# EDGAR Filing Document

**Accession Number:** 0001330967
**File Stem:** 0002071691-26-006486
**Filing Date:** 2026-3
**Character Count:** 174372
**Document Hash:** 9821e6a34c0b95653d7da6f15ffda733
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-26-006486.hdr.sgml**: 20260325

**ACCESSION NUMBER**: 0002071691-26-006486

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 4

**CONFORMED PERIOD OF REPORT**: 20260131

**FILED AS OF DATE**: 20260325

**DATE AS OF CHANGE**: 20260325

**PERIOD START**: 20260430

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** MFS SERIES TRUST XII
- **CENTRAL INDEX KEY:** 0001330967

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0430

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-21780
- **FILM NUMBER:** 26789750

**BUSINESS ADDRESS:**
- **STREET 1:** 111 HUNTINGTON AVENUE
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02199
- **BUSINESS PHONE:** 617-954-5000

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

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MFS Series Trust XII
- **DATE OF NAME CHANGE:** 20050622

## Series and Classes Contracts Data

### MFS Core Bond Fund (Series ID: S000076470)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000236386 | R4           | MCBKX           |
| C000236387 | R6           | MCBMX           |
| C000236388 | R3           | MCBJX           |
| C000236389 | A            | MCBEX           |
| C000236390 | R1           | MCBGX           |
| C000236391 | I            | MCBFX           |
| C000236392 | C            | MCBCX           |
| C000236393 | R2           | MCBHX           |

## Nport-Ex

MCB-Q3

![](img4c0e33b61.gif)

**Quarterly Report**

January 31, 2026

MFS<sup>®</sup> Core Bond Fund

![](imgd63534a12.gif)

