# EDGAR Filing Document

**Accession Number:** 0000200489
**File Stem:** 0001752724-25-205196
**Filing Date:** 2025-8
**Character Count:** 488572
**Document Hash:** 472792c90532265f902683dab87d7fac
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-205196.hdr.sgml**: 20250826

**ACCESSION NUMBER**: 0001752724-25-205196

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 4

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250826

**DATE AS OF CHANGE**: 20250826

**PERIOD START**: 20250930

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** MFS SERIES TRUST V
- **CENTRAL INDEX KEY:** 0000200489

**ORGANIZATION NAME:**
- **EIN:** 042468583
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0930

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-02031
- **FILM NUMBER:** 251255743

**BUSINESS ADDRESS:**
- **STREET 1:** 111 HUNTINGTON AVENUE
- **STREET 2:** 21ST FLOOR
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02199
- **BUSINESS PHONE:** 18006372929

**MAIL ADDRESS:**
- **STREET 1:** 111 HUNTINGTON AVENUE
- **STREET 2:** 21ST FLOOR
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02199

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MFS TOTAL RETURN FUND
- **DATE OF NAME CHANGE:** 19930408

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MASSACHUSETTS MFS TOTAL RETURN FUND
- **DATE OF NAME CHANGE:** 19921023

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MASSACHUSETTS FINANCIAL TOTAL RETURN TRUST
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### MFS Total Return Fund (Series ID: S000002439)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000006546 | A            | MSFRX           |
| C000006547 | R4           | MSFJX           |
| C000006551 | B            | MTRBX           |
| C000006552 | C            | MTRCX           |
| C000006553 | I            | MTRIX           |
| C000006555 | R1           | MSFFX           |
| C000006557 | R2           | MTRRX           |
| C000006558 | R3           | MSFHX           |
| C000116934 | R6           | MSFKX           |

## Nport-Ex

MTR-Q3

![](img3ea70b811.gif)

**Quarterly Report**

June 30, 2025

MFS<sup>®</sup> Total Return Fund

![](img5cc3edca2.gif)

------

**Portfolio of Investments**

6/30/25 (unaudited)

