NPORT-P/A false 0001752724-22-118906 0000802716 XXXXXXXX S000053569 C000168364 C000168363 C000168365 C000168366 Victory Portfolios 811-04852 0000802716 549300V07N3HJP1EW330 4900 Tiedeman Road 4th Floor Brooklyn 44144 800-539-3863 Victory INCORE Investment Quality Bond Fund S000053569 549300O80CDVAKN43I90 2022-12-31 2022-03-31 N 25249353.35 2942123.46 22307229.89 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 766610.54 CAD JPY MXN USD N EQUINOR ASA OW6OFBNCKXC4US5C7523 85771PAL6 20000.00000000 PA USD 20707.60000000 0.092829096674 Long DBT CORP NO N 2 2043-05-15 Fixed 3.95000000 N N N N N N CAPITAL ONE FINANCIAL CORPORATION ZUE8T73ROZOF6FLBAR73 14040HCG8 146000.00000000 PA USD 124978.92000000 0.560261944742 Long DBT CORP US N 2 2032-07-29 Fixed 2.35900000 N N N N N N APPLE INC. HWUPKR0MPOU8FGXBT394 037833BX7 53000.00000000 PA USD 62480.64000000 0.280091433620 Long DBT CORP US N 2 2046-02-23 Fixed 4.65000000 N N N N N N WESTERN DIGITAL CORPORATION 549300QQXOOYEF89IC56 958102AQ8 53000.00000000 PA USD 48587.75000000 0.217811670205 Long DBT CORP US N 2 2029-02-01 Fixed 2.85000000 N N N N N N Suntory Holdings Limited 54930074QUY8RD0UZM08 86803UAD3 200000.00000000 PA USD 194632.00000000 0.872506362106 Long DBT CORP JP Y 2 2024-10-16 Fixed 2.25000000 N N N N N N NEWMONT CORPORATION 549300VSP3RIX7FGDZ51 651639AZ9 36000.00000000 PA USD 33109.20000000 0.148423628407 Long DBT CORP US N 2 2032-07-15 Fixed 2.60000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312916VS5 4120.19000000 PA USD 4155.15000000 0.018626920601 Long ABS-MBS USGSE US N 2 2023-06-15 Fixed 5.00000000 N N N N N N CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 172967JL6 35000.00000000 PA USD 35448.00000000 0.158908121603 Long DBT CORP US N 2 2025-03-26 Fixed 3.87500000 N N N N N ROCKWELL AUTOMATION, INC. VH3R4HHBHH12O0EXZJ88 773903AE9 60000.00000000 PA USD 73768.80000000 0.330694579128 Long DBT CORP US N 2 2037-12-01 Fixed 6.25000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137B8Q75 66855.34000000 PA USD 68010.08000000 0.304879092273 Long ABS-MBS USGSE US N 2 2039-07-15 Fixed 3.50000000 N N N N N N VERIZON COMMUNICATIONS INC. 2S72QS2UO2OESLG6Y829 92343VEN0 38000.00000000 PA USD 38463.98000000 0.172428312209 Long DBT CORP US N 2 2025-02-15 Fixed 3.37600000 N N N N N N B.A.T CAPITAL CORPORATION 2138005GYEXN7XRHFA84 05526DBQ7 75000.00000000 PA USD 74150.25000000 0.332404562850 Long DBT CORP US N 2 2050-04-02 Fixed 5.28200000 N N N N N N KKR & CO. INC. 549300JOHU21WRN2Z451 48251W401 990.00000000 NS USD 73566.90000000 0.329789491401 Long EP CORP US N 1 N N N ANTHEM, INC. 8MYN82XMYQH89CTMTH67 036752AJ2 65000.00000000 PA USD 64133.55000000 0.287501183769 Long DBT CORP US N 2 2025-01-15 Fixed 2.37500000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 01F022642 700000.00000000 PA USD 667657.90000000 2.993011249233 Long ABS-MBS USGSE US N 2 2052-04-25 Fixed 2.50000000 N N N N N N NEXTERA ENERGY, INC. N/A 65339F770 2875.00000000 NS USD 149931.25000000 0.672119535860 Long EP CORP US N 1 N N N United States of America 254900HROIFWPRGM1V77 91282CCB5 247000.00000000 PA USD 232643.13000000 1.042904614993 Long DBT UST US N 2 2031-05-15 Fixed 1.62500000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3138WHWW8 166208.42000000 PA USD 165036.04000000 0.739832067064 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 3.00000000 N N N N N N MEXICAN PESO CURRENCY FUTURE JUN22 N/A N/A 10.00000000 NC USD 15149.80000000 0.067914304352 N/A DFE US N 1 CHICAGO MERCANTILE EXCHANGE INC SNZ2OJLFK8MNNCLQOF39 Long Currency Futures MXN/USD Future (Consolidated) (GEM) Jun 2022 2022-06-13 233500.20000000 USD 15149.80000000 N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 01F030645 400000.00000000 PA USD 391123.60000000 1.753349034948 Long ABS-MBS USGSE US N 2 2052-04-25 Fixed 3.00000000 N N N N N N JPMORGAN PRIME MONEY MARKET FUND N/A 4812A0367 78022.88000000 NS USD 78022.87999999 0.349764988233 Long STIV RF US N 1 N N SNAP-ON INCORPORATED HHWAT5TDOYZMM26KKQ73 833034AL5 56000.00000000 PA USD 59361.68000000 0.266109598962 Long DBT CORP US N 2 2048-03-01 Fixed 4.10000000 N N N N N N AT&T INC. 549300Z40J86GGSTL398 00206RDQ2 46000.00000000 PA USD 48094.38000000 0.215599965738 Long DBT CORP US N 2 2027-03-01 Fixed 4.25000000 N N N N N N SVB FINANCIAL GROUP 549300D2KJ20JMXE7542 78486QAE1 164000.00000000 PA USD 157866.40000000 0.707691635305 Long DBT CORP US N 2 2030-06-05 Fixed 3.12500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312944Y54 100690.20000000 PA USD 106987.46000000 0.479608900466 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 4.50000000 N N N N N N AMG CAPITAL TRUST II N/A 00170F209 2050.00000000 NS USD 113776.23000000 0.510041948556 Long EP CORP US N 1 N N N CSX Corporation 549300JVQR4N1MMP3Q88 126408HR7 85000.00000000 PA USD 79277.80000000 0.355390608295 Long DBT CORP US N 2 2049-09-15 Fixed 3.35000000 N N N N N N EXPEDIA GROUP, INC. N/A 30212PBJ3 87000.00000000 PA USD 87575.07000000 0.392586037943 Long DBT CORP US N 2 2023-12-15 Fixed 3.60000000 N N N N N N CITIGROUP COMMERCIAL MORTGAGE TRUST N/A 29429EAD3 85000.00000000 PA USD 83037.54000000 0.372244964567 Long ABS-MBS CORP US N 2 2049-07-10 Fixed 2.90200000 N N N N N N ANGLO AMERICAN CAPITAL PLC TINT358G1SSHR3L3PW36 034863BA7 200000.00000000 PA USD 183470.00000000 0.822468773149 Long DBT CORP GB Y 2 2031-03-17 Fixed 2.87500000 N N N N N APTIV PLC N/A 03835VAH9 34000.00000000 PA USD 37568.64000000 0.168414635906 Long DBT CORP JE N 2 2049-03-15 Fixed 5.40000000 N N N N N N KITE REALTY GROUP, L.P. 549300X6R2GYI8Y3OD81 76131VAA1 155000.00000000 