08      | Floating      | 9.08%                 | Yes           |                  2 | On Loan: No      |
| Cape Lookout Re Ltd.                                 | Cape Lookout Re 2025-1 Class A                          | CUSIP: 13947LAG7<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   4143000 | PA      | $4293598.05   | 0.28%             | 2028-03-13      | Floating      | 9.62%                 | Yes           |                  2 | On Loan: No      |
| Blue Ridge Re Ltd.                                   | Blue Ridge Re 2025-1 Class D                            | CUSIP: 096003AF5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    687000 | PA      | $675973.65    | 0.04%             | 2029-01-08      | Floating      | 14.69%                | Yes           |                  2 | On Loan: No      |
| Bonanza Re Ltd.                                      | Bonanza Re 2024-1 Class C                               | CUSIP: 09785EAQ4<br>LEI: 5493003F0CXUQ2C83105 | Long             | DBT              | CORP              | BM        |    802000 | PA      | $805528.80    | 0.05%             | 2027-12-19      | Floating      | 9.19%                 | Yes           |                  2 | On Loan: No      |
| Bridge Street Re Ltd                                 | Bridge Street Re 2025-2 Class A                         | CUSIP: 10807LAB3<br>LEI: 2549008NKPLMU6X7ID58 | Long             | DBT              | CORP              | BM        |   1510000 | PA      | $1508188.00   | 0.10%             | 2029-01-08      | Floating      | 11.44%                | Yes           |                  2 | On Loan: No      |
| Cape Lookout Re Ltd.                                 | Cape Lookout Re 2026-1 Class A                          | CUSIP: 13947LAH5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1722000 | PA      | $1712787.30   | 0.11%             | 2029-03-21      | Floating      | 8.94%                 | Yes           |                  2 | On Loan: No      |
| Chartwell Re Ltd.                                    | Chartwell Re 2025-1 Class A                             | CUSIP: 16140YAA0<br>LEI: 984500FFT645KFFE6F50 | Long             | DBT              | CORP              | BM        |    710000 | PA      | $729631.50    | 0.05%             | 2028-06-07      | Floating      | 9.69%                 | Yes           |                  2 | On Loan: No      |
| Citrus Re Ltd.                                       | Citrus Re 2023-1 Class A                                | CUSIP: 177510AL8<br>LEI: 549300VWWT5SE805NK88 | Long             | DBT              | CORP              | BM        |   1009000 | PA      | $1012077.45   | 0.07%             | 2026-06-07      | Floating      | 10.28%                | Yes           |                  2 | On Loan: No      |
| Everglades Re II Ltd.                                | Everglades Re II 2025-1 Class D                         | CUSIP: 30014LAW4<br>LEI: 5493000EE11S6ONK0372 | Long             | DBT              | CORP              | BM        |   1418000 | PA      | $1477201.50   | 0.10%             | 2028-05-19      | Floating      | 16.69%                | Yes           |                  2 | On Loan: No      |
| Gateway Re Ltd.                                      | Gateway Re 2025-1 Class C2                              | CUSIP: 36779CAN6<br>LEI: 549300ZYFWQV9RCIN520 | Long             | DBT              | CORP              | BM        |   1525000 | PA      | $1556338.75   | 0.10%             | 2027-07-07      | Floating      | 13.19%                | Yes           |                  2 | On Loan: No      |
| Gateway Re Ltd.                                      | Gateway Re 2026-1 Class AAAA                            | CUSIP: 36779CAU0<br>LEI: 549300ZYFWQV9RCIN520 | Long             | DBT              | CORP              | BM        |    945000 | PA      | $941503.50    | 0.06%             | 2029-07-06      | Floating      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| Genesee Street Re Ltd.                               | Genesee Street Re 2025-1 Class A                        | CUSIP: 37173WAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    766000 | PA      | $766536.20    | 0.05%             | 2028-04-07      | Floating      | 7.07%                 | Yes           |                  2 | On Loan: No      |
| Citrus Re Ltd.                                       | Citrus Re 2024-1 Class B                                | CUSIP: 177510AP9<br>LEI: 549300VWWT5SE805NK88 | Long             | DBT              | CORP              | BM        |    508000 | PA      | $525703.80    | 0.03%             | 2027-06-07      | Floating      | 14.13%                | Yes           |                  2 | On Loan: No      |
| Greengrove Re Ltd.                                   | Greengrove Re 2025-1 Class A                            | CUSIP: 39526JAA9<br>LEI: 254900WH3CK41D9L7T70 | Long             | DBT              | CORP              | BM        |    422000 | PA      | $432887.60    | 0.03%             | 2028-04-07      | Floating      | 11.74%                | Yes           |                  2 | On Loan: No      |