The Portfolio of Investments is a complete list of all securities owned by your fund. It is categorized by broad-based asset classes.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Common Stocks – 60.2%  | Common Stocks – 60.2%  | Common Stocks – 60.2%  |
| Aerospace & Defense – 2.5% | Aerospace & Defense – 2.5% |  |
| Boeing Co. (a) | 132596 | &nbsp;&nbsp;&nbsp; $27782840 |
| General Dynamics Corp. | 147037 | &nbsp;&nbsp;&nbsp; 42884811 |
| Honeywell International, Inc. | 213154 | &nbsp;&nbsp;&nbsp; 49639303 |
| L3Harris Technologies, Inc. | 221764 | &nbsp;&nbsp;&nbsp; 55627282 |
| Leidos Holdings, Inc. | 87506 | &nbsp;&nbsp;&nbsp; 13804947 |
|  |  | &nbsp;&nbsp;&nbsp; $189739183 |
| Alcoholic Beverages – 0.7% | Alcoholic Beverages – 0.7% |  |
| Constellation Brands, Inc., "A" | 179644 | &nbsp;&nbsp;&nbsp; $29224486 |
| Diageo PLC | 860985 | &nbsp;&nbsp;&nbsp; 21603872 |
|  |  | &nbsp;&nbsp;&nbsp; $50828358 |
| Apparel Manufacturers – 0.2% | Apparel Manufacturers – 0.2% |  |
| NIKE, Inc., "B" | 199971 | &nbsp;&nbsp;&nbsp; $14205940 |
| Automotive – 2.1% | Automotive – 2.1% |  |
| Aptiv PLC (a) | 963254 | &nbsp;&nbsp;&nbsp; $65713188 |
| Lear Corp. | 563975 | &nbsp;&nbsp;&nbsp; 53566346 |
| LKQ Corp. (l) | 1164248 | &nbsp;&nbsp;&nbsp; 43088818 |
|  |  | &nbsp;&nbsp;&nbsp; $162368352 |
| Broadcasting – 1.4% | Broadcasting – 1.4% |  |
| Interpublic Group of Companies, Inc. | 174831 | &nbsp;&nbsp;&nbsp; $4279863 |
| Omnicom Group, Inc. | 1200033 | &nbsp;&nbsp;&nbsp; 86330374 |
| Warner Bros. Discovery, Inc. (a) | 1795337 | &nbsp;&nbsp;&nbsp; 20574562 |
|  |  | &nbsp;&nbsp;&nbsp; $111184799 |
| Brokerage & Asset Managers – 3.4% | Brokerage & Asset Managers – 3.4% |  |
| Charles Schwab Corp. | 2254855 | &nbsp;&nbsp;&nbsp; $205732970 |
| CME Group, Inc. | 201830 | &nbsp;&nbsp;&nbsp; 55628385 |
|  |  | &nbsp;&nbsp;&nbsp; $261361355 |
| Business Services – 2.5% | Business Services – 2.5% |  |
| Accenture PLC, "A" | 120142 | &nbsp;&nbsp;&nbsp; $35909242 |
| Amdocs Ltd. | 301364 | &nbsp;&nbsp;&nbsp; 27496451 |
| Cognizant Technology Solutions Corp., "A" | 451273 | &nbsp;&nbsp;&nbsp; 35212832 |
| Fidelity National Information Services, Inc. | 477649 | &nbsp;&nbsp;&nbsp; 38885405 |
| Fiserv, Inc. (a) | 306206 | &nbsp;&nbsp;&nbsp; 52792977 |
|  |  | &nbsp;&nbsp;&nbsp; $190296907 |
| Chemicals – 0.7% | Chemicals – 0.7% |  |
| PPG Industries, Inc.  | 504879 | &nbsp;&nbsp;&nbsp; $57429986 |
| Computer Software – 1.8% | Computer Software – 1.8% |  |
| Microsoft Corp.  | 271416 | &nbsp;&nbsp;&nbsp; $135005033 |
| Construction – 1.5% | Construction – 1.5% |  |
| Masco Corp. | 1087954 | &nbsp;&nbsp;&nbsp; $70020719 |
| Mohawk Industries, Inc. (a) | 181423 | &nbsp;&nbsp;&nbsp; 19020387 |
| Stanley Black & Decker, Inc. | 374554 | &nbsp;&nbsp;&nbsp; 25376034 |
|  |  | &nbsp;&nbsp;&nbsp; $114417140 |
| Consumer Products – 1.4% | Consumer Products – 1.4% |  |
| Kenvue, Inc.  | 5159266 | &nbsp;&nbsp;&nbsp; $107983437 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Common Stocks – continued  | Common Stocks – continued  | Common Stocks – continued  |
| Containers – 0.3% | Containers – 0.3% |  |
| Avery Dennison Corp. | 62871 | &nbsp;&nbsp;&nbsp; $11031975 |
| Smurfit Westrock PLC | 368355 | &nbsp;&nbsp;&nbsp; 15894518 |
|  |  | &nbsp;&nbsp;&nbsp; $26926493 |
| Electrical Equipment – 1.5% | Electrical Equipment – 1.5% |  |
| Johnson Controls International PLC  | 1076757 | &nbsp;&nbsp;&nbsp; $113727074 |
| Electronics – 1.4% | Electronics – 1.4% |  |
| Intel Corp. | 1889015 | &nbsp;&nbsp;&nbsp; $42313936 |
| NXP Semiconductors N.V. | 289581 | &nbsp;&nbsp;&nbsp; 63270553 |
|  |  | &nbsp;&nbsp;&nbsp; $105584489 |
| Energy - Independent – 2.4% | Energy - Independent – 2.4% |  |
| ConocoPhillips | 944809 | &nbsp;&nbsp;&nbsp; $84787160 |
| Hess Corp. | 710386 | &nbsp;&nbsp;&nbsp; 98416876 |
|  |  | &nbsp;&nbsp;&nbsp; $183204036 |
| Energy - Integrated – 1.5% | Energy - Integrated – 1.5% |  |
| Exxon Mobil Corp. | 631258 | &nbsp;&nbsp;&nbsp; $68049612 |
| Suncor Energy, Inc. | 1266053 | &nbsp;&nbsp;&nbsp; 47425272 |
|  |  | &nbsp;&nbsp;&nbsp; $115474884 |
| Food & Beverages – 0.2% | Food & Beverages – 0.2% |  |
| Archer Daniels Midland Co.  | 272146 | &nbsp;&nbsp;&nbsp; $14363866 |
| Health Maintenance Organizations – 1.7% | Health Maintenance Organizations – 1.7% |  |
| Cigna Group  | 407267 | &nbsp;&nbsp;&nbsp; $134634325 |
| Insurance – 4.2% | Insurance – 4.2% |  |
| Aon PLC | 300606 | &nbsp;&nbsp;&nbsp; $107244196 |
| Chubb Ltd. | 316746 | &nbsp;&nbsp;&nbsp; 91767651 |
| Principal Financial Group, Inc. | 172292 | &nbsp;&nbsp;&nbsp; 13685154 |
| Travelers Cos., Inc. | 88448 | &nbsp;&nbsp;&nbsp; 23663378 |
| Willis Towers Watson PLC | 273180 | &nbsp;&nbsp;&nbsp; 83729670 |
|  |  | &nbsp;&nbsp;&nbsp; $320090049 |
| Interactive Media Services – 0.2% | Interactive Media Services – 0.2% |  |
| Alphabet, Inc., "A" | 69861 | &nbsp;&nbsp;&nbsp; $12311604 |
| Leisure & Toys – 0.5% | Leisure & Toys – 0.5% |  |
| Electronic Arts, Inc.  | 241161 | &nbsp;&nbsp;&nbsp; $38513412 |
| Machinery & Tools – 1.4% | Machinery & Tools – 1.4% |  |
| AGCO Corp. | 257324 | &nbsp;&nbsp;&nbsp; $26545544 |
| Eaton Corp. PLC | 122103 | &nbsp;&nbsp;&nbsp; 43589550 |
| Regal Rexnord Corp. | 264188 | &nbsp;&nbsp;&nbsp; 38296692 |
|  |  | &nbsp;&nbsp;&nbsp; $108431786 |
| Major Banks – 7.1% | Major Banks – 7.1% |  |
| Bank of America Corp. | 2730162 | &nbsp;&nbsp;&nbsp; $129191266 |
| Goldman Sachs Group, Inc. | 218288 | &nbsp;&nbsp;&nbsp; 154493332 |
| JPMorgan Chase & Co. | 384397 | &nbsp;&nbsp;&nbsp; 111440534 |
| Morgan Stanley | 371312 | &nbsp;&nbsp;&nbsp; 52303009 |
| PNC Financial Services Group, Inc. | 307838 | &nbsp;&nbsp;&nbsp; 57387160 |
| Wells Fargo & Co. | 451994 | &nbsp;&nbsp;&nbsp; 36213759 |
|  |  | &nbsp;&nbsp;&nbsp; $541029060 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Common Stocks – continued  | Common Stocks – continued  | Common Stocks – continued  |
| Medical & Health Technology & Services – 1.1% | Medical & Health Technology & Services – 1.1% |  |
| ICON PLC (a) | 264874 | &nbsp;&nbsp;&nbsp; $38525923 |
| McKesson Corp. | 61893 | &nbsp;&nbsp;&nbsp; 45353953 |
|  |  | &nbsp;&nbsp;&nbsp; $83879876 |
| Medical Equipment – 3.8% | Medical Equipment – 3.8% |  |
| Agilent Technologies, Inc. | 288345 | &nbsp;&nbsp;&nbsp; $34027593 |
| Becton, Dickinson and Co. | 676531 | &nbsp;&nbsp;&nbsp; 116532465 |
| Medtronic PLC | 1607049 | &nbsp;&nbsp;&nbsp; 140086461 |
|  |  | &nbsp;&nbsp;&nbsp; $290646519 |
| Metals & Mining – 0.2% | Metals & Mining – 0.2% |  |
| Glencore PLC  | 3938927 | &nbsp;&nbsp;&nbsp; $15333594 |
| Other Banks & Diversified Financials – 1.5% | Other Banks & Diversified Financials – 1.5% |  |
| Northern Trust Corp.  | 912807 | &nbsp;&nbsp;&nbsp; $115734799 |
| Pharmaceuticals – 3.8% | Pharmaceuticals – 3.8% |  |
| Johnson & Johnson | 811217 | &nbsp;&nbsp;&nbsp; $123913397 |
| Organon & Co. | 492869 | &nbsp;&nbsp;&nbsp; 4770972 |
| Pfizer, Inc. | 5013805 | &nbsp;&nbsp;&nbsp; 121534633 |
| Roche Holding AG | 130292 | &nbsp;&nbsp;&nbsp; 42431726 |
|  |  | &nbsp;&nbsp;&nbsp; $292650728 |
| Railroad & Shipping – 1.0% | Railroad & Shipping – 1.0% |  |
| Union Pacific Corp.  | 328386 | &nbsp;&nbsp;&nbsp; $75555051 |
| Restaurants – 0.3% | Restaurants – 0.3% |  |
| U.S. Foods Holding Corp. (a) | 177171 | &nbsp;&nbsp;&nbsp; $13643939 |
| Wendy's Co. | 733182 | &nbsp;&nbsp;&nbsp; 8372938 |
|  |  | &nbsp;&nbsp;&nbsp; $22016877 |
| Specialty Chemicals – 1.1% | Specialty Chemicals – 1.1% |  |
| Air Products & Chemicals, Inc. | 60624 | &nbsp;&nbsp;&nbsp; $17099606 |
| Axalta Coating Systems Ltd. (a) | 1104425 | &nbsp;&nbsp;&nbsp; 32790378 |
| DuPont de Nemours, Inc. | 535295 | &nbsp;&nbsp;&nbsp; 36715884 |
|  |  | &nbsp;&nbsp;&nbsp; $86605868 |
| Specialty Stores – 0.4% | Specialty Stores – 0.4% |  |
| Target Corp.  | 309103 | &nbsp;&nbsp;&nbsp; $30493011 |
| Telecom Services – 1.6% | Telecom Services – 1.6% |  |
| Comcast Corp., "A" | 3127913 | &nbsp;&nbsp;&nbsp; $111635215 |
| T-Mobile USA, Inc. | 37721 | &nbsp;&nbsp;&nbsp; 8987405 |
|  |  | &nbsp;&nbsp;&nbsp; $120622620 |
| Tobacco – 1.7% | Tobacco – 1.7% |  |
| Altria Group, Inc. | 320571 | &nbsp;&nbsp;&nbsp; $18795078 |
| Philip Morris International, Inc. | 617993 | &nbsp;&nbsp;&nbsp; 112555065 |
|  |  | &nbsp;&nbsp;&nbsp; $131350143 |
| Utilities - Electric Power – 3.1% | Utilities - Electric Power – 3.1% |  |
| Duke Energy Corp. | 513081 | &nbsp;&nbsp;&nbsp; $60543558 |
| Exelon Corp. | 716645 | &nbsp;&nbsp;&nbsp; 31116726 |
| National Grid PLC | 3739750 | &nbsp;&nbsp;&nbsp; 54490700 |
| PG&E Corp. | 4923287 | &nbsp;&nbsp;&nbsp; 68630621 |
| Southern Co. | 240009 | &nbsp;&nbsp;&nbsp; 22040026 |
|  |  | &nbsp;&nbsp;&nbsp; $236821631 |
| **Total Common Stocks**  |  | &nbsp;&nbsp; **$4610822285** |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Bonds – 37.6%  | Bonds – 37.6%  | Bonds – 37.6%  |
| Aerospace & Defense – 0.1% | Aerospace & Defense – 0.1% | Aerospace & Defense – 0.1% |
| BAE Systems PLC, 3.4%, 4/15/2030 (n) | $2846000 | &nbsp;&nbsp;&nbsp; $2715793 |
| Boeing Co., 5.805%, 5/01/2050  | 3057000 | &nbsp;&nbsp;&nbsp; 2931665 |
| Boeing Co., 6.858%, 5/01/2054  | 2680000 | &nbsp;&nbsp;&nbsp; 2933839 |
|  |  | &nbsp;&nbsp;&nbsp; $8581297 |
| Asset-Backed & Securitized – 6.4% | Asset-Backed & Securitized – 6.4% | Asset-Backed & Securitized – 6.4% |
| Affirm, Inc., 5.08%, 4/15/2030 (n) | $1880890 | &nbsp;&nbsp;&nbsp; $1882651 |
| AmeriCredit Automobile Receivables Trust, 2024-1, "A2-A", 5.75%, 2/18/2028  | 2805509 | &nbsp;&nbsp;&nbsp; 2811798 |
| Angel Oak Mortgage Trust, 2024-10, "A1", 5.348%, 10/25/2069 (n) | 9577837 | &nbsp;&nbsp;&nbsp; 9556660 |
| Angel Oak Mortgage Trust, 2024-12, "A1", 5.653%, 10/25/2069 (n) | 8599904 | &nbsp;&nbsp;&nbsp; 8620365 |
| Angel Oak Mortgage Trust, 2024-9, "A1", 5.138%, 9/25/2069 (n) | 5402707 | &nbsp;&nbsp;&nbsp; 5373995 |
| Arbor Realty Trust, Inc., CLO, 2021-FL3, "B", FLR, 6.026% ((SOFR - 1mo. + 0.11448%) + 1.6%), 8/15/2034 (n) | 5818000 | &nbsp;&nbsp;&nbsp; 5794897 |
| Arbor Realty Trust, Inc., CLO, 2022-FL1, "B", FLR, 6.404% (SOFR - 30 day + 2.1%), 1/15/2037 (n) | 16706500 | &nbsp;&nbsp;&nbsp; 16727373 |
| ARDN Mortgage Trust, 2025-ARCP, "A", FLR, 6.05% (SOFR - 1mo. + 1.75%), 6/15/2035 (n) | 14611000 | &nbsp;&nbsp;&nbsp; 14610927 |
| AREIT 2022-CRE6 Trust, "B", FLR, 6.151% (SOFR - 30 day + 1.85%), 1/20/2037 (n) | 10151500 | &nbsp;&nbsp;&nbsp; 10074341 |
| ARI Fleet Lease Trust, 2023-B, "A2", 6.05%, 7/15/2032 (n) | 2279014 | &nbsp;&nbsp;&nbsp; 2297236 |
| Bain Capital Credit CLO Ltd., 2020-4A, "A1R", FLR, 6.019% (SOFR - 3mo. + 1.75%), 10/20/2036 (n) | 11516802 | &nbsp;&nbsp;&nbsp; 11535229 |
| Bain Capital Credit CLO Ltd., 2022-2A, "BR", FLR, 5.942% (SOFR - 3mo. + 1.65%), 4/22/2035 (n)(w) | 8838526 | &nbsp;&nbsp;&nbsp; 8838526 |
| Bayview Financial Revolving Mortgage Loan Trust, FLR, 6.041% ((SOFR - 1mo. + 0.11448%) + 1.6%), 12/28/2040 (n) | 545607 | &nbsp;&nbsp;&nbsp; 1115263 |
| Benchmark 2023-V3 Mortgage Trust, "A3", 6.363%, 7/15/2056  | 1190323 | &nbsp;&nbsp;&nbsp; 1247589 |
| Brazos Securitization LLC, 5.243%, 9/01/2040 (n) | 5403000 | &nbsp;&nbsp;&nbsp; 5379987 |
| BSPRT 2021-FL6 Issuer Ltd., "AS", FLR, 5.726% ((SOFR - 1mo. + 0.11448%) + 1.3%), 3/15/2036 (n) | 16867142 | &nbsp;&nbsp;&nbsp; 16826813 |
| BSPRT 2021-FL7 Issuer Ltd., "B", FLR, 6.476% ((SOFR - 1mo. + 0.11448%) + 2.05%), 12/15/2038 (n) | 2794000 | &nbsp;&nbsp;&nbsp; 2777473 |
| BSPRT 2022-FL8 Issuer Ltd., "B", FLR, 6.354% (SOFR - 30 day + 2.05%), 2/15/2037 (n) | 5979000 | &nbsp;&nbsp;&nbsp; 5955172 |
| Business Jet Securities LLC, 2024-1A, "A", 6.197%, 5/15/2039 (n) | 3226468 | &nbsp;&nbsp;&nbsp; 3295832 |
| BXMT 2021-FL4 Ltd., "AS", FLR, 5.728% ((SOFR - 1mo. + 0.11448%) + 1.3%), 5/15/2038 (n) | 16816500 | &nbsp;&nbsp;&nbsp; 16388291 |
| Carlyle Global Market Strategies CLO Ltd., 2023-1A, "A2R", FLR, 0% (SOFR - 3mo. + 1.6%), 7/20/2037 (n) | 8500000 | &nbsp;&nbsp;&nbsp; 8500000 |
| Colt Funding LLC, 2024-5, "A1", 5.123%, 8/25/2069 (n) | 6164911 | &nbsp;&nbsp;&nbsp; 6141128 |
| Commercial Mortgage Pass-Through Certificates, 2023-BNK46, "A4", 5.745%, 8/15/2056  | 16647021 | &nbsp;&nbsp;&nbsp; 17431519 |
| Consumers 2023 Securitization Funding LLC, 5.55%, 3/01/2028  | 2902502 | &nbsp;&nbsp;&nbsp; 2922825 |
| Dryden Senior Loan Fund, 2013-26A, "AR", CLO, FLR, 5.417% ((SOFR - 3mo. + 0.26161%) + 0.9%), 4/15/2029 (n) | 2575968 | &nbsp;&nbsp;&nbsp; 2576424 |
| Dryden Senior Loan Fund, 2018-55A, "A1", CLO, FLR, 5.538% ((SOFR - 3mo. + 0.26161%) + 1.02%), 4/15/2031 (n) | 4617967 | &nbsp;&nbsp;&nbsp; 4619500 |
| Dwight 2025-FL1 Issuer LLC, "A", FLR, 5.962% (SOFR - 1mo. + 1.662%), 9/18/2042 (n) | 8383500 | &nbsp;&nbsp;&nbsp; 8367781 |
| ELM Trust, 2024-ELM, "B10", 5.995%, 6/10/2039 (n) | 8492449 | &nbsp;&nbsp;&nbsp; 8558622 |
| Empire District Bondco LLC, 4.943%, 1/01/2033  | 4007784 | &nbsp;&nbsp;&nbsp; 4035578 |
| Enterprise Fleet Financing 2024-4 LLC, "A2", 4.69%, 7/20/2027 (n) | 2360000 | &nbsp;&nbsp;&nbsp; 2363154 |
| GLS Auto Select Receivables Trust, 2023-1A, "A2", 6.27%, 8/16/2027 (n) | 1250413 | &nbsp;&nbsp;&nbsp; 1252081 |
| GLS Auto Select Receivables Trust, 2023-2A, 6.37%, 6/15/2028 (n) | 1167114 | &nbsp;&nbsp;&nbsp; 1176025 |
| GLS Auto Select Receivables Trust, 2025-2A, "A2", 4.75%, 3/15/2028 (n) | 2002000 | &nbsp;&nbsp;&nbsp; 2003392 |
| GMAC Mortgage Corp. Loan Trust, FGIC, 5.805%, 10/25/2036  | 125531 | &nbsp;&nbsp;&nbsp; 124530 |
| Greystone Commercial Real Estate Notes, 2025-FL4, "AS", FLR, 6.45% (SOFR - 1mo. + 2.1385%), 1/15/2043 (n) | 2031000 | &nbsp;&nbsp;&nbsp; 2026369 |
| Hyundai Auto Lease Securitization Trust, 2025-B, 4.58%, 9/15/2027 (n) | 4945000 | &nbsp;&nbsp;&nbsp; 4961892 |
| Kubota Credit Owner Trust, 2023-2A, "A2", 5.61%, 7/15/2026 (n) | 374627 | &nbsp;&nbsp;&nbsp; 375020 |
| LoanCore 2021-CRE5 Ltd., "AS", FLR, 6.176% ((SOFR - 1mo. + 0.11448%) + 1.75%), 7/15/2036 (n) | 16915500 | &nbsp;&nbsp;&nbsp; 16909524 |
| Magnetite CLO Ltd., 2017-19A, FLR, 5.729% (SOFR - 3mo. + 1.45%), 4/17/2034 (n) | 3285540 | &nbsp;&nbsp;&nbsp; 3284075 |
| MF1 2020-FL4 Ltd., "A", FLR, 6.128% ((SOFR - 1mo. + 0.11448%) + 1.7%), 12/15/2035 (n) | 785963 | &nbsp;&nbsp;&nbsp; 786618 |
| MF1 2021-FL5 Ltd., "AS", FLR, 5.628% ((SOFR - 1mo. + 0.11448%) + 1.2%), 7/15/2036 (n) | 16626241 | &nbsp;&nbsp;&nbsp; 16586405 |
| MF1 2022-FL8 Ltd., "B", FLR, 6.267% (SOFR - 30 day + 1.95%), 2/19/2037 (n) | 7392231 | &nbsp;&nbsp;&nbsp; 7258019 |
| MF1 2024-FL15 LLC, "AS", FLR, 6.355% (SOFR - 1mo. + 2.04%), 8/18/2041 (n) | 8571000 | &nbsp;&nbsp;&nbsp; 8600462 |
| MF1 2024-FL16 LLC, "A", FLR, 5.855% (SOFR - 1mo. + 1.541%), 11/18/2039 (n) | 17590246 | &nbsp;&nbsp;&nbsp; 17623259 |
| MF1 2025-FL19 LLC, "A", FLR, 5.886% (SOFR - 1mo. + 1.572%), 2/18/2040 (n) | 15153744 | &nbsp;&nbsp;&nbsp; 15043334 |
| MF1 2025-FL19 LLC, "A", FLR, 5.802% (SOFR - 1mo. + 1.4881%), 5/18/2042 (n) | 7619439 | &nbsp;&nbsp;&nbsp; 7628952 |
| Morgan Stanley Bank of America Merrill Lynch Trust, 2017-C34, "A4", 3.536%, 11/15/2052  | 4195516 | &nbsp;&nbsp;&nbsp; 4097797 |
| MSWF Commercial Mortgage Trust, 2023-2, "A5", 6.014%, 12/15/2056  | 7477126 | &nbsp;&nbsp;&nbsp; 8007545 |
| Neuberger Berman CLO Ltd., 2013-15A, "BR2", FLR, 5.868% ((SOFR - 3mo. + 0.26161%) + 1.35%), 10/15/2029 (n) | 5618950 | &nbsp;&nbsp;&nbsp; 5620950 |
| Neuberger Berman CLO Ltd., 2015-20A, "A1R3", FLR, 5.468% (SOFR - 3mo. + 1.15%), 4/15/2039 (n) | 5725000 | &nbsp;&nbsp;&nbsp; 5732923 |
| Nissan Master Owner Trust, 2024-A, "A", FLR, 4.973% (SOFR - 1mo. + 0.67%), 2/15/2028 (n) | 5130663 | &nbsp;&nbsp;&nbsp; 5134540 |
| OBX Trust, 2024-NQM15, "A1", 5.316%, 10/25/2064 (n) | 3661505 | &nbsp;&nbsp;&nbsp; 3654670 |
| OBX Trust, 2025-NQM1, "A1", 5.547%, 12/25/2064 (n) | 4601680 | &nbsp;&nbsp;&nbsp; 4617873 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Bonds – continued  | Bonds – continued  | Bonds – continued  |
| Asset-Backed & Securitized – continued | Asset-Backed & Securitized – continued | Asset-Backed & Securitized – continued |
| Palmer Square Loan Funding 2024-3A Ltd., "A-2", FLR, 5.957% (SOFR - 3mo. + 1.65%), 8/08/2032 (n) | $16148818 | &nbsp;&nbsp;&nbsp; $16157328 |
| Parallel Ltd., 2023-1A, "A2R", FLR, 6.096% (SOFR - 3mo. + 1.8%), 7/20/2036 (n) | 6858996 | &nbsp;&nbsp;&nbsp; 6858996 |
| PFP III Ltd., 2025-12, "AS", 6.063%, 12/18/2042 (n) | 12850500 | &nbsp;&nbsp;&nbsp; 12823848 |
| PRM Trust, 2025-PRM6, "A", 4.48%, 7/05/2033 (n) | 4808434 | &nbsp;&nbsp;&nbsp; 4767068 |
| Provident Funding Mortgage Trust, 2025-2, "A4", 5.5%, 6/25/2055 (n) | 13695654 | &nbsp;&nbsp;&nbsp; 13710744 |
| ReadyCap Commercial Mortgage Trust, 2021-FL7, "B", FLR, 6.234% ((SOFR - 1mo. + 0.11448%) + 1.8%), 11/25/2036 (n) | 3695000 | &nbsp;&nbsp;&nbsp; 3675203 |
| Residential Funding Mortgage Securities, Inc., FGIC, 3.985%, 12/25/2035 (d)(q) | 140906 | &nbsp;&nbsp;&nbsp; 2215 |
| Rockford Tower CLO 2020-1A, Ltd., "A2R", FLR, 5.569% (SOFR - 3mo. + 1.3%), 1/20/2036 (n) | 18536627 | &nbsp;&nbsp;&nbsp; 18393098 |
| Santander Drive Auto Receivables Trust, 2025-1, "A2", 4.76%, 8/16/2027  | 8696553 | &nbsp;&nbsp;&nbsp; 8699401 |
| SBNA Auto Lease Trust, 2024-C, "A2", 4.94%, 11/20/2026 (n) | 424523 | &nbsp;&nbsp;&nbsp; 424883 |
| Starwood Commercial Mortgage, 2022-FL3, "AS", FLR, 6.103% (SOFR - 30 day + 1.8%), 11/15/2038 (n) | 17154000 | &nbsp;&nbsp;&nbsp; 17031275 |
| Stellantis Finance US, Inc., 4.63%, 7/20/2027 (n) | 6112176 | &nbsp;&nbsp;&nbsp; 6126869 |
| TPG Real Estate Finance, 2021-FL4, "A", FLR, 5.628% ((SOFR - 1mo. + 0.11448%) + 1.2%), 3/15/2038 (n) | 7028028 | &nbsp;&nbsp;&nbsp; 7003128 |
| Verus Securitization Trust, 2024-8, "A1", 5.364%, 10/25/2069 (n) | 2157203 | &nbsp;&nbsp;&nbsp; 2155907 |
| Virginia Power Fuel Securitization LLC, 5.088%, 5/01/2027  | 3182079 | &nbsp;&nbsp;&nbsp; 3199292 |
| Voya CLO 2012-4A Ltd., "A2R3", FLR, 5.968% ((SOFR - 3mo. + 0.26161%) + 1.45%), 10/15/2030 (n) | 6439259 | &nbsp;&nbsp;&nbsp; 6442298 |
|  |  | &nbsp;&nbsp;&nbsp; $486604757 |
| Automotive – 0.2% | Automotive – 0.2% | Automotive – 0.2% |
| Magna International, Inc., 2.45%, 6/15/2030  | $5772000 | &nbsp;&nbsp;&nbsp; $5221848 |
| Stellantis Finance US, Inc., 2.691%, 9/15/2031 (n) | 9598000 | &nbsp;&nbsp;&nbsp; 8111390 |
|  |  | &nbsp;&nbsp;&nbsp; $13333238 |
| Broadcasting – 0.1% | Broadcasting – 0.1% | Broadcasting – 0.1% |
| Walt Disney Co., 3.5%, 5/13/2040  | $7354000 | &nbsp;&nbsp;&nbsp; $6036497 |
| Brokerage & Asset Managers – 0.4% | Brokerage & Asset Managers – 0.4% | Brokerage & Asset Managers – 0.4% |
| Charles Schwab Corp., 5.853% to 5/19/2033, FLR (SOFR - 1 day + 2.5%) to 5/19/2034  | $12330000 | &nbsp;&nbsp;&nbsp; $13098298 |
| Intercontinental Exchange, Inc., 2.1%, 6/15/2030  | 6569000 | &nbsp;&nbsp;&nbsp; 5884642 |
| LPL Holdings, Inc., 6.75%, 11/17/2028  | 1203000 | &nbsp;&nbsp;&nbsp; 1283002 |
| LPL Holdings, Inc., 4.375%, 5/15/2031 (n) | 13709000 | &nbsp;&nbsp;&nbsp; 13116543 |
|  |  | &nbsp;&nbsp;&nbsp; $33382485 |
| Building – 0.2% | Building – 0.2% | Building – 0.2% |
| Martin Marietta Materials, Inc., 2.5%, 3/15/2030  | $586000 | &nbsp;&nbsp;&nbsp; $537711 |
| Masco Corp., 2%, 2/15/2031  | 12460000 | &nbsp;&nbsp;&nbsp; 10716597 |
| Vulcan Materials Co., 3.5%, 6/01/2030  | 1176000 | &nbsp;&nbsp;&nbsp; 1125071 |
|  |  | &nbsp;&nbsp;&nbsp; $12379379 |
| Business Services – 0.4% | Business Services – 0.4% | Business Services – 0.4% |
| Equinix, Inc., 1.8%, 7/15/2027  | $4515000 | &nbsp;&nbsp;&nbsp; $4303884 |
| Equinix, Inc., 2.5%, 5/15/2031  | 6102000 | &nbsp;&nbsp;&nbsp; 5406259 |
| Experian Finance PLC, 4.25%, 2/01/2029 (n) | 3787000 | &nbsp;&nbsp;&nbsp; 3777578 |
| Fiserv, Inc., 2.65%, 6/01/2030  | 2308000 | &nbsp;&nbsp;&nbsp; 2115272 |
| Global Payments, Inc., 1.2%, 3/01/2026  | 6442000 | &nbsp;&nbsp;&nbsp; 6290669 |
| Global Payments, Inc., 2.9%, 11/15/2031  | 3763000 | &nbsp;&nbsp;&nbsp; 3328278 |
| Verisk Analytics, Inc., 4.125%, 3/15/2029  | 2596000 | &nbsp;&nbsp;&nbsp; 2578547 |
| Verisk Analytics, Inc., 5.75%, 4/01/2033  | 4780000 | &nbsp;&nbsp;&nbsp; 5026565 |
|  |  | &nbsp;&nbsp;&nbsp; $32827052 |
| Cable TV – 0.3% | Cable TV – 0.3% | Cable TV – 0.3% |
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 6.384%, 10/23/2035  | $3223000 | &nbsp;&nbsp;&nbsp; $3385144 |
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 3.5%, 6/01/2041  | 6422000 | &nbsp;&nbsp;&nbsp; 4659120 |
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 5.375%, 5/01/2047  | 1311000 | &nbsp;&nbsp;&nbsp; 1137831 |
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 5.25%, 4/01/2053  | 5404000 | &nbsp;&nbsp;&nbsp; 4591196 |
| Time Warner Entertainment Co. LP, 8.375%, 7/15/2033  | 6188000 | &nbsp;&nbsp;&nbsp; 7205830 |
|  |  | &nbsp;&nbsp;&nbsp; $20979121 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Bonds – continued  | Bonds – continued  | Bonds – continued  |
| Chemicals – 0.1% | Chemicals – 0.1% | Chemicals – 0.1% |
| RPM International, Inc., 2.95%, 1/15/2032  | $4405000 | &nbsp;&nbsp;&nbsp; $3884240 |
| Computer Software – 0.1% | Computer Software – 0.1% | Computer Software – 0.1% |
| Oracle Corp., 4.9%, 2/06/2033  | $2441000 | &nbsp;&nbsp;&nbsp; $2447532 |
| Roper Technologies, Inc., 2%, 6/30/2030  | 3961000 | &nbsp;&nbsp;&nbsp; 3519845 |
|  |  | &nbsp;&nbsp;&nbsp; $5967377 |
| Conglomerates – 0.1% | Conglomerates – 0.1% | Conglomerates – 0.1% |
| Westinghouse Air Brake Technologies Corp., 4.7%, 9/15/2028  | $6348000 | &nbsp;&nbsp;&nbsp; $6384404 |
| Consumer Products – 0.0% | Consumer Products – 0.0% | Consumer Products – 0.0% |
| Kenvue, Inc., 4.9%, 3/22/2033  | $3446000 | &nbsp;&nbsp;&nbsp; $3496976 |
| Consumer Services – 0.1% | Consumer Services – 0.1% | Consumer Services – 0.1% |
| Booking Holdings, Inc., 4.625%, 4/13/2030  | $4337000 | &nbsp;&nbsp;&nbsp; $4386834 |
| Electrical Equipment – 0.1% | Electrical Equipment – 0.1% | Electrical Equipment – 0.1% |
| Arrow Electronics, Inc., 2.95%, 2/15/2032  | $9040000 | &nbsp;&nbsp;&nbsp; $7935804 |
| Electronics – 0.1% | Electronics – 0.1% | Electronics – 0.1% |
| Broadcom, Inc., 4.3%, 11/15/2032  | $4049000 | &nbsp;&nbsp;&nbsp; $3927510 |
| Broadcom, Inc., 4.926%, 5/15/2037 (n) | 2099000 | &nbsp;&nbsp;&nbsp; 2037130 |
|  |  | &nbsp;&nbsp;&nbsp; $5964640 |
| Energy - Independent – 0.2% | Energy - Independent – 0.2% | Energy - Independent – 0.2% |
| Diamondback Energy, Inc., 5.4%, 4/18/2034  | $4479000 | &nbsp;&nbsp;&nbsp; $4492254 |
| EQT Corp., 5.75%, 2/01/2034  | 9954000 | &nbsp;&nbsp;&nbsp; 10292112 |
|  |  | &nbsp;&nbsp;&nbsp; $14784366 |
| Energy - Integrated – 0.3% | Energy - Integrated – 0.3% | Energy - Integrated – 0.3% |
| BP Capital Markets America, Inc., 2.721%, 1/12/2032  | $12923000 | &nbsp;&nbsp;&nbsp; $11553933 |
| Eni S.p.A., 4.75%, 9/12/2028 (n) | 11589000 | &nbsp;&nbsp;&nbsp; 11714447 |
|  |  | &nbsp;&nbsp;&nbsp; $23268380 |
| Financial Institutions – 0.4% | Financial Institutions – 0.4% | Financial Institutions – 0.4% |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 2.45%, 10/29/2026  | $12829000 | &nbsp;&nbsp;&nbsp; $12498993 |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.65%, 7/21/2027  | 7298000 | &nbsp;&nbsp;&nbsp; 7187268 |
| Avolon Holdings Funding Ltd., 4.375%, 5/01/2026 (n) | 2248000 | &nbsp;&nbsp;&nbsp; 2234450 |
| Avolon Holdings Funding Ltd., 3.25%, 2/15/2027 (n) | 6701000 | &nbsp;&nbsp;&nbsp; 6531911 |
| Avolon Holdings Funding Ltd., 2.528%, 11/18/2027 (n) | 5539000 | &nbsp;&nbsp;&nbsp; 5265290 |
|  |  | &nbsp;&nbsp;&nbsp; $33717912 |
| Food & Beverages – 0.4% | Food & Beverages – 0.4% | Food & Beverages – 0.4% |
| Anheuser-Busch InBev Worldwide, Inc., 4.375%, 4/15/2038  | $2264000 | &nbsp;&nbsp;&nbsp; $2112469 |
| Anheuser-Busch InBev Worldwide, Inc., 8%, 11/15/2039  | 9025000 | &nbsp;&nbsp;&nbsp; 11421035 |
| Diageo Capital PLC, 2.375%, 10/24/2029  | 7901000 | &nbsp;&nbsp;&nbsp; 7333121 |
| Keurig Dr Pepper, Inc., 3.2%, 5/01/2030  | 930000 | &nbsp;&nbsp;&nbsp; 876841 |
| Mars, Inc., 5.2%, 3/01/2035 (n) | 7424000 | &nbsp;&nbsp;&nbsp; 7512933 |
|  |  | &nbsp;&nbsp;&nbsp; $29256399 |
| Gaming & Lodging – 0.2% | Gaming & Lodging – 0.2% | Gaming & Lodging – 0.2% |
| GLP Capital LP/GLP Financing II, Inc., 5.3%, 1/15/2029  | $4735000 | &nbsp;&nbsp;&nbsp; $4787502 |
| Las Vegas Sands Corp., 3.9%, 8/08/2029  | 2476000 | &nbsp;&nbsp;&nbsp; 2357435 |
| Marriott International, Inc., 4.625%, 6/15/2030  | 6341000 | &nbsp;&nbsp;&nbsp; 6356012 |
| Marriott International, Inc., 2.85%, 4/15/2031  | 23000 | &nbsp;&nbsp;&nbsp; 20884 |
| Marriott International, Inc., 2.75%, 10/15/2033  | 4957000 | &nbsp;&nbsp;&nbsp; 4219729 |
|  |  | &nbsp;&nbsp;&nbsp; $17741562 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Bonds – continued  | Bonds – continued  | Bonds – continued  |
| Insurance – 0.6% | Insurance – 0.6% | Insurance – 0.6% |
| AIA Group Ltd., 3.375%, 4/07/2030 (n) | $7948000 | &nbsp;&nbsp;&nbsp; $7620641 |
| Corebridge Financial, Inc., 3.9%, 4/05/2032  | 10497000 | &nbsp;&nbsp;&nbsp; 9852597 |
| Corebridge Financial, Inc., 5.75%, 1/15/2034  | 4199000 | &nbsp;&nbsp;&nbsp; 4362423 |
| Metropolitan Life Global Funding I, 3.3%, 3/21/2029 (n) | 14375000 | &nbsp;&nbsp;&nbsp; 13860094 |
| Sammons Financial Group, Inc., 6.875%, 4/15/2034 (n) | 10957000 | &nbsp;&nbsp;&nbsp; 11731461 |