PA USD 155858.70000000 0.698691414256 Long DBT CORP US N 2 2025-03-15 Fixed 4.00000000 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST N/A 80285VAE9 100000.00000000 PA USD 95455.47000000 0.427912701266 Long ABS-MBS CORP US N 2 2027-02-16 Fixed 1.26000000 N N N N N N UNIVERSAL HEALTH SERVICES, INC. 549300YGMGQDO0NMJD09 913903AV2 44000.00000000 PA USD 40008.76000000 0.179353331620 Long DBT CORP US Y 2 2030-10-15 Fixed 2.65000000 N N N N N N United States of America 254900HROIFWPRGM1V77 91282CCE9 86000.00000000 PA USD 80067.34000000 0.358929998905 Long DBT UST US N 2 2028-05-31 Fixed 1.25000000 N N N N N N VIATRIS INC. 254900ZZTSW7NL773X71 92556VAF3 75000.00000000 PA USD 63321.75000000 0.283862004884 Long DBT CORP US N 2 2050-06-22 Fixed 4.00000000 N N N N N N COMCAST CORPORATION 51M0QTTNCGUN7KFCFZ59 20030NCZ2 70000.00000000 PA USD 65914.80000000 0.295486263086 Long DBT CORP US N 2 2050-02-01 Fixed 3.45000000 N N N N N N CADENCE DESIGN SYSTEMS, INC. GCT7RXJOGLXPV0NXZY22 127387AL2 153000.00000000 PA USD 157048.38000000 0.704024573084 Long DBT CORP US N 2 2024-10-15 Fixed 4.37500000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31397QHQ4 150236.36000000 PA USD 153804.20000000 0.689481395755 Long ABS-MBS USGSE US N 2 2040-05-25 Fixed 4.50000000 N N N N N N THE GOODYEAR TIRE & RUBBER COMPANY 5493002BI0S2ZQUY3437 382550BJ9 66000.00000000 PA USD 62104.68000000 0.278406060753 Long DBT CORP US N 2 2031-04-30 Fixed 5.25000000 N N N N N CSAIL COMMERCIAL MORTGAGE TRUST N/A 12637UAW9 48000.00000000 PA USD 48094.11000000 0.215598755368 Long ABS-MBS CORP US N 2 2049-11-15 Fixed 3.50200000 N N N N N N AerCap Ireland Capital Designated Activity Company 549300TI38531ODB1G63 00774MAN5 150000.00000000 PA USD 159079.50000000 0.713129782516 Long DBT CORP IE N 2 2025-07-15 Fixed 6.50000000 N N N N N N ABBVIE INC. FR5LCKFTG8054YNNRU85 00287YAW9 62000.00000000 PA USD 66018.84000000 0.295952658961 Long DBT CORP US N 2 2046-05-14 Fixed 4.45000000 N N N N N N AIR LEASE CORPORATION 5493004NW4M4P8TMMK63 00914AAP7 58000.00000000 PA USD 54602.36000000 0.244774273942 Long DBT CORP US N 2 2024-08-18 Fixed 0.80000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31378DUW8 23.55000000 PA USD 24.16000000 0.000108305693 Long ABS-MBS USGSE US N 2 2027-12-01 Fixed 7.00000000 N N N N N N COMM MORTGAGE TRUST N/A 12593PAW2 65000.00000000 PA USD 65699.80000000 0.294522450003 Long ABS-MBS CORP US N 2 2048-08-10 Fixed 3.75900000 N N N N N N RIO TINTO FINANCE (USA) LIMITED 213800RX94ZKEZXPKH58 767201AL0 50000.00000000 PA USD 59963.00000000 0.268805227254 Long DBT CORP AU N 2 2040-11-02 Fixed 5.20000000 N N N N N N Compagnie des chemins de fer nationaux du Canada 3SU7BEP7TH9YEQOZCS77 136375CK6 60000.00000000 PA USD 56401.80000000 0.252840896328 Long DBT CORP CA N 2 2046-08-02 Fixed 3.20000000 N N N N N N DANA INCORPORATED KVWHW7YLZPFJM8QYNJ51 235825AG1 48000.00000000 PA USD 48508.80000000 0.217457749075 Long DBT CORP US N 2 2028-06-15 Fixed 5.62500000 N N N N N N MERITAGE HOMES CORPORATION 52990044W9UMFJO2FB97 59001AAY8 27000.00000000 PA USD 28414.53000000 0.127378119740 Long DBT CORP US N 2 2025-06-01 Fixed 6.00000000 N N N N N N CFCRE COMMERCIAL MORTGAGE TRUST N/A 12531WBA9 54525.25200000 PA USD 54624.53000000 0.244873658761 Long ABS-MBS CORP US N 2 2048-01-10 Fixed 3.59700000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140X92S3 116684.90000000 PA USD 108481.10000000 0.486304666849 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N NORFOLK SOUTHERN CORPORATION 54930036C8MWP850MI84 655844CK2 40000.00000000 PA USD 37210.80000000 0.166810492308 Long DBT CORP US N 2 2031-05-15 Fixed 2.30000000 N N N N N N JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 46625HRV4 170000.00000000 PA USD 168910.30000000 0.757199799495 Long DBT CORP US N 2 2026-10-01 Fixed 2.95000000 N N N N N N EURONET WORLDWIDE, INC. YG3575C4DSHJPA5KET68 298736AL3 125000.00000000 PA USD 140710.00000000 0.630782041041 Long DBT CORP US N 2 2049-03-15 Fixed 0.75000000 N N N N N EURONET WORLDWIDE, INC. USD XXXX N N WESTLAKE AUTOMOBILE RECEIVABLES TRUST N/A 96042RAE8 136000.00000000 PA USD 129591.52000000 0.580939545784 Long ABS-MBS CORP US Y 2 2026-07-15 Fixed 0.89000000 N N N N N N ABBVIE INC. FR5LCKFTG8054YNNRU85 00287YBX6 66000.00000000 PA USD 65215.26000000 0.292350329115 Long DBT CORP US N 2 2029-11-21 Fixed 3.20000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31371JL44 1620.24000000 PA USD 1832.43000000 0.008214511658 Long ABS-MBS USGSE US N 2 2030-06-01 Fixed 8.00000000 N N N N N N BARRY CALLEBAUT SERVICES N.V. 213800R1F1EJYM4ICO85 N/A 275000.00000000 PA USD 281522.39000000 1.262023081253 Long DBT CORP BE Y 2 2023-06-15 Fixed 5.50000000 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST N/A 94989NBE6 62000.00000000 PA USD 62434.53000000 0.279884729336 Long ABS-MBS CORP US N 2 2058-09-15 Fixed 3.66400000 N N N N N N REGIONS FINANCIAL CORPORATION CW05CS5KW59QTC0DG824 7591EPAT7 89000.00000000 PA USD 79870.38000000 0.358047056464 Long DBT CORP US N 2 2028-08-12 Fixed 1.80000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3138M1GJ1 35209.85000000 PA USD 37418.77000000 0.167742790944 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 4.50000000 N N N N N N AMEREN ILLINOIS COMPANY RC71E2BZ6UOMFPDJSE79 02361DAV2 100000.00000000 PA USD 87268.00000000 0.391209488718 Long DBT CORP US N 2 2030-11-15 Fixed 1.55000000 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397ZX4 200000.00000000 PA USD 199494.00000000 0.894301986323 Long DBT CORP US N 2 2024-11-01 Fixed 4.06300000 N N N N N N CONTINENTAL RESOURCES, INC. XXRTID9RYWOZ0UPIVR53 