| Winston Re Ltd.                                      | Winston Re 2026-1 Class B                               | CUSIP: 975660AE1<br>LEI: 2549001Q4VX5Y31QFJ88 | Long             | DBT              | CORP              | BM        |    801000 | PA      | $801000.00    | 0.05%             | 2029-05-04      | Floating      | 8.94%                 | Yes           |                  2 | On Loan: No      |
| Bowery (Artex Segregated Account Company)            | Bowery (Artex Segregated Account Company)               | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | BM        |    200075 | NS      | $50985118.05  | 3.35%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Latigo (Artex Segregated Account Company)            | Latigo (Artex Segregated Account Company)               | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | BM        |       473 | NS      | $28923609.01  | 1.90%             |  |  |  | Yes           |                  3 | On Loan: No      |
| King Max Re DAC                                      | King Max Re DAC                                         | CUSIP: 000000000<br>LEI: 635400D6MW4WMVI42S36 | Long             | DBT              | CORP              | IE        |    774000 | PA      | $921625.39    | 0.06%             | 2027-01-06      | Variable      | 7.93%                 | Yes           |                  2 | On Loan: No      |
| Mystic Re IV Ltd.                                    | Mystic Re IV 2025-1 Class A                             | CUSIP: 62865LAF4<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    446000 | PA      | $446825.10    | 0.03%             | 2028-01-10      | Floating      | 8.59%                 | Yes           |                  2 | On Loan: No      |
| Hudson Charles (Mt. Logan Re)                        | Hudson Charles (Mt. Logan Re)                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | BM        |     30133 | NS      | $32103454.66  | 2.11%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Herbie Re Ltd.                                       | Herbie Re 2022-1 Class A                                | CUSIP: 42703VAF0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    392000 | PA      | $405406.40    | 0.03%             | 2027-01-08      | Floating      | 17.19%                | Yes           |                  2 | On Loan: No      |
| Titania Re Ltd.                                      | Titania Re 2026-1 Class A                               | CUSIP: 54180BAA2<br>LEI: 5493008E73M6FH2NSB56 | Long             | DBT              | CORP              | BM        |    617000 | PA      | $616691.50    | 0.04%             | 2029-04-30      | Floating      | 11.19%                | Yes           |                  2 | On Loan: No      |
| Solis Re Ltd.                                        | Solis Re 2025-1 Class A                                 | CUSIP: 83423TAA9<br>LEI: 98450059AF1FA0FE4B29 | Long             | DBT              | CORP              | BM        |    497000 | PA      | $503013.70    | 0.03%             | 2028-07-07      | Floating      | 7.19%                 | Yes           |                  2 | On Loan: No      |
| Solomon Re Ltd.                                      | Solomon Re 2023-1 Class A                               | CUSIP: 83427GAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    379000 | PA      | $379795.90    | 0.02%             | 2026-06-08      | Floating      | 9.01%                 | Yes           |                  2 | On Loan: No      |
| Stabilitas Re Ltd.                                   | Stabilitas Re 2023-1 Class A                            | CUSIP: 85237TAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    336000 | PA      | $337142.40    | 0.02%             | 2026-06-05      | Floating      | 12.17%                | Yes           |                  2 | On Loan: No      |
| Sutter Re Ltd.                                       | Sutter Re 2023-1 Class E                                | CUSIP: 86944RAF5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   3055000 | PA      | $3061110.00   | 0.20%             | 2026-06-19      | Floating      | 13.44%                | Yes           |                  2 | On Loan: No      |
| 3264 Re Ltd.                                         | 3264 Re 2025-1 Class A                                  | CUSIP: 88577CAE1<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    491000 | PA      | $507571.25    | 0.03%             | 2028-02-07      | Floating      | 24.94%                | Yes           |                  2 | On Loan: No      |
| Torrey Pines Re Ltd                                  | Torrey Pines Re 2025-1 Class B                          | CUSIP: 89141WAM4<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1016000 | PA      | $1032662.40   | 0.07%             | 2028-06-07      | Floating      | 8.19%                 | Yes           |                  2 | On Loan: No      |
| Vitality Re XIV Limited                              | Vitality Re XIV 2023 Class A                            | CUSIP: 92851QAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    629000 | PA      | $635227.10    | 0.04%             | 2027-01-05      | Floating      | 7.19%                 | Yes           |                  2 | On Loan: No      |