|  |  | &nbsp;&nbsp;&nbsp; $47427216 |
| Insurance - Health – 0.1% | Insurance - Health – 0.1% | Insurance - Health – 0.1% |
| Humana, Inc., 5.875%, 3/01/2033  | $4147000 | &nbsp;&nbsp;&nbsp; $4285659 |
| UnitedHealth Group, Inc., 5%, 4/15/2034  | 7182000 | &nbsp;&nbsp;&nbsp; 7179242 |
|  |  | &nbsp;&nbsp;&nbsp; $11464901 |
| Insurance - Property & Casualty – 0.4% | Insurance - Property & Casualty – 0.4% | Insurance - Property & Casualty – 0.4% |
| Aon Corp., 4.5%, 12/15/2028  | $6567000 | &nbsp;&nbsp;&nbsp; $6598811 |
| Brown & Brown, Inc., 4.2%, 3/17/2032  | 6620000 | &nbsp;&nbsp;&nbsp; 6333977 |
| Brown & Brown, Inc., 5.55%, 6/23/2035  | 1787000 | &nbsp;&nbsp;&nbsp; 1822270 |
| Fairfax Financial Holdings Ltd., 5.625%, 8/16/2032  | 13592000 | &nbsp;&nbsp;&nbsp; 13959224 |
| Fairfax Financial Holdings Ltd., 6%, 12/07/2033  | 337000 | &nbsp;&nbsp;&nbsp; 351489 |
| Liberty Mutual Group, Inc., 3.951%, 10/15/2050 (n) | 2889000 | &nbsp;&nbsp;&nbsp; 2112224 |
|  |  | &nbsp;&nbsp;&nbsp; $31177995 |
| International Market Quasi-Sovereign – 0.0% | International Market Quasi-Sovereign – 0.0% | International Market Quasi-Sovereign – 0.0% |
| Electricite de France S.A., 6.9%, 5/23/2053 (n)  | $2221000 | &nbsp;&nbsp;&nbsp; $2370012 |
| Machinery & Tools – 0.2% | Machinery & Tools – 0.2% | Machinery & Tools – 0.2% |
| Ashtead Capital, Inc., 5.5%, 8/11/2032 (n) | $13340000 | &nbsp;&nbsp;&nbsp; $13509838 |
| CNH Industrial Capital LLC, 1.875%, 1/15/2026  | 1459000 | &nbsp;&nbsp;&nbsp; 1437135 |
|  |  | &nbsp;&nbsp;&nbsp; $14946973 |
| Major Banks – 2.4% | Major Banks – 2.4% | Major Banks – 2.4% |
| Bank of America Corp., 2.572% to 10/20/2031, FLR (SOFR - 1 day + 1.21%) to 10/20/2032  | $11068000 | &nbsp;&nbsp;&nbsp; $9754904 |
| Barclays PLC, 2.894% to 11/24/2031, FLR (CMT - 1yr. + 1.3%) to 11/24/2032  | 3413000 | &nbsp;&nbsp;&nbsp; 3020626 |
| Barclays PLC, 7.437% to 11/02/2032, FLR (CMT - 1yr. + 3.5%) to 11/02/2033  | 8955000 | &nbsp;&nbsp;&nbsp; 10163476 |
| Capital One Financial Corp., 3.273% to 3/01/2029, FLR (SOFR - 1 day + 1.79%) to 3/01/2030  | 15546000 | &nbsp;&nbsp;&nbsp; 14869885 |
| Deutsche Bank AG, 7.146% to 7/13/2026, FLR (SOFR - 1 day + 2.52%) to 7/13/2027  | 2814000 | &nbsp;&nbsp;&nbsp; 2885098 |
| Deutsche Bank AG, 2.311% to 11/16/2026, FLR (SOFR - 1 day + 1.219%) to 11/16/2027  | 2716000 | &nbsp;&nbsp;&nbsp; 2635260 |
| Deutsche Bank AG, 6.72% to 1/18/2028, FLR (SOFR - 1 day + 3.18%) to 1/18/2029  | 7588000 | &nbsp;&nbsp;&nbsp; 7970986 |
| Goldman Sachs Group, Inc., 2.6%, 2/07/2030  | 10264000 | &nbsp;&nbsp;&nbsp; 9485730 |
| Goldman Sachs Group, Inc., 2.383% to 7/21/2031, FLR (SOFR - 1 day + 1.248%) to 7/21/2032  | 8505000 | &nbsp;&nbsp;&nbsp; 7427806 |
| HSBC Holdings PLC, 4.7% to 9/09/2031, FLR (CMT - 1yr. + 3.25%) to 9/09/2169  | 2870000 | &nbsp;&nbsp;&nbsp; 2601509 |
| HSBC Holdings PLC, 4% to 9/09/2026, FLR (CMT - 1yr. + 3.222%) to 9/09/2170  | 1215000 | &nbsp;&nbsp;&nbsp; 1194459 |
| JPMorgan Chase & Co., 2.956% to 5/13/2030, FLR (SOFR - 1 day + 2.515%) to 5/13/2031  | 1458000 | &nbsp;&nbsp;&nbsp; 1348213 |
| JPMorgan Chase & Co., 2.545% to 11/08/2031, FLR (SOFR - 1 day + 1.18%) to 11/08/2032  | 14206000 | &nbsp;&nbsp;&nbsp; 12506167 |
| JPMorgan Chase & Co., 2.963% to 1/25/2032, FLR (SOFR - 1 day + 1.26%) to 1/25/2033  | 5510000 | &nbsp;&nbsp;&nbsp; 4952558 |
| JPMorgan Chase & Co., 5.766%, 4/22/2035  | 4397000 | &nbsp;&nbsp;&nbsp; 4619439 |
| JPMorgan Chase & Co., 3.109% to 4/22/2040, FLR (SOFR - 1 day + 2.46%) to 4/22/2041  | 7432000 | &nbsp;&nbsp;&nbsp; 5696177 |
| JPMorgan Chase & Co., 3.897% to 1/23/2048, FLR ((SOFR - 3mo. + 0.26161%) + 1.22%) to 1/23/2049  | 2687000 | &nbsp;&nbsp;&nbsp; 2121902 |
| Mitsubishi UFJ Financial Group, Inc., 2.852% to 1/19/2032, FLR (CMT - 1yr. + 1.1%) to 1/19/2033  | 8693000 | &nbsp;&nbsp;&nbsp; 7700821 |
| Mitsubishi UFJ Financial Group, Inc., 5.615%, 4/24/2036  | 11148000 | &nbsp;&nbsp;&nbsp; 11463648 |
| Morgan Stanley, 2.699% to 1/22/2030, FLR (SOFR - 1 day + 1.143%) to 1/22/2031  | 18260000 | &nbsp;&nbsp;&nbsp; 16837846 |
| Morgan Stanley, 2.943% to 1/21/2032, FLR (SOFR - 1 day + 1.29%) to 1/21/2033  | 9699000 | &nbsp;&nbsp;&nbsp; 8656301 |
| Sumitomo Mitsui Financial Group, Inc., 2.472%, 1/14/2029  | 16151000 | &nbsp;&nbsp;&nbsp; 15163981 |
| UBS Group AG, 2.095% to 2/11/2031, FLR (CMT - 1yr. + 1.0%) to 2/11/2032 (n) | 19698000 | &nbsp;&nbsp;&nbsp; 17038297 |
|  |  | &nbsp;&nbsp;&nbsp; $180115089 |
| Medical & Health Technology & Services – 0.4% | Medical & Health Technology & Services – 0.4% | Medical & Health Technology & Services – 0.4% |
| Adventist Health System/West, 5.43%, 3/01/2032  | $8829000 | &nbsp;&nbsp;&nbsp; $8867326 |
| Alcon Finance Corp., 2.6%, 5/27/2030 (n) | 944000 | &nbsp;&nbsp;&nbsp; 863001 |
| Becton, Dickinson and Co., 4.669%, 6/06/2047  | 5087000 | &nbsp;&nbsp;&nbsp; 4362516 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Bonds – continued  | Bonds – continued  | Bonds – continued  |
| Medical & Health Technology & Services – continued | Medical & Health Technology & Services – continued | Medical & Health Technology & Services – continued |
| Cigna Corp., 3.2%, 3/15/2040  | $1517000 | &nbsp;&nbsp;&nbsp; $1161622 |
| CVS Health Corp., 5.3%, 6/01/2033  | 8585000 | &nbsp;&nbsp;&nbsp; 8657754 |
| HCA, Inc., 5.125%, 6/15/2039  | 5387000 | &nbsp;&nbsp;&nbsp; 5066362 |
| Northwell Healthcare, Inc., 3.979%, 11/01/2046  | 490000 | &nbsp;&nbsp;&nbsp; 376686 |
| Northwell Healthcare, Inc., 4.26%, 11/01/2047  | 3585000 | &nbsp;&nbsp;&nbsp; 2849827 |
|  |  | &nbsp;&nbsp;&nbsp; $32205094 |
| Medical Equipment – 0.1% | Medical Equipment – 0.1% | Medical Equipment – 0.1% |
| Boston Scientific Corp., 2.65%, 6/01/2030  | $4819000 | &nbsp;&nbsp;&nbsp; $4461294 |
| Metals & Mining – 0.3% | Metals & Mining – 0.3% | Metals & Mining – 0.3% |
| Anglo American Capital PLC, 3.875%, 3/16/2029 (n) | $1639000 | &nbsp;&nbsp;&nbsp; $1600797 |
| Anglo American Capital PLC, 5.625%, 4/01/2030 (n) | 4021000 | &nbsp;&nbsp;&nbsp; 4171280 |
| Anglo American Capital PLC, 2.625%, 9/10/2030 (n) | 14011000 | &nbsp;&nbsp;&nbsp; 12667052 |
| Glencore Funding LLC, 2.5%, 9/01/2030 (n) | 5139000 | &nbsp;&nbsp;&nbsp; 4630426 |
| Glencore Funding LLC, 2.85%, 4/27/2031 (n) | 2163000 | &nbsp;&nbsp;&nbsp; 1950141 |
|  |  | &nbsp;&nbsp;&nbsp; $25019696 |
| Midstream – 0.3% | Midstream – 0.3% | Midstream – 0.3% |
| Enbridge, Inc., 5.625%, 4/05/2034  | $6670000 | &nbsp;&nbsp;&nbsp; $6852859 |
| Plains All American Pipeline LP, 3.8%, 9/15/2030  | 5752000 | &nbsp;&nbsp;&nbsp; 5497319 |
| Sabine Pass Liquefaction LLC, 4.5%, 5/15/2030  | 1572000 | &nbsp;&nbsp;&nbsp; 1569370 |
| Spectra Energy Partners LP, 3.375%, 10/15/2026  | 2527000 | &nbsp;&nbsp;&nbsp; 2491585 |
| Targa Resources Corp., 4.2%, 2/01/2033  | 2332000 | &nbsp;&nbsp;&nbsp; 2185085 |
| Targa Resources Corp., 6.125%, 3/15/2033  | 7339000 | &nbsp;&nbsp;&nbsp; 7734601 |
|  |  | &nbsp;&nbsp;&nbsp; $26330819 |
| Mortgage-Backed – 9.7% | Mortgage-Backed – 9.7% |  |
| Fannie Mae, 5%, 3/01/2026 - 3/01/2042  | $3241798 | &nbsp;&nbsp;&nbsp; $3275933 |
| Fannie Mae, 4.54%, 7/01/2026  | 813623 | &nbsp;&nbsp;&nbsp; 814755 |
| Fannie Mae, 3.95%, 1/01/2027  | 786885 | &nbsp;&nbsp;&nbsp; 784365 |
| Fannie Mae, 3%, 11/01/2028 - 9/01/2046  | 3000562 | &nbsp;&nbsp;&nbsp; 2830049 |
| Fannie Mae, 6.5%, 6/01/2031 - 7/01/2037  | 925205 | &nbsp;&nbsp;&nbsp; 962796 |
| Fannie Mae, 2.5%, 11/01/2031  | 100286 | &nbsp;&nbsp;&nbsp; 96383 |
| Fannie Mae, 5.5%, 2/01/2033 - 12/01/2038  | 4064443 | &nbsp;&nbsp;&nbsp; 4143454 |
| Fannie Mae, 3%, 2/25/2033 (i) | 480698 | &nbsp;&nbsp;&nbsp; 33542 |
| Fannie Mae, 4.5%, 8/01/2033 - 6/01/2044  | 8513099 | &nbsp;&nbsp;&nbsp; 8468227 |
| Fannie Mae, 6%, 1/01/2034 - 7/01/2037  | 2499991 | &nbsp;&nbsp;&nbsp; 2581039 |
| Fannie Mae, 3.5%, 4/01/2038 - 7/01/2046  | 23807439 | &nbsp;&nbsp;&nbsp; 22219071 |
| Fannie Mae, 3.25%, 5/25/2040  | 158032 | &nbsp;&nbsp;&nbsp; 150742 |
| Fannie Mae, 4%, 9/01/2040 - 6/01/2047  | 19406619 | &nbsp;&nbsp;&nbsp; 18695795 |
| Fannie Mae, 5.306%, 2/25/2045 (n) | 2711751 | &nbsp;&nbsp;&nbsp; 2713437 |
| Fannie Mae, 2%, 4/25/2046  | 343329 | &nbsp;&nbsp;&nbsp; 318970 |
| Fannie Mae, 4%, 7/25/2046 (i) | 628180 | &nbsp;&nbsp;&nbsp; 116387 |
| Fannie Mae, UMBS, 2%, 11/01/2036 - 2/01/2052  | 37680916 | &nbsp;&nbsp;&nbsp; 31158917 |
| Fannie Mae, UMBS, 3%, 2/01/2037 - 7/01/2052  | 42666071 | &nbsp;&nbsp;&nbsp; 37285053 |
| Fannie Mae, UMBS, 2.5%, 7/01/2037 - 8/01/2052  | 100219180 | &nbsp;&nbsp;&nbsp; 84267702 |
| Fannie Mae, UMBS, 5%, 10/01/2037 - 7/01/2053  | 10583276 | &nbsp;&nbsp;&nbsp; 10414764 |
| Fannie Mae, UMBS, 1.5%, 2/01/2042 - 4/01/2052  | 14387144 | &nbsp;&nbsp;&nbsp; 10858359 |
| Fannie Mae, UMBS, 3.5%, 5/01/2052 - 6/01/2053  | 5886793 | &nbsp;&nbsp;&nbsp; 5305102 |
| Fannie Mae, UMBS, 4.5%, 8/01/2052 - 3/01/2053  | 4297125 | &nbsp;&nbsp;&nbsp; 4126925 |
| Fannie Mae, UMBS, 6%, 11/01/2052 - 9/01/2054  | 10731345 | &nbsp;&nbsp;&nbsp; 10933179 |
| Fannie Mae, UMBS, 5.5%, 3/01/2053 - 10/01/2053  | 8683718 | &nbsp;&nbsp;&nbsp; 8692027 |
| Freddie Mac, 3.5%, 12/01/2025 - 10/25/2058  | 11269254 | &nbsp;&nbsp;&nbsp; 10579506 |
| Freddie Mac, 0.775%, 6/25/2027 (i) | 39273000 | &nbsp;&nbsp;&nbsp; 524094 |
| Freddie Mac, 0.866%, 6/25/2027 (i) | 11752312 | &nbsp;&nbsp;&nbsp; 132326 |
| Freddie Mac, 0.696%, 7/25/2027 (i) | 32061140 | &nbsp;&nbsp;&nbsp; 306136 |
| Freddie Mac, 0.457%, 8/25/2027 (i) | 27934000 | &nbsp;&nbsp;&nbsp; 202815 |
| Freddie Mac, 0.539%, 8/25/2027 (i) | 16657503 | &nbsp;&nbsp;&nbsp; 127422 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Bonds – continued  | Bonds – continued  | Bonds – continued  |
| Mortgage-Backed – continued | Mortgage-Backed – continued |  |
| Freddie Mac, 0.406%, 9/25/2027 (i) | $30183000 | &nbsp;&nbsp;&nbsp; $211483 |
| Freddie Mac, 0.324%, 11/25/2027 (i) | 47333000 | &nbsp;&nbsp;&nbsp; 221055 |
| Freddie Mac, 0.407%, 11/25/2027 (i) | 32171981 | &nbsp;&nbsp;&nbsp; 173899 |
| Freddie Mac, 0.449%, 11/25/2027 (i) | 28545670 | &nbsp;&nbsp;&nbsp; 193032 |
| Freddie Mac, 0.378%, 12/25/2027 (i) | 29308000 | &nbsp;&nbsp;&nbsp; 187187 |
| Freddie Mac, 0.417%, 12/25/2027 (i) | 32765000 | &nbsp;&nbsp;&nbsp; 246255 |
| Freddie Mac, 0.487%, 12/25/2027 (i) | 48945540 | &nbsp;&nbsp;&nbsp; 384790 |
| Freddie Mac, 1.214%, 7/25/2029 (i) | 835282 | &nbsp;&nbsp;&nbsp; 31036 |
| Freddie Mac, 1.261%, 8/25/2029 - 9/25/2030 (i) | 15308321 | &nbsp;&nbsp;&nbsp; 638912 |
| Freddie Mac, 1.913%, 4/25/2030 (i) | 2500000 | &nbsp;&nbsp;&nbsp; 186827 |
| Freddie Mac, 1.954%, 4/25/2030 (i) | 7819828 | &nbsp;&nbsp;&nbsp; 597481 |
| Freddie Mac, 1.769%, 5/25/2030 (i) | 4048749 | &nbsp;&nbsp;&nbsp; 290450 |
| Freddie Mac, 1.907%, 5/25/2030 (i) | 8995049 | &nbsp;&nbsp;&nbsp; 691169 |
| Freddie Mac, 1.435%, 6/25/2030 (i) | 3687431 | &nbsp;&nbsp;&nbsp; 215377 |
| Freddie Mac, 1.701%, 8/25/2030 (i) | 3331192 | &nbsp;&nbsp;&nbsp; 238174 |
| Freddie Mac, 1.17%, 11/25/2030 (i) | 4320889 | &nbsp;&nbsp;&nbsp; 218842 |
| Freddie Mac, 0.413%, 1/25/2031 (i) | 16982882 | &nbsp;&nbsp;&nbsp; 236833 |
| Freddie Mac, 0.871%, 1/25/2031 (i) | 6541106 | &nbsp;&nbsp;&nbsp; 249454 |
| Freddie Mac, 1.026%, 1/25/2031 (i) | 4767487 | &nbsp;&nbsp;&nbsp; 215070 |
| Freddie Mac, 0.607%, 3/25/2031 (i) | 13763897 | &nbsp;&nbsp;&nbsp; 325105 |
| Freddie Mac, 0.828%, 3/25/2031 (i) | 5934811 | &nbsp;&nbsp;&nbsp; 220750 |
| Freddie Mac, 1.323%, 5/25/2031 (i) | 2518959 | &nbsp;&nbsp;&nbsp; 153276 |
| Freddie Mac, 1.039%, 7/25/2031 (i) | 4010843 | &nbsp;&nbsp;&nbsp; 199600 |
| Freddie Mac, 0.606%, 8/25/2031 (i) | 5114887 | &nbsp;&nbsp;&nbsp; 132313 |
| Freddie Mac, 0.632%, 9/25/2031 (i) | 16898337 | &nbsp;&nbsp;&nbsp; 495307 |
| Freddie Mac, 0.955%, 9/25/2031 (i) | 5075984 | &nbsp;&nbsp;&nbsp; 227083 |
| Freddie Mac, 0.441%, 11/25/2031 (i) | 25136487 | &nbsp;&nbsp;&nbsp; 500156 |
| Freddie Mac, 0.596%, 12/25/2031 (i) | 23600379 | &nbsp;&nbsp;&nbsp; 645982 |
| Freddie Mac, 0.664%, 12/25/2031 (i) | 40016231 | &nbsp;&nbsp;&nbsp; 1214909 |
| Freddie Mac, 0.426%, 11/25/2032 (i) | 23658049 | &nbsp;&nbsp;&nbsp; 362297 |
| Freddie Mac, 3%, 2/15/2033 (i) | 438828 | &nbsp;&nbsp;&nbsp; 21659 |
| Freddie Mac, 6%, 3/01/2033 - 6/01/2037  | 987009 | &nbsp;&nbsp;&nbsp; 1026562 |
| Freddie Mac, 5%, 9/01/2033 - 7/01/2041  | 1583012 | &nbsp;&nbsp;&nbsp; 1607956 |
| Freddie Mac, 5.5%, 12/01/2033 - 10/01/2035  | 798085 | &nbsp;&nbsp;&nbsp; 813273 |
| Freddie Mac, 6.5%, 5/01/2034 - 7/01/2037  | 357717 | &nbsp;&nbsp;&nbsp; 373940 |
| Freddie Mac, 4.5%, 4/01/2035 - 5/01/2042  | 1242677 | &nbsp;&nbsp;&nbsp; 1239761 |
| Freddie Mac, 5.5%, 2/15/2036 (i) | 107434 | &nbsp;&nbsp;&nbsp; 17152 |
| Freddie Mac, 4%, 8/01/2037 - 4/01/2044  | 3957532 | &nbsp;&nbsp;&nbsp; 3820390 |
| Freddie Mac, 3%, 1/01/2038 - 2/25/2059  | 17453386 | &nbsp;&nbsp;&nbsp; 15736953 |
| Freddie Mac, 4.5%, 12/15/2040 (i) | 43152 | &nbsp;&nbsp;&nbsp; 4009 |
| Freddie Mac, 4%, 8/15/2044 (i) | 103270 | &nbsp;&nbsp;&nbsp; 9252 |
| Freddie Mac, UMBS, 6.5%, 5/01/2028 - 11/01/2054  | 1821261 | &nbsp;&nbsp;&nbsp; 1884860 |
| Freddie Mac, UMBS, 5%, 7/01/2035 - 9/01/2053  | 7662093 | &nbsp;&nbsp;&nbsp; 7539120 |
| Freddie Mac, UMBS, 6%, 1/01/2036 - 7/01/2054  | 21642506 | &nbsp;&nbsp;&nbsp; 22008910 |
| Freddie Mac, UMBS, 3%, 10/01/2037 - 7/01/2053  | 23707169 | &nbsp;&nbsp;&nbsp; 20563263 |
| Freddie Mac, UMBS, 2.5%, 8/01/2040 - 9/01/2052  | 48536664 | &nbsp;&nbsp;&nbsp; 40476821 |
| Freddie Mac, UMBS, 2%, 2/01/2042 - 3/01/2052  | 46440291 | &nbsp;&nbsp;&nbsp; 37175131 |
| Freddie Mac, UMBS, 3.5%, 12/01/2046 - 7/01/2054  | 15170043 | &nbsp;&nbsp;&nbsp; 13734369 |
| Freddie Mac, UMBS, 4%, 8/01/2047 - 5/01/2052  | 8630652 | &nbsp;&nbsp;&nbsp; 8124865 |
| Freddie Mac, UMBS, 1.5%, 3/01/2051 - 10/01/2051  | 1527580 | &nbsp;&nbsp;&nbsp; 1153738 |
| Freddie Mac, UMBS, 4.5%, 10/01/2052 - 1/01/2053  | 10057336 | &nbsp;&nbsp;&nbsp; 9638968 |
| Freddie Mac, UMBS, 5.5%, 12/01/2052 - 8/01/2053  | 7716722 | &nbsp;&nbsp;&nbsp; 7754239 |
| Ginnie Mae, 6%, 9/15/2032 - 1/15/2038  | 917822 | &nbsp;&nbsp;&nbsp; 952446 |
| Ginnie Mae, 5.5%, 12/15/2032 - 1/20/2055  | 21019184 | &nbsp;&nbsp;&nbsp; 21126796 |
| Ginnie Mae, 4.5%, 7/15/2033 - 12/20/2052  | 32526644 | &nbsp;&nbsp;&nbsp; 31434627 |
| Ginnie Mae, 5%, 7/20/2033 - 5/20/2053  | 22067891 | &nbsp;&nbsp;&nbsp; 21779527 |
| Ginnie Mae, 4%, 1/20/2041 - 10/20/2052  | 13663569 | &nbsp;&nbsp;&nbsp; 12836285 |
| Ginnie Mae, 4.532%, 9/20/2041  | 2529953 | &nbsp;&nbsp;&nbsp; 2465048 |
| Ginnie Mae, 3.5%, 12/15/2041 - 1/20/2053  | 25087025 | &nbsp;&nbsp;&nbsp; 23000346 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Bonds – continued  | Bonds – continued  | Bonds – continued  |
| Mortgage-Backed – continued | Mortgage-Backed – continued |  |
| Ginnie Mae, 3%, 4/20/2045 - 10/20/2052  | $31217622 | &nbsp;&nbsp;&nbsp; $27757018 |
| Ginnie Mae, 2.5%, 8/20/2051 - 4/20/2052  | 41044785 | &nbsp;&nbsp;&nbsp; 34888646 |
| Ginnie Mae, 2%, 1/20/2052 - 9/20/2052  | 28884348 | &nbsp;&nbsp;&nbsp; 23528737 |
| Ginnie Mae, 6.5%, 7/20/2054  | 1687572 | &nbsp;&nbsp;&nbsp; 1734798 |
| Ginnie Mae, TBA, 6.5%, 7/01/2055  | 1925000 | &nbsp;&nbsp;&nbsp; 1976069 |
| Ginnie Mae, TBA, 6%, 8/01/2055  | 9675000 | &nbsp;&nbsp;&nbsp; 9805365 |
| UMBS, TBA, 2%, 7/01/2040 - 8/01/2055  | 21300000 | &nbsp;&nbsp;&nbsp; 18480225 |
| UMBS, TBA, 2.5%, 7/25/2040  | 3175000 | &nbsp;&nbsp;&nbsp; 2963745 |
| UMBS, TBA, 3%, 7/01/2055  | 5925000 | &nbsp;&nbsp;&nbsp; 5125958 |
| UMBS, TBA, 6.5%, 7/01/2055  | 17300000 | &nbsp;&nbsp;&nbsp; 17861845 |
|  |  | &nbsp;&nbsp;&nbsp; $745466048 |
| Municipals – 0.4% | Municipals – 0.4% | Municipals – 0.4% |
| Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, "A", 6.352%, 7/01/2049  | $9860000 | &nbsp;&nbsp;&nbsp; $10134526 |
| New Jersey Turnpike Authority Rev., Taxable (Build America Bonds), "F", 7.414%, 1/01/2040  | 5815000 | &nbsp;&nbsp;&nbsp; 6949185 |
| Rhode Island Student Loan Authority Education Loan Rev., Taxable, "1", 6.081%, 12/01/2042  | 8135000 | &nbsp;&nbsp;&nbsp; 8365654 |
| State of Florida, Taxable, "A", 2.154%, 7/01/2030  | 3243000 | &nbsp;&nbsp;&nbsp; 2901677 |
|  |  | &nbsp;&nbsp;&nbsp; $28351042 |
| Natural Gas - Distribution – 0.1% | Natural Gas - Distribution – 0.1% | Natural Gas - Distribution – 0.1% |
| NiSource, Inc., 2.95%, 9/01/2029  | $3757000 | &nbsp;&nbsp;&nbsp; $3544379 |
| NiSource, Inc., 5.65%, 2/01/2045  | 1946000 | &nbsp;&nbsp;&nbsp; 1897783 |
|  |  | &nbsp;&nbsp;&nbsp; $5442162 |
| Natural Gas - Pipeline – 0.0% | Natural Gas - Pipeline – 0.0% | Natural Gas - Pipeline – 0.0% |
| APA Infrastructure Ltd., 4.25%, 7/15/2027 (n)  | $777000 | &nbsp;&nbsp;&nbsp; $773448 |
| Network & Telecom – 0.1% | Network & Telecom – 0.1% | Network & Telecom – 0.1% |
| Verizon Communications, Inc., 3.15%, 3/22/2030  | $3222000 | &nbsp;&nbsp;&nbsp; $3053826 |
| Verizon Communications, Inc., 2.55%, 3/21/2031  | 2662000 | &nbsp;&nbsp;&nbsp; 2387516 |
| Verizon Communications, Inc., 4.812%, 3/15/2039  | 5693000 | &nbsp;&nbsp;&nbsp; 5341863 |
|  |  | &nbsp;&nbsp;&nbsp; $10783205 |
| Oils – 0.1% | Oils – 0.1% | Oils – 0.1% |
| Marathon Petroleum Corp., 4.75%, 9/15/2044  | $2685000 | &nbsp;&nbsp;&nbsp; $2233232 |
| Phillips 66 Co., 2.15%, 12/15/2030  | 9419000 | &nbsp;&nbsp;&nbsp; 8294673 |
|  |  | &nbsp;&nbsp;&nbsp; $10527905 |
| Pollution Control – 0.3% | Pollution Control – 0.3% | Pollution Control – 0.3% |
| Waste Management, Inc., 4.875%, 2/15/2034  | $19470000 | &nbsp;&nbsp;&nbsp; $19737209 |
| Real Estate - Office – 0.0% | Real Estate - Office – 0.0% | Real Estate - Office – 0.0% |
| Boston Properties LP, REIT, 2.55%, 4/01/2032  | $3985000 | &nbsp;&nbsp;&nbsp; $3361810 |
| Real Estate - Other – 0.2% | Real Estate - Other – 0.2% | Real Estate - Other – 0.2% |
| Public Storage Operating, REIT, 5.1%, 8/01/2033  | $14650000 | &nbsp;&nbsp;&nbsp; $15031558 |
| Real Estate - Retail – 0.1% | Real Estate - Retail – 0.1% | Real Estate - Retail – 0.1% |
| Brixmor Operating Partnership LP, REIT, 4.125%, 5/15/2029  | $535000 | &nbsp;&nbsp;&nbsp; $526065 |
| Brixmor Operating Partnership LP, REIT, 4.05%, 7/01/2030  | 5070000 | &nbsp;&nbsp;&nbsp; 4918487 |
| Realty Income Corp., REIT, 3.25%, 1/15/2031  | 1504000 | &nbsp;&nbsp;&nbsp; 1409742 |
|  |  | &nbsp;&nbsp;&nbsp; $6854294 |
| Retailers – 0.1% | Retailers – 0.1% | Retailers – 0.1% |
| Alimentation Couche-Tard, Inc., 3.439%, 5/13/2041 (n)  | $6827000 | &nbsp;&nbsp;&nbsp; $5077277 |
| Specialty Stores – 0.1% | Specialty Stores – 0.1% | Specialty Stores – 0.1% |
| Genuine Parts Co., 2.75%, 2/01/2032  | $12549000 | &nbsp;&nbsp;&nbsp; $10929207 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Bonds – continued  | Bonds – continued  | Bonds – continued  |
| Telecommunications - Wireless – 0.5% | Telecommunications - Wireless – 0.5% | Telecommunications - Wireless – 0.5% |
| Crown Castle, Inc., REIT, 3.65%, 9/01/2027  | $7499000 | &nbsp;&nbsp;&nbsp; $7369881 |
| Rogers Communications, Inc., 3.8%, 3/15/2032  | 16204000 | &nbsp;&nbsp;&nbsp; 15057685 |
| T-Mobile USA, Inc., 2.05%, 2/15/2028  | 5846000 | &nbsp;&nbsp;&nbsp; 5525545 |
| T-Mobile USA, Inc., 4.5%, 4/15/2050  | 6819000 | &nbsp;&nbsp;&nbsp; 5638309 |
| Vodafone Group PLC, 5.625%, 2/10/2053  | 2470000 | &nbsp;&nbsp;&nbsp; 2330324 |
|  |  | &nbsp;&nbsp;&nbsp; $35921744 |
| Tobacco – 0.4% | Tobacco – 0.4% | Tobacco – 0.4% |
| B.A.T. International Finance PLC, 4.448%, 3/16/2028  | $16056000 | &nbsp;&nbsp;&nbsp; $16081727 |
| Philip Morris International, Inc., 5.125%, 11/17/2027  | 2847000 | &nbsp;&nbsp;&nbsp; 2903950 |
| Philip Morris International, Inc., 5.625%, 11/17/2029  | 1227000 | &nbsp;&nbsp;&nbsp; 1288395 |
| Philip Morris International, Inc., 5.125%, 2/15/2030  | 4629000 | &nbsp;&nbsp;&nbsp; 4762436 |
| Philip Morris International, Inc., 5.75%, 11/17/2032  | 5435000 | &nbsp;&nbsp;&nbsp; 5745869 |
|  |  | &nbsp;&nbsp;&nbsp; $30782377 |
| Transportation - Services – 0.0% | Transportation - Services – 0.0% | Transportation - Services – 0.0% |
| ERAC USA Finance LLC, 7%, 10/15/2037 (n)  | $2559000 | &nbsp;&nbsp;&nbsp; $2936660 |
| U.S. Treasury Obligations – 9.5% | U.S. Treasury Obligations – 9.5% | U.S. Treasury Obligations – 9.5% |
| U.S. Treasury Bonds, 4%, 11/15/2042  | $8150000 | &nbsp;&nbsp;&nbsp; $7435283 |
| U.S. Treasury Bonds, 2.875%, 5/15/2043  | 36361000 | &nbsp;&nbsp;&nbsp; 28024957 |
| U.S. Treasury Bonds, 4.5%, 2/15/2044  | 14000000 | &nbsp;&nbsp;&nbsp; 13527500 |
| U.S. Treasury Bonds, 3%, 11/15/2045  | 215000 | &nbsp;&nbsp;&nbsp; 163795 |
| U.S. Treasury Bonds, 2.25%, 8/15/2046  | 161800000 | &nbsp;&nbsp;&nbsp; 105997961 |
| U.S. Treasury Bonds, 2.875%, 11/15/2046  | 14148000 | &nbsp;&nbsp;&nbsp; 10416465 |
| U.S. Treasury Bonds, 1.875%, 11/15/2051  | 9015000 | &nbsp;&nbsp;&nbsp; 5015298 |
| U.S. Treasury Bonds, 2.25%, 2/15/2052  | 44658400 | &nbsp;&nbsp;&nbsp; 27278258 |
| U.S. Treasury Bonds, 4%, 11/15/2052  | 7700000 | &nbsp;&nbsp;&nbsp; 6734192 |
| U.S. Treasury Bonds, 4.75%, 11/15/2053  | 20000000 | &nbsp;&nbsp;&nbsp; 19818750 |
| U.S. Treasury Bonds, 4.25%, 2/15/2054  | 58900000 | &nbsp;&nbsp;&nbsp; 53727844 |
| U.S. Treasury Notes, 0.375%, 11/30/2025 (f) | 41900000 | &nbsp;&nbsp;&nbsp; 41226900 |
| U.S. Treasury Notes, 4%, 1/15/2027  | 35700000 | &nbsp;&nbsp;&nbsp; 35785066 |
| U.S. Treasury Notes, 2.5%, 3/31/2027  | 52800000 | &nbsp;&nbsp;&nbsp; 51671812 |
| U.S. Treasury Notes, 4.5%, 4/15/2027  | 61600000 | &nbsp;&nbsp;&nbsp; 62367594 |
| U.S. Treasury Notes, 2.75%, 4/30/2027  | 13267600 | &nbsp;&nbsp;&nbsp; 13032307 |
| U.S. Treasury Notes, 4.125%, 7/31/2028  | 30000000 | &nbsp;&nbsp;&nbsp; 30362109 |
| U.S. Treasury Notes, 4.25%, 6/30/2029  | 90800000 | &nbsp;&nbsp;&nbsp; 92488313 |
| U.S. Treasury Notes, 3.875%, 4/30/2030  | 33000000 | &nbsp;&nbsp;&nbsp; 33128906 |
| U.S. Treasury Notes, 4.25%, 11/15/2034  | 85600000 | &nbsp;&nbsp;&nbsp; 85880875 |
|  |  | &nbsp;&nbsp;&nbsp; $724084185 |
| Utilities - Electric Power – 1.0% | Utilities - Electric Power – 1.0% | Utilities - Electric Power – 1.0% |
| American Electric Power Co., Inc., 5.95%, 11/01/2032  | $4167000 | &nbsp;&nbsp;&nbsp; $4417460 |
| American Transmission Systems, Inc., 2.65%, 1/15/2032 (n) | 1640000 | &nbsp;&nbsp;&nbsp; 1442885 |
| Duke Energy Carolinas LLC, 4.95%, 1/15/2033  | 13077000 | &nbsp;&nbsp;&nbsp; 13305765 |
| Duke Energy Corp., 2.65%, 9/01/2026  | 1167000 | &nbsp;&nbsp;&nbsp; 1145080 |
| Duke Energy Corp., 4.5%, 8/15/2032  | 9846000 | &nbsp;&nbsp;&nbsp; 9626773 |
| Duke Energy Progress LLC, 3.45%, 3/15/2029  | 5272000 | &nbsp;&nbsp;&nbsp; 5128820 |
| Enel Finance International N.V., 7.05%, 10/14/2025 (n) | 2896000 | &nbsp;&nbsp;&nbsp; 2913025 |
| Enel Finance International N.V., 4.75%, 5/25/2047 (n) | 1993000 | &nbsp;&nbsp;&nbsp; 1676720 |
| Exelon Corp., 4.05%, 4/15/2030  | 4954000 | &nbsp;&nbsp;&nbsp; 4873468 |
| Georgia Power Co., 3.7%, 1/30/2050  | 454000 | &nbsp;&nbsp;&nbsp; 338375 |
| Jersey Central Power & Light Co., 4.3%, 1/15/2026 (n) | 4141000 | &nbsp;&nbsp;&nbsp; 4132819 |
| Jersey Central Power & Light Co., 2.75%, 3/01/2032 (n) | 2792000 | &nbsp;&nbsp;&nbsp; 2447588 |
| Jersey Central Power & Light Co., 5.1%, 1/15/2035  | 2318000 | &nbsp;&nbsp;&nbsp; 2311147 |
| Oncor Electric Delivery Co. LLC, 5.75%, 3/15/2029  | 3350000 | &nbsp;&nbsp;&nbsp; 3510033 |
| Pacific Gas & Electric Co., 2.1%, 8/01/2027  | 1473000 | &nbsp;&nbsp;&nbsp; 1395072 |
| Pacific Gas & Electric Co., 3%, 6/15/2028  | 4250000 | &nbsp;&nbsp;&nbsp; 4036225 |
| Pacific Gas & Electric Co., 2.5%, 2/01/2031  | 6416000 | &nbsp;&nbsp;&nbsp; 5569418 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Bonds – continued  | Bonds – continued  | Bonds – continued  |
| Utilities - Electric Power – continued | Utilities - Electric Power – continued | Utilities - Electric Power – continued |
| Pacific Gas & Electric Co., 3.3%, 8/01/2040  | $3004000 | &nbsp;&nbsp;&nbsp; $2149050 |
| Xcel Energy, Inc., 3.4%, 6/01/2030  | 3122000 | &nbsp;&nbsp;&nbsp; 2961809 |
|  |  | &nbsp;&nbsp;&nbsp; $73381532 |
| Utilities - Gas – 0.0% | Utilities - Gas – 0.0% | Utilities - Gas – 0.0% |
| East Ohio Gas Co., 2%, 6/15/2030 (n)  | $3473000 | &nbsp;&nbsp;&nbsp; $3087725 |
| **Total Bonds**  |  | &nbsp;&nbsp; **$2878961197** |
| Preferred Stocks – 0.9%  | Preferred Stocks – 0.9%  | Preferred Stocks – 0.9%  |
| Computer Software - Systems – 0.4% |  |  |
| Samsung Electronics Co. Ltd.  | 732245 | &nbsp;&nbsp;&nbsp; $26856941 |
| Consumer Products – 0.5% |  |  |
| Henkel AG & Co. KGaA  | 500890 | &nbsp;&nbsp;&nbsp; $39330958 |
| **Total Preferred Stocks**  |  | &nbsp;&nbsp; **$66187899** |
| Convertible Preferred Stocks – 0.3%  | Convertible Preferred Stocks – 0.3%  | Convertible Preferred Stocks – 0.3%  |
| Aerospace & Defense – 0.3% | Aerospace & Defense – 0.3% |  |
| Boeing Co., 6%  | 338957 | &nbsp;&nbsp;&nbsp; $23049076 |
| Mutual Funds (h) – 1.3%  | Mutual Funds (h) – 1.3%  | Mutual Funds (h) – 1.3%  |
| Money Market Funds – 1.3% | Money Market Funds – 1.3% |  |
| MFS Institutional Money Market Portfolio, 4.35% (v)  | 99042296 | &nbsp;&nbsp;&nbsp; $99052201 |
| Other Assets, Less Liabilities – (0.3)% |  | &nbsp;&nbsp;&nbsp; (21405531)<br>|
| **Net Assets – 100.0%** | **Net Assets – 100.0%** | &nbsp;&nbsp; **$7656667127** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