212015AL5 113000.00000000 PA USD 114570.70000000 0.513603439624 Long DBT CORP US N 2 2023-04-15 Fixed 4.50000000 N N N N N N EXPEDIA GROUP, INC. N/A 30212PBE4 120000.00000000 PA USD 144582.00000000 0.648139642227 Long DBT CORP US N 2 2026-02-15 None 0.00000000 N N N N N EXPEDIA GROUP, INC. USD XXXX N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128LCWX0 20268.30000000 PA USD 22212.72000000 0.099576326193 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 5.50000000 N N N N N N TYSON FOODS, INC. WD6L6041MNRW1JE49D58 902494BH5 39000.00000000 PA USD 45342.57000000 0.203264010025 Long DBT CORP US N 2 2048-09-28 Fixed 5.10000000 N N N N N N THE SCOTTS MIRACLE-GRO COMPANY 2TH9E0JTOUXOEGI2R879 810186AS5 66000.00000000 PA USD 61861.14000000 0.277314307088 Long DBT CORP US N 2 2029-10-15 Fixed 4.50000000 N N N N N N AT&T INC. 549300Z40J86GGSTL398 00206RHA3 126000.00000000 PA USD 143718.12000000 0.644266996434 Long DBT CORP US N 2 2046-11-15 Fixed 5.15000000 N N N N N N GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST N/A 380149AF1 105000.00000000 PA USD 99675.54000000 0.446830648590 Long ABS-MBS CORP US N 2 2027-01-19 Fixed 1.28000000 N N N N N N PUBLIC SERVICE ELECTRIC AND GAS COMPANY 549300RUHPVD434XUK18 74456QBF2 65000.00000000 PA USD 65652.60000000 0.294310859410 Long DBT CORP US N 2 2044-06-01 Fixed 4.00000000 N N N N N N TotalEnergies Capital International SA 549300U37G2I8G4RUG09 89153VAX7 85000.00000000 PA USD 77681.50000000 0.348234632372 Long DBT CORP FR N 2 2041-06-29 Fixed 2.98600000 N N N N N N CSAIL COMMERCIAL MORTGAGE TRUST N/A 12634NAT5 73000.00000000 PA USD 73004.80000000 0.327269680547 Long ABS-MBS CORP US N 2 2057-06-15 Fixed 3.50400000 N N N N N N JPMORGAN CHASE FINANCIAL COMPANY LLC 549300NJFDJOFYVV6789 48129KAE0 100000.00000000 PA USD 109580.00000000 0.491230872413 Long DBT CORP US Y 2 2023-05-01 Fixed 0.25000000 N N N N N JPMORGAN CHASE FINANCIAL COMPANY LLC USD XXXX N N N JAPANESE YEN FUTURE JUN22 N/A N/A -4.00000000 NC USD 23124.92000000 0.103665583373 N/A DFE JP N 1 CHICAGO MERCANTILE EXCHANGE INC SNZ2OJLFK8MNNCLQOF39 Short Currency Futures JPY/USD Future (Consolidated) (IMM) Jun 2022 2022-06-13 -434999.92000000 USD 23124.92000000 N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140X4S72 229268.08000000 PA USD 232241.05000000 1.041102150043 Long ABS-MBS USGSE US N 2 2039-08-01 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136AWD20 84602.43000000 PA USD 85738.17000000 0.384351487938 Long ABS-MBS USGSE US N 2 2050-12-25 Fixed 3.50000000 N N N N N N S P500 MIC EMINI FUTURE JUN22 N/A N/A -39.00000000 NC USD -63284.41000000 -0.28369461520 N/A DE US N 1 NEW YORK MERCANTILE EXCHANGE, INC. 5493008GFNDTXFPHWI47 Short NYMEX MISO Michigan Hub 5 MW Peak Calendar Month Day Ahead Electronic Energy Future Jun 2022 HWAM22 2022-05-31 -820211.84000000 USD -63284.41000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KJJP8 95062.67000000 PA USD 91169.84000000 0.408700858195 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 2.50000000 N N N N N N NORFOLK SOUTHERN CORPORATION 54930036C8MWP850MI84 655844CL0 50000.00000000 PA USD 43266.00000000 0.193955054990 Long DBT CORP US N 2 2051-08-25 Fixed 2.90000000 N N N N N N NVR, Inc. 529900RWXR4JI3JYTV70 62944TAE5 126000.00000000 PA USD 126517.86000000 0.567160784301 Long DBT CORP US N 2 2022-09-15 Fixed 3.95000000 N N N N N N GOLDMAN SACHS FINANCIAL SQUARE PRIME OBLIGATIONS FUND N/A 38141W364 9785.04000000 NS USD 9785.03999999 0.043864881691 Long STIV RF US N 1 N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140J92D2 102681.01000000 PA USD 106036.24000000 0.475344722419 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 4.00000000 N N N N N N SOUTHWEST AIRLINES CO. UDTZ87G0STFETI6HGH41 844741BG2 115000.00000000 PA USD 156450.60000000 0.701344814087 Long DBT CORP US N 2 2025-05-01 Fixed 1.25000000 N N N N N SOUTHWEST AIRLINES CO. USD XXXX N N N Government National Mortgage Association N/A 36207ENA8 8955.56000000 PA USD 9875.89000000 0.044272148754 Long ABS-MBS USGA US N 2 2033-12-15 Fixed 6.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31394CJS2 94831.47000000 PA USD 101523.89000000 0.455116527245 Long ABS-MBS USGSE US N 2 2035-03-25 Fixed 5.50000000 N N N N N N KITE REALTY GROUP, L.P. 549300X6R2GYI8Y3OD81 49803XAB9 70000.00000000 PA USD 73425.80000000 0.329156961048 Long DBT CORP US Y 2 2027-04-01 Fixed 0.75000000 N N N N N KITE REALTY GROUP, L.P. USD XXXX N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST N/A 95000AAU1 57000.00000000 PA USD 57736.76000000 0.258825323828 Long ABS-MBS CORP US N 2 2048-12-15 Fixed 3.80900000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 94974BGL8 180000.00000000 PA USD 187030.80000000 0.838431310934 Long DBT CORP US N 2 2027-07-22 Fixed 4.30000000 N N N N N N United States of America N/A N/A 5.00000000 NC USD -10572.04000000 -0.04739288585 N/A DIR US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Long United States of America US 5-Year Note (consolidated) Jun 2022 2022-06-30 584009.54000000 USD -10572.04000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KLKJ5 255058.30000000 PA USD 237334.17000000 1.063933850909 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N NEWCREST FINANCE PTY LIMITED 549300I0XDZ4K7PDSS04 65120FAB0 45000.00000000 PA USD 51449.85000000 0.230642039615 Long DBT CORP AU Y 2 2041-11-15 Fixed 5.75000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31385H4W9 4120.93000000 PA USD 4625.77000000 0.020736640196 Long ABS-MBS USGSE US N 2 2032-02-01 Fixed 7.