| St Kevins (Artex Segregated Account Company)         | St. Kevins (Artex Segregated Account Company)           | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | BM        |     42944 | NS      | $3845541.88   | 0.25%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Viribus Re Ltd. Series 2019 Segregated Account       | Viribus Re 2019                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | BM        |    526336 | NS      | $11722.55     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Citrus Re Ltd.                                       | Citrus Re 2025-1 Class B                                | CUSIP: 177510AR5<br>LEI: 549300VWWT5SE805NK88 | Long             | DBT              | CORP              | BM        |    410000 | PA      | $421008.50    | 0.03%             | 2028-06-07      | Floating      | 8.19%                 | Yes           |                  2 | On Loan: No      |
| Commonwealth Re Ltd.                                 | Commonwealth Re 2025-1 Class A                          | CUSIP: 203235AC0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    912000 | PA      | $928279.20    | 0.06%             | 2028-07-10      | Floating      | 7.44%                 | Yes           |                  2 | On Loan: No      |
| Everglades Re II Ltd.                                | Everglades Re II 2025-1 Class B                         | CUSIP: 30014LAU8<br>LEI: 5493000EE11S6ONK0372 | Long             | DBT              | CORP              | BM        |   1949000 | PA      | $2029298.80   | 0.13%             | 2028-05-19      | Floating      | 13.44%                | Yes           |                  2 | On Loan: No      |
| Fish Pond Re Ltd.                                    | Fish Pond Re 2024-1 Class A                             | CUSIP: 33774EAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    842000 | PA      | $849956.90    | 0.06%             | 2027-01-08      | Floating      | 7.70%                 | Yes           |                  2 | On Loan: No      |
| Gateway Re Ltd.                                      | Gateway Re 2025-1 Class A                               | CUSIP: 36779CAQ9<br>LEI: 549300ZYFWQV9RCIN520 | Long             | DBT              | CORP              | BM        |    254000 | PA      | $263994.90    | 0.02%             | 2028-07-07      | Floating      | 14.19%                | Yes           |                  2 | On Loan: No      |
| Gateway Re Ltd.                                      | Gateway Re 2026-1 Class AAA-1                           | CUSIP: 36779CAV8<br>LEI: 549300ZYFWQV9RCIN520 | Long             | DBT              | CORP              | BM        |    884000 | PA      | $880198.80    | 0.06%             | 2029-07-06      | Floating      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| Merna Re II Ltd                                      | Merna Re II 2024-2 Class A                              | CUSIP: 59013MAL6<br>LEI: 549300478X5RX87PYX60 | Long             | DBT              | CORP              | BM        |   1758000 | PA      | $1803532.20   | 0.12%             | 2027-07-07      | Floating      | 12.44%                | Yes           |                  2 | On Loan: No      |
| Merna Re II Ltd                                      | Merna Re II 2024-3 Class A                              | CUSIP: 59013MAM4<br>LEI: 549300478X5RX87PYX60 | Long             | DBT              | CORP              | BM        |   2931000 | PA      | $3007645.65   | 0.20%             | 2027-07-07      | Floating      | 12.18%                | Yes           |                  2 | On Loan: No      |
| Mona Lisa Re Ltd.                                    | Mona Lisa Re 2025-1 Class A                             | CUSIP: 608800AJ7<br>LEI: 549300R6SO6XBFDC7M25 | Long             | DBT              | CORP              | BM        |    648000 | PA      | $654318.00    | 0.04%             | 2029-01-08      | Floating      | 11.58%                | Yes           |                  2 | On Loan: No      |
| Mystic Re IV Ltd.                                    | Mystic Re IV 2026-1 Class B                             | CUSIP: 62865LAK3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    488000 | PA      | $482461.20    | 0.03%             | 2029-01-08      | Floating      | 10.59%                | Yes           |                  2 | On Loan: No      |
| Nature Coast Re Ltd.                                 | Nature Coast Re 2024-1 Class A                          | CUSIP: 63901CAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    469000 | PA      | $513086.00    | 0.03%             | 2028-06-07      | Floating      | 18.98%                | Yes           |                  2 | On Loan: No      |
| Ocelot Re Ltd.                                       | Ocelot Re 2025-1 Class A                                | CUSIP: 675951AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1407000 | PA      | $1431974.25   | 0.09%             | 2029-02-26      | Floating      | 8.18%                 | Yes           |                  2 | On Loan: No      |
| Palm Re Ltd.                                         | Palm Re 2024-1 Class A                                  | CUSIP: 69664FAA6<br>LEI: 984500D3C66DA10DAP11 | Long             | DBT              | CORP              | BM        |    928000 | PA      | $964980.80    | 0.06%             | 2027-06-07      | Floating      | 13.19%                | Yes           |                  2 | On Loan: No      |