&nbsp;&nbsp;&nbsp;&nbsp;(a) Non-income producing security.

&nbsp;&nbsp;&nbsp;&nbsp;(d) In default.

&nbsp;&nbsp;&nbsp;&nbsp;(f) All or a portion of the security has been segregated as collateral for open futures
 contracts.

&nbsp;&nbsp;&nbsp;&nbsp;(h) An affiliated issuer, which may be considered one in which the fund owns 5% or more
 of the outstanding voting securities, or a company which is under common control. At period end, the aggregate values of the fund's investments
 in affiliated issuers and in unaffiliated issuers were $99,052,201 and $7,579,020,457, respectively.

&nbsp;&nbsp;&nbsp;&nbsp;(i) Interest only security for which the fund receives interest on notional principal
 (Par amount). Par amount shown is the notional principal and does not reflect the cost of the security.

&nbsp;&nbsp;&nbsp;&nbsp;(l) A portion of this security is on loan. See Note 2 for additional information.

&nbsp;&nbsp;&nbsp;&nbsp;(n) Securities exempt from registration under Rule 144A of the Securities Act of 1933.
 These securities may be sold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers.
 At period end, the aggregate value of these securities was $618,368,981, representing 8.1% of net assets.

&nbsp;&nbsp;&nbsp;&nbsp;(q) Interest received was less than stated coupon rate.

&nbsp;&nbsp;&nbsp;&nbsp;(v) Affiliated issuer that is available only to investment companies managed by MFS. The
 rate quoted for the MFS Institutional Money Market Portfolio is the annualized seven-day yield of the fund at period end.

&nbsp;&nbsp;&nbsp;&nbsp;(w) When-issued security.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| The following abbreviations are used in this report and are defined: | The following abbreviations are used in this report and are defined: |
| CLO | Collateralized Loan Obligation |
| CMT | Constant Maturity Treasury  |
| FGIC | Financial Guaranty Insurance Co. |
| FLR | Floating Rate. Interest rate resets periodically based on the parenthetically disclosed reference rate plus a spread (if any). The period-end rate <br> reported may not be the current rate. All reference rates are USD unless otherwise noted.<br>|
| REIT | Real Estate Investment Trust |
| SOFR | Secured Overnight Financing Rate |
| TBA | To Be Announced |
| UMBS | Uniform Mortgage-Backed Security |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

------

*Portfolio of Investments (unaudited) – continued*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Derivative Contracts at 6/30/25** | **Derivative Contracts at 6/30/25** | **Derivative Contracts at 6/30/25** | **Derivative Contracts at 6/30/25** | **Derivative Contracts at 6/30/25** | **Derivative Contracts at 6/30/25** | **Derivative Contracts at 6/30/25** |
| **Futures Contracts**  | **Futures Contracts**  | **Futures Contracts**  | **Futures Contracts**  | **Futures Contracts**  | **Futures Contracts**  | **Futures Contracts**  |
| **Description** | **Long/** <br>**Short**<br>| **Currency** | **Contracts** | &nbsp;&nbsp; **Notional** <br>**Amount**<br>| &nbsp;&nbsp; **Expiration** <br>**Date**<br>| **Value/Unrealized** <br>**Appreciation** <br>**(Depreciation)**<br>|
| **Asset Derivatives** | **Asset Derivatives** | **Asset Derivatives** | **Asset Derivatives** | **Asset Derivatives** | **Asset Derivatives** | **Asset Derivatives** |
| ***Interest Rate Futures***  | ***Interest Rate Futures***  | ***Interest Rate Futures***  | ***Interest Rate Futures***  | ***Interest Rate Futures***  |  |  |
| U.S. Treasury Note 2 yr | &nbsp;&nbsp; Long | &nbsp;&nbsp; USD | &nbsp;&nbsp; 1135 | $236106602 | September – 2025 | &nbsp;&nbsp; $1006765 |
| U.S. Treasury Note 5 yr | &nbsp;&nbsp; Long | &nbsp;&nbsp; USD | &nbsp;&nbsp; 747 | 81423000 | September – 2025 | &nbsp;&nbsp; 761186 |
| U.S. Treasury Ultra Bond 30 yr | &nbsp;&nbsp; Long | &nbsp;&nbsp; USD | &nbsp;&nbsp; 407 | 48483875 | September – 2025 | &nbsp;&nbsp; 2019648 |
|  |  |  |  |  |  | &nbsp;&nbsp; $3787599 |

---

At June 30, 2025, the fund had liquid securities with an aggregate value of $4,564,498 to cover any collateral or margin obligations for certain derivative contracts.

See attached supplemental information. For more information see notes to financial statements as disclosed in the most recent semiannual or annual report.

------

**Supplemental Information**

6/30/25 (unaudited)

The fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial

Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies.

**(1) Investment Valuations**

Subject to its oversight, the fund's Board of Trustees has delegated primary responsibility for determining or causing to be determined the value of the fund's investments to MFS as the fund's adviser, pursuant to the fund's valuation policy and procedures which have been adopted by the adviser and approved by the Board. In accordance with Rule 2a-5 under the Investment Company Act of 1940, the Board of Trustees designated the adviser as the "valuation designee" of the fund. If the adviser, as valuation designee, determines that reliable market quotations are not readily available for an investment, the investment is valued at fair value as determined in good faith by the adviser in accordance with the adviser's fair valuation policy and procedures.

Under the fund's valuation policy and procedures, equity securities, including restricted equity securities, are generally valued at the last sale or official closing price on their primary market or exchange as provided by a third-party pricing service. Equity securities, for which there were no sales reported that day, are generally valued at the last quoted daily bid quotation on their primary market or exchange as provided

by a third-party pricing service. Debt instruments and floating rate loans, including restricted debt instruments, are generally valued at an

evaluated or composite bid as provided by a third-party pricing service. Short-term instruments with a maturity at issuance of 60 days or less

may be valued at amortized cost, which approximates market value. Futures contracts are generally valued at last posted settlement price on their primary exchange as provided by a third-party pricing service. Futures contracts for which there were no trades that day for a particular

position are generally valued at the closing bid quotation on their primary exchange as provided by a third-party pricing service. Open-end

investment companies are generally valued at net asset value per share. The values of foreign securities and other assets and liabilities expressed in foreign currencies are converted to U.S. dollars using the mean of bid and asked prices for rates provided by a third-party pricing service.

Under the fund's valuation policy and procedures, market quotations are not considered to be readily available for debt instruments, floating rate loans, and many types of derivatives. These investments are generally valued at fair value based on information from third-party pricing services or otherwise determined by the adviser in accordance with the adviser's fair valuation policy and procedures. Securities and other assets generally valued on the basis of information from a third-party pricing service may also be valued at a broker/dealer bid quotation. In determining values, third-party pricing services can utilize both transaction data and market information such as yield, quality, coupon rate, maturity, type of issue, trading characteristics, spreads and other market data. Pricing services generally value debt instruments assuming orderly transactions of institutional round lot sizes, but a fund may hold or transact in such securities in smaller, odd lot sizes. In instances where a fund holds an odd lot size position in a debt instrument, such position will typically be valued using the pricing agent's institutional round lot price for the debt instrument. Odd lots may trade at lower prices than institutional round lots, and the fund may receive different prices when it sells odd lot positions than it would receive for sales of institutional round lot positions. An investment may also be valued at fair value if the adviser determines that the investment's value has been materially affected by events occurring after the close of the exchange or market on which the investment is principally traded (such as foreign exchange or market) and prior to the determination of the fund's net asset value, or after the halt of trading of a specific security where trading does not resume prior to the close of the exchange or market on which the security is principally traded. Events that occur after foreign markets close (such as developments in foreign markets and significant movements in the U.S. markets) and prior to the determination of the fund's net asset value may be deemed to have a material effect on the value of securities traded in foreign markets. Accordingly, the fund's foreign equity securities may often be valued at fair value. The adviser generally relies on third-party pricing services or other information (such as the correlation with price movements of similar securities in the same or other markets; the type, cost and investment characteristics of the security; the business and financial condition of the issuer; and trading and other market data) to assist in determining whether to fair value and at what value to fair value an investment. The value of an investment for purposes of calculating the fund's net asset value can differ depending on the source and method used to determine value. When fair valuation is used, the value of an investment used to determine the fund's net asset value may differ from quoted or published prices for the same investment. There can be no assurance that the fund could obtain the fair value assigned

to an investment if it were to sell the investment at the same time at which the fund determines its net asset value per share.

Various inputs are used in determining the value of the fund's assets or liabilities. These inputs are categorized into three broad levels. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment's level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The fund's assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. Level 1 includes unadjusted quoted prices in active markets for identical assets or liabilities. Level 2 includes other significant observable market-based inputs (including quoted prices for similar securities, interest rates, prepayment speed, and credit risk).

------

*Supplemental Information (unaudited) – continued*

Level 3 includes significant unobservable inputs, which may include the adviser's own assumptions in determining the fair value of investments. Other financial instruments are derivative instruments, such as futures contracts. The following is a summary of the levels used as of June 30, 2025 in valuing the fund's assets and liabilities:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Financial Instruments** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| Equity Securities | &nbsp;&nbsp;&nbsp; $4700059260 | &nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp; $4700059260 |
| U.S. Treasury Bonds & U.S. Government Agencies & Equivalents | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 724084185 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 724084185 |
| Non - U.S. Sovereign Debt | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 2370012 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 2370012 |
| Municipal Bonds | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 28351042 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 28351042 |
| U.S. Corporate Bonds | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 624786414 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 624786414 |
| Residential Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 800539398 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 800539398 |
| Commercial Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 118269155 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 118269155 |
| Asset-Backed Securities (including CDOs) | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 313262252 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 313262252 |
| Foreign Bonds | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 267298739 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 267298739 |
| Investment Companies | &nbsp;&nbsp;&nbsp; 99052201 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 99052201 |
| Total | &nbsp;&nbsp;&nbsp; $4799111461 | &nbsp;&nbsp;&nbsp; $2878961197 | &nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp; $7678072658 |
| **Other Financial Instruments** |  |  |  |  |
| Futures Contracts – Assets | &nbsp;&nbsp;&nbsp; $3787599 | &nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp; $3787599 |

---

For further information regarding security characteristics, see the Portfolio of Investments.

**(2) Securities Lending Collateral**

At June 30, 2025, the value of securities loaned was $595,084. These loans were collateralized by U.S. Treasury Obligations (held by the

custodian or a triparty custodian) of $609,467.

**(3) Investments in Affiliated Issuers**

An affiliated issuer may be considered one in which the fund owns 5% or more of the outstanding voting securities, or a company which is under common control. For the purposes of this report, the following were affiliated issuers for the period ended June 30, 2025:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Affiliated Issuers** | **Beginning** <br>**Value**<br>| **Purchases** | **Sales** <br>**Proceeds**<br>| **Realized** <br>**Gain** <br>**(Loss)**<br>| **Change in** <br>**Unrealized** <br>**Appreciation or** <br>**Depreciation**<br>| **Ending** <br>**Value**<br>|
| MFS Institutional Money Market Portfolio  | &nbsp;&nbsp; $114364459 | &nbsp;&nbsp; $1024054500 | &nbsp;&nbsp; $1039349130 | &nbsp;&nbsp; $6135 | &nbsp;&nbsp; $(23763)<br>| &nbsp;&nbsp; $99052201<br>|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
| **Affiliated Issuers** | **Dividend** <br>**Income**<br>| **Capital Gain** <br>**Distributions**<br>|
| MFS Institutional Money Market Portfolio  | &nbsp;&nbsp; $3374359 | &nbsp;&nbsp; $— |

---

------

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** MFS Series Trust V

- **b. Investment Company Act file number:** 811-02031

- **c. CIK number of Registrant:** 0000200489

- **d. LEI of Registrant:** 5493004F6FXFYCOUPT54

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

  - **Street Address 1:** 111 Huntington Avenue

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02199

  - **Telephone number:** 617-954-5000

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

- **a. Name of Series:** MFS Total Return Fund

- **b. EDGAR series identifier (if any):** S000002439

- **c. LEI of Series:** HPZZAPCUIEU12XV0HS18

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

- **a. Date of fiscal year-end:** 2025-09-30

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $7751791627.43

**Total Liabilities:** $95126305.66

**Net Assets:** $7656665321.77

**Delayed Delivery Securities:** $76121491.81

**Cash Not Reported:** $448991.38

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -2189.65417430 | **1-Year:** -57985.37151600 | **5-Year:** -279462.19376840 | **10-Year:** -247896.30114490 | **30-Year:** -62699.38478850

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

- **3-Month:** -68.57090450 | **1-Year:** -7479.88038160 | **5-Year:** -5568.02581100 | **10-Year:** -72.66031040 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000116934 | -1.95%               | 1.72%                | 2.58%                |
| Class ID C000006553 | -1.95%               | 1.71%                | 2.58%                |
| Class ID C000006552 | -2.06%               | 1.66%                | 2.51%                |
| Class ID C000006555 | -2.03%               | 1.63%                | 2.49%                |
| Class ID C000006546 | -2.02%               | 1.75%                | 2.55%                |
| Class ID C000006558 | -1.97%               | 1.69%                | 2.55%                |
| Class ID C000006551 | -2.08%               | 1.67%                | 2.47%                |
| Class ID C000006547 | -2.00%               | 1.76%                | 2.57%                |
| Class ID C000006557 | -2.03%               | 1.71%                | 2.52%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $32173711.65             | $-198894454.28                             |
| Month 2  | $23501927.84             | $89767862.81                               |
| Month 3  | $28390864.29             | $144035084.47                              |