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137AN2J3 10044.43000000 PA USD 10070.03000000 0.045142449554 Long ABS-MBS USGSE US N 2 2040-10-15 Fixed 3.50000000 N N N N N N PULTEGROUP, INC. N/A 745867AX9 100000.00000000 PA USD 105548.00000000 0.473156014980 Long DBT CORP US N 2 2027-01-15 Fixed 5.00000000 N N N N N N HOLOGIC, INC. 549300DYP6F5ZJL0LB74 436440AP6 114000.00000000 PA USD 106422.42000000 0.477075910029 Long DBT CORP US Y 2 2029-02-15 Fixed 3.25000000 N N N N N N WHIRLPOOL CORPORATION WHENKOULSSK7WUM60H03 963320AY2 80000.00000000 PA USD 73090.40000000 0.327653412639 Long DBT CORP US N 2 2031-05-15 Fixed 2.40000000 N N N N N N TEMPFUND N/A 09248U619 19607.36000000 NS USD 19607.35999999 0.087896884089 Long STIV RF US N 1 N N WELLS FARGO COMMERCIAL MORTGAGE TRUST N/A 95000KBB0 51000.00000000 PA USD 50009.11000000 0.224183416079 Long ABS-MBS CORP US N 2 2049-11-15 Fixed 2.91800000 N N N N N N JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 46647PCR5 135000.00000000 PA USD 123221.25000000 0.552382571066 Long DBT CORP US N 2 2032-11-08 Fixed 2.54500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MAGF0 181872.82000000 PA USD 193002.72000000 0.865202541739 Long ABS-MBS USGSE US N 2 2044-07-01 Fixed 4.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31384VL75 2887.74000000 PA USD 3210.98000000 0.014394346657 Long ABS-MBS USGSE US N 2 2029-12-01 Fixed 7.50000000 N N N N N N CREDIT SUISSE FIRST BOSTON CORPORATION N/A 22540V2L5 52377.82000000 PA USD 52789.65000000 0.236648164116 Long ABS-MBS CORP US N 2 2032-10-25 Floating 1.77657000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140J9QR5 62072.09000000 PA USD 61634.25000000 0.276297192900 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 3.00000000 N N N N N N NVR, Inc. 529900RWXR4JI3JYTV70 62944TAF2 118000.00000000 PA USD 110339.44000000 0.494635329191 Long DBT CORP US N 2 2030-05-15 Fixed 3.00000000 N N N N N N United States of America N/A N/A 8.00000000 NC USD -57027.76000000 -0.25564698208 N/A DIR US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Long United States of America US Ultra T-Bond Futures (Composite) Jun 2022 2022-06-21 1474027.76000000 USD -57027.76000000 N N N ILLUMINA, INC. SQ95QG8SR5Q56LSNF682 452327AK5 110000.00000000 PA USD 121192.50000000 0.543287985992 Long DBT CORP US N 2 2023-08-15 None 0.00000000 N N N N N ILLUMINA, INC. USD XXXX N N SENSATA TECHNOLOGIES, INC. 5493002MMDDCUNV7NY90 81728UAB0 57000.00000000 PA USD 52803.66000000 0.236710968866 Long DBT CORP US Y 2 2031-02-15 Fixed 3.75000000 N N N N N N NEWCREST FINANCE PTY LIMITED 549300I0XDZ4K7PDSS04 65120FAE4 25000.00000000 PA USD 24411.25000000 0.109432009802 Long DBT CORP AU Y 2 2050-05-13 Fixed 4.20000000 N N N N N N GLOBE LIFE INC. 5493001JFHKQOPP6XA71 37959EAA0 110000.00000000 PA USD 98557.80000000 0.441819986103 Long DBT CORP US N 2 2030-08-15 Fixed 2.15000000 N N N N N N CONTINENTAL RESOURCES, INC. XXRTID9RYWOZ0UPIVR53 212015AU5 93000.00000000 PA USD 87021.03000000 0.390102358872 Long DBT CORP US Y 2 2026-11-15 Fixed 2.26800000 N N N N N N MURPHY OIL USA, INC. N32S6DTR2ZZ5222WHV58 626738AF5 78000.00000000 PA USD 71482.32000000 0.320444628725 Long DBT CORP US Y 2 2031-02-15 Fixed 3.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137BGJD2 15545.27000000 PA USD 15614.54000000 0.069997664779 Long ABS-MBS USGSE US N 2 2041-01-15 Fixed 3.00000000 N N N N N N AFLAC INCORPORATED 549300N0B7DOGLXWPP39 001055AY8 10000.00000000 PA USD 11460.50000000 0.051375720143 Long DBT CORP US N 2 2049-01-15 Fixed 4.75000000 N N N N N N ARES CAPITAL CORPORATION WEQ82666OJYSI5GUAB47 04010LAW3 135000.00000000 PA USD 151931.70000000 0.681087256235 Long DBT CORP US N 2 2024-03-01 Fixed 4.62500000 N N N N N ARES CAPITAL CORPORATION USD XXXX N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 06738G8A1 45000.00000000 PA USD 71924.40000000 0.322426407737 Long DBT RF GB N 2 2025-02-04 None 0.00000000 N N N N N BARCLAYS BANK PLC USD XXXX N N N United States of America 254900HROIFWPRGM1V77 912810SN9 222000.00000000 PA USD 165702.19000000 0.742818318621 Long DBT UST US N 2 2050-05-15 Fixed 1.25000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140FBCD0 29036.51000000 PA USD 29483.43000000 0.132169839757 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 3.50000000 N N N N N N United States of America N/A N/A 5.00000000 NC USD -14701.03000000 -0.06590253506 N/A DIR US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Long United States of America US 2-Year Note (CBT) Consolidated Jun 2022 2022-06-30 1074310.41000000 USD -14701.03000000 N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31384WGY0 8423.97000000 PA USD 9181.38000000 0.041158763527 Long ABS-MBS USGSE US N 2 2031-02-01 Fixed 7.50000000 N N N N N N THE ESTEE LAUDER COMPANIES INC. 549300VFZ8XJ9NUPU221 29736RAK6 52000.00000000 PA USD 56157.40000000 0.251745287410 Long DBT CORP US N 2 2047-03-15 Fixed 4.15000000 N N N N N N WISCONSIN PUBLIC SERVICE CORPORATION 549300BJRHJVYNUMQZ30 976843BN1 47000.00000000 PA USD 40298.27000000 0.180651161971 Long DBT CORP US N 2 2051-12-01 Fixed 2.85000000 N N N N N N OLD REPUBLIC INTERNATIONAL CORPORATION 549300IV6O2YY2A1KH37 680223AL8 42000.00000000 PA USD 39047.40000000 0.175043697458 Long DBT CORP US N 2 2051-06-11 Fixed 3.85000000 N N N N N N WESTERN MIDSTREAM OPERATING, LP L6D8A6MLSY454J2JXJ60 958667AC1 66000.00000000 PA USD 65965.02000000 0.295711391890 Long DBT CORP US N 2 2030-02-01 Variable 4.55000000 N N N N N N CFCRE COMMERCIAL MORTGAGE TRUST N/A 12531YAN8 44000.00000000 PA USD 43465.71000000 0.194850325272 Long ABS-MBS CORP US N 2 2058-05-10 Fixed 3.28300000 N N N N