------

**Portfolio of Investments**

1/31/26 (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 ($)** |
| Bonds – 100.1%  | Bonds – 100.1%  | Bonds – 100.1%  |
| Asset-Backed & Securitized – 20.3% | Asset-Backed & Securitized – 20.3% | Asset-Backed & Securitized – 20.3% |
| Acres PLC, 2026-FL4, "A", 5.2%, 8/18/2044 (n)(w) | $171000 | &nbsp;&nbsp;&nbsp; $171321 |
| Affirm, Inc., 2025-X1, "A", 5.08%, 4/15/2030 (n) | 27106 | &nbsp;&nbsp;&nbsp; 27151 |
| AmeriCredit Automobile Receivables Trust, 2025-1, "A2A", 4.22%, 3/19/2029 (n) | 23000 | &nbsp;&nbsp;&nbsp; 23031 |
| Angel Oak Mortgage Trust, 2024-10, "A1", 5.348%, 10/25/2069 (n) | 83461 | &nbsp;&nbsp;&nbsp; 84044 |
| Angel Oak Mortgage Trust, 2024-12, "A1", 5.653%, 10/25/2069 (n) | 75280 | &nbsp;&nbsp;&nbsp; 76085 |
| Angel Oak Mortgage Trust, 2024-9, "A1", 5.138%, 9/25/2069 (n) | 44620 | &nbsp;&nbsp;&nbsp; 44809 |
| Angel Oak Mortgage Trust, 2025-10, "A1", 4.96%, 9/25/2070 (n) | 47876 | &nbsp;&nbsp;&nbsp; 48039 |
| ARDN Mortgage Trust, 2025-ARCP, "A", FLR, 5.43% (SOFR - 1mo. + 1.75%), 6/15/2035 (n) | 158000 | &nbsp;&nbsp;&nbsp; 158494 |
| ARI Fleet Lease Trust, 2023-B, "A2", 6.05%, 7/15/2032 (n) | 28671 | &nbsp;&nbsp;&nbsp; 28877 |
| AutoNation Finance Trust, 2026-1A, "A2", 3.95%, 1/11/2029 (n) | 38000 | &nbsp;&nbsp;&nbsp; 38029 |
| Bain Capital Credit CLO Ltd., 2020-3A, "BRR", FLR, 5.271% (SOFR - 3mo. + 1.6%), 10/23/2034 (n) | 200000 | &nbsp;&nbsp;&nbsp; 200187 |
| Bain Capital Credit CLO Ltd., 2022-1A, "CR", FLR, 5.518% (SOFR - 3mo. + 1.85%), 10/18/2038 (n) | 250000 | &nbsp;&nbsp;&nbsp; 250534 |
| Bank5, 2025-5YR17, "A3", 5.225%, 11/15/2058  | 74140 | &nbsp;&nbsp;&nbsp; 76519 |
| BDS 2025-FL16 Ltd., "A", FLR, 5.075% (SOFR - 1mo. + 1.4%), 7/19/2043 (n) | 136617 | &nbsp;&nbsp;&nbsp; 136788 |
| Benchmark 2023-V3 Mortgage Trust, "A3", 6.363%, 7/15/2056  | 10878 | &nbsp;&nbsp;&nbsp; 11378 |
| Benchmark 2025-V18 Mortgage Trust, "A3", 5.183%, 10/15/2058  | 72019 | &nbsp;&nbsp;&nbsp; 74246 |
| Business Jet Securities LLC, 2024-1A, "A", 6.197%, 5/15/2039 (n) | 63450 | &nbsp;&nbsp;&nbsp; 64854 |
| BX Trust, 2025-BCAT, "A", FLR, 5.06% (SOFR - 1mo. + 1.38%), 8/15/2042 (n) | 95828 | &nbsp;&nbsp;&nbsp; 95948 |