**Designated Index Information**

- **Index Name:** 60% S&P, 40% BBG Barc US Aggregate Index

- **Index Identifier:** 60% SPX, 40% LBUSTRUU

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179XVS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20706 | PA      | $20446.85     | 0.00%             | 2053-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36201DBT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11294 | PA      | $11902.05     | 0.00%             | 2032-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418ED56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141156 | PA      | $117345.12    | 0.00%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418D6B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1616211 | PA      | $1283336.32   | 0.02%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31413GAG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75270 | PA      | $78399.12     | 0.00%             | 2037-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31297C6G0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33229 | PA      | $34212.50     | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179Y2N3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1687572 | PA      | $1734798.02   | 0.02%             | 2054-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31297SBU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48684 | PA      | $49426.97     | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31385JJC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140405 | PA      | $147307.75    | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Eaton Corp. plc                                        | Eaton Corp. plc                                                                  | CUSIP: N/A<br>LEI: 549300VDIGTMXUNT7H71       | Long             | EC               | CORP              | IE        |    122103 | NS      | $43589549.97  | 0.57%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31404QYR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132642 | PA      | $133494.96    | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138EPN91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    462556 | PA      | $439978.46    | 0.01%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Duke Energy Carolinas LLC                              | Duke Energy Carolinas LLC                                                        | CUSIP: 26442CBJ2<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |  13077000 | PA      | $13305764.72  | 0.17%             | 2033-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Consumers 2023 Securitization Funding LLC              | Consumers 2023 Securitization Funding LLC, Series A1                             | CUSIP: 21071BAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2902502 | PA      | $2922825.44   | 0.04%             | 2028-03-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                    | Connecticut Avenue Securities Trust, Series 2025-R02, Class 1A1                  | CUSIP: 20754TAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2711751 | PA      | $2713436.51   | 0.04%             | 2045-02-25      | Floating      | 5.31%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWEP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    511393 | PA      | $443220.39    | 0.01%             | 2052-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K110, Class XAM   | CUSIP: 3137FTZU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7819828 | PA      | $597481.00    | 0.01%             | 2030-04-25      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| Liberty Mutual Group, Inc.                             | Liberty Mutual Group, Inc.                                                       | CUSIP: 53079EBJ2<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |   2889000 | PA      | $2112223.85   | 0.03%             | 2050-10-15      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128LXAE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40709 | PA      | $40570.83     | 0.00%             | 2035-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Archer-Daniels-Midland Co.                             | Archer-Daniels-Midland Co.                                                       | CUSIP: 039483102<br>LEI: 549300LO13MQ9HYSTR83 | Long             | EC               | CORP              | US        |    272146 | NS      | $14363865.88  | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179XTD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10094713 | PA      | $10163780.10  | 0.13%             | 2053-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Exxon Mobil Corp.                                      | Exxon Mobil Corp.                                                                | CUSIP: 30231G102<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | EC               | CORP              | US        |    631258 | NS      | $68049612.40  | 0.89%             |  |  |  | No            |                  1 | On Loan: No      |
| Alphabet, Inc.                                         | Alphabet, Inc., Class A                                                          | CUSIP: 02079K305<br>LEI: 5493006MHB84DD0ZWV18 | Long             | EC               | CORP              | US        |     69861 | NS      | $12311604.03  | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                              | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7700000 | PA      | $6734191.39   | 0.09%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Adventist Health System                                | Adventist Health System                                                          | CUSIP: 007944AH4<br>LEI: 5493008YM33UCY5QPW83 | Long             | DBT              | CORP              | US        |   8829000 | PA      | $8867326.51   | 0.12%             | 2032-03-01      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133BW3Z4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    319794 | PA      | $314850.09    | 0.00%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Philip Morris International, Inc.                      | Philip Morris International, Inc.                                                | CUSIP: 718172CW7<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   1227000 | PA      | $1288394.66   | 0.02%             | 2029-11-17      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| CME Group, Inc.                                        | CME Group, Inc.                                                                  | CUSIP: 12572Q105<br>LEI: LCZ7XYGSLJUHFXXNXD88 | Long             | EC               | CORP              | US        |    201830 | NS      | $55628384.60  | 0.73%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QMZC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4097350 | PA      | $3438704.86   | 0.04%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GLP Capital LP                                         | GLP Capital LP                                                                   | CUSIP: 361841AL3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4735000 | PA      | $4787501.68   | 0.06%             | 2029-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31297C5V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35540 | PA      | $36943.44     | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3142GSCR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2766314 | PA      | $2814198.41   | 0.04%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                       | Deutsche Bank AG                                                                 | CUSIP: 251526CP2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   2716000 | PA      | $2635259.87   | 0.03%             | 2027-11-16      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138WEVB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    491983 | PA      | $456834.31    | 0.01%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138ENEK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3157596 | PA      | $3139709.09   | 0.04%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Business Jet Securities LLC                            | Business Jet Securities LLC, Series 2024-1A, Class A                             | CUSIP: 12327CAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3226468 | PA      | $3295832.05   | 0.04%             | 2039-05-15      | Fixed         | 6.20%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                   | JPMorgan Chase & Co.                                                             | CUSIP: 46647PBM7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   7432000 | PA      | $5696176.65   | 0.07%             | 2041-04-22      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128M7PU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    259356 | PA      | $259084.13    | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133B4H99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1971181 | PA      | $1579743.19   | 0.02%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418ECW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1863850 | PA      | $1777044.16   | 0.02%             | 2037-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DQZR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1020340 | PA      | $1004920.06   | 0.01%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Metropolitan Life Global Funding I                     | Metropolitan Life Global Funding I                                               | CUSIP: 59217GEZ8<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |  14375000 | PA      | $13860093.83  | 0.18%             | 2029-03-21      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| Vodafone Group plc                                     | Vodafone Group plc                                                               | CUSIP: 92857WBY5<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |   2470000 | PA      | $2330324.54   | 0.03%             | 2053-02-10      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K128, Class X1    | CUSIP: 3137FYUL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13763897 | PA      | $325104.63    | 0.00%             | 2031-03-25      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                           | Avolon Holdings Funding Ltd.                                                     | CUSIP: 05401AAJ0<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   6701000 | PA      | $6531910.72   | 0.09%             | 2027-02-15      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                              | CUSIP: 91282CMZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  33000000 | PA      | $33128906.25  | 0.43%             | 2030-04-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Crown Castle, Inc.                                     | Crown Castle, Inc.                                                               | CUSIP: 22822VAH4<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |   7499000 | PA      | $7369880.57   | 0.10%             | 2027-09-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Chubb Ltd.                                             | Chubb Ltd.                                                                       | CUSIP: N/A<br>LEI: E0JAN6VLUDI1HITHT809       | Long             | EC               | CORP              | CH        |    316746 | NS      | $91767651.12  | 1.20%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 3845, Class AI                                                     | CUSIP: 3137A9RJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    107434 | PA      | $17151.82     | 0.00%             | 2036-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179W7L6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18281070 | PA      | $16678550.72  | 0.22%             | 2052-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Georgia Power Co.                                      | Georgia Power Co., Series B                                                      | CUSIP: 373334KN0<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |    454000 | PA      | $338374.88    | 0.00%             | 2050-01-30      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Virginia Power Fuel Securitization LLC                 | Virginia Power Fuel Securitization LLC, Series A-1                               | CUSIP: 92808VAA0<br>LEI: 254900BELJ95ONW6U791 | Long             | DBT              | CORP              | US        |   3182079 | PA      | $3199291.76   | 0.04%             | 2027-05-01      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                              | CUSIP: 912810RB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  36361000 | PA      | $28024956.77  | 0.37%             | 2043-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 21H060689<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9675000 | PA      | $9805365.40   | 0.13%             | 2055-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31413F7J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45974 | PA      | $47117.22     | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PG&E Corp.                                             | PG&E Corp.                                                                       | CUSIP: 69331C108<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | EC               | CORP              | US        |   4923287 | NS      | $68630620.78  | 0.90%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179WXH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15825621 | PA      | $12892202.17  | 0.17%             | 2052-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QQHC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    199143 | PA      | $186881.75    | 0.00%             | 2037-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust              | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-3, Class MV               | CUSIP: 35563PLK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    739474 | PA      | $691660.51    | 0.01%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132D6CT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22125 | PA      | $21094.43     | 0.00%             | 2037-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36200NDM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37735 | PA      | $38049.03     | 0.00%             | 2034-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31403FQY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26068 | PA      | $26421.37     | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 312941LZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     80452 | PA      | $79660.52     | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128LXE55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74798 | PA      | $78500.07     | 0.00%             | 2035-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                        | Goldman Sachs Group, Inc. (The)                                                  | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   8505000 | PA      | $7427806.37   | 0.10%             | 2032-07-21      | Variable      | 2.38%                 | No            |                  2 | On Loan: No      |
| Marriott International, Inc.                           | Marriott International, Inc., Series II                                          | CUSIP: 571903BH5<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |   4957000 | PA      | $4219728.68   | 0.06%             | 2033-10-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31419JS25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79139 | PA      | $79993.33     | 0.00%             | 2040-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179WVT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8356602 | PA      | $6806571.64   | 0.09%             | 2052-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K116, Class XAM   | CUSIP: 3137FWHX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3331192 | PA      | $238173.90    | 0.00%             | 2030-08-25      | Variable      | 1.70%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                           | Barclays plc                                                                     | CUSIP: 06738EBV6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   3413000 | PA      | $3020626.37   | 0.04%             | 2032-11-24      | Variable      | 2.89%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWFF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1294448 | PA      | $1240614.51   | 0.02%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31405N4M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67387 | PA      | $67915.96     | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31388D4L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52294 | PA      | $54011.92     | 0.00%             | 2031-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 3620AMD58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    122851 | PA      | $119662.99    | 0.00%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31297DJF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10988 | PA      | $11361.04     | 0.00%             | 2034-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                           | Oracle Corp.                                                                     | CUSIP: 68389XCP8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   2441000 | PA      | $2447531.48   | 0.03%             | 2033-02-06      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| MFS Institutional Money Market Portfolio               | MFS Institutional Money Market Portfolio, Class A                                | CUSIP: 55291X109<br>LEI: 5L2W638H85N8T1136O07 | Long             | STIV             | RF                | US        |  98617988 | NS      | $98627849.79  | 1.29%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31417AYK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    960738 | PA      | $926517.62    | 0.01%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Becton Dickinson & Co.                                 | Becton Dickinson & Co.                                                           | CUSIP: 075887BX6<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |   5087000 | PA      | $4362515.62   | 0.06%             | 2047-06-06      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3132L5AD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2370258 | PA      | $2144428.00   | 0.03%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                             | AerCap Ireland Capital DAC                                                       | CUSIP: 00774MAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   7298000 | PA      | $7187267.96   | 0.09%             | 2027-07-21      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31405RR65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57057 | PA      | $58867.28     | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RPM International, Inc.                                | RPM International, Inc.                                                          | CUSIP: 749685AY9<br>LEI: 549300TJCKW4BRXPJ474 | Long             | DBT              | CORP              | US        |   4405000 | PA      | $3884240.37   | 0.05%             | 2032-01-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                   | Mitsubishi UFJ Financial Group, Inc.                                             | CUSIP: 606822DL5<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |  11148000 | PA      | $11463648.37  | 0.15%             | 2036-04-24      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWDR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  28075975 | PA      | $23356303.42  | 0.31%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179R7H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    291904 | PA      | $262130.08    | 0.00%             | 2046-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31376KCV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26883 | PA      | $27317.59     | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                       | Deutsche Bank AG                                                                 | CUSIP: 251526CS6<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   7588000 | PA      | $7970985.79   | 0.10%             | 2029-01-18      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128MJM64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    200424 | PA      | $200131.84    | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWDZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5085101 | PA      | $4402508.34   | 0.06%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Mars, Inc.                                             | Mars, Inc.                                                                       | CUSIP: 571676BA2<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   7424000 | PA      | $7512933.14   | 0.10%             | 2035-03-01      | Fixed         | 5.20%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36200NGF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     73161 | PA      | $73755.96     | 0.00%             | 2034-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | U.S. Treasury 2 Year Note                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      1135 | NC      | $1006765.43   | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179WNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9174695 | PA      | $7798667.49   | 0.10%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128KSXS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24900 | PA      | $25821.36     | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  37475987 | PA      | $29743610.83  | 0.39%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Genuine Parts Co.                                      | Genuine Parts Co.                                                                | CUSIP: 372460AC9<br>LEI: 549300D46DQVEU651W04 | Long             | DBT              | CORP              | US        |  12549000 | PA      | $10929206.83  | 0.14%             | 2032-02-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31376KT22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65564 | PA      | $66524.73     | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140N17J6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    610114 | PA      | $584740.34    | 0.01%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd.                        | Palmer Square Loan Funding Ltd., Series 2024-3A, Class A2                        | CUSIP: 69690EAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  16148818 | PA      | $16157328.43  | 0.21%             | 2032-08-08      | Floating      | 5.96%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138EQTZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    605237 | PA      | $601166.73    | 0.01%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140A5WM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1038990 | PA      | $1058984.52   | 0.01%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K109, Class XAM   | CUSIP: 3137FTG43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2500000 | PA      | $186826.75    | 0.00%             | 2030-04-25      | Variable      | 1.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31417TNK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    399137 | PA      | $397358.13    | 0.01%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133KMMQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    434456 | PA      | $360434.99    | 0.00%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Intel Corp.                                            | Intel Corp.                                                                      | CUSIP: 458140100<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | EC               | CORP              | US        |   1889015 | NS      | $42313936.00  | 0.55%             |  |  |  | No            |                  1 | On Loan: No      |
| Arbor Realty Commercial Real Estate Notes Ltd.         | Arbor Realty Commercial Real Estate Notes Ltd., Series 2022-FL1, Class B         | CUSIP: 03880XAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  16706500 | PA      | $16727373.10  | 0.22%             | 2037-01-15      | Floating      | 6.40%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179XNC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     75812 | PA      | $69201.71     | 0.00%             | 2052-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179XNE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8290169 | PA      | $7996182.82   | 0.10%             | 2052-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MF1 Ltd.                                               | MF1 Ltd., Series 2020-FL4, Class A                                               | CUSIP: 58003UAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    785963 | PA      | $786618.08    | 0.01%             | 2035-12-15      | Floating      | 6.13%                 | Yes           |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                           | Pacific Gas and Electric Co.                                                     | CUSIP: 694308JH1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   3004000 | PA      | $2149049.61   | 0.03%             | 2040-08-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Alcon Finance Corp.                                    | Alcon Finance Corp.                                                              | CUSIP: 01400EAD5<br>LEI: 549300CUZUI9VU7XNK42 | Long             | DBT              | CORP              | US        |    944000 | PA      | $863000.69    | 0.01%             | 2030-05-27      | Fixed         | 2.60%                 | Yes           |                  2 | On Loan: No      |
| OBX Trust                                              | OBX Trust, Series 2024-NQM15, Class A1                                           | CUSIP: 67449DAA7<br>LEI: 254900YXEB756F6RCA13 | Long             | ABS-MBS          | CORP              | US        |   3661505 | PA      | $3654670.25   | 0.05%             | 2064-10-25      | Variable      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2014-35, Class CA                                                   | CUSIP: 3136AKFL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    211054 | PA      | $207123.44    | 0.00%             | 2044-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31407HWN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42699 | PA      | $44796.15     | 0.00%             | 2036-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140MMBG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23395 | PA      | $20254.93     | 0.00%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31402CP30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57954 | PA      | $59184.44     | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Constellation Brands, Inc.                             | Constellation Brands, Inc., Class A                                              | CUSIP: 21036P108<br>LEI: 5493005GKEG8QCVY7037 | Long             | EC               | CORP              | US        |    179644 | NS      | $29224485.92  | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418DKQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5318503 | PA      | $4468628.92   | 0.06%             | 2050-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4096, Class DZ                                                     | CUSIP: 3137ATAP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1254535 | PA      | $1186234.88   | 0.02%             | 2042-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K097, Class X1    | CUSIP: 3137FNX70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    835282 | PA      | $31036.49     | 0.00%             | 2029-07-25      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31307WKG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     89164 | PA      | $87824.36     | 0.00%             | 2033-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XMWM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5807311 | PA      | $5809148.02   | 0.08%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K127, Class X1    | CUSIP: 3137FXZ50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16982882 | PA      | $236833.08    | 0.00%             | 2031-01-25      | Variable      | 0.41%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                      | HSBC Holdings plc                                                                | CUSIP: 404280CP2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1215000 | PA      | $1194458.85   | 0.02%             | 2026-03-09      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Magnetite XIX Ltd.                                     | Magnetite XIX Ltd., Series 2017-19A, Class B1RR                                  | CUSIP: 55954KAY1<br>LEI: 5493000OP4ZUZOOM1U45 | Long             | ABS-CBDO         | CORP              | KY        |   3285540 | PA      | $3284074.65   | 0.04%             | 2034-04-17      | Floating      | 5.73%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36200AJD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    347511 | PA      | $355530.64    | 0.00%             | 2032-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418CM43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    405761 | PA      | $383171.15    | 0.01%             | 2037-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Nissan Master Owner Trust Receivables                  | Nissan Master Owner Trust Receivables, Series 2024-A, Class A                    | CUSIP: 65479VAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5130663 | PA      | $5134540.24   | 0.07%             | 2028-02-15      | Floating      | 4.97%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K129, Class XAM   | CUSIP: 3137H13T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2518959 | PA      | $153276.14    | 0.00%             | 2031-05-25      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140NGGN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    143063 | PA      | $144248.31    | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3132J87H7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    220576 | PA      | $207526.25    | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140MGEZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    870389 | PA      | $724446.66    | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QQ6V2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    176606 | PA      | $177894.78    | 0.00%             | 2037-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31405GRV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20498 | PA      | $20728.45     | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                 | CUSIP: 36179XQW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    502312 | PA      | $495762.46    | 0.01%             | 2053-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| APA Infrastructure Ltd.                                | APA Infrastructure Ltd.                                                          | CUSIP: 00205GAD9<br>LEI: 261700SS8OEHDOCOUJ33 | Long             | DBT              | CORP              | AU        |    777000 | PA      | $773448.40    | 0.01%             | 2027-07-15      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XHY92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2178169 | PA      | $1806836.17   | 0.02%             | 2052-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ICON plc                                               | ICON plc                                                                         | CUSIP: N/A<br>LEI: 6354008SRQGEMC4XFI67       | Long             | EC               | CORP              | IE        |    264874 | NS      | $38525923.30  | 0.50%             |  |  |  | No            |                  1 | On Loan: No      |
| Hyundai Auto Lease Securitization Trust                | Hyundai Auto Lease Securitization Trust, Series 2025-B, Class A2A                | CUSIP: 44935DAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4945000 | PA      | $4961891.63   | 0.06%             | 2027-09-15      | Fixed         | 4.58%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31410F5D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    286085 | PA      | $290039.94    | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fiserv, Inc.                                           | Fiserv, Inc.                                                                     | CUSIP: 337738108<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | EC               | CORP              | US        |    306206 | NS      | $52792976.46  | 0.69%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138WFPH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2372645 | PA      | $2202634.06   | 0.03%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133BWMK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    720203 | PA      | $721061.54    | 0.01%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133BNU84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1119035 | PA      | $1072752.56   | 0.01%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XJ5L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    853563 | PA      | $709192.51    | 0.01%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3132J4MM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    945900 | PA      | $913215.88    | 0.01%             | 2037-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31406B2L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119387 | PA      | $122158.92    | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31419JSM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    503042 | PA      | $486064.25    | 0.01%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                        | Intercontinental Exchange, Inc.                                                  | CUSIP: 45866FAK0<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |   6569000 | PA      | $5884641.58   | 0.08%             | 2030-06-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138WFUW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    819079 | PA      | $760390.49    | 0.01%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                       | Boeing Co. (The)                                                                 | CUSIP: 097023105<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | EC               | CORP              | US        |    132596 | NS      | $27782839.88  | 0.36%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3132J9V88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    744003 | PA      | $672807.22    | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133KRS54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    726304 | PA      | $629710.70    | 0.01%             | 2053-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140KNN79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13102 | PA      | $10959.75     | 0.00%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138WEXT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    596143 | PA      | $553676.52    | 0.01%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31402CU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97782 | PA      | $98885.04     | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179XFH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14547635 | PA      | $14045146.24  | 0.18%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418EB74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    889711 | PA      | $669197.58    | 0.01%             | 2052-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K137, Class XAM   | CUSIP: 3137H5DT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  23600379 | PA      | $645982.49    | 0.01%             | 2031-12-25      | Variable      | 0.60%                 | No            |                  2 | On Loan: No      |
| Exelon Corp.                                           | Exelon Corp.                                                                     | CUSIP: 30161NAX9<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |   4954000 | PA      | $4873468.32   | 0.06%             | 2030-04-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36295PM90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    184900 | PA      | $193008.20    | 0.00%             | 2038-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138E55N4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92583 | PA      | $87054.90     | 0.00%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418CV68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    672319 | PA      | $647297.38    | 0.01%             | 2038-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DQZG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1448760 | PA      | $1449703.63   | 0.02%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36202F3N4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    436546 | PA      | $417443.48    | 0.01%             | 2042-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Greystone CRE Notes LLC                                | Greystone CRE Notes LLC, Series 2025-FL4, Class AS                               | CUSIP: 39810MAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2031000 | PA      | $2026369.32   | 0.03%             | 2043-01-15      | Floating      | 6.45%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31406ANH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34756 | PA      | $35743.13     | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138YWJX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1365200 | PA      | $1266730.35   | 0.02%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | UMBS, 30 Year, Single Family                                                     | CUSIP: 01F030678<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5925000 | PA      | $5125957.70   | 0.07%             | 2055-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd.                                | Rockford Tower CLO Ltd., Series 2020-1A, Class A2RR                              | CUSIP: 77341EBC8<br>LEI: 5493009YDNBJVFWX7747 | Long             | ABS-CBDO         | CORP              | KY        |  18536627 | PA      | $18393097.90  | 0.24%             | 2036-01-20      | Floating      | 5.57%                 | Yes           |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                           | Pacific Gas and Electric Co.                                                     | CUSIP: 694308JW8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   4250000 | PA      | $4036224.70   | 0.05%             | 2028-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138EJQT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    356843 | PA      | $354380.68    | 0.00%             | 2042-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31417G2Y1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1739685 | PA      | $1629820.22   | 0.02%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31407YD63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87551 | PA      | $91497.89     | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | U.S. Treasury 5 Year Note                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       747 | NC      | $761185.53    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3132QSWK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    620660 | PA      | $577557.25    | 0.01%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128P8FJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1344847 | PA      | $1268883.10   | 0.02%             | 2038-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Johnson & Johnson                                      | Johnson & Johnson                                                                | CUSIP: 478160104<br>LEI: 549300G0CFPGEF6X2043 | Long             | EC               | CORP              | US        |    811217 | NS      | $123913396.75 | 1.62%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31405MZF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89955 | PA      | $90643.18     | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31417YRW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54036 | PA      | $54707.56     | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                        | Goldman Sachs Group, Inc. (The)                                                  | CUSIP: 38141GXG4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  10264000 | PA      | $9485729.74   | 0.12%             | 2030-02-07      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31416QUP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131933 | PA      | $133721.34    | 0.00%             | 2039-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Northwell Healthcare, Inc.                             | Northwell Healthcare, Inc.                                                       | CUSIP: 667274AC8<br>LEI: 54930073NUTKK4QD3P47 | Long             | DBT              | CORP              | US        |   3585000 | PA      | $2849827.38   | 0.04%             | 2047-11-01      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | UMBS, 30 Year, Single Family                                                     | CUSIP: 01F020679<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $3165550.40   | 0.04%             | 2055-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Pfizer, Inc.                                           | Pfizer, Inc.                                                                     | CUSIP: 717081103<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | EC               | CORP              | US        |   5013805 | NS      | $121534633.20 | 1.59%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWE33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    160451 | PA      | $138933.71    | 0.00%             | 2052-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Empire District Bondco LLC                             | Empire District Bondco LLC, Series A-1                                           | CUSIP: 291918AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4007784 | PA      | $4035577.56   | 0.05%             | 2033-01-01      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138AM6S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88008 | PA      | $81009.78     | 0.00%             | 2041-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Corebridge Financial, Inc.                             | Corebridge Financial, Inc.                                                       | CUSIP: 21871XAH2<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |  10497000 | PA      | $9852597.36   | 0.13%             | 2032-04-05      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179RBW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    575106 | PA      | $517285.71    | 0.01%             | 2045-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QSEC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    627078 | PA      | $628552.83    | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                             | AerCap Ireland Capital DAC                                                       | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |  12829000 | PA      | $12498993.09  | 0.16%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                              | CUSIP: 912810TZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14000000 | PA      | $13527500.00  | 0.18%             | 2044-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XFLN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3163151 | PA      | $2785642.08   | 0.04%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31389MRC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68099 | PA      | $70335.97     | 0.00%             | 2032-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Marriott International, Inc.                           | Marriott International, Inc., Series FF                                          | CUSIP: 571903BE2<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |   6341000 | PA      | $6356011.56   | 0.08%             | 2030-06-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Diageo Capital plc                                     | Diageo Capital plc                                                               | CUSIP: 25243YBB4<br>LEI: 213800L23DJLALFC4O95 | Long             | DBT              | CORP              | GB        |   7901000 | PA      | $7333120.76   | 0.10%             | 2029-10-24      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Spectra Energy Partners LP                             | Spectra Energy Partners LP                                                       | CUSIP: 84756NAH2<br>LEI: 2HKVXE7U4NF5B6UGSU72 | Long             | DBT              | CORP              | US        |   2527000 | PA      | $2491584.88   | 0.03%             | 2026-10-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Provident Funding Mortgage Trust                       | Provident Funding Mortgage Trust, Series 2025-2, Class A4                        | CUSIP: 74389DAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13695654 | PA      | $13710744.29  | 0.18%             | 2055-06-25      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138X13A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    936161 | PA      | $877821.01    | 0.01%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138EH3F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1054138 | PA      | $1018341.40   | 0.01%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K112, Class XAM   | CUSIP: 3137FUZZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4048749 | PA      | $290450.37    | 0.00%             | 2030-05-25      | Variable      | 1.77%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128LXE30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     99558 | PA      | $101119.52    | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO XV                                | Neuberger Berman CLO XV, Series 2013-15A, Class BR2                              | CUSIP: 64129KBG1<br>LEI: 549300UTI4Y2IA4RUP16 | Long             | ABS-CBDO         | CORP              | KY        |   5618950 | PA      | $5620950.35   | 0.07%             | 2029-10-15      | Floating      | 5.87%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128KTMG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42120 | PA      | $44241.57     | 0.00%             | 2037-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133KMET8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    434551 | PA      | $376227.43    | 0.00%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140A6M78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5582905 | PA      | $5693562.33   | 0.07%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133KMZB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2571328 | PA      | $2158703.12   | 0.03%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Diamondback Energy, Inc.                               | Diamondback Energy, Inc.                                                         | CUSIP: 25278XAZ2<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |   4479000 | PA      | $4492254.48   | 0.06%             | 2034-04-18      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31405KMM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112939 | PA      | $116649.09    | 0.00%             | 2034-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36241KAL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27530 | PA      | $28152.10     | 0.00%             | 2034-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179XNF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7038298 | PA      | $6954863.27   | 0.09%             | 2052-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                             | CUSIP: 31381TQQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    786885 | PA      | $784364.91    | 0.01%             | 2027-01-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133C47J7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66331 | PA      | $66369.18     | 0.00%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138WGHU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    719252 | PA      | $667280.61    | 0.01%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179TLR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3398929 | PA      | $3042307.53   | 0.04%             | 2047-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K136, Class XAM   | CUSIP: 3137H4SM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  40016231 | PA      | $1214908.78   | 0.02%             | 2031-12-25      | Variable      | 0.66%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust              | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-4, Class MV               | CUSIP: 35563PMN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    806797 | PA      | $696099.20    | 0.01%             | 2059-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31405AAX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52637 | PA      | $53480.85     | 0.00%             | 2034-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31404XS39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    143782 | PA      | $145116.93    | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31419B5X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    774536 | PA      | $748555.85    | 0.01%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QEWL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    928603 | PA      | $783256.81    | 0.01%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Becton Dickinson & Co.                                 | Becton Dickinson & Co.                                                           | CUSIP: 075887109<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | EC               | CORP              | US        |    676531 | NS      | $116532464.75 | 1.52%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418ECZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5434685 | PA      | $4779387.58   | 0.06%             | 2042-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138A2AX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    437870 | PA      | $417466.46    | 0.01%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138EPUM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    210420 | PA      | $209097.72    | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36200NGH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    210385 | PA      | $218332.40    | 0.00%             | 2034-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31410LDU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137674 | PA      | $137234.02    | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LKQ Corp.                                              | LKQ Corp.                                                                        | CUSIP: 501889208<br>LEI: DS830JTTZQN6GK0I2E41 | Long             | EC               | CORP              | US        |   1164248 | NS      | $43088818.48  | 0.56%             |  |  |  | No            |                  1 | On Loan: —       |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31406B2N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81705 | PA      | $83249.77     | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418D4X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1021195 | PA      | $809351.04    | 0.01%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K071, Class X1    | CUSIP: 3137FCLF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  32171981 | PA      | $173899.21    | 0.00%             | 2027-11-25      | Variable      | 0.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31401L6S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64259 | PA      | $65601.52     | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Oncor Electric Delivery Co. LLC                        | Oncor Electric Delivery Co. LLC                                                  | CUSIP: 68233JBK9<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |   3350000 | PA      | $3510033.25   | 0.05%             | 2029-03-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179SJS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    279159 | PA      | $250611.18    | 0.00%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ready Capital Mortgage Financing LLC                   | Ready Capital Mortgage Financing LLC, Series 2021-FL7, Class B                   | CUSIP: 75575WAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3695000 | PA      | $3675202.93   | 0.05%             | 2036-11-25      | Floating      | 6.23%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31404BNP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66067 | PA      | $67510.78     | 0.00%             | 2034-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31404UV64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    311304 | PA      | $324870.33    | 0.00%             | 2034-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138ENSU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    185073 | PA      | $183967.67    | 0.00%             | 2043-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133KNF99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    958380 | PA      | $795089.12    | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138ER5E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    890696 | PA      | $858605.84    | 0.01%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                               | UnitedHealth Group, Inc.                                                         | CUSIP: 91324PFB3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   7182000 | PA      | $7179241.97   | 0.09%             | 2034-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QKY77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1163687 | PA      | $1027688.26   | 0.01%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US Foods Holding Corp.                                 | US Foods Holding Corp.                                                           | CUSIP: 912008109<br>LEI: 549300UGOZSO64CFPR97 | Long             | EC               | CORP              | US        |    177171 | NS      | $13643938.71  | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                              | CUSIP: 91282CKX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  90800000 | PA      | $92488312.50  | 1.21%             | 2029-06-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWF40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    504049 | PA      | $483121.54    | 0.01%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31405N2Z7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92906 | PA      | $93215.74     | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31417AYE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2033872 | PA      | $1961850.67   | 0.03%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3131XVRK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2644855 | PA      | $2438984.61   | 0.03%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                               | Angel Oak Mortgage Trust, Series 2024-9, Class A1                                | CUSIP: 03466JAA7<br>LEI: 254900O3R79X1AD55F36 | Long             | ABS-MBS          | CORP              | US        |   5402707 | PA      | $5373994.57   | 0.07%             | 2069-09-25      | Variable      | 5.14%                 | Yes           |                  2 | On Loan: No      |