N N EQM Midstream Partners, LP 549300NELT611CL6XM83 26885BAD2 39000.00000000 PA USD 39286.65000000 0.176116219690 Long DBT CORP US N 2 2023-07-15 Fixed 4.75000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 313615MX1 18.61000000 PA USD 18.99000000 0.000085129350 Long ABS-MBS USGSE US N 2 2023-08-01 Fixed 7.00000000 N N N N N N STANLEY BLACK & DECKER, INC. 549300DJ09SMTO561131 854502846 1201.00000000 NS USD 105579.91000000 0.473299062773 Long EP CORP US N 1 N N N LENNAR CORPORATION 529900G61XVRLX5TJX09 526057CV4 93000.00000000 PA USD 97662.09000000 0.437804651144 Long DBT CORP US N 2 2027-06-15 Fixed 5.00000000 N N N N N N CENTENE CORPORATION 549300Z7JJ4TQSQGT333 15135BAR2 73000.00000000 PA USD 73281.05000000 0.328508068287 Long DBT CORP US N 2 2027-12-15 Fixed 4.25000000 N N N N N N ROSS STORES, INC. 549300ENZFLPGRDFZQ60 778296AA1 70000.00000000 PA USD 70182.00000000 0.314615487203 Long DBT CORP US N 2 2024-09-15 Fixed 3.37500000 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GFH7 51000.00000000 PA USD 52263.78000000 0.234290766974 Long DBT CORP US N 2 2024-08-26 Fixed 4.20000000 N N N N N N MSILF PRIME PORTFOLIO N/A 61747C715 350806.08000000 NS USD 350806.07999999 1.572611578084 Long STIV RF US N 1 N N JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 46625HJB7 27000.00000000 PA USD 32796.36000000 0.147021213130 Long DBT CORP US N 2 2041-07-15 Fixed 5.60000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3138WHST0 89126.66000000 PA USD 88497.99000000 0.396723351291 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31412REK9 43125.18000000 PA USD 46506.54000000 0.208481914739 Long ABS-MBS USGSE US N 2 2040-03-01 Fixed 5.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136ADEA3 24277.42000000 PA USD 24313.41000000 0.108993407607 Long ABS-MBS USGSE US N 2 2039-04-25 Fixed 2.50000000 N N N N N N PHYSICIANS REALTY L.P. 549300P6Q1UMT0X60U20 71951QAC6 48000.00000000 PA USD 43293.12000000 0.194076629924 Long DBT CORP US N 2 2031-11-01 Fixed 2.62500000 N N N N N N ALLEGHANY CORPORATION 549300DCJE6AYX159479 017175AE0 55000.00000000 PA USD 55360.80000000 0.248174247869 Long DBT CORP US N 2 2030-05-15 Fixed 3.62500000 N N N N N N STORE CAPITAL CORPORATION 5493004EA6C9IHDZ7N66 862121AC4 80000.00000000 PA USD 72612.00000000 0.325508816460 Long DBT CORP US N 2 2030-11-18 Fixed 2.75000000 N N N N N N AIR LEASE CORPORATION 5493004NW4M4P8TMMK63 00914AAL6 120000.00000000 PA USD 114506.40000000 0.513315192270 Long DBT CORP US N 2 2024-02-15 Fixed 0.70000000 N N N N N N MARATHON OIL CORPORATION 1FRVQX2CRLGC1XLP5727 565849AE6 105000.00000000 PA USD 127949.85000000 0.573580182886 Long DBT CORP US N 2 2037-10-01 Fixed 6.60000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140J9EB3 19491.12000000 PA USD 20169.48000000 0.090416784600 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 4.00000000 N N N N N N CSAIL COMMERCIAL MORTGAGE TRUST N/A 12635FAT1 55000.00000000 PA USD 55210.55000000 0.247500699424 Long ABS-MBS CORP US N 2 2048-08-15 Fixed 3.71820000 N N N N N N PIONEER NATURAL RESOURCES COMPANY FY8JBF7CCL2VE4F1B628 723787AQ0 109000.00000000 PA USD 96612.15000000 0.433097925992 Long DBT CORP US N 2 2030-08-15 Fixed 1.90000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31411UVL2 100.39000000 PA USD 100.39000000 0.000450033466 Long ABS-MBS USGSE US N 2 2022-04-01 Fixed 5.50000000 N N N N N N JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST N/A 46644YAU4 55707.06000000 PA USD 55965.67000000 0.250885790284 Long ABS-MBS CORP US N 2 2048-08-15 Fixed 3.80140000 N N N N N N REGENCY CENTERS, L.P. 5493008PTR2GAOYBXW28 75884RAY9 49000.00000000 PA USD 52732.82000000 0.236393403663 Long DBT CORP US N 2 2049-03-15 Fixed 4.65000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31416VQQ0 44143.50000000 PA USD 48997.84000000 0.219650042796 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 6.00000000 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GKD0 120000.00000000 PA USD 109292.40000000 0.489941604309 Long DBT CORP US N 2 2032-10-20 Fixed 2.57200000 N N N N N N GS MORTGAGE SECURITIES TRUST N/A 36250GAP0 57000.00000000 PA USD 56797.45000000 0.254614536542 Long ABS-MBS CORP US N 2 2050-05-10 Fixed 3.38200000 N N N N N N ACUITY BRANDS LIGHTING, INC. 549300OTPVPFLUC38K21 00510RAD5 37000.00000000 PA USD 32519.30000000 0.145779194280 Long DBT CORP US N 2 2030-12-15 Fixed 2.15000000 N N N N N N KERRY GROUP FINANCIAL SERVICES UNLIMITED COMPANY 635400SE9OHFJ8SLDG45 49245PAA4 400000.00000000 PA USD 401828.00000000 1.801335271037 Long DBT CORP IE Y 2 2023-04-09 Fixed 3.20000000 N N N N N N MARRIOTT INTERNATIONAL, INC. 225YDZ14ZO8E1TXUSU86 571900BB4 142000.00000000 PA USD 143574.78000000 0.643624424493 Long DBT CORP US N 2 2024-04-15 Fixed 3.60000000 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST N/A 61691GAS9 55000.00000000 PA USD 55530.69000000 0.248935839518 Long ABS-MBS CORP US N 2 2049-12-15 Variable 3.72000000 N N N N N N CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 172967KJ9 36000.00000000 PA USD 37363.32000000 0.167494216826 Long DBT CORP US N 2 2026-03-09 Fixed 4.60000000 N N N N N N DTE ENERGY COMPANY 549300IX8SD6XXD71I78 233331842 1765.00000000 NS USD 94056.85000000 0.421642895437 Long EP CORP US N 1 N N N PHYSICIANS REALTY L.P. 549300P6Q1UMT0X60U20 71951QAB8 60000.00000000 PA USD 60654.60000000 0.271905567383 Long DBT CORP US N 2 2028-01-15 Fixed 3.95000000 N N N N N N SABRA HEALTH CARE LIMITED PARTNERSHIP 549300OVKLRFSIQG0H81 14162VAB2 65000.00000000 PA USD 66518.40000000 0.298192112279 Long DBT CORP US N 2 2026-08-15 Fixed 5.12500000 