| Chesapeake Funding II LLC, 2023-1A, "A1", 5.65%, 5/15/2035 (n) | 22955 | &nbsp;&nbsp;&nbsp; 23061 |
| Colt Funding LLC, 2024-5, "A1", 5.123%, 8/25/2069 (n) | 72650 | &nbsp;&nbsp;&nbsp; 72949 |
| Commercial Mortgage Pass-Through Certificates, 2023-BNK46, "A4", 5.745%, 8/15/2056  | 145414 | &nbsp;&nbsp;&nbsp; 153317 |
| Consumers 2023 Securitization Funding LLC, 5.55%, 3/01/2028  | 18955 | &nbsp;&nbsp;&nbsp; 19128 |
| Dryden Senior Loan Fund CLO Ltd., 2019-68A, "BRR", FLR, 5.222% (SOFR - 3mo. + 1.55%), 7/15/2035 (n) | 250000 | &nbsp;&nbsp;&nbsp; 250221 |
| Dryden Senior Loan Fund CLO Ltd., 2020-86A, "BR2", FLR, 5.268% (SOFR - 3mo. + 1.6%), 7/17/2034 (n) | 250000 | &nbsp;&nbsp;&nbsp; 250237 |
| Dryden Senior Loan Fund CLO Ltd., 2022-113A, "AR3", FLR, 4.762% (SOFR - 3mo. + 1.09%), 10/15/2037 (n) | 250000 | &nbsp;&nbsp;&nbsp; 250453 |
| Dwight 2025-FL1 Issuer LLC, "A", FLR, 5.337% (SOFR - 1mo. + 1.662%), 6/18/2042 (n) | 91000 | &nbsp;&nbsp;&nbsp; 91368 |
| ELM Trust, 2024-ELM, "B10", 6.195%, 6/10/2039 (n) | 100000 | &nbsp;&nbsp;&nbsp; 100561 |
| Empire District Bondco LLC, 4.943%, 1/01/2033  | 33218 | &nbsp;&nbsp;&nbsp; 33709 |
| Enterprise Fleet Financing 2023-1 LLC, "A2", 5.51%, 1/22/2029 (n) | 2058 | &nbsp;&nbsp;&nbsp; 2061 |
| Enterprise Fleet Financing 2024-4 LLC, "A2", 4.69%, 7/20/2027 (n) | 33827 | &nbsp;&nbsp;&nbsp; 33943 |
| Enterprise Fleet Financing 2026-1 LLC, "A2", 4%, 10/20/2028 (n) | 77000 | &nbsp;&nbsp;&nbsp; 77068 |
| Greystone Commercial Real Estate Notes, 2025-FL4, "AS", FLR, 5.819% (SOFR - 1mo. + 2.1385%), 1/15/2043 (n) | 100000 | &nbsp;&nbsp;&nbsp; 100245 |
| Hyundai Auto Lease Securitization Trust, 2025-B, "A2A", 4.58%, 9/15/2027 (n) | 85600 | &nbsp;&nbsp;&nbsp; 85939 |
| KREF 2018-FT1 Ltd., "A", FLR, 4.862% ((SOFR - 1mo. + 0.11448%) + 1.07%), 2/15/2039 (n) | 74505 | &nbsp;&nbsp;&nbsp; 74482 |
| LoanCore 2021-CRE5 Ltd., "B", FLR, 5.795% ((SOFR - 1mo. + 0.11448%) + 2.0%), 7/15/2036 (n) | 100000 | &nbsp;&nbsp;&nbsp; 99781 |
| MF1 2021-FL7 Ltd., "AS", FLR, 5.24% ((SOFR - 1mo. + 0.11448%) + 1.45%), 10/16/2036 (n) | 250000 | &nbsp;&nbsp;&nbsp; 249649 |
| MF1 2022-FL10 Ltd., "AS", FLR, 6.86% (SOFR - 1mo. + 3.187%), 9/17/2037 (n) | 250000 | &nbsp;&nbsp;&nbsp; 250000 |