| Johnson Controls International plc                     | Johnson Controls International plc                                               | CUSIP: N/A<br>LEI: 549300XQ6S1GYKGBL205       | Long             | EC               | CORP              | IE        |   1076757 | NS      | $113727074.34 | 1.49%             |  |  |  | No            |                  1 | On Loan: No      |
| Realty Income Corp.                                    | Realty Income Corp.                                                              | CUSIP: 756109AX2<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |   1504000 | PA      | $1409742.00   | 0.02%             | 2031-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Dwight Issuer LLC                                      | Dwight Issuer LLC, Series 2025-FL1, Class A                                      | CUSIP: 233636AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8383500 | PA      | $8367780.94   | 0.11%             | 2042-09-18      | Floating      | 5.96%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418EP38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    417952 | PA      | $418837.57    | 0.01%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179XFG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1896276 | PA      | $1772237.12   | 0.02%             | 2052-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31297DH68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50299 | PA      | $52004.26     | 0.00%             | 2034-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                 | Santander Drive Auto Receivables Trust, Series 2025-1, Class A2                  | CUSIP: 80288DAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8696552 | PA      | $8699401.48   | 0.11%             | 2027-08-16      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179XBW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     72287 | PA      | $72989.78     | 0.00%             | 2052-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3132WDYH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1441324 | PA      | $1289959.11   | 0.02%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 312945AM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1126632 | PA      | $1089131.62   | 0.01%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133BSYV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    457430 | PA      | $449735.25    | 0.01%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138AEEF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    184764 | PA      | $186987.04    | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4623, Class WI                                                     | CUSIP: 3137BSLS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    103270 | PA      | $9251.83      | 0.00%             | 2044-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BXMT Ltd.                                              | BXMT Ltd., Series 2021-FL4, Class AS                                             | CUSIP: 05609GAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  16816500 | PA      | $16388291.37  | 0.21%             | 2038-05-15      | Floating      | 5.73%                 | Yes           |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                              | CUSIP: 91282CKJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  61600000 | PA      | $62367593.90  | 0.81%             | 2027-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31400HAZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17664 | PA      | $17664.84     | 0.00%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Glencore plc                                           | Glencore plc                                                                     | CUSIP: N/A<br>LEI: 2138002658CPO9NBH955       | Long             | EC               | CORP              | JE        |   3938927 | NS      | $15333594.47  | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| Deutsche Bank AG                                       | Deutsche Bank AG                                                                 | CUSIP: 25160PAN7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   2814000 | PA      | $2885098.41   | 0.04%             | 2027-07-13      | Variable      | 7.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XGQ69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3316477 | PA      | $2902217.07   | 0.04%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                   | JPMorgan Chase & Co.                                                             | CUSIP: 46647PEH5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   4397000 | PA      | $4619439.04   | 0.06%             | 2035-04-22      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| Warner Bros Discovery, Inc.                            | Warner Bros Discovery, Inc.                                                      | CUSIP: 934423104<br>LEI: 5493006ZCRFWKF6B1K26 | Long             | EC               | CORP              | US        |   1795337 | NS      | $20574562.02  | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 3618N5EV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10165583 | PA      | $10186685.91  | 0.13%             | 2055-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Philip Morris International, Inc.                      | Philip Morris International, Inc.                                                | CUSIP: 718172CX5<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   5435000 | PA      | $5745869.50   | 0.08%             | 2032-11-17      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31405FXF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50507 | PA      | $51602.24     | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31292JAL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47589 | PA      | $48210.85     | 0.00%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                           | Pacific Gas and Electric Co.                                                     | CUSIP: 694308JG3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   6416000 | PA      | $5569417.78   | 0.07%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2591672 | PA      | $2202976.32   | 0.03%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| STWD Ltd.                                              | STWD Ltd., Series 2022-FL3, Class AS                                             | CUSIP: 78485KAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  17154000 | PA      | $17031275.14  | 0.22%             | 2038-11-15      | Floating      | 6.10%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWBN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    147054 | PA      | $110610.00    | 0.00%             | 2051-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133BRZA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    494920 | PA      | $474415.93    | 0.01%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31405T3U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74083 | PA      | $76755.63     | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179TLS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2127460 | PA      | $1965133.93   | 0.03%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418ECH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3446782 | PA      | $3070660.89   | 0.04%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BANK                                                   | BANK, Series 2023-BNK46, Class A4                                                | CUSIP: 06541DBH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16647021 | PA      | $17431518.52  | 0.23%             | 2056-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2013-64, Class KI                                                   | CUSIP: 3136AEXM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82933 | PA      | $4893.78      | 0.00%             | 2033-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31417SBP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75640 | PA      | $76603.44     | 0.00%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36202DYK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50026 | PA      | $50380.76     | 0.00%             | 2033-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Waste Management, Inc.                                 | Waste Management, Inc.                                                           | CUSIP: 94106LBW8<br>LEI: 549300YX8JIID70NFS41 | Long             | DBT              | CORP              | US        |  19470000 | PA      | $19737209.01  | 0.26%             | 2034-02-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138WDKV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    580694 | PA      | $552106.40    | 0.01%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                              | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  44658400 | PA      | $27278257.73  | 0.36%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)               | PNC Financial Services Group, Inc. (The)                                         | CUSIP: 693475105<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | EC               | CORP              | US        |    307838 | NS      | $57387159.96  | 0.75%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133KYWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4609783 | PA      | $3959517.06   | 0.05%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418EVA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    628529 | PA      | $639827.13    | 0.01%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31405RVK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31230 | PA      | $31327.64     | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                              | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8150000 | PA      | $7435283.22   | 0.10%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                              | CUSIP: 912810RP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    215000 | PA      | $163794.73    | 0.00%             | 2045-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179XHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6960540 | PA      | $6517777.29   | 0.09%             | 2052-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Marriott International, Inc.                           | Marriott International, Inc., Series HH                                          | CUSIP: 571903BG7<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |     23000 | PA      | $20884.49     | 0.00%             | 2031-04-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Stellantis Financial Underwritten Enhanced Lease Trust | Stellantis Financial Underwritten Enhanced Lease Trust, Series 2025-AA, Class A2 | CUSIP: 858928AB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6112176 | PA      | $6126869.06   | 0.08%             | 2027-07-20      | Fixed         | 4.63%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                         | Morgan Stanley                                                                   | CUSIP: 61747YEL5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   9699000 | PA      | $8656300.66   | 0.11%             | 2033-01-21      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| Travelers Cos., Inc. (The)                             | Travelers Cos., Inc. (The)                                                       | CUSIP: 89417E109<br>LEI: 549300Y650407RU8B149 | Long             | EC               | CORP              | US        |     88448 | NS      | $23663377.92  | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31296UUQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     81266 | PA      | $81322.54     | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Regal Rexnord Corp.                                    | Regal Rexnord Corp.                                                              | CUSIP: 758750103<br>LEI: QH78R09VCJGQKPBPYU33 | Long             | EC               | CORP              | US        |    264188 | NS      | $38296692.48  | 0.50%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31419EJE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160028 | PA      | $162018.52    | 0.00%             | 2040-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31297B7K2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43072 | PA      | $44142.76     | 0.00%             | 2034-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                             | Verus Securitization Trust, Series 2024-8, Class A1                              | CUSIP: 92540PAA6<br>LEI: 213800RZ8QGNZ38DSP77 | Long             | ABS-MBS          | CORP              | US        |   2157203 | PA      | $2155906.75   | 0.03%             | 2069-10-25      | Variable      | 5.36%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133BHQL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    371617 | PA      | $366260.02    | 0.00%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QEFD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    493487 | PA      | $449494.76    | 0.01%             | 2040-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Home Equity Loan Trust                                 | Home Equity Loan Trust, Series 2005-HS2, Class AI3                               | CUSIP: 76110VSS8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    140906 | PA      | $2214.55      | 0.00%             | 2035-12-25      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132A92F3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48506 | PA      | $49318.28     | 0.00%             | 2028-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Hess Corp.                                             | Hess Corp.                                                                       | CUSIP: 42809H107<br>LEI: UASVRYNXNK17ULIGK870 | Long             | EC               | CORP              | US        |    710386 | NS      | $98416876.44  | 1.29%             |  |  |  | No            |                  1 | On Loan: No      |
| Magna International, Inc.                              | Magna International, Inc.                                                        | CUSIP: 559222AV6<br>LEI: 95RWVLFZX6VGDZNNTN43 | Long             | DBT              | CORP              | CA        |   5772000 | PA      | $5221848.28   | 0.07%             | 2030-06-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179W7K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7719461 | PA      | $6830528.56   | 0.09%             | 2052-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Altria Group, Inc.                                     | Altria Group, Inc.                                                               | CUSIP: 02209S103<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | EC               | CORP              | US        |    320571 | NS      | $18795077.73  | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3131WGVK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65973 | PA      | $67705.51     | 0.00%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31411GSU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27178 | PA      | $28268.62     | 0.00%             | 2037-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Aon Corp.                                              | Aon Corp.                                                                        | CUSIP: 037389BB8<br>LEI: LTS3U8DGK38SETRUWX71 | Long             | DBT              | CORP              | US        |   6567000 | PA      | $6598811.01   | 0.09%             | 2028-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31404AHA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16310 | PA      | $16653.10     | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36202DZE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     74346 | PA      | $73880.52     | 0.00%             | 2033-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K132, Class X1    | CUSIP: 3137H3EX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5114887 | PA      | $132312.91    | 0.00%             | 2031-08-25      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| Arrow Electronics, Inc.                                | Arrow Electronics, Inc.                                                          | CUSIP: 04273WAC5<br>LEI: 549300YNNLBXT8N8R512 | Long             | DBT              | CORP              | US        |   9040000 | PA      | $7935803.69   | 0.10%             | 2032-02-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3131WHAE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17581 | PA      | $17835.32     | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWBS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    208323 | PA      | $156772.14    | 0.00%             | 2051-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QM3U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    692166 | PA      | $553323.05    | 0.01%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| General Dynamics Corp.                                 | General Dynamics Corp.                                                           | CUSIP: 369550108<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | EC               | CORP              | US        |    147037 | NS      | $42884811.42  | 0.56%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2010-43, Class AH                                                   | CUSIP: 31398RDA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158032 | PA      | $150742.13    | 0.00%             | 2040-05-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fairfax Financial Holdings Ltd.                        | Fairfax Financial Holdings Ltd.                                                  | CUSIP: 303901BL5<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |  13592000 | PA      | $13959223.90  | 0.18%             | 2032-08-16      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31407CD53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99134 | PA      | $100525.18    | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418EBH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    402468 | PA      | $330919.74    | 0.00%             | 2042-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138ERCZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    531364 | PA      | $512220.67    | 0.01%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36202EBT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24094 | PA      | $23907.20     | 0.00%             | 2034-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DNBC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    601369 | PA      | $521562.24    | 0.01%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31403SG42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106177 | PA      | $107879.43    | 0.00%             | 2034-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Verisk Analytics, Inc.                                 | Verisk Analytics, Inc.                                                           | CUSIP: 92345YAF3<br>LEI: 549300I1YSWNIRKBWP67 | Long             | DBT              | CORP              | US        |   2596000 | PA      | $2578546.81   | 0.03%             | 2029-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Anglo American Capital plc                             | Anglo American Capital plc                                                       | CUSIP: 034863AX8<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |  14011000 | PA      | $12667051.99  | 0.17%             | 2030-09-10      | Fixed         | 2.62%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWC84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    477187 | PA      | $413728.50    | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31410LK35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    387982 | PA      | $374001.58    | 0.00%             | 2042-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Sammons Financial Group, Inc.                          | Sammons Financial Group, Inc.                                                    | CUSIP: 79588TAF7<br>LEI: 254900SHCOQLVJ21CT59 | Long             | DBT              | CORP              | US        |  10957000 | PA      | $11731461.14  | 0.15%             | 2034-04-15      | Fixed         | 6.88%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133BB3C1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    932735 | PA      | $848561.86    | 0.01%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31404CMC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30825 | PA      | $31424.74     | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | UMBS, 15 Year, Single Family                                                     | CUSIP: 01F020471<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13275000 | PA      | $12127452.85  | 0.16%             | 2040-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XJTN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38203 | PA      | $38911.67     | 0.00%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LoanCore Issuer Ltd.                                   | LoanCore Issuer Ltd., Series 2021-CRE5, Class AS                                 | CUSIP: 53947XAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  16915500 | PA      | $16909523.75  | 0.22%             | 2036-07-15      | Floating      | 6.18%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179WXK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2239973 | PA      | $1982614.27   | 0.03%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418EBR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7012383 | PA      | $5565802.07   | 0.07%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | UMBS, 15 Year, Single Family                                                     | CUSIP: 01F022477<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3175000 | PA      | $2963745.28   | 0.04%             | 2040-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36290RRX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2418 | PA      | $2379.96      | 0.00%             | 2033-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Southern Co. (The)                                     | Southern Co. (The)                                                               | CUSIP: 842587107<br>LEI: 549300FC3G3YU2FBZD92 | Long             | EC               | CORP              | US        |    240009 | NS      | $22040026.47  | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133KMSR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    889471 | PA      | $706414.09    | 0.01%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QMZG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43668 | PA      | $36663.55     | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3132XVEW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    417541 | PA      | $368634.32    | 0.00%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                   | Mitsubishi UFJ Financial Group, Inc.                                             | CUSIP: 606822CD4<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   8693000 | PA      | $7700821.32   | 0.10%             | 2033-01-19      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress LLC                               | Duke Energy Progress LLC                                                         | CUSIP: 26442UAH7<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |   5272000 | PA      | $5128819.97   | 0.07%             | 2029-03-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31385XQ91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    231593 | PA      | $237045.49    | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MF1                                                    | MF1, Series 2024-FL16, Class A                                                   | CUSIP: 55287EAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  17590246 | PA      | $17623259.37  | 0.23%             | 2039-11-18      | Floating      | 5.86%                 | Yes           |                  2 | On Loan: No      |
| Bain Capital Credit CLO Ltd.                           | Bain Capital Credit CLO Ltd., Series 2022-2A, Class BR                           | CUSIP: 05682GAU2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8838526 | PA      | $8838526.00   | 0.12%             | 2035-04-22      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| BAE Systems plc                                        | BAE Systems plc                                                                  | CUSIP: 05523RAD9<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |   2846000 | PA      | $2715792.60   | 0.04%             | 2030-04-15      | Fixed         | 3.40%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31417GQH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1228039 | PA      | $1151376.85   | 0.02%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133C6X38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1435568 | PA      | $1409806.81   | 0.02%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418EAM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101495 | PA      | $80475.58     | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3132JNDC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1151383 | PA      | $1078825.30   | 0.01%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K069, Class XAM   | CUSIP: 3137FBUB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  30183000 | PA      | $211483.23    | 0.00%             | 2027-09-25      | Variable      | 0.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QKNN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18751825 | PA      | $15557158.91  | 0.20%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140MKFU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3702438 | PA      | $3205470.62   | 0.04%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC                         | Enterprise Fleet Financing LLC, Series 2024-4, Class A2                          | CUSIP: 29374MAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2360000 | PA      | $2363153.90   | 0.03%             | 2027-07-20      | Fixed         | 4.69%                 | Yes           |                  2 | On Loan: No      |
| Eni SpA                                                | Eni SpA, Series X-R                                                              | CUSIP: 26874RAE8<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |  11589000 | PA      | $11714446.52  | 0.15%             | 2028-09-12      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179XHV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6797215 | PA      | $6015538.93   | 0.08%             | 2052-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31404GLP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16310 | PA      | $16571.36     | 0.00%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31297UKW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     54640 | PA      | $55501.44     | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ELM Trust                                              | ELM Trust, Series 2024-ELM, Class B10                                            | CUSIP: 26860XBA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8492449 | PA      | $8558622.16   | 0.11%             | 2039-06-10      | Variable      | 6.20%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K070, Class XAM   | CUSIP: 3137FCJP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  29308000 | PA      | $187187.27    | 0.00%             | 2027-12-25      | Variable      | 0.38%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                   | Glencore Funding LLC                                                             | CUSIP: 378272AY4<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |   5139000 | PA      | $4630426.52   | 0.06%             | 2030-09-01      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Philip Morris International, Inc.                      | Philip Morris International, Inc.                                                | CUSIP: 718172CV9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   2847000 | PA      | $2903950.08   | 0.04%             | 2027-11-17      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| TRTX Issuer Ltd.                                       | TRTX Issuer Ltd., Series 2021-FL4, Class A                                       | CUSIP: 87276WAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7028028 | PA      | $7003127.89   | 0.09%             | 2038-03-15      | Floating      | 5.63%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418ECQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2741617 | PA      | $2279112.77   | 0.03%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133KMBC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    486589 | PA      | $403688.37    | 0.01%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWDJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2665611 | PA      | $2215664.52   | 0.03%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31404BKC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    326103 | PA      | $334665.65    | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Electricite de France SA                               | Electricite de France SA                                                         | CUSIP: 28504DAD5<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | NUSS              | FR        |   2221000 | PA      | $2370012.35   | 0.03%             | 2053-05-23      | Fixed         | 6.90%                 | Yes           |                  2 | On Loan: No      |
| Brazos Securitization LLC                              | Brazos Securitization LLC                                                        | CUSIP: 106230AB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5403000 | PA      | $5379986.89   | 0.07%             | 2040-09-01      | Fixed         | 5.24%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418ECY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7603966 | PA      | $6524258.83   | 0.09%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QMCQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114355 | PA      | $99715.51     | 0.00%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| New Jersey Turnpike Authority                          | New Jersey Turnpike Authority                                                    | CUSIP: 646139W35<br>LEI: 5493005YN67D71KSMI84 | Long             | DBT              | MUN               | US        |   5815000 | PA      | $6949184.93   | 0.09%             | 2040-01-01      | Fixed         | 7.41%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128PTJ63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       800 | PA      | $797.17       | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CNH Industrial Capital LLC                             | CNH Industrial Capital LLC                                                       | CUSIP: 12592BAL8<br>LEI: 549300PNSJ5B81UMVO28 | Long             | DBT              | CORP              | US        |   1459000 | PA      | $1437135.62   | 0.02%             | 2026-01-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3131WGQD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30274 | PA      | $31367.36     | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31297CNS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42322 | PA      | $43532.06     | 0.00%             | 2034-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MF1 Ltd.                                               | MF1 Ltd., Series 2022-FL8, Class B                                               | CUSIP: 55284JAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7392231 | PA      | $7258019.13   | 0.09%             | 2037-02-19      | Floating      | 6.27%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128MJS43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    356679 | PA      | $334719.73    | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31404SKL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35233 | PA      | $36314.49     | 0.00%             | 2034-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140X7LA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    421730 | PA      | $350531.13    | 0.00%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36202FP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    275143 | PA      | $263106.99    | 0.00%             | 2041-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Interpublic Group of Cos., Inc. (The)                  | Interpublic Group of Cos., Inc. (The)                                            | CUSIP: 460690100<br>LEI: 5493008IUOJ5VWTRC333 | Long             | EC               | CORP              | US        |    174831 | NS      | $4279862.88   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Fairfax Financial Holdings Ltd.                        | Fairfax Financial Holdings Ltd.                                                  | CUSIP: 303901BN1<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |    337000 | PA      | $351488.86    | 0.00%             | 2033-12-07      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31405KD73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    139773 | PA      | $140739.72    | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Voya Ltd.                                              | Voya Ltd., Series 2012-4A, Class A2R3                                            | CUSIP: 92916GBF0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6439259 | PA      | $6442298.33   | 0.08%             | 2030-10-15      | Floating      | 5.97%                 | Yes           |                  2 | On Loan: No      |
| Enel Finance International NV                          | Enel Finance International NV                                                    | CUSIP: 29278GAZ1<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |   2896000 | PA      | $2913025.50   | 0.04%             | 2025-10-14      | Fixed         | 7.05%                 | Yes           |                  2 | On Loan: No      |
| Xcel Energy, Inc.                                      | Xcel Energy, Inc.                                                                | CUSIP: 98389BAY6<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |   3122000 | PA      | $2961808.71   | 0.04%             | 2030-06-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140MHS34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4369700 | PA      | $3665647.06   | 0.05%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31419BBY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    232312 | PA      | $231521.50    | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                           | UBS Group AG                                                                     | CUSIP: 902613AE8<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |  19698000 | PA      | $17038296.85  | 0.22%             | 2032-02-11      | Variable      | 2.10%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31407HWY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27760 | PA      | $29035.29     | 0.00%             | 2036-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2013-1, Class YI                                                    | CUSIP: 3136ABC35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    397765 | PA      | $28648.11     | 0.00%             | 2033-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                   | JPMorgan Chase & Co.                                                             | CUSIP: 46647PAN6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2687000 | PA      | $2121902.03   | 0.03%             | 2049-01-23      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31408DV50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60474 | PA      | $63201.68     | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| McKesson Corp.                                         | McKesson Corp.                                                                   | CUSIP: 58155Q103<br>LEI: 549300WZWOM80UCFSF54 | Long             | EC               | CORP              | US        |     61893 | NS      | $45353952.54  | 0.59%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31404QW70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89900 | PA      | $90557.85     | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140X54P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2848515 | PA      | $2393455.57   | 0.03%             | 2050-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fiserv, Inc.                                           | Fiserv, Inc.                                                                     | CUSIP: 337738BC1<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |   2308000 | PA      | $2115272.49   | 0.03%             | 2030-06-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31385W2A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108157 | PA      | $111709.62    | 0.00%             | 2033-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31402XTB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6832 | PA      | $7056.71      | 0.00%             | 2033-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Amdocs Ltd.                                            | Amdocs Ltd.                                                                      | CUSIP: N/A<br>LEI: 549300HQV672RJ7RQV66       | Long             | EC               | CORP              | GG        |    301364 | NS      | $27496451.36  | 0.36%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XEAG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1154937 | PA      | $999910.55    | 0.01%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust            | MF1 Multifamily Housing Mortgage Loan Trust, Series 2021-FL5, Class AS           | CUSIP: 55282XAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  16626241 | PA      | $16586404.64  | 0.22%             | 2036-07-15      | Floating      | 5.63%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31296YLB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46609 | PA      | $48554.45     | 0.00%             | 2034-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418CRF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    720326 | PA      | $676376.55    | 0.01%             | 2037-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133D3L45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    667179 | PA      | $607399.57    | 0.01%             | 2040-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2017-C34, Class A4    | CUSIP: 61767EAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4195516 | PA      | $4097796.56   | 0.05%             | 2052-11-15      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179NJA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1369860 | PA      | $1280792.86   | 0.02%             | 2043-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418D7E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    840526 | PA      | $667365.19    | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31404LSA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60037 | PA      | $60042.43     | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                      | GLS Auto Receivables Issuer Trust, Series 2025-2A, Class A2                      | CUSIP: 37989BAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2002000 | PA      | $2003391.59   | 0.03%             | 2028-03-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Medtronic plc                                          | Medtronic plc                                                                    | CUSIP: N/A<br>LEI: 549300GX3ZBSQWUXY261       | Long             | EC               | CORP              | IE        |   1607049 | NS      | $140086461.33 | 1.83%             |  |  |  | No            |                  1 | On Loan: No      |
| Air Products and Chemicals, Inc.                       | Air Products and Chemicals, Inc.                                                 | CUSIP: 009158106<br>LEI: 7QEON6Y1RL5XR3R1W237 | Long             | EC               | CORP              | US        |     60624 | NS      | $17099605.44  | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 31334YPZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    611890 | PA      | $523040.93    | 0.01%             | 2048-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31406V2P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39693 | PA      | $40258.36     | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36200NTS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     83874 | PA      | $83107.17     | 0.00%             | 2034-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Northwell Healthcare, Inc.                             | Northwell Healthcare, Inc.                                                       | CUSIP: 667274AA2<br>LEI: 54930073NUTKK4QD3P47 | Long             | DBT              | CORP              | US        |    490000 | PA      | $376685.74    | 0.00%             | 2046-11-01      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31417AYG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    205351 | PA      | $198079.16    | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Marathon Petroleum Corp.                               | Marathon Petroleum Corp.                                                         | CUSIP: 56585AAH5<br>LEI: 3BNYRYQHD39K4LCKQF12 | Long             | DBT              | CORP              | US        |   2685000 | PA      | $2233231.83   | 0.03%             | 2044-09-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31406FCH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20325 | PA      | $20564.94     | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138AA5A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    391526 | PA      | $389549.02    | 0.01%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust               | AmeriCredit Automobile Receivables Trust, Series 2024-1, Class A2A               | CUSIP: 023947AB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2805509 | PA      | $2811798.02   | 0.04%             | 2028-02-18      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36291F4X3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11575 | PA      | $11907.80     | 0.00%             | 2034-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31404QM71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    118140 | PA      | $121067.45    | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31296XVE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32532 | PA      | $32785.66     | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138EHGM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    454790 | PA      | $439156.49    | 0.01%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 312934M58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    314645 | PA      | $318978.05    | 0.00%             | 2039-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138EQ5E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    410912 | PA      | $408584.00    | 0.01%             | 2042-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Aon plc                                                | Aon plc, Class A                                                                 | CUSIP: N/A<br>LEI: 635400FALWQYX5E6QC64       | Long             | EC               | CORP              | IE        |    300606 | NS      | $107244196.56 | 1.40%             |  |  |  | No            |                  1 | On Loan: No      |
| Philip Morris International, Inc.                      | Philip Morris International, Inc.                                                | CUSIP: 718172109<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | EC               | CORP              | US        |    617993 | NS      | $112555065.09 | 1.47%             |  |  |  | No            |                  1 | On Loan: No      |
| LLC                                                    | LLC, Series 2025-FL19, Class A                                                   | CUSIP: 55287KAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7619439 | PA      | $7628951.87   | 0.10%             | 2042-05-18      | Floating      | 5.80%                 | Yes           |                  2 | On Loan: No      |
| Willis Towers Watson plc                               | Willis Towers Watson plc                                                         | CUSIP: N/A<br>LEI: 549300WHC56FF48KL350       | Long             | EC               | CORP              | IE        |    273180 | NS      | $83729670.00  | 1.09%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179WY85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4670733 | PA      | $3804354.57   | 0.05%             | 2052-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31404SGA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23040 | PA      | $23675.89     | 0.00%             | 2034-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.                  | Sumitomo Mitsui Financial Group, Inc.                                            | CUSIP: 86562MCN8<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |  16151000 | PA      | $15163980.90  | 0.20%             | 2029-01-14      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36202FPG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    298240 | PA      | $295924.82    | 0.00%             | 2041-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Affirm Asset Securitization Trust                      | Affirm Asset Securitization Trust, Series 2025-X1, Class A                       | CUSIP: 00834MAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1880890 | PA      | $1882650.95   | 0.02%             | 2030-04-15      | Fixed         | 5.08%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QN6T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2612778 | PA      | $2264514.16   | 0.03%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                  | Global Payments, Inc.                                                            | CUSIP: 37940XAE2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   6442000 | PA      | $6290668.79   | 0.08%             | 2026-03-01      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                   | Charter Communications Operating LLC                                             | CUSIP: 161175BZ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6422000 | PA      | $4659120.22   | 0.06%             | 2041-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ERAC USA Finance LLC                                   | ERAC USA Finance LLC                                                             | CUSIP: 26882PBE1<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |   2559000 | PA      | $2936660.24   | 0.04%             | 2037-10-15      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Experian Finance plc                                   | Experian Finance plc                                                             | CUSIP: 30217AAB9<br>LEI: 635400RKRK5EGXSPC782 | Long             | DBT              | CORP              | GB        |   3787000 | PA      | $3777577.87   | 0.05%             | 2029-02-01      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Walt Disney Co. (The)                                  | Walt Disney Co. (The)                                                            | CUSIP: 254687FY7<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |   7354000 | PA      | $6036496.48   | 0.08%             | 2040-05-13      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31416XV64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97911 | PA      | $98967.97     | 0.00%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31405HBL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24922 | PA      | $25462.48     | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XGQ36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7128600 | PA      | $6171871.53   | 0.08%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Dryden XXVI Senior Loan Fund                           | Dryden XXVI Senior Loan Fund, Series 2013-26A, Class AR                          | CUSIP: 26250UAQ8<br>LEI: 549300ENU7ZZLTPT3E22 | Long             | ABS-CBDO         | CORP              | KY        |   2575968 | PA      | $2576423.95   | 0.03%             | 2029-04-15      | Floating      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                   | JPMorgan Chase & Co.                                                             | CUSIP: 46647PCR5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  14206000 | PA      | $12506166.58  | 0.16%             | 2032-11-08      | Variable      | 2.54%                 | No            |                  2 | On Loan: No      |
| Boston Properties LP                                   | Boston Properties LP                                                             | CUSIP: 10112RBE3<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |   3985000 | PA      | $3361809.48   | 0.04%             | 2032-04-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                          | Comcast Corp., Class A                                                           | CUSIP: 20030N101<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | EC               | CORP              | US        |   3127913 | NS      | $111635214.97 | 1.46%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133KMY58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    289109 | PA      | $241063.97    | 0.00%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XJKC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72477 | PA      | $66398.59     | 0.00%             | 2036-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable Enterprises LLC                      | Time Warner Cable Enterprises LLC                                                | CUSIP: 88731EAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6188000 | PA      | $7205830.40   | 0.09%             | 2033-07-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138WAFE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    181808 | PA      | $178455.86    | 0.00%             | 2028-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133KLHG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1145269 | PA      | $866063.15    | 0.01%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3132JADZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    357206 | PA      | $323469.75    | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133AYUA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1518945 | PA      | $1264026.96   | 0.02%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3132GRL58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    868911 | PA      | $816772.05    | 0.01%             | 2042-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                      | Duke Energy Corp.                                                                | CUSIP: 26441CAS4<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   1167000 | PA      | $1145080.48   | 0.01%             | 2026-09-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418EAN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2194236 | PA      | $1825842.46   | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Booking Holdings, Inc.                                 | Booking Holdings, Inc.                                                           | CUSIP: 09857LAR9<br>LEI: FXM8FAOHMYDIPD38UZ17 | Long             | DBT              | CORP              | US        |   4337000 | PA      | $4386834.08   | 0.06%             | 2030-04-13      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2221926 | PA      | $1767924.87   | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Las Vegas Sands Corp.                                  | Las Vegas Sands Corp.                                                            | CUSIP: 517834AF4<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |   2476000 | PA      | $2357435.25   | 0.03%             | 2029-08-08      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                   | Charter Communications Operating LLC                                             | CUSIP: 161175BL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1311000 | PA      | $1137830.68   | 0.01%             | 2047-05-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                     | T-Mobile USA, Inc.                                                               | CUSIP: 87264AAZ8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   6819000 | PA      | $5638309.04   | 0.07%             | 2050-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K131, Class XAM   | CUSIP: 3137H2NA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4010843 | PA      | $199599.60    | 0.00%             | 2031-07-25      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| Jersey Central Power & Light Co.                       | Jersey Central Power & Light Co.                                                 | CUSIP: 476556DD4<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |   2792000 | PA      | $2447588.01   | 0.03%             | 2032-03-01      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128MJMS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86342 | PA      | $86251.27     | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133C2SM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    613660 | PA      | $614151.48    | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31419LZZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    633090 | PA      | $611855.16    | 0.01%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                   | Glencore Funding LLC                                                             | CUSIP: 378272BE7<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |   2163000 | PA      | $1950140.64   | 0.03%             | 2031-04-27      | Fixed         | 2.85%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133BXSM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1210635 | PA      | $1190217.77   | 0.02%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QDT38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2061134 | PA      | $1734166.42   | 0.02%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179WJS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    917021 | PA      | $812264.88    | 0.01%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                         | Morgan Stanley                                                                   | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  18260000 | PA      | $16837845.46  | 0.22%             | 2031-01-22      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| Diageo plc                                             | Diageo plc                                                                       | CUSIP: N/A<br>LEI: 213800ZVIELEA55JMJ32       | Long             | EC               | CORP              | GB        |    860985 | NS      | $21603871.80  | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| GLS Auto Select Receivables Trust                      | GLS Auto Select Receivables Trust, Series 2023-1A, Class A2                      | CUSIP: 36267FAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1250413 | PA      | $1252081.09   | 0.02%             | 2027-08-16      | Fixed         | 6.27%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31419CSC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60709 | PA      | $60570.90     | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K114, Class XAM   | CUSIP: 3137FVNL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3687431 | PA      | $215376.58    | 0.00%             | 2030-06-25      | Variable      | 1.44%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128KQ3H7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    126202 | PA      | $132456.39    | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140NEEH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    564696 | PA      | $556122.19    | 0.01%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140MMU55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    401026 | PA      | $347197.84    | 0.00%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                  | Bank of America Corp.                                                            | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  11068000 | PA      | $9754904.10   | 0.13%             | 2032-10-20      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31385XF93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    167804 | PA      | $171609.07    | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179WR34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1237820 | PA      | $1095359.97   | 0.01%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31412WHE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19769 | PA      | $20418.83     | 0.00%             | 2037-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                      | Wells Fargo & Co.                                                                | CUSIP: 949746101<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | EC               | CORP              | US        |    451994 | NS      | $36213759.28  | 0.47%             |  |  |  | No            |                  1 | On Loan: No      |