N N N N N N TEXAS INSTRUMENTS INCORPORATED WDJNR2L6D8RWOEB8T652 882508BD5 51000.00000000 PA USD 56823.18000000 0.254729880313 Long DBT CORP US N 2 2048-05-15 Fixed 4.15000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31371KP88 8929.88000000 PA USD 10116.04000000 0.045348705553 Long ABS-MBS USGSE US N 2 2032-06-01 Fixed 7.00000000 N N N N N N Federal Home Loan Banks N/A 3130APJX4 255000.00000000 PA USD 239246.10000000 1.072504749266 Long DBT USGSE US N 2 2026-04-29 Fixed 1.10000000 N N N N N N MICRON TECHNOLOGY, INC. B3DXGBC8GAIYWI2Z0172 595112BN2 167000.00000000 PA USD 181532.34000000 0.813782531023 Long DBT CORP US N 2 2029-02-06 Fixed 5.32700000 N N N N N N WESTERN DIGITAL CORPORATION 549300QQXOOYEF89IC56 958102AP0 170000.00000000 PA USD 164245.50000000 0.736288193603 Long DBT CORP US N 2 2024-02-01 Fixed 1.50000000 N N N N N WESTERN DIGITAL CORPORATION USD XXXX N N N Highwoods Realty Limited Partnership JUJNVZX73BIYHLR58F51 431282AM4 285000.00000000 PA USD 286339.50000000 1.283617470264 Long DBT CORP US N 2 2023-01-15 Fixed 3.62500000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 94974BGQ7 55000.00000000 PA USD 60879.50000000 0.272913760696 Long DBT CORP US N 2 2045-11-17 Fixed 4.90000000 N N N N N N FIDELITY GOVERNMENT PORTFOLIO N/A 1849969A6 549984.54000000 NS USD 549984.53999999 2.465499045430 Long STIV RF US N 1 N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31414K6M7 91688.98000000 PA USD 100287.05000000 0.449571957139 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 5.50000000 N N N N N N CENTERPOINT ENERGY N/A 15189T206 455.00000000 NS USD 23177.70000000 0.103902188278 Long EP CORP US N 2 N N N COMPAGNIE DE CHEMIN DE FER CANADIEN PACIFIQUE 54930036474DURYNB481 13645RBH6 33000.00000000 PA USD 29345.25000000 0.131550399331 Long DBT CORP CA N 2 2051-12-02 Fixed 3.10000000 N N N N N N AMERICAN ELECTRIC POWER COMPANY, INC. 1B4S6S7G0TW5EE83BO58 02557T307 655.00000000 NS USD 36594.85000000 0.164049279899 Long EP CORP US N 1 N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST N/A 94989JAZ9 67000.00000000 PA USD 67243.30000000 0.301441731365 Long ABS-MBS CORP US N 2 2048-05-15 Fixed 3.54000000 N N N N N N JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST N/A 46590MAR1 131000.00000000 PA USD 127548.13000000 0.571779331763 Long ABS-MBS CORP US N 2 2049-08-15 Fixed 2.82180000 N N N N N N SANTANDER RETAIL AUTO LEASE TRUST N/A 80286TAF0 287000.00000000 PA USD 275223.18000000 1.233784657965 Long ABS-MBS CORP US Y 2 2026-03-20 Fixed 1.14000000 N N N N N N VERIZON COMMUNICATIONS INC. 2S72QS2UO2OESLG6Y829 92343VGB4 20000.00000000 PA USD 18864.00000000 0.084564511564 Long DBT CORP US N 2 2051-03-22 Fixed 3.55000000 N N N N N N WESTLAKE AUTOMOBILE RECEIVABLES TRUST N/A 96043FAE3 142000.00000000 PA USD 137526.00000000 0.616508641719 Long ABS-MBS CORP US Y 2 2026-03-16 Fixed 0.95000000 N N N N N N VIATRIS INC. 254900ZZTSW7NL773X71 92556VAC0 40000.00000000 PA USD 36413.20000000 0.163234969915 Long DBT CORP US N 2 2027-06-22 Fixed 2.30000000 N N N N N N SIRIUS XM RADIO INC. WP5O65E6BMU84LNO4227 82967NBG2 62000.00000000 PA USD 58095.86000000 0.260435115818 Long DBT CORP US Y 2 2030-07-01 Fixed 4.12500000 N N N N N N OSHKOSH CORPORATION 549300FEKNPCFSA2B506 688225AH4 60000.00000000 PA USD 56055.00000000 0.251286243412 Long DBT CORP US N 2 2030-03-01 Fixed 3.10000000 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GGA1 100000.00000000 PA USD 99724.00000000 0.447047887576 Long DBT CORP US N 2 2027-10-21 Fixed 3.24800000 N N N N N N AKAMAI TECHNOLOGIES, INC. OC1LZNN2LF5WTJ5RIL89 00971TAJ0 50000.00000000 PA USD 66046.00000000 0.296074413208 Long DBT CORP US N 2 2025-05-01 Fixed 0.12500000 N N N N N AKAMAI TECHNOLOGIES, INC. USD XXXX N N N UNIVERSAL HEALTH SERVICES, INC. 549300YGMGQDO0NMJD09 913903AX8 154000.00000000 PA USD 141238.02000000 0.633149076315 Long DBT CORP US Y 2 2026-09-01 Fixed 1.65000000 N N N N N N Mylan Inc. 30ZMPDNA1RHIBH89C294 628530BK2 91000.00000000 PA USD 92011.92000000 0.412475777825 Long DBT CORP US N 2 2028-04-15 Fixed 4.55000000 N N N N N N NETAPP, INC. QTX3D84DZDD5JYOCYH15 64110DAD6 70000.00000000 PA USD 70317.10000000 0.315221120447 Long DBT CORP US N 2 2022-12-15 Fixed 3.25000000 N N N N N N HILLENBRAND, INC. U246OE781574J2BUD366 431571AB4 195000.00000000 PA USD 199350.45000000 0.893658472983 Long DBT CORP US N 2 2026-09-15 Variable 5.00000000 N N N N N N HCA INC. L3CJ6J7LJ2DX62FTXD46 404119BX6 73000.00000000 PA USD 74342.47000000 0.333266256575 Long DBT CORP US N 2 2029-06-15 Fixed 4.12500000 N N N N N N CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 172967KA8 63000.00000000 PA USD 64949.22000000 0.291157711290 Long DBT CORP US N 2 2027-09-29 Fixed 4.45000000 N N N N N N EOG RESOURCES, INC. XWTZDRYZPBUHIQBKDB46 26875PAT8 65000.00000000 PA USD 79826.50000000 0.357850348939 Long DBT CORP US N 2 2050-04-15 Fixed 4.95000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140QBBK3 9559.12000000 PA USD 9764.66000000 0.043773521177 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31411GJU7 24686.31000000 PA USD 25198.24000000 0.112959969141 Long ABS-MBS USGSE US N 2 2036-12-01 Floating 1.91000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3138EMUW9 236132.23000000 PA USD 246117.47000000 1.103308080894 Long ABS-MBS USGSE US N 2 2043-11-01 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140QLHL3 640652.92000000 PA USD 613273.37000000 2.749213474842 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 2.50000000 N N N N N N JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST N/A 46644FAD3 68000.00000000 PA