| MF1 2022-FL8 Ltd., "B", FLR, 5.623% (SOFR - 30 day + 1.95%), 2/19/2037 (n) | 100000 | &nbsp;&nbsp;&nbsp; 99813 |
| MF1 2024-FL15 LLC, "AS", FLR, 5.715% (SOFR - 1mo. + 2.04%), 8/18/2041 (n) | 100000 | &nbsp;&nbsp;&nbsp; 100375 |
| MF1 2024-FL16 LLC, "A", FLR, 5.216% (SOFR - 1mo. + 1.541%), 11/18/2039 (n) | 154790 | &nbsp;&nbsp;&nbsp; 155371 |
| MF1 2025-FL19 LLC, "A", FLR, 5.163% (SOFR - 1mo. + 1.4881%), 5/18/2042 (n) | 100000 | &nbsp;&nbsp;&nbsp; 100375 |
| MF1 2025-FL20 LLC, "AS", FLR, 5.375% (SOFR - 1mo. + 1.7%), 2/18/2043 (n) | 164000 | &nbsp;&nbsp;&nbsp; 164410 |
| MF1 2026-FL21 LLC, "AS", FLR, 5.214% (SOFR - 1mo. + 1.55%), 2/18/2041 (n)(w) | 100000 | &nbsp;&nbsp;&nbsp; 100094 |
| Morgan Stanley Residential Mortgage Loan Trust, 2026-NQM1, "A1", 4.809%, 12/25/2070 (n) | 100000 | &nbsp;&nbsp;&nbsp; 100011 |
| Morgan Stanley Residential Mortgage Loan Trust, 2025-NQM10, "A1LC", 5.241%, 11/25/2070 (n) | 100000 | &nbsp;&nbsp;&nbsp; 101080 |
| MSWF Commercial Mortgage Trust, 2023-2, "A5", 6.014%, 12/15/2056  | 69165 | &nbsp;&nbsp;&nbsp; 74560 |
| Nissan Master Owner Trust, 2024-A, "A", FLR, 4.377% (SOFR - 1mo. + 0.67%), 2/15/2028 (n) | 100000 | &nbsp;&nbsp;&nbsp; 100019 |
| OBX Trust, 2024-NQM10, "A2", 6.332%, 5/25/2064 (n) | 60788 | &nbsp;&nbsp;&nbsp; 61507 |
| OBX Trust, 2024-NQM15, "A1", 5.316%, 10/25/2064 (n) | 68649 | &nbsp;&nbsp;&nbsp; 69162 |
| OneMain Financial Issuance Trust, 2022-3A, "A", 5.94%, 5/15/2034 (n) | 18165 | &nbsp;&nbsp;&nbsp; 18220 |
| Palmer Square Loan Funding Ltd., 2024-3A, "A2R", FLR, 4.81% (SOFR - 3mo. + 1.15%), 8/08/2032 (n) | 250000 | &nbsp;&nbsp;&nbsp; 250000 |
| Palmer Square Loan Funding, 2024-3A Ltd., "A-2", FLR, 5.515% (SOFR - 3mo. + 1.65%), 8/08/2032 (n) | 250000 | &nbsp;&nbsp;&nbsp; 250000 |
| PFP III 2024-11 Ltd., "11A", FLR, 5.504% (SOFR - 1mo. + 1.83239%), 9/17/2039 (n) | 77507 | &nbsp;&nbsp;&nbsp; 77659 |
| PFP III 2025-12 Ltd., "AS", FLR, 5.415% (SOFR - 1mo. + 1.7418%), 12/18/2042 (n) | 115500 | &nbsp;&nbsp;&nbsp; 115287 |
| Provident Funding Mortgage Trust, 2025-2, "A4", 5.5%, 6/25/2055 (n) | 103157 | &nbsp;&nbsp;&nbsp; 103908 |
| Santander Drive Auto Receivables Trust, 2025-1, "A2", 4.76%, 8/16/2027  | 3261 | &nbsp;&nbsp;&nbsp; 3262 |