| BSPRT Issuer Ltd.                                      | BSPRT Issuer Ltd., Series 2022-FL8, Class B                                      | CUSIP: 055983AE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5979000 | PA      | $5955172.49   | 0.08%             | 2037-02-15      | Floating      | 6.35%                 | Yes           |                  2 | On Loan: No      |
| Brixmor Operating Partnership LP                       | Brixmor Operating Partnership LP                                                 | CUSIP: 11120VAH6<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    535000 | PA      | $526065.46    | 0.01%             | 2029-05-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31407J4F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8852 | PA      | $9129.22      | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XDY67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3416102 | PA      | $2865160.35   | 0.04%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K066, Class XAM   | CUSIP: 3137F2LN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  39273000 | PA      | $524094.26    | 0.01%             | 2027-06-25      | Variable      | 0.78%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                           | Verizon Communications, Inc.                                                     | CUSIP: 92343VFE9<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   3222000 | PA      | $3053826.29   | 0.04%             | 2030-03-22      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                           | Verizon Communications, Inc.                                                     | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   2662000 | PA      | $2387516.26   | 0.03%             | 2031-03-21      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Philip Morris International, Inc.                      | Philip Morris International, Inc.                                                | CUSIP: 718172DA4<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   4629000 | PA      | $4762435.97   | 0.06%             | 2030-02-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| OBX Trust                                              | OBX Trust, Series 2025-NQM1, Class A1                                            | CUSIP: 673914AC1<br>LEI: 2549007E8KF1RJ2ZV866 | Long             | ABS-MBS          | CORP              | US        |   4601680 | PA      | $4617873.19   | 0.06%             | 2064-12-25      | Variable      | 5.55%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K122, Class XAM   | CUSIP: 3137F84L4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4320889 | PA      | $218842.23    | 0.00%             | 2030-11-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWD67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23472 | PA      | $20342.76     | 0.00%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36200MJ79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    309730 | PA      | $317674.13    | 0.00%             | 2033-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                              | HCA, Inc.                                                                        | CUSIP: 404119BY4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   5387000 | PA      | $5066362.47   | 0.07%             | 2039-06-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QQQM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1123428 | PA      | $1076666.37   | 0.01%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K154, Class X1    | CUSIP: 3137FDEU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  23658049 | PA      | $362297.00    | 0.00%             | 2032-11-25      | Variable      | 0.43%                 | No            |                  2 | On Loan: No      |
| Ashtead Capital, Inc.                                  | Ashtead Capital, Inc.                                                            | CUSIP: 04505AAA7<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |  13340000 | PA      | $13509837.81  | 0.18%             | 2032-08-11      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3132WH5Q4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2061551 | PA      | $1845051.53   | 0.02%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140MHS42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1994353 | PA      | $1669819.77   | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31292HVC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    130596 | PA      | $135014.87    | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GMACM Home Equity Loan Trust                           | GMACM Home Equity Loan Trust, Series 2006-HE3, Class A3                          | CUSIP: 38012TAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    125531 | PA      | $124530.48    | 0.00%             | 2036-10-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138LQ2S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    324221 | PA      | $312672.15    | 0.00%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31371J5A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13783 | PA      | $14264.27     | 0.00%             | 2031-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Cognizant Technology Solutions Corp.                   | Cognizant Technology Solutions Corp., Class A                                    | CUSIP: 192446102<br>LEI: 5493006IEVQEFQO40L83 | Long             | EC               | CORP              | US        |    451273 | NS      | $35212832.19  | 0.46%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418EAP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27163 | PA      | $23516.74     | 0.00%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                   | JPMorgan Chase & Co.                                                             | CUSIP: 46625H100<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | EC               | CORP              | US        |    384397 | NS      | $111440534.27 | 1.46%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138A5GN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    615113 | PA      | $594416.87    | 0.01%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Cigna Group (The)                                      | Cigna Group (The)                                                                | CUSIP: 125523CJ7<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   1517000 | PA      | $1161622.16   | 0.02%             | 2040-03-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Masco Corp.                                            | Masco Corp.                                                                      | CUSIP: 574599BQ8<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | DBT              | CORP              | US        |  12460000 | PA      | $10716597.05  | 0.14%             | 2031-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Kubota Credit Owner Trust                              | Kubota Credit Owner Trust, Series 2023-2A, Class A2                              | CUSIP: 500945AB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    374627 | PA      | $375019.98    | 0.00%             | 2026-07-15      | Fixed         | 5.61%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140A1F51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1798289 | PA      | $1829053.82   | 0.02%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                     | T-Mobile USA, Inc.                                                               | CUSIP: 87264ACA1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   5846000 | PA      | $5525544.79   | 0.07%             | 2028-02-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31376KS98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42276 | PA      | $44181.86     | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K066, Class X1    | CUSIP: 3137F2LL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11752312 | PA      | $132326.33    | 0.00%             | 2027-06-25      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31292HYT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    320170 | PA      | $324360.21    | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Martin Marietta Materials, Inc.                        | Martin Marietta Materials, Inc., Series CB                                       | CUSIP: 573284AV8<br>LEI: 5299005MZ4WZECVATV08 | Long             | DBT              | CORP              | US        |    586000 | PA      | $537710.97    | 0.01%             | 2030-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                              | CUSIP: 912810TV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $19818750.00  | 0.26%             | 2053-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3132WJUV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    818234 | PA      | $755328.95    | 0.01%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31407PYP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41742 | PA      | $43625.26     | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                         | Morgan Stanley                                                                   | CUSIP: 617446448<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | EC               | CORP              | US        |    371312 | NS      | $52303008.32  | 0.68%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418EBG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    187810 | PA      | $179063.29    | 0.00%             | 2037-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Stellantis Finance US, Inc.                            | Stellantis Finance US, Inc.                                                      | CUSIP: 85855CAB6<br>LEI: 549300QZ0AI8Q7LNON33 | Long             | DBT              | CORP              | US        |   9598000 | PA      | $8111390.16   | 0.11%             | 2031-09-15      | Fixed         | 2.69%                 | Yes           |                  2 | On Loan: No      |
| PPG Industries, Inc.                                   | PPG Industries, Inc.                                                             | CUSIP: 693506107<br>LEI: 549300BKPEP01R3V6C59 | Long             | EC               | CORP              | US        |    504879 | NS      | $57429986.25  | 0.75%             |  |  |  | No            |                  1 | On Loan: No      |
| T-Mobile US, Inc.                                      | T-Mobile US, Inc.                                                                | CUSIP: 872590104<br>LEI: 549300QHIJYOHPACPG31 | Long             | EC               | CORP              | US        |     37721 | NS      | $8987405.46   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418EDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    997273 | PA      | $829036.41    | 0.01%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140KSJQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10324463 | PA      | $7774347.35   | 0.10%             | 2051-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3132J93Z9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    398180 | PA      | $358837.59    | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Axalta Coating Systems Ltd.                            | Axalta Coating Systems Ltd.                                                      | CUSIP: N/A<br>LEI: 529900AGLPA40GV6H619       | Long             | EC               | CORP              | BM        |   1104425 | NS      | $32790378.25  | 0.43%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWBU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32787 | PA      | $27351.72     | 0.00%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138WHNH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2575675 | PA      | $2378916.13   | 0.03%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133C52T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    862597 | PA      | $849004.04    | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31404U5K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    261375 | PA      | $268641.94    | 0.00%             | 2034-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AGCO Corp.                                             | AGCO Corp.                                                                       | CUSIP: 001084102<br>LEI: LYOM0B2GCF1JWXK5ZG04 | Long             | EC               | CORP              | US        |    257324 | NS      | $26545543.84  | 0.35%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31405TBK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61703 | PA      | $63389.99     | 0.00%             | 2034-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PRM Trust                                              | PRM Trust, Series 2025-PRM6, Class A                                             | CUSIP: 74277DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4808434 | PA      | $4767068.48   | 0.06%             | 2033-07-05      | Variable      | 4.48%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K072, Class X1    | CUSIP: 3137FEBS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  48945540 | PA      | $384790.25    | 0.01%             | 2027-12-25      | Variable      | 0.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XJJ61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    216886 | PA      | $203733.50    | 0.00%             | 2037-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31404WXR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34479 | PA      | $36019.88     | 0.00%             | 2034-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31405HL71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49515 | PA      | $51262.24     | 0.00%             | 2034-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133KPFP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    479190 | PA      | $414866.94    | 0.01%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BSPRT Issuer Ltd.                                      | BSPRT Issuer Ltd., Series 2021-FL7, Class B                                      | CUSIP: 05602CAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2794000 | PA      | $2777473.49   | 0.04%             | 2038-12-15      | Floating      | 6.48%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31405MJX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84388 | PA      | $87314.49     | 0.00%             | 2034-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140NFAL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    473566 | PA      | $464950.57    | 0.01%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Kenvue, Inc.                                           | Kenvue, Inc.                                                                     | CUSIP: 49177JAK8<br>LEI: 5493008HSF8L4M2LIJ82 | Long             | DBT              | CORP              | US        |   3446000 | PA      | $3496975.95   | 0.05%             | 2033-03-22      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128M9BH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    109512 | PA      | $111094.57    | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31405FZM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88375 | PA      | $91562.25     | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31385JMS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29067 | PA      | $30021.41     | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| National Grid plc                                      | National Grid plc                                                                | CUSIP: N/A<br>LEI: 8R95QZMKZLJX5Q2XR704       | Long             | EC               | CORP              | GB        |   3739750 | NS      | $54490699.63  | 0.71%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138ETEE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    374740 | PA      | $373541.73    | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128M4ZA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13588 | PA      | $14377.33     | 0.00%             | 2037-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Roche Holding AG                                       | Roche Holding AG                                                                 | CUSIP: N/A<br>LEI: 549300U41AUUVOAAOB37       | Long             | EC               | CORP              | CH        |    130292 | NS      | $42431725.75  | 0.55%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140KFYV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    214135 | PA      | $181308.29    | 0.00%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K071, Class XAM   | CUSIP: 3137FCLH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  47333000 | PA      | $221054.58    | 0.00%             | 2027-11-25      | Variable      | 0.32%                 | No            |                  2 | On Loan: No      |
| American Electric Power Co., Inc.                      | American Electric Power Co., Inc.                                                | CUSIP: 025537AW1<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |   4167000 | PA      | $4417459.79   | 0.06%             | 2032-11-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36202FSD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    217798 | PA      | $208270.06    | 0.00%             | 2041-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                           | Avolon Holdings Funding Ltd.                                                     | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   5539000 | PA      | $5265289.76   | 0.07%             | 2027-11-18      | Fixed         | 2.53%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWDS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7535624 | PA      | $6531869.37   | 0.09%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31402DF54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44206 | PA      | $44551.26     | 0.00%             | 2034-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2016-19, Class AD                                                   | CUSIP: 3136ARB31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    343329 | PA      | $318970.27    | 0.00%             | 2046-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                              | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9015000 | PA      | $5015298.00   | 0.07%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31297GMT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60459 | PA      | $62242.17     | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Rhode Island Student Loan Authority                    | Rhode Island Student Loan Authority                                              | CUSIP: 762323CU5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   8135000 | PA      | $8365654.10   | 0.11%             | 2042-12-01      | Fixed         | 6.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31404S2P9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57620 | PA      | $59162.94     | 0.00%             | 2034-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Exelon Corp.                                           | Exelon Corp.                                                                     | CUSIP: 30161N101<br>LEI: 3SOUA6IRML7435B56G12 | Long             | EC               | CORP              | US        |    716645 | NS      | $31116725.90  | 0.41%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2011-123, Class MA                                                  | CUSIP: 38377YEC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    307428 | PA      | $299123.43    | 0.00%             | 2041-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133KPF52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3219496 | PA      | $3018780.89   | 0.04%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31405DWE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18210 | PA      | $18654.03     | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128MJCL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53940 | PA      | $56587.38     | 0.00%             | 2035-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Cigna Group (The)                                      | Cigna Group (The)                                                                | CUSIP: 125523100<br>LEI: 549300VIWYMSIGT1U456 | Long             | EC               | CORP              | US        |    407267 | NS      | $134634324.86 | 1.76%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138E2LH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    768286 | PA      | $721767.47    | 0.01%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Mohawk Industries, Inc.                                | Mohawk Industries, Inc.                                                          | CUSIP: 608190104<br>LEI: 549300JI1115MG3Q6322 | Long             | EC               | CORP              | US        |    181423 | NS      | $19020387.32  | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| Capital One Financial Corp.                            | Capital One Financial Corp.                                                      | CUSIP: 14040HCN3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |  15546000 | PA      | $14869885.34  | 0.19%             | 2030-03-01      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179TSF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    163508 | PA      | $146660.48    | 0.00%             | 2048-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                              | CUSIP: 912810TX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  58900000 | PA      | $53727843.75  | 0.70%             | 2054-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 3620AFWD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    314976 | PA      | $307943.02    | 0.00%             | 2040-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWJE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27118 | PA      | $26655.47     | 0.00%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31371LEW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94718 | PA      | $95840.94     | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138WD3L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2874133 | PA      | $2674157.84   | 0.03%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWFN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4692007 | PA      | $4226344.70   | 0.06%             | 2052-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Target Corp.                                           | Target Corp.                                                                     | CUSIP: 87612E106<br>LEI: 8WDDFXB5T1Z6J0XC1L66 | Long             | EC               | CORP              | US        |    309103 | NS      | $30493010.95  | 0.40%             |  |  |  | No            |                  1 | On Loan: No      |
| Stanley Black & Decker, Inc.                           | Stanley Black & Decker, Inc.                                                     | CUSIP: 854502101<br>LEI: 549300DJ09SMTO561131 | Long             | EC               | CORP              | US        |    374554 | NS      | $25376033.50  | 0.33%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128MJXK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1873218 | PA      | $1737699.23   | 0.02%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179XX50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3123908 | PA      | $3086370.31   | 0.04%             | 2053-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K067, Class X1    | CUSIP: 3137FAWU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  32061140 | PA      | $306135.80    | 0.00%             | 2027-07-25      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128M9LS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    773127 | PA      | $727139.61    | 0.01%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3132JAJ97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    858684 | PA      | $776333.78    | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QNFR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14142743 | PA      | $11783331.81  | 0.15%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ConocoPhillips                                         | ConocoPhillips                                                                   | CUSIP: 20825C104<br>LEI: WPTL2Z3FIYTHSP5V2253 | Long             | EC               | CORP              | US        |    944809 | NS      | $84787159.66  | 1.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Public Storage Operating Co.                           | Public Storage Operating Co.                                                     | CUSIP: 74460WAG2<br>LEI: 549300LMZF40TKJ6DM64 | Long             | DBT              | CORP              | US        |  14650000 | PA      | $15031558.08  | 0.20%             | 2033-08-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWG98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    176181 | PA      | $176463.85    | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DQDZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2010415 | PA      | $2032325.07   | 0.03%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140A8VZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54408 | PA      | $55335.76     | 0.00%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Roper Technologies, Inc.                               | Roper Technologies, Inc.                                                         | CUSIP: 776743AJ5<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |   3961000 | PA      | $3519844.97   | 0.05%             | 2030-06-30      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                      | HSBC Holdings plc                                                                | CUSIP: 404280CQ0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   2870000 | PA      | $2601509.20   | 0.03%             | 2031-03-09      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Jersey Central Power & Light Co.                       | Jersey Central Power & Light Co., Series WI*                                     | CUSIP: 476556DF9<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |   2318000 | PA      | $2311147.34   | 0.03%             | 2035-01-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                   | JPMorgan Chase & Co.                                                             | CUSIP: 46647PBP0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1458000 | PA      | $1348212.79   | 0.02%             | 2031-05-13      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31297VPS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78853 | PA      | $80219.20     | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BAT International Finance plc                          | BAT International Finance plc                                                    | CUSIP: 05530QAP5<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |  16056000 | PA      | $16081726.85  | 0.21%             | 2028-03-16      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Charles Schwab Corp. (The)                             | Charles Schwab Corp. (The)                                                       | CUSIP: 808513105<br>LEI: 549300VSGCJ7E698NM85 | Long             | EC               | CORP              | US        |   2254855 | NS      | $205732970.20 | 2.69%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31405CJ34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85564 | PA      | $89304.10     | 0.00%             | 2034-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                       | Boeing Co. (The)                                                                 | CUSIP: 097023DT9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   2680000 | PA      | $2933838.56   | 0.04%             | 2054-05-01      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| Brixmor Operating Partnership LP                       | Brixmor Operating Partnership LP                                                 | CUSIP: 11120VAJ2<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |   5070000 | PA      | $4918486.50   | 0.06%             | 2030-07-01      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179XFC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31392 | PA      | $25608.32     | 0.00%             | 2052-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31405VJP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48146 | PA      | $48917.64     | 0.00%             | 2034-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138EPPA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    190400 | PA      | $195873.30    | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31402DJR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    186244 | PA      | $188461.28    | 0.00%             | 2034-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Avery Dennison Corp.                                   | Avery Dennison Corp.                                                             | CUSIP: 053611109<br>LEI: 549300PW7VPFCYKLIV37 | Long             | EC               | CORP              | US        |     62871 | NS      | $11031974.37  | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| Alimentation Couche-Tard, Inc.                         | Alimentation Couche-Tard, Inc.                                                   | CUSIP: 01626PAP1<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |   6827000 | PA      | $5077277.24   | 0.07%             | 2041-05-13      | Fixed         | 3.44%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132A5H32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    361933 | PA      | $319355.87    | 0.00%             | 2048-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWFS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    725503 | PA      | $729671.72    | 0.01%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LLC                                                    | LLC, Series 2025-FL17, Class AS                                                  | CUSIP: 55287HAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  15153744 | PA      | $15043333.82  | 0.20%             | 2040-02-18      | Floating      | 5.89%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6845599 | PA      | $5886316.94   | 0.08%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138A7PB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    253286 | PA      | $252657.79    | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QKQL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1462581 | PA      | $1223032.08   | 0.02%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133BNAD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33376 | PA      | $32870.49     | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36177MPD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    150932 | PA      | $140701.02    | 0.00%             | 2042-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Anglo American Capital plc                             | Anglo American Capital plc                                                       | CUSIP: 034863AW0<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |   4021000 | PA      | $4171280.33   | 0.05%             | 2030-04-01      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140KHW31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    755273 | PA      | $641864.20    | 0.01%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                         | Broadcom, Inc.                                                                   | CUSIP: 11135FAS0<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   4049000 | PA      | $3927510.24   | 0.05%             | 2032-11-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138EQ7L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    911400 | PA      | $879512.24    | 0.01%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Anheuser-Busch InBev Worldwide, Inc.                   | Anheuser-Busch InBev Worldwide, Inc.                                             | CUSIP: 03523TBJ6<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |   9025000 | PA      | $11421034.80  | 0.15%             | 2039-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Organon & Co.                                          | Organon & Co.                                                                    | CUSIP: 68622V106<br>LEI: 549300AMCKY57OK2CO56 | Long             | EC               | CORP              | US        |    492869 | NS      | $4770971.92   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Broadcom, Inc.                                         | Broadcom, Inc.                                                                   | CUSIP: 11135FBV2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   2099000 | PA      | $2037129.69   | 0.03%             | 2037-05-15      | Fixed         | 4.93%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128M9T51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1072280 | PA      | $1036483.21   | 0.01%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 312943UJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    729284 | PA      | $705615.64    | 0.01%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138W9A75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    349918 | PA      | $336585.88    | 0.00%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Enel Finance International NV                          | Enel Finance International NV                                                    | CUSIP: 29278GAC2<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |   1993000 | PA      | $1676719.83   | 0.02%             | 2047-05-25      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWDY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3623941 | PA      | $3012611.02   | 0.04%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31404T5C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39586 | PA      | $40429.60     | 0.00%             | 2034-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31297S5K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44331 | PA      | $45411.85     | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DuPont de Nemours, Inc.                                | DuPont de Nemours, Inc.                                                          | CUSIP: 26614N102<br>LEI: 5493004JF0SDFLM8GD76 | Long             | EC               | CORP              | US        |    535295 | NS      | $36715884.05  | 0.48%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31335ALX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    363721 | PA      | $362891.51    | 0.00%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWL43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18418968 | PA      | $18727673.60  | 0.24%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| L3Harris Technologies, Inc.                            | L3Harris Technologies, Inc.                                                      | CUSIP: 502431109<br>LEI: 549300UTE50ZMDBG8A20 | Long             | EC               | CORP              | US        |    221764 | NS      | $55627281.76  | 0.73%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31406AYE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24657 | PA      | $25396.80     | 0.00%             | 2034-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Keurig Dr Pepper, Inc.                                 | Keurig Dr Pepper, Inc.                                                           | CUSIP: 49271VAJ9<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |    930000 | PA      | $876841.45    | 0.01%             | 2030-05-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179TQP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13076 | PA      | $12075.41     | 0.00%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K125, Class XAM   | CUSIP: 3137F9ZC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6541106 | PA      | $249453.58    | 0.00%             | 2031-01-25      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179SLR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    755620 | PA      | $678307.94    | 0.01%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Targa Resources Corp.                                  | Targa Resources Corp.                                                            | CUSIP: 87612GAC5<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |   7339000 | PA      | $7734601.60   | 0.10%             | 2033-03-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31401KVB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13009 | PA      | $13009.48     | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XHCP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27734 | PA      | $24021.16     | 0.00%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Brown & Brown, Inc.                                    | Brown & Brown, Inc.                                                              | CUSIP: 115236AM3<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |   1787000 | PA      | $1822270.07   | 0.02%             | 2035-06-23      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179USV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    139283 | PA      | $135047.30    | 0.00%             | 2049-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31402RJV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150917 | PA      | $152970.34    | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31297ECL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41906 | PA      | $43118.15     | 0.00%             | 2034-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-40, Class FX                                                   | CUSIP: 38383WQB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2529953 | PA      | $2465047.86   | 0.03%             | 2041-09-20      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K098, Class X1    | CUSIP: 3137FPHM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13111425 | PA      | $522178.25    | 0.01%             | 2029-08-25      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| LPL Holdings, Inc.                                     | LPL Holdings, Inc.                                                               | CUSIP: 50212YAH7<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |   1203000 | PA      | $1283001.70   | 0.02%             | 2028-11-17      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31404LQM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49990 | PA      | $50367.72     | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31296R3K2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    188280 | PA      | $190042.79    | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Lear Corp.                                             | Lear Corp.                                                                       | CUSIP: 521865204<br>LEI: 549300UPNBTXA1SYTQ33 | Long             | EC               | CORP              | US        |    563975 | NS      | $53566345.50  | 0.70%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31404MBT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25321 | PA      | $25846.52     | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31407BTX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23490 | PA      | $23828.88     | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Kenvue, Inc.                                           | Kenvue, Inc.                                                                     | CUSIP: 49177J102<br>LEI: 5493008HSF8L4M2LIJ82 | Long             | EC               | CORP              | US        |   5159266 | NS      | $107983437.38 | 1.41%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133CAKL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    349506 | PA      | $343349.32    | 0.00%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36290RYF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    133888 | PA      | $136829.47    | 0.00%             | 2034-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Agilent Technologies, Inc.                             | Agilent Technologies, Inc.                                                       | CUSIP: 00846U101<br>LEI: QUIX8Y7A2WP0XRMW7G29 | Long             | EC               | CORP              | US        |    288345 | NS      | $34027593.45  | 0.44%             |  |  |  | No            |                  1 | On Loan: No      |
| ARDN Mortgage Trust                                    | ARDN Mortgage Trust, Series 2025-ARCP, Class A                                   | CUSIP: 039961AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14611000 | PA      | $14610926.95  | 0.19%             | 2035-06-15      | Floating      | 6.05%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4471, Class PI                                                     | CUSIP: 3137BJGN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43152 | PA      | $4008.99      | 0.00%             | 2040-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138EKBW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    214805 | PA      | $217477.49    | 0.00%             | 2042-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                  | Global Payments, Inc.                                                            | CUSIP: 37940XAH5<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   3763000 | PA      | $3328278.30   | 0.04%             | 2031-11-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4182, Class QI                                                     | CUSIP: 3137B0ZL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    438828 | PA      | $21659.04     | 0.00%             | 2033-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                      | Duke Energy Corp.                                                                | CUSIP: 26441CBT1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   9846000 | PA      | $9626773.39   | 0.13%             | 2032-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QPKC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23719 | PA      | $20557.01     | 0.00%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140NCLT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126716 | PA      | $124719.70    | 0.00%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36202EBF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    216570 | PA      | $226056.78    | 0.00%             | 2034-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BP Capital Markets America, Inc.                       | BP Capital Markets America, Inc.                                                 | CUSIP: 10373QBT6<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |  12923000 | PA      | $11553932.99  | 0.15%             | 2032-01-12      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DNXJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    960294 | PA      | $796831.69    | 0.01%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                        | Goldman Sachs Group, Inc. (The)                                                  | CUSIP: 38141G104<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | EC               | CORP              | US        |    218288 | NS      | $154493332.00 | 2.02%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31408EW65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75026 | PA      | $77734.31     | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QPAG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2107794 | PA      | $1901136.82   | 0.02%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128M8RP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    102467 | PA      | $103779.85    | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QTNV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21252 | PA      | $21619.77     | 0.00%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K134, Class XAM   | CUSIP: 3137H4CH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  25136487 | PA      | $500155.76    | 0.01%             | 2031-11-25      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138ERQU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    880861 | PA      | $857034.93    | 0.01%             | 2031-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31401XPX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    259547 | PA      | $261901.59    | 0.00%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWC68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1493869 | PA      | $1185845.53   | 0.02%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XHZC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    409281 | PA      | $354716.31    | 0.00%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K118, Class XAM   | CUSIP: 3137F62R7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2196896 | PA      | $116734.05    | 0.00%             | 2030-09-25      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                               | Angel Oak Mortgage Trust, Series 2024-10, Class A1                               | CUSIP: 034933AA9<br>LEI: 254900QN92XYN8GJBJ44 | Long             | ABS-MBS          | CORP              | US        |   9577837 | PA      | $9556659.58   | 0.12%             | 2069-10-25      | Variable      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| ARI Fleet Lease Trust                                  | ARI Fleet Lease Trust, Series 2023-B, Class A2                                   | CUSIP: 04033GAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2279014 | PA      | $2297235.99   | 0.03%             | 2032-07-15      | Fixed         | 6.05%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133KMMG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    619554 | PA      | $513998.00    | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Jersey Central Power & Light Co.                       | Jersey Central Power & Light Co.                                                 | CUSIP: 476556DC6<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |   4141000 | PA      | $4132818.83   | 0.05%             | 2026-01-15      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| Principal Financial Group, Inc.                        | Principal Financial Group, Inc.                                                  | CUSIP: 74251V102<br>LEI: CUMYEZJOAF02RYZ1JJ85 | Long             | EC               | CORP              | US        |    172292 | NS      | $13685153.56  | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140NDJ73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    167073 | PA      | $164136.60    | 0.00%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XCAE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    177450 | PA      | $153633.89    | 0.00%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31404W5H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30153 | PA      | $31088.43     | 0.00%             | 2034-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XGR35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    845342 | PA      | $732656.54    | 0.01%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QEAV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1135335 | PA      | $957323.86    | 0.01%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140HF7H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    290643 | PA      | $245971.17    | 0.00%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QFA66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3457709 | PA      | $2918482.07   | 0.04%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Microsoft Corp.                                        | Microsoft Corp.                                                                  | CUSIP: 594918104<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | EC               | CORP              | US        |    271416 | NS      | $135005032.56 | 1.76%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2012-12, Class KN                                                   | CUSIP: 38378CP92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    210949 | PA      | $211895.87    | 0.00%             | 2041-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XLVH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1688314 | PA      | $1691240.10   | 0.02%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XHHS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4560439 | PA      | $3617407.90   | 0.05%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140FDVW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    689291 | PA      | $616121.55    | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140A1FW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    626992 | PA      | $638176.96    | 0.01%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133BAFE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3668766 | PA      | $3183332.96   | 0.04%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                  | Bank of America Corp.                                                            | CUSIP: 060505104<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | EC               | CORP              | US        |   2730162 | NS      | $129191265.84 | 1.69%             |  |  |  | No            |                  1 | On Loan: No      |
| MF1                                                    | MF1, Series 2024-FL15, Class AS                                                  | CUSIP: 58003MAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8571000 | PA      | $8600461.96   | 0.11%             | 2041-08-18      | Floating      | 6.35%                 | Yes           |                  2 | On Loan: No      |