USD 67374.34000000 0.302029164231 Long ABS-MBS CORP US N 2 2048-10-15 Fixed 3.22740000 N N N N N N UNITED AUTO CREDIT SECURITIZATION TRUST N/A 90944DAE1 81000.00000000 PA USD 79691.65000000 0.357245836408 Long ABS-MBS CORP US Y 2 2027-06-10 Fixed 2.61000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140XAD82 169084.81000000 PA USD 157165.68000000 0.704550411570 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N VODAFONE GROUP PUBLIC LIMITED COMPANY 213800TB53ELEUKM7Q61 92857WBM1 89000.00000000 PA USD 100173.95000000 0.449064946629 Long DBT CORP GB N 2 2048-05-30 Fixed 5.25000000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CY3 200000.00000000 PA USD 182076.00000000 0.816219678094 Long DBT CORP GB N 2 2032-11-22 Fixed 2.87100000 N N N N N N WESTLAKE AUTOMOBILE RECEIVABLES TRUST N/A 96042WAF4 106000.00000000 PA USD 104776.28000000 0.469696508785 Long ABS-MBS CORP US Y 2 2027-03-15 Fixed 3.11000000 N N N N N N Iberdrola International B.V. 549300ZMLFJKWC63XN87 29266MAE9 35000.00000000 PA USD 42775.95000000 0.191758233590 Long DBT CORP NL N 2 2033-09-15 Fixed 6.75000000 N N N N N N YUM! Brands, Inc. 549300JE8XHZZ7OHN517 988498AN1 73000.00000000 PA USD 66604.47000000 0.298577951311 Long DBT CORP US N 2 2031-03-15 Fixed 3.62500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137BEWK6 75989.46000000 PA USD 75429.34000000 0.338138533434 Long ABS-MBS USGSE US N 2 2037-04-15 Fixed 2.50000000 N N N N N N CINCINNATI FINANCIAL CORPORATION 254900Q4WEDMZBOZ0002 172062AE1 75000.00000000 PA USD 92170.50000000 0.413186668423 Long DBT CORP US N 2 2034-11-01 Fixed 6.12500000 N N N N N NCR CORPORATION 549300YKTY8JX1DV2R67 62886EAZ1 38000.00000000 PA USD 35994.36000000 0.161357372374 Long DBT CORP US Y 2 2030-10-01 Fixed 5.25000000 N N N N N N ESSENTIAL PROPERTIES, L.P. 254900XX9FNFCDE1NX02 29670VAA7 56000.00000000 PA USD 49175.84000000 0.220447990371 Long DBT CORP US N 2 2031-07-15 Fixed 2.95000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31411CPR6 554.96000000 PA USD 596.74000000 0.002675096831 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 5.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 01F032658 300000.00000000 PA USD 299307.30000000 1.341750192542 Long ABS-MBS USGSE US N 2 2052-05-25 Fixed 3.50000000 N N N N N N CONSOLIDATED EDISON COMPANY OF NEW YORK, INC. VZFZPMWDHTQCFKYOBP05 209111ES8 40000.00000000 PA USD 50143.60000000 0.224786314783 Long DBT CORP US N 2 2037-08-15 Fixed 6.30000000 N N N N N N GENERAL MOTORS FINANCIAL COMPANY, INC. 5493008B6JBRUJ90QL97 37045XCL8 49000.00000000 PA USD 49782.53000000 0.223167691575 Long DBT CORP US N 2 2023-06-19 Fixed 4.15000000 N N N N N N CITIGROUP COMMERCIAL MORTGAGE TRUST N/A 17324DAU8 56000.00000000 PA USD 56518.74000000 0.253365120988 Long ABS-MBS CORP US N 2 2048-09-15 Fixed 3.71700000 N N N N N N DRIVE AUTO RECEIVABLES TRUST N/A 262108AE3 125000.00000000 PA USD 123331.64000000 0.552877433048 Long ABS-MBS CORP US N 2 2027-06-15 Fixed 1.02000000 N N N N N N BANK N/A 06540JBP6 130000.00000000 PA USD 120813.52000000 0.541589074913 Long ABS-MBS CORP US N 2 2063-03-15 Fixed 2.68700000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 06739GCF4 30000.00000000 PA USD 33291.90000000 0.149242645385 Long DBT RF GB N 2 2025-02-18 None 0.00000000 N N N N N BARCLAYS BANK PLC USD XXXX N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31418DP89 150228.31000000 PA USD 149285.98000000 0.669226886243 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 3.00000000 N N N N N N SIXTH STREET SPECIALTY LENDING, INC. 549300TX61566GJWCN05 87265KAD4 40000.00000000 PA USD 48995.60000000 0.219640001208 Long DBT CORP US N 2 2022-08-01 Fixed 4.50000000 N N N N N SIXTH STREET SPECIALTY LENDING, INC. USD XXXX N N N BLOCK, INC. 549300OHIIUWSTIZME52 852234AK9 20000.00000000 PA USD 18264.00000000 0.081874800636 Long DBT CORP US N 2 2027-11-01 Fixed 0.25000000 N N N N N BLOCK, INC. USD XXXX N N PLAINS ALL AMERICAN PIPELINE, L.P. 5521FA2ITF25TVH63740 72650RBB7 120000.00000000 PA USD 120201.60000000 0.538845928395 Long DBT CORP US N 2 2023-01-31 Fixed 2.85000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136B0AV8 90541.52000000 PA USD 87524.32000000 0.392358533227 Long ABS-MBS USGSE US N 2 2047-12-25 Fixed 2.50000000 N N N N N N ECOPETROL S.A. 254900IDGKCJICKBPA66 279158AC3 133000.00000000 PA USD 136230.57000000 0.610701421340 Long DBT CORP CO N 2 2023-09-18 Fixed 5.87500000 N N N N N N GENERAL MOTORS COMPANY 54930070NSV60J38I987 37045VAE0 96000.00000000 PA USD 98924.16000000 0.443462323595 Long DBT CORP US N 2 2023-10-02 Fixed 4.87500000 N N N N N United States of America N/A N/A -12.00000000 NC USD 46434.84000000 0.208160494283 N/A DIR US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Short United States of America US 10 Year Treasury Note Future (consolidated) Jun 2022 2022-06-21 -1520934.84000000 USD 46434.84000000 N N N NISOURCE INC. 549300D8GOWWH0SJB189 65473P121 85.00000000 NS USD 10113.30000000 0.045336422540 Long EP CORP US N 1 N N N PIONEER NATURAL RESOURCES COMPANY FY8JBF7CCL2VE4F1B628 723787AP2 105000.00000000 PA USD 249804.45000000 1.119836264887 Long DBT CORP US N 2 2025-05-15 Fixed 0.25000000 N N N N N PIONEER NATURAL RESOURCES COMPANY USD XXXX N N N 7-ELEVEN, INC. 549300K23JPL0SS3LB18 817826AB6 156000.00000000 PA USD 149867.64000000 0.671834381673 Long DBT CORP US Y 2 2024-02-10 Fixed 0.80000000 N N N N N N ANTHEM, INC. 8MYN82XMYQH89CTMTH67 94973VBG1 27000.00000000 PA USD 188341.74000000 0.844308060340 Long DBT CORP US N 2 2042-10-15 Fixed 2.75000000 N N N N N ANTHEM, INC. USD XXXX N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31385PXK5 