---

------

*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 |
| Shackleton 2019-14A CLO Ltd., "CRR", FLR, 5.568% (SOFR - 3mo. + 1.9%), 7/20/2034 (n) | $250000 | &nbsp;&nbsp;&nbsp; $250808 |
| Stellantis Finance US, Inc., 4.63%, 7/20/2027 (n) | 51686 | &nbsp;&nbsp;&nbsp; 51890 |
| TPG Real Estate Finance, 2025-FL7, "A", FLR, 5.125% (SOFR - 1mo. + 1.45%), 6/18/2043 (n) | 183045 | &nbsp;&nbsp;&nbsp; 183032 |
| Venture CLO 43 Ltd., 2021-43A, "BR", FLR, 5.522% (SOFR - 3mo. + 1.85%), 4/15/2034 (n) | 150000 | &nbsp;&nbsp;&nbsp; 150037 |
| Verus Securitization Trust, 2024-8, "A1", 5.364%, 10/25/2069 (n) | 76630 | &nbsp;&nbsp;&nbsp; 77228 |
| Verus Securitization Trust, 2025-9, "A1", 4.935%, 10/27/2070 (n) | 96813 | &nbsp;&nbsp;&nbsp; 97310 |
| Virginia Power Fuel Securitization LLC, 5.088%, 5/01/2027  | 21644 | &nbsp;&nbsp;&nbsp; 21774 |
| Wells Fargo Commercial Mortgage Trust, 2017-RB1, "A5", 3.635%, 3/15/2050  | 175000 | &nbsp;&nbsp;&nbsp; 171869 |
|  |  | &nbsp;&nbsp;&nbsp; $6877567 |
| Automotive – 0.5% | Automotive – 0.5% | Automotive – 0.5% |
| Stellantis Finance US, Inc., 2.691%, 9/15/2031 (n)  | $200000 | &nbsp;&nbsp;&nbsp; $176177 |
| Broadcasting – 0.2% | Broadcasting – 0.2% | Broadcasting – 0.2% |
| Walt Disney Co., 3.5%, 5/13/2040  | $68000 | &nbsp;&nbsp;&nbsp; $56622 |
| Brokerage & Asset Managers – 1.6% | Brokerage & Asset Managers – 1.6% | Brokerage & Asset Managers – 1.6% |
| Charles Schwab Corp., 5.853% to 5/19/2033, FLR (SOFR - 1 day + 2.5%) to 5/19/2034  | $198000 | &nbsp;&nbsp;&nbsp; $211341 |
| Intercontinental Exchange, Inc., 2.1%, 6/15/2030  | 103000 | &nbsp;&nbsp;&nbsp; 94586 |
| LPL Holdings, Inc., 4.625%, 11/15/2027 (n) | 43000 | &nbsp;&nbsp;&nbsp; 42800 |
| LPL Holdings, Inc., 6.75%, 11/17/2028  | 11000 | &nbsp;&nbsp;&nbsp; 11701 |
| LPL Holdings, Inc., 4.375%, 5/15/2031 (n) | 178000 | &nbsp;&nbsp;&nbsp; 172971 |
|  |  | &nbsp;&nbsp;&nbsp; $533399 |
| Building – 0.3% | Building – 0.3% | Building – 0.3% |
| Masco Corp., 2%, 2/15/2031  | $117000 | &nbsp;&nbsp;&nbsp; $103592 |
| Business Services – 1.3% | Business Services – 1.3% | Business Services – 1.3% |
| Equinix, Inc., 1.8%, 7/15/2027  | $83000 | &nbsp;&nbsp;&nbsp; $80444 |
| Equinix, Inc., 2.5%, 5/15/2031  | 69000 | &nbsp;&nbsp;&nbsp; 62531 |
| Fiserv, Inc., 2.65%, 6/01/2030  | 88000 | &nbsp;&nbsp;&nbsp; 81285 |
| Global Payments, Inc., 1.2%, 3/01/2026  | 87000 | &nbsp;&nbsp;&nbsp; 86807 |
| Global Payments, Inc., 2.9%, 11/15/2031  | 77000 | &nbsp;&nbsp;&nbsp; 69079 |
| Verisk Analytics, Inc., 5.75%, 4/01/2033  | 70000 | &nbsp;&nbsp;&nbsp; 73975 |
|  |  | &nbsp;&nbsp;&nbsp; $454121 |
| Cable TV – 0.6% | Cable TV – 0.6% | Cable TV – 0.6% |
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 6.384%, 10/23/2035  | $69000 | &nbsp;&nbsp;&nbsp; $71317 |
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 5.375%, 5/01/2047  | 66000 | &nbsp;&nbsp;&nbsp; 54188 |
| Time Warner Entertainment Co. LP, 8.375%, 7/15/2033  | 58000 | &nbsp;&nbsp;&nbsp; 66695 |
|  |  | &nbsp;&nbsp;&nbsp; $192200 |
| Computer Software – 0.5% | Computer Software – 0.5% | Computer Software – 0.5% |
| Oracle Corp., 4.9%, 2/06/2033  | $22000 | &nbsp;&nbsp;&nbsp; $21194 |