| Corebridge Financial, Inc.                             | Corebridge Financial, Inc.                                                       | CUSIP: 21871XAS8<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |   4199000 | PA      | $4362423.40   | 0.06%             | 2034-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Charles Schwab Corp. (The)                             | Charles Schwab Corp. (The)                                                       | CUSIP: 808513CE3<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |  12330000 | PA      | $13098297.96  | 0.17%             | 2034-05-19      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3132HQDE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    943493 | PA      | $886581.42    | 0.01%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31417NB67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    175520 | PA      | $177838.71    | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NIKE, Inc.                                             | NIKE, Inc., Class B                                                              | CUSIP: 654106103<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | EC               | CORP              | US        |    199971 | NS      | $14205939.84  | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179X2K1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11148076 | PA      | $10986688.95  | 0.14%             | 2053-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                              | CUSIP: 91282CJT9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  35700000 | PA      | $35785066.32  | 0.47%             | 2027-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2016-40, Class IQ                                                   | CUSIP: 3136ASG67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    628180 | PA      | $116386.83    | 0.00%             | 2046-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31404FYW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28833 | PA      | $29208.28     | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133BX4N8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    532920 | PA      | $523312.56    | 0.01%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Equinix, Inc.                                          | Equinix, Inc.                                                                    | CUSIP: 29444UBS4<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |   6102000 | PA      | $5406258.93   | 0.07%             | 2031-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31404YM82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17964 | PA      | $17965.23     | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO Ltd.                           | Bain Capital Credit CLO Ltd., Series 2020-4A, Class A1R                          | CUSIP: 05684KAS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  11516802 | PA      | $11535228.88  | 0.15%             | 2036-10-20      | Floating      | 6.02%                 | Yes           |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                               | COLT Mortgage Loan Trust, Series 2024-5, Class A1                                | CUSIP: 19685AAA7<br>LEI: 213800AWBXHFGYDU9Q16 | Long             | ABS-MBS          | CORP              | US        |   6164911 | PA      | $6141127.71   | 0.08%             | 2069-08-25      | Variable      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31404RRD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60753 | PA      | $61727.47     | 0.00%             | 2034-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133CF4A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48698 | PA      | $49624.12     | 0.00%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418CLH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1245972 | PA      | $1184564.88   | 0.02%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DNP64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1335725 | PA      | $1108125.79   | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K128, Class XAM   | CUSIP: 3137FYUN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5934811 | PA      | $220750.04    | 0.00%             | 2031-03-25      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO XX Ltd.                           | Neuberger Berman CLO XX Ltd., Series 2015-20A, Class A1R3                        | CUSIP: 64130TBJ3<br>LEI: 549300NPF57YF6WBDP72 | Long             | ABS-CBDO         | CORP              | KY        |   5725000 | PA      | $5732923.40   | 0.07%             | 2039-04-15      | Floating      | 5.47%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133KNEG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3410750 | PA      | $2865052.02   | 0.04%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWE66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6644884 | PA      | $6368062.15   | 0.08%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31416BW87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    518017 | PA      | $515195.26    | 0.01%             | 2034-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                   | Charter Communications Operating LLC                                             | CUSIP: 161175AZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3223000 | PA      | $3385143.88   | 0.04%             | 2035-10-23      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K072, Class XAM   | CUSIP: 3137FEBU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  32765000 | PA      | $246255.19    | 0.00%             | 2027-12-25      | Variable      | 0.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140KE2N7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    207827 | PA      | $176593.44    | 0.00%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31411GNH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119122 | PA      | $125014.41    | 0.00%             | 2037-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PFP Ltd.                                               | PFP Ltd., Series 2025-12, Class AS                                               | CUSIP: 69382JAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  12850500 | PA      | $12823848.06  | 0.17%             | 2042-12-18      | Floating      | 6.06%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132A5HP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    344175 | PA      | $303901.33    | 0.00%             | 2047-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Honeywell International, Inc.                          | Honeywell International, Inc.                                                    | CUSIP: 438516106<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | EC               | CORP              | US        |    213154 | NS      | $49639303.52  | 0.65%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31417F3J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1400211 | PA      | $1312510.71   | 0.02%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                   | JPMorgan Chase & Co.                                                             | CUSIP: 46647PCU8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   5510000 | PA      | $4952558.31   | 0.06%             | 2033-01-25      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| SBNA Auto Lease Trust                                  | SBNA Auto Lease Trust, Series 2024-C, Class A2                                   | CUSIP: 78398DAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    424523 | PA      | $424882.59    | 0.01%             | 2026-11-20      | Fixed         | 4.94%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31405MW52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63173 | PA      | $64978.85     | 0.00%             | 2034-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133CABS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    629728 | PA      | $546123.44    | 0.01%             | 2053-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31297NBF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20172 | PA      | $20778.96     | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133A62T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    178245 | PA      | $158147.45    | 0.00%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138ABYR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    584945 | PA      | $581811.40    | 0.01%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140NAK51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148385 | PA      | $145892.58    | 0.00%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140N24Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1815662 | PA      | $1749265.27   | 0.02%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140NCW21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    681332 | PA      | $652441.83    | 0.01%             | 2053-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140E0X91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1046387 | PA      | $1010644.80   | 0.01%             | 2041-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140KDB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    165667 | PA      | $139392.47    | 0.00%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XCAK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1197367 | PA      | $1005455.51   | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XFGA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3552969 | PA      | $2989207.04   | 0.04%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Verisk Analytics, Inc.                                 | Verisk Analytics, Inc.                                                           | CUSIP: 92345YAH9<br>LEI: 549300I1YSWNIRKBWP67 | Long             | DBT              | CORP              | US        |   4780000 | PA      | $5026564.92   | 0.07%             | 2033-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133C23A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    485737 | PA      | $477516.61    | 0.01%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140M3Y46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33910 | PA      | $28136.97     | 0.00%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                       | Boeing Co. (The)                                                                 | CUSIP: 097023204<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | EP               | CORP              | US        |    338957 | NS      | $23049076.00  | 0.30%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3142GRQ29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41055 | PA      | $41759.41     | 0.00%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Equinix, Inc.                                          | Equinix, Inc.                                                                    | CUSIP: 29444UBG0<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |   4515000 | PA      | $4303883.70   | 0.06%             | 2027-07-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XHKM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2770502 | PA      | $2083894.42   | 0.03%             | 2052-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 3629, Class CZ                                                     | CUSIP: 31398W3B8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    309883 | PA      | $317939.99    | 0.00%             | 2040-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179UWA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    494416 | PA      | $479545.97    | 0.01%             | 2049-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31296XXV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3141 | PA      | $3194.95      | 0.00%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3132GS6D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    585166 | PA      | $550359.10    | 0.01%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179TQN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6841906 | PA      | $6123408.01   | 0.08%             | 2048-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K068, Class X1    | CUSIP: 3137FBBZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16657503 | PA      | $127421.57    | 0.00%             | 2027-08-25      | Variable      | 0.54%                 | No            |                  2 | On Loan: No      |
| Plains All American Pipeline LP                        | Plains All American Pipeline LP                                                  | CUSIP: 72650RBN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5752000 | PA      | $5497318.75   | 0.07%             | 2030-09-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31415PNH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31505 | PA      | $32423.68     | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128MJS35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2362006 | PA      | $2134994.98   | 0.03%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Masco Corp.                                            | Masco Corp.                                                                      | CUSIP: 574599106<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | EC               | CORP              | US        |   1087954 | NS      | $70020719.44  | 0.91%             |  |  |  | No            |                  1 | On Loan: No      |
| East Ohio Gas Co. (The)                                | East Ohio Gas Co. (The)                                                          | CUSIP: 27409LAC7<br>LEI: BC95Y6MXLT75BGO7UM71 | Long             | DBT              | CORP              | US        |   3473000 | PA      | $3087725.11   | 0.04%             | 2030-06-15      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31417AYH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    434162 | PA      | $418607.09    | 0.01%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31371LM63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26746 | PA      | $28204.25     | 0.00%             | 2034-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31404T4V2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37017 | PA      | $37891.93     | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Wendy's Co. (The)                                      | Wendy's Co. (The)                                                                | CUSIP: 95058W100<br>LEI: 529900M0JIUCMWVKHG76 | Long             | EC               | CORP              | US        |    733182 | NS      | $8372938.44   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Northern Trust Corp.                                   | Northern Trust Corp.                                                             | CUSIP: 665859104<br>LEI: 549300GLF98S992BC502 | Long             | EC               | CORP              | US        |    912807 | NS      | $115734799.53 | 1.51%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31307WQ64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21156 | PA      | $20730.90     | 0.00%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Omnicom Group, Inc.                                    | Omnicom Group, Inc.                                                              | CUSIP: 681919106<br>LEI: HKUPACFHSSASQK8HLS17 | Long             | EC               | CORP              | US        |   1200033 | NS      | $86330374.02  | 1.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Avolon Holdings Funding Ltd.                           | Avolon Holdings Funding Ltd.                                                     | CUSIP: 05401AAG6<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   2248000 | PA      | $2234450.00   | 0.03%             | 2026-05-01      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XEAU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3286414 | PA      | $2870537.64   | 0.04%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                              | CUSIP: 91282CAZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  76900000 | PA      | $75664643.80  | 0.99%             | 2025-11-30      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Sabine Pass Liquefaction LLC                           | Sabine Pass Liquefaction LLC                                                     | CUSIP: 785592AX4<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |   1572000 | PA      | $1569370.11   | 0.02%             | 2030-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140F5BK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100286 | PA      | $96383.29     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XDYN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3251019 | PA      | $2735794.54   | 0.04%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128MJMN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    148341 | PA      | $148185.89    | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Union Pacific Corp.                                    | Union Pacific Corp.                                                              | CUSIP: 907818108<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | EC               | CORP              | US        |    328386 | NS      | $75555050.88  | 0.99%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31407B3J6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    177639 | PA      | $180240.98    | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Anglo American Capital plc                             | Anglo American Capital plc                                                       | CUSIP: 034863BB5<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |   1639000 | PA      | $1600796.94   | 0.02%             | 2029-03-16      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138ENAA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    410339 | PA      | $408014.44    | 0.01%             | 2043-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36297GSD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    954585 | PA      | $890766.96    | 0.01%             | 2041-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3132J8ZX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    330729 | PA      | $298873.99    | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Boston Scientific Corp.                                | Boston Scientific Corp.                                                          | CUSIP: 101137BA4<br>LEI: Y6ZDD9FP4P8JSSJMW954 | Long             | DBT              | CORP              | US        |   4819000 | PA      | $4461294.45   | 0.06%             | 2030-06-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Rogers Communications, Inc.                            | Rogers Communications, Inc.                                                      | CUSIP: 775109CH2<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |  16204000 | PA      | $15057684.80  | 0.20%             | 2032-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| NXP Semiconductors NV                                  | NXP Semiconductors NV                                                            | CUSIP: N/A<br>LEI: 724500M9BY5293JDF951       | Long             | EC               | CORP              | NL        |    289581 | NS      | $63270552.69  | 0.83%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179XBT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2524895 | PA      | $2359091.68   | 0.03%             | 2052-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133BAX89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22118 | PA      | $19149.49     | 0.00%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3131WHFH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    134213 | PA      | $136207.22    | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31405FTX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71113 | PA      | $72253.41     | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | U.S. Treasury Ultra Bond                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       407 | NC      | $2019647.96   | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128MJCF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50942 | PA      | $53462.95     | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133KRT61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1955669 | PA      | $1964492.19   | 0.03%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                             | CUSIP: 31381QC53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    626373 | PA      | $627081.54    | 0.01%             | 2026-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179XLG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6709999 | PA      | $6475505.44   | 0.08%             | 2052-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36202EDG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    111475 | PA      | $116360.68    | 0.00%             | 2035-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140K5AX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    410544 | PA      | $345235.28    | 0.00%             | 2050-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31403WKD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29333 | PA      | $29335.29     | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140MBWB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5095060 | PA      | $4419054.70   | 0.06%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140L1Y41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    682330 | PA      | $548875.13    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128M6JU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     70385 | PA      | $71503.42     | 0.00%             | 2036-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                      | Duke Energy Corp.                                                                | CUSIP: 26441C204<br>LEI: I1BZKREC126H0VB1BL91 | Long             | EC               | CORP              | US        |    513081 | NS      | $60543558.00  | 0.79%             |  |  |  | No            |                  1 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                              | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  85600000 | PA      | $85880875.00  | 1.12%             | 2034-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418EGK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66589 | PA      | $63812.33     | 0.00%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Westinghouse Air Brake Technologies Corp.              | Westinghouse Air Brake Technologies Corp.                                        | CUSIP: 960386AM2<br>LEI: 06BTX5UWZD0GQ5N5Y745 | Long             | DBT              | CORP              | US        |   6348000 | PA      | $6384403.94   | 0.08%             | 2028-09-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128P8E23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    264800 | PA      | $261033.80    | 0.00%             | 2037-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31297GXJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42422 | PA      | $43090.19     | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179XQT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    539745 | PA      | $492412.75    | 0.01%             | 2053-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31376KTN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    245698 | PA      | $253571.88    | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3129456V5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63331 | PA      | $62983.76     | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140EU7G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    783946 | PA      | $725679.22    | 0.01%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31297DMD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15124 | PA      | $15636.63     | 0.00%             | 2034-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31405CMV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98867 | PA      | $102701.22    | 0.00%             | 2034-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140NEPE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3734273 | PA      | $3676574.31   | 0.05%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                       | CVS Health Corp.                                                                 | CUSIP: 126650DY3<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   8585000 | PA      | $8657753.67   | 0.11%             | 2033-06-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31407JUK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26077 | PA      | $26823.23     | 0.00%             | 2035-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31388TL68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20606 | PA      | $21282.56     | 0.00%             | 2031-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31296RC55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    179382 | PA      | $183646.66    | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                              | CUSIP: 912810RU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14148000 | PA      | $10416465.00  | 0.14%             | 2046-11-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| CARLYLE US CLO Ltd.                                    | CARLYLE US CLO Ltd., Series 2023-1A, Class A2R                                   | CUSIP: 14318RAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8500000 | PA      | $8500000.00   | 0.11%             | 2037-07-20      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| BSPRT Issuer Ltd.                                      | BSPRT Issuer Ltd., Series 2021-FL6, Class AS                                     | CUSIP: 05601HAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  16867142 | PA      | $16826812.58  | 0.22%             | 2036-03-15      | Floating      | 5.73%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31406TAC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145260 | PA      | $149396.69    | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31405DQU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9160 | PA      | $9316.53      | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31292KER4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72420 | PA      | $76068.63     | 0.00%             | 2037-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138MBH82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    443440 | PA      | $427689.35    | 0.01%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K068, Class XAM   | CUSIP: 3137FBC38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  27934000 | PA      | $202814.81    | 0.00%             | 2027-08-25      | Variable      | 0.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31417EN98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    579041 | PA      | $542952.62    | 0.01%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133CJYF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    271223 | PA      | $276582.38    | 0.00%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133KLLS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    580426 | PA      | $502530.59    | 0.01%             | 2051-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DQFD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    561987 | PA      | $487611.63    | 0.01%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138X6UA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3285388 | PA      | $3078237.24   | 0.04%             | 2043-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31407VTF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60117 | PA      | $62347.62     | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31419HBF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46677 | PA      | $47257.60     | 0.00%             | 2040-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3132L6HF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    764536 | PA      | $728124.66    | 0.01%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Samsung Electronics Co. Ltd.                           | Samsung Electronics Co. Ltd. (Preference)                                        | CUSIP: N/A<br>LEI: 9884007ER46L6N7EI764       | Long             | EC               | CORP              | KR        |    732245 | NS      | $26856940.95  | 0.35%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31371LJS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    242492 | PA      | $247990.37    | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31406S3H4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82413 | PA      | $84791.44     | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Anheuser-Busch InBev Worldwide, Inc.                   | Anheuser-Busch InBev Worldwide, Inc.                                             | CUSIP: 035240AM2<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |   2264000 | PA      | $2112468.58   | 0.03%             | 2038-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Leidos Holdings, Inc.                                  | Leidos Holdings, Inc.                                                            | CUSIP: 525327102<br>LEI: 549300IUTGTP6EJP8124 | Long             | EC               | CORP              | US        |     87506 | NS      | $13804946.56  | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QRQH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1613510 | PA      | $1588835.74   | 0.02%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36290SR29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5425 | PA      | $5374.60      | 0.00%             | 2033-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140KGJG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    480711 | PA      | $405602.51    | 0.01%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Accenture plc                                          | Accenture plc, Class A                                                           | CUSIP: N/A<br>LEI: 5493000EWHDSR3MZWH98       | Long             | EC               | CORP              | IE        |    120142 | NS      | $35909242.38  | 0.47%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K111, Class XAM   | CUSIP: 3137FUZG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8995049 | PA      | $691168.77    | 0.01%             | 2030-05-25      | Variable      | 1.91%                 | No            |                  2 | On Loan: No      |
| Brown & Brown, Inc.                                    | Brown & Brown, Inc.                                                              | CUSIP: 115236AE1<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |   6620000 | PA      | $6333977.21   | 0.08%             | 2032-03-17      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31297BAX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    106569 | PA      | $111696.29    | 0.00%             | 2034-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31297DDQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    220033 | PA      | $229321.22    | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179W2U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13759179 | PA      | $11695450.37  | 0.15%             | 2052-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                               | Angel Oak Mortgage Trust, Series 2024-12, Class A1                               | CUSIP: 034932AA1<br>LEI: 254900S8TF74AZOT0548 | Long             | ABS-MBS          | CORP              | US        |   8599904 | PA      | $8620365.23   | 0.11%             | 2069-10-25      | Variable      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| Aptiv plc                                              | Aptiv plc                                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | JE        |    963254 | NS      | $65713187.88  | 0.86%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36202FPF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1044943 | PA      | $999235.63    | 0.01%             | 2041-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31400RW80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10545 | PA      | $10626.94     | 0.00%             | 2033-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179UQ62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    532960 | PA      | $520494.05    | 0.01%             | 2049-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                              | CUSIP: 912810RT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 161800000 | PA      | $105997961.34 | 1.38%             | 2046-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K132, Class XAM   | CUSIP: 3137H3EZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5075984 | PA      | $227082.77    | 0.00%             | 2031-09-25      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| State Board of Administration Finance Corp.            | State Board of Administration Finance Corp.                                      | CUSIP: 341271AF1<br>LEI: 549300S34SOJ0RULXM35 | Long             | DBT              | MUN               | US        |   3243000 | PA      | $2901676.52   | 0.04%             | 2030-07-01      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179WY93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15519239 | PA      | $13191553.39  | 0.17%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179TUA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    108981 | PA      | $100644.44    | 0.00%             | 2048-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LPL Holdings, Inc.                                     | LPL Holdings, Inc.                                                               | CUSIP: 50212YAF1<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |  13709000 | PA      | $13116543.22  | 0.17%             | 2031-05-15      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Enbridge, Inc.                                         | Enbridge, Inc.                                                                   | CUSIP: 29250NCC7<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |   6670000 | PA      | $6852858.98   | 0.09%             | 2034-04-05      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418ECG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4410203 | PA      | $3788081.18   | 0.05%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Electronic Arts, Inc.                                  | Electronic Arts, Inc.                                                            | CUSIP: 285512109<br>LEI: 549300O7A67PUEYKDL45 | Long             | EC               | CORP              | US        |    241161 | NS      | $38513411.70  | 0.50%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36202DYJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16579 | PA      | $16480.99     | 0.00%             | 2033-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133CDMS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    426439 | PA      | $442152.36    | 0.01%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWFC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1303024 | PA      | $1129047.54   | 0.01%             | 2052-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418CZB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122515 | PA      | $118888.01    | 0.00%             | 2033-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31405MWY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8499 | PA      | $8617.20      | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31417AVY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    208606 | PA      | $195800.50    | 0.00%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31417SBQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93462 | PA      | $94623.87     | 0.00%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DMYS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26934 | PA      | $20292.60     | 0.00%             | 2051-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132A5HG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5411156 | PA      | $5106084.47   | 0.07%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AREIT Trust                                            | AREIT Trust, Series 2022-CRE6, Class B                                           | CUSIP: 04002VAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |  10151500 | PA      | $10074340.68  | 0.13%             | 2037-01-20      | Floating      | 6.15%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31376KHJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38651 | PA      | $40321.74     | 0.00%             | 2034-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 31427NMZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1346316 | PA      | $1393389.52   | 0.02%             | 2054-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31404SM28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25474 | PA      | $25882.02     | 0.00%             | 2034-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Commercial Real Estate Notes Ltd.         | Arbor Realty Commercial Real Estate Notes Ltd., Series 2021-FL3, Class B         | CUSIP: 03880KAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5818000 | PA      | $5794896.72   | 0.08%             | 2034-08-15      | Floating      | 6.03%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31292H5P5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    236326 | PA      | $242015.21    | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XL4T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3778999 | PA      | $3403964.68   | 0.04%             | 2053-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418ET59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114610 | PA      | $112611.38    | 0.00%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2010-113, Class GB                                                  | CUSIP: 31398T7G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    207968 | PA      | $205945.98    | 0.00%             | 2040-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Phillips 66                                            | Phillips 66                                                                      | CUSIP: 718546AW4<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |   9419000 | PA      | $8294673.18   | 0.11%             | 2030-12-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31404P6Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36038 | PA      | $36527.95     | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3132WHJY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3735839 | PA      | $3343468.47   | 0.04%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133BCWD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5315939 | PA      | $4792903.44   | 0.06%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36202EDF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29360 | PA      | $30134.90     | 0.00%             | 2035-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                       | Boeing Co. (The)                                                                 | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   3057000 | PA      | $2931665.42   | 0.04%             | 2050-05-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36202FUF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    138005 | PA      | $136172.17    | 0.00%             | 2041-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140NJXN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1449800 | PA      | $1424764.78   | 0.02%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36200NBM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4396 | PA      | $4361.51      | 0.00%             | 2034-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XKJJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    370715 | PA      | $365121.74    | 0.00%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31419ANB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1669235 | PA      | $1613415.60   | 0.02%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 3620A9WQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    213427 | PA      | $209605.26    | 0.00%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Suncor Energy, Inc.                                    | Suncor Energy, Inc.                                                              | CUSIP: 867224107<br>LEI: 549300W70ZOQDVLCHY06 | Long             | EC               | CORP              | CA        |   1266053 | NS      | $47425271.55  | 0.62%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128MJAD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     45929 | PA      | $48012.86     | 0.00%             | 2034-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Dryden 55 CLO Ltd.                                     | Dryden 55 CLO Ltd., Series 2018-55A, Class A1                                    | CUSIP: 26245MAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4617967 | PA      | $4619499.85   | 0.06%             | 2031-04-15      | Floating      | 5.54%                 | Yes           |                  2 | On Loan: No      |
| AIA Group Ltd.                                         | AIA Group Ltd.                                                                   | CUSIP: 00131LAJ4<br>LEI: ZP5ILWVSYE4LJGMMVD57 | Long             | DBT              | CORP              | HK        |   7948000 | PA      | $7620640.56   | 0.10%             | 2030-04-07      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| NiSource, Inc.                                         | NiSource, Inc.                                                                   | CUSIP: 65473PAH8<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |   3757000 | PA      | $3544379.16   | 0.05%             | 2029-09-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | UMBS, 30 Year, Single Family                                                     | CUSIP: 01F062671<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  17300000 | PA      | $17861845.35  | 0.23%             | 2055-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MSWF Commercial Mortgage Trust                         | MSWF Commercial Mortgage Trust, Series 2023-2, Class A5                          | CUSIP: 55361AAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7477126 | PA      | $8007545.09   | 0.10%             | 2056-12-15      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140X5XN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1188064 | PA      | $997973.59    | 0.01%             | 2050-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138EK6N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    950813 | PA      | $916257.07    | 0.01%             | 2043-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179NF78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1465504 | PA      | $1370065.79   | 0.02%             | 2043-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Targa Resources Corp.                                  | Targa Resources Corp.                                                            | CUSIP: 87612GAA9<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |   2332000 | PA      | $2185084.84   | 0.03%             | 2033-02-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133C1QU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    100911 | PA      | $99299.74     | 0.00%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                           | Verizon Communications, Inc.                                                     | CUSIP: 92343VDR2<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   5693000 | PA      | $5341862.82   | 0.07%             | 2039-03-15      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31405XDY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    296329 | PA      | $304879.80    | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NiSource, Inc.                                         | NiSource, Inc.                                                                   | CUSIP: 65473QBD4<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |   1946000 | PA      | $1897783.10   | 0.02%             | 2045-02-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31371LCC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    224333 | PA      | $223867.33    | 0.00%             | 2033-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Revolving Asset Trust                | Bayview Financial Revolving Asset Trust, Series 2005-E, Class M1                 | CUSIP: 073250BW1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    545607 | PA      | $1115263.18   | 0.01%             | 2040-12-28      | Floating      | 6.04%                 | Yes           |                  2 | On Loan: No      |
| Massachusetts Educational Financing Authority          | Massachusetts Educational Financing Authority, Series 2024A                      | CUSIP: 57563RTX7<br>LEI: 5493007K5OP7V6CL0Y88 | Long             | DBT              | MUN               | US        |   9860000 | PA      | $10134526.06  | 0.13%             | 2049-07-01      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K070, Class X1    | CUSIP: 3137FCJM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  28545670 | PA      | $193031.53    | 0.00%             | 2027-11-25      | Variable      | 0.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31404EPN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34059 | PA      | $34797.10     | 0.00%             | 2034-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                              | CUSIP: 91282CEN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13267600 | PA      | $13032307.34  | 0.17%             | 2027-04-30      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                   | Charter Communications Operating LLC                                             | CUSIP: 161175CK8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5404000 | PA      | $4591195.87   | 0.06%             | 2053-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140NHFH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1457828 | PA      | $1430946.24   | 0.02%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36241L4N3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    380648 | PA      | $369318.22    | 0.00%             | 2040-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4474, Class HJ                                                     | CUSIP: 3137BJF65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    224421 | PA      | $215111.74    | 0.00%             | 2039-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fidelity National Information Services, Inc.           | Fidelity National Information Services, Inc.                                     | CUSIP: 31620M106<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | EC               | CORP              | US        |    477649 | NS      | $38885405.09  | 0.51%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133C1CP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    302750 | PA      | $297280.02    | 0.00%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140MNM37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4063690 | PA      | $3547196.77   | 0.05%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| American Transmission Systems, Inc.                    | American Transmission Systems, Inc.                                              | CUSIP: 030288AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1640000 | PA      | $1442884.74   | 0.02%             | 2032-01-15      | Fixed         | 2.65%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K133, Class XAM   | CUSIP: 3137H4BT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16898337 | PA      | $495307.16    | 0.01%             | 2031-09-25      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138ETDS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1034611 | PA      | $997296.10    | 0.01%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418EE30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3831673 | PA      | $3318637.46   | 0.04%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                              | CUSIP: 91282CEF4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  52800000 | PA      | $51671812.37  | 0.67%             | 2027-03-31      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31404WRQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74358 | PA      | $76310.30     | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132E0QN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1318238 | PA      | $1187726.78   | 0.02%             | 2053-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                               | Benchmark Mortgage Trust, Series 2023-V3, Class A3                               | CUSIP: 08163VAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1190323 | PA      | $1247588.96   | 0.02%             | 2056-07-15      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| Humana, Inc.                                           | Humana, Inc.                                                                     | CUSIP: 444859BV3<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |   4147000 | PA      | $4285659.22   | 0.06%             | 2033-03-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| EQT Corp.                                              | EQT Corp.                                                                        | CUSIP: 26884LAR0<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |   9954000 | PA      | $10292111.80  | 0.13%             | 2034-02-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418ES43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    185498 | PA      | $182191.86    | 0.00%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QKVG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46041 | PA      | $39933.13     | 0.00%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140AAEQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56221 | PA      | $57183.44     | 0.00%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWMG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    266269 | PA      | $239846.68    | 0.00%             | 2054-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418EB90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1021861 | PA      | $849616.35    | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36290SKW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5828 | PA      | $5798.47      | 0.00%             | 2033-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31412V4L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52064 | PA      | $54581.58     | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138EPS47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    262660 | PA      | $253387.97    | 0.00%             | 2043-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Smurfit WestRock plc                                   | Smurfit WestRock plc                                                             | CUSIP: N/A<br>LEI: 635400EGSEOPDW2EXS14       | Long             | EC               | CORP              | IE        |    368355 | NS      | $15894518.25  | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| GLS Auto Select Receivables Trust                      | GLS Auto Select Receivables Trust, Series 2023-2A, Class A2                      | CUSIP: 36269EAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1167114 | PA      | $1176025.50   | 0.02%             | 2028-06-15      | Fixed         | 6.37%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 21H062677<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1925000 | PA      | $1976069.48   | 0.03%             | 2055-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | UMBS, 30 Year, Single Family                                                     | CUSIP: 01F020687<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4025000 | PA      | $3187221.81   | 0.04%             | 2055-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K124, Class XAM   | CUSIP: 3137F9Z38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4767487 | PA      | $215070.40    | 0.00%             | 2031-01-25      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                           | Pacific Gas and Electric Co.                                                     | CUSIP: 694308JF5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1473000 | PA      | $1395072.17   | 0.02%             | 2027-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140APG57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    885556 | PA      | $900522.94    | 0.01%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Henkel AG & Co. KGaA                                   | Henkel AG & Co. KGaA (Preference)                                                | CUSIP: N/A<br>LEI: 549300VZCL1HTH4O4Y49       | Long             | EC               | CORP              | DE        |    500890 | NS      | $39330958.23  | 0.51%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                   | FNMA                                                                             | CUSIP: 31381RTA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    813623 | PA      | $814754.91    | 0.01%             | 2026-07-01      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                           | Barclays plc                                                                     | CUSIP: 06738ECE3<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   8955000 | PA      | $10163476.35  | 0.13%             | 2033-11-02      | Variable      | 7.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140KG4A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    586301 | PA      | $497566.38    | 0.01%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                              | CUSIP: 91282CHQ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30000000 | PA      | $30362109.30  | 0.40%             | 2028-07-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133BBTH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    274151 | PA      | $227434.66    | 0.00%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Parallel Ltd.                                          | Parallel Ltd., Series 2023-1A, Class A2R                                         | CUSIP: 69915NAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6858996 | PA      | $6858996.00   | 0.09%             | 2036-07-20      | Floating      | 6.10%                 | Yes           |                  2 | On Loan: No      |
| Vulcan Materials Co.                                   | Vulcan Materials Co.                                                             | CUSIP: 929160AZ2<br>LEI: 549300Q8LSNHAVWBNI21 | Long             | DBT              | CORP              | US        |   1176000 | PA      | $1125071.17   | 0.01%             | 2030-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418EBS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2632549 | PA      | $2189689.09   | 0.03%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-07-30

**Name of Applicant:** MFS Series Trust V

**Signature:** James Byrne

**Name of Signer:** James Byrne

**Title:** Assistant Treasurer