6372.42000000 PA USD 7118.46000000 0.031910999416 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 8.00000000 N N N N N N VALE OVERSEAS LIMITED 254900BA3U6G5DNV5V04 91911TAP8 63000.00000000 PA USD 69111.63000000 0.309817177394 Long DBT CORP KY N 2 2026-08-10 Fixed 6.25000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31407QRH1 6460.29000000 PA USD 6946.04000000 0.031138066152 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 5.00000000 N N N N N N VISHAY INTERTECHNOLOGY, INC. 5493009O8F3QQJTCQR75 928298AP3 40000.00000000 PA USD 40273.60000000 0.180540570024 Long DBT CORP US N 2 2025-06-15 Fixed 2.25000000 N N N N N VISHAY INTERTECHNOLOGY, INC. USD XXXX N N N NXP B.V. 724500RKKW4NOJ9YQF60 62947QAV0 200000.00000000 PA USD 202978.00000000 0.909920241109 Long DBT CORP NL Y 2 2023-06-01 Fixed 4.62500000 N N N N N N Reynolds American Inc. 02S2RPPVO9RP4NEU2740 761713BA3 92000.00000000 PA USD 97264.24000000 0.436021148657 Long DBT CORP US N 2 2035-08-15 Fixed 5.70000000 N N N N N N COMCAST CORPORATION 51M0QTTNCGUN7KFCFZ59 20030NDL2 56000.00000000 PA USD 47109.44000000 0.211184625936 Long DBT CORP US N 2 2051-01-15 Fixed 2.80000000 N N N N N N HOLLYFRONTIER CORPORATION 549300J3U2WK73C9ZK26 436106AB4 116000.00000000 PA USD 114938.60000000 0.515252680708 Long DBT CORP US N 2 2023-10-01 Fixed 2.62500000 N N N N N N DANAHER CORPORATION S4BKK9OTCEWQ3YHPFM11 235851409 17.00000000 NS USD 26847.08000000 0.120351474084 Long EP CORP US N 1 N N N Dominion Energy, Inc. ILUL7B6Z54MRYCF6H308 25746U133 1180.00000000 NS USD 119829.00000000 0.537175617909 Long EP CORP US N 1 N N N FORD MOTOR COMPANY 20S05OYHG0MQM4VUIC57 345370CZ1 40000.00000000 PA USD 47410.00000000 0.212531991797 Long DBT CORP US N 2 2026-03-15 None 0.00000000 N N N N N FORD MOTOR COMPANY USD XXXX N N N DELTA AIR LINES, INC. Q2CCMS6R0AS67HJMBN42 247361ZP6 130000.00000000 PA USD 131346.80000000 0.588808205445 Long DBT CORP US N 2 2023-04-19 Fixed 3.80000000 N N N N N N THE SOUTHERN COMPANY 549300FC3G3YU2FBZD92 842587602 1962.00000000 NS USD 107144.82000000 0.480314321985 Long EP CORP US N 1 N N N CITIGROUP COMMERCIAL MORTGAGE TRUST N/A 29425AAD5 50000.00000000 PA USD 50512.83000000 0.226441518059 Long ABS-MBS CORP US N 2 2058-09-10 Fixed 3.77800000 N N N N N N NIKE, INC. 787RXPR0UX0O0XUXPZ81 654106AE3 73000.00000000 PA USD 76360.92000000 0.342314668278 Long DBT CORP US N 2 2045-11-01 Fixed 3.87500000 N N N N N N IRON MOUNTAIN INCORPORATED SQL3F6CKNNBM3SQGHX24 46284VAJ0 48000.00000000 PA USD 47027.04000000 0.210815238969 Long DBT CORP US Y 2 2030-07-15 Fixed 5.25000000 N N N N N N LUMEN TECHNOLOGIES, INC. 8M3THTGWLTYZVE6BBY25 156700AX4 50000.00000000 PA USD 51987.00000000 0.233050003323 Long DBT CORP US N 2 2023-12-01 Fixed 6.75000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61761J3R8 205000.00000000 PA USD 203183.70000000 0.910842363672 Long DBT CORP US N 2 2026-07-27 Fixed 3.12500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M6RR1 4946.65000000 PA USD 5575.23000000 0.024992928424 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 7.00000000 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 060505682 112.00000000 NS USD 147000.00000000 0.658979177266 Long EP CORP US N 1 N N N REGENERON PHARMACEUTICALS, INC. 549300RCBFWIRX3HYQ56 75886FAF4 63000.00000000 PA USD 50475.60000000 0.226274621496 Long DBT CORP US N 2 2050-09-15 Fixed 2.80000000 N N N N N N CANADIAN DOLLAR FUTURE JUN22 N/A N/A -4.00000000 NC USD -8480.08000000 -0.03801493973 N/A DFE CA N 1 CHICAGO MERCANTILE EXCHANGE INC SNZ2OJLFK8MNNCLQOF39 Short Currency Futures CAD/USD Future (Globex) (IMM) Jun 2022 2022-06-14 -311879.92000000 USD -8480.08000000 N N N BAXTER INTERNATIONAL INC. J5OIVXX3P24RJRW5CK77 071813CQ0 141000.00000000 PA USD 128933.22000000 0.577988484611 Long DBT CORP US Y 2 2032-02-01 Fixed 2.53900000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 949746804 95.00000000 NS USD 125875.00000000 0.564278938356 Long EP CORP US N 1 N N N OKLAHOMA GAS AND ELECTRIC COMPANY 549300VJ8YXGPO8EV472 678858BM2 105000.00000000 PA USD 119086.80000000 0.533848445491 Long DBT CORP US N 2 2041-05-15 Fixed 5.25000000 N N N N N N CHURCH & DWIGHT CO., INC. POOXSI30AWAQGYJZC921 17136MAA0 50000.00000000 PA USD 45661.50000000 0.204693725868 Long DBT CORP US N 2 2031-12-15 Fixed 2.30000000 N N N N N N J.P. MORGAN MORTGAGE TRUST N/A 466247HP1 3689.97000000 PA USD 2409.96000000 0.010803492911 Long ABS-MBS CORP US N 2 2034-11-25 Fixed 4.75000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 01F020646 500000.00000000 PA USD 463743.50000000 2.078893265935 Long ABS-MBS USGSE US N 2 2052-04-25 Fixed 2.00000000 N N N N N N BROADCOM INC. 549300WV6GIDOZJTV909 11135FBD2 123000.00000000 PA USD 131156.13000000 0.587953460141 Long DBT CORP US N 2 2030-04-15 Fixed 5.00000000 N N N N N N BOOKING HOLDINGS INC. FXM8FAOHMYDIPD38UZ17 09857LAN8 120000.00000000 PA USD 175278.00000000 0.785745253284 Long DBT CORP US N 2 2025-05-01 Fixed 0.75000000 N N N N N BOOKING HOLDINGS INC. USD XXXX N N GS MORTGAGE SECURITIES TRUST N/A 36252TAR6 57000.00000000 PA USD 56105.85000000 0.251514196413 Long ABS-MBS CORP US N 2 2049-05-10 Fixed 3.05000000 N N N N N N CITIGROUP COMMERCIAL MORTGAGE TRUST N/A 17328RBB4 117000.00000000 PA USD 111770.24000000 0.501049393183 Long ABS-MBS CORP US N 2 2053-01-15 Variable 2.91800000 N N N N N N CSAIL COMMERCIAL MORTGAGE TRUST N/A 12635RAX6 54000.00000000 PA USD 54501.52000000 0.244322223192 Long ABS-MBS CORP US N 2 2048-11-15 Fixed 3.80790000 N N N N N N 2022-05-02 Victory Portfolios Allan Shaer Allan Shaer Treasurer XXXX