| Residential Reinsurance 2023 Limited                 | Residential Re 2023-II Class 5                          | CUSIP: 76090WAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1906000 | PA      | $1973377.10   | 0.13%             | 2027-12-06      | Floating      | 9.66%                 | Yes           |                  2 | On Loan: No      |
| Residential Reinsurance 2023 Limited                 | Residential Re 2023-I Class 13                          | CUSIP: 76133XAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1887000 | PA      | $1297312.50   | 0.09%             | 2027-06-06      | Floating      | 11.19%                | Yes           |                  2 | On Loan: No      |
| Sabine Re Ltd.                                       | Sabine Re 2024-1 Class A                                | CUSIP: 785628AA6<br>LEI: 254900FU1Z2XK88D3602 | Long             | DBT              | CORP              | BM        |    488000 | PA      | $499663.20    | 0.03%             | 2027-04-07      | Floating      | 12.41%                | Yes           |                  2 | On Loan: No      |
| Sanders Re II Ltd.                                   | Sanders Re II 2024-3 Class A                            | CUSIP: 80001RAA9<br>LEI: 254900VRQU0N0MF3CT92 | Long             | DBT              | CORP              | BM        |   1446000 | PA      | $1465304.10   | 0.10%             | 2029-04-07      | Floating      | 7.73%                 | Yes           |                  2 | On Loan: No      |
| Sanders Re II Ltd.                                   | Sanders Re II 2025-1 Class A                            | CUSIP: 80001TAA5<br>LEI: 254900VRQU0N0MF3CT92 | Long             | DBT              | CORP              | BM        |   1074000 | PA      | $1094835.60   | 0.07%             | 2028-04-07      | Floating      | 7.76%                 | Yes           |                  2 | On Loan: No      |
| Titania Re Ltd.                                      | Titania Re 2024-1 Class B                               | CUSIP: 888329AF6<br>LEI: 5493008E73M6FH2NSB56 | Long             | DBT              | CORP              | BM        |    535000 | PA      | $528767.25    | 0.03%             | 2027-11-26      | Floating      | 14.00%                | Yes           |                  2 | On Loan: No      |
| Ursa Re Ltd.                                         | Ursa Re 2023-3 Class AA                                 | CUSIP: 90323WAP5<br>LEI: 549300O8X4DWGDJZ6W59 | Long             | DBT              | CORP              | BM        |   2194000 | PA      | $2224716.00   | 0.15%             | 2026-12-07      | Floating      | 9.19%                 | Yes           |                  2 | On Loan: No      |
| Vitality Re XVI Limited                              | Vitality Re XVI 2025 Class A                            | CUSIP: 92849FAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    359000 | PA      | $357151.15    | 0.02%             | 2029-01-08      | Floating      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| Windrose Re Ltd                                      | Windrose Re 2026-1 Class A                              | CUSIP: 972917AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    743000 | PA      | $736127.25    | 0.05%             | 2029-02-13      | Floating      | 8.94%                 | Yes           |                  2 | On Loan: No      |
| Cypress (Horseshoe Re)                               | Cypress (Horseshoe Re)                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | BM        | 125090500 | NS      | $1017110.86   | 0.07%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Trouvaille Re Ltd.                                   | Trouvaille Re Ltd.                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | BM        |       135 | NS      | $40712306.64  | 2.67%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Eiffel Re Ltd.                                       | Eiffel Re 2023-1 Class A                                | CUSIP: 000000000<br>LEI: 5493000KHTJQAOS8QP53 | Long             | DBT              | CORP              | BM        |   1073000 | PA      | $1277527.87   | 0.08%             | 2027-01-19      | Floating      | 5.83%                 | Yes           |                  2 | On Loan: No      |
| Hexagon IV Re Ltd.                                   | Hexagon IV Re 2023-1 Class A                            | CUSIP: 000000000<br>LEI: 984500B4771ADC9FDE26 | Long             | DBT              | CORP              | BM        |    772000 | PA      | $949959.39    | 0.06%             | 2028-01-21      | Floating      | 10.67%                | Yes           |                  2 | On Loan: No      |
| Yorkville (Artex Segregated Account Company)         | Yorkville (Artex Segregated Account Company)            | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | BM        |    143394 | NS      | $188977268.71 | 12.41%            |  |  |  | Yes           |                  3 | On Loan: No      |

### Signature

**Date Signed:** 2026-06-29

**Name of Applicant:** Stone Ridge Trust II

**Signature:** Maura Keselowsky

**Name of Signer:** Maura Keselowsky

**Title:** Treasurer and Principal Financial Officer