| Oracle Corp., 5.2%, 9/26/2035  | 88000 | &nbsp;&nbsp;&nbsp; 83864 |
| Roper Technologies, Inc., 2%, 6/30/2030  | 89000 | &nbsp;&nbsp;&nbsp; 80502 |
|  |  | &nbsp;&nbsp;&nbsp; $185560 |
| Consumer Products – 0.2% | Consumer Products – 0.2% | Consumer Products – 0.2% |
| Kenvue, Inc., 4.9%, 3/22/2033  | $60000 | &nbsp;&nbsp;&nbsp; $61091 |
| Electrical Equipment – 0.4% | Electrical Equipment – 0.4% | Electrical Equipment – 0.4% |
| Arrow Electronics, Inc., 2.95%, 2/15/2032  | $147000 | &nbsp;&nbsp;&nbsp; $131650 |
| Electronics – 0.2% | Electronics – 0.2% | Electronics – 0.2% |
| Broadcom, Inc., 4.3%, 11/15/2032  | $63000 | &nbsp;&nbsp;&nbsp; $62138 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Bonds – continued  | Bonds – continued  | Bonds – continued  |
| Energy - Independent – 0.3% | Energy - Independent – 0.3% | Energy - Independent – 0.3% |
| Santos Finance Ltd., 5.75%, 11/13/2035 (n)  | $102000 | &nbsp;&nbsp;&nbsp; $102288 |
| Energy - Integrated – 0.6% | Energy - Integrated – 0.6% | Energy - Integrated – 0.6% |
| Eni S.p.A., 5.5%, 5/15/2034 (n)  | $208000 | &nbsp;&nbsp;&nbsp; $214980 |
| Financial Institutions – 0.9% | Financial Institutions – 0.9% | Financial Institutions – 0.9% |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 2.45%, 10/29/2026  | $150000 | &nbsp;&nbsp;&nbsp; $148314 |
| Avolon Holdings Funding Ltd., 4.375%, 5/01/2026 (n) | 79000 | &nbsp;&nbsp;&nbsp; 79030 |
| Avolon Holdings Funding Ltd., 3.25%, 2/15/2027 (n) | 78000 | &nbsp;&nbsp;&nbsp; 77246 |
|  |  | &nbsp;&nbsp;&nbsp; $304590 |
| Food & Beverages – 1.7% | Food & Beverages – 1.7% | Food & Beverages – 1.7% |
| Anheuser-Busch InBev Worldwide, Inc., 4.375%, 4/15/2038  | $163000 | &nbsp;&nbsp;&nbsp; $154137 |
| Anheuser-Busch InBev Worldwide, Inc., 8%, 11/15/2039  | 123000 | &nbsp;&nbsp;&nbsp; 156580 |
| Diageo Capital PLC, 2.375%, 10/24/2029  | 200000 | &nbsp;&nbsp;&nbsp; 188357 |
| Mars, Inc., 5.2%, 3/01/2035 (n) | 81000 | &nbsp;&nbsp;&nbsp; 82932 |
|  |  | &nbsp;&nbsp;&nbsp; $582006 |
| Gaming & Lodging – 0.7% | Gaming & Lodging – 0.7% | Gaming & Lodging – 0.7% |
| GLP Capital LP/GLP Financing II, Inc., 5.3%, 1/15/2029  | $64000 | &nbsp;&nbsp;&nbsp; $65222 |
| Las Vegas Sands Corp., 3.9%, 8/08/2029  | 65000 | &nbsp;&nbsp;&nbsp; 63343 |
| Marriott International, Inc., 4.625%, 6/15/2030  | 108000 | &nbsp;&nbsp;&nbsp; 109428 |
|  |  | &nbsp;&nbsp;&nbsp; $237993 |
| Insurance – 1.0% | Insurance – 1.0% | Insurance – 1.0% |
| Corebridge Financial, Inc., 3.9%, 4/05/2032  | $82000 | &nbsp;&nbsp;&nbsp; $78101 |
| Corebridge Financial, Inc., 5.75%, 1/15/2034  | 95000 | &nbsp;&nbsp;&nbsp; 99244 |
| Metropolitan Life Global Funding I, 3.3%, 3/21/2029 (n) | 150000 | &nbsp;&nbsp;&nbsp; 146345 |
|  |  | &nbsp;&nbsp;&nbsp; $323690 |
| Insurance - Health – 0.6% | Insurance - Health – 0.6% | Insurance - Health – 0.6% |
| Humana, Inc., 5.875%, 3/01/2033  | $112000 | &nbsp;&nbsp;&nbsp; $115942 |
| UnitedHealth Group, Inc., 5%, 4/15/2034  | 78000 | &nbsp;&nbsp;&nbsp; 78785 |
|  |  | &nbsp;&nbsp;&nbsp; $194727 |
| Insurance - Property & Casualty – 1.0% | Insurance - Property & Casualty – 1.0% | Insurance - Property & Casualty – 1.0% |
| Aon Corp., 4.5%, 12/15/2028  | $61000 | &nbsp;&nbsp;&nbsp; $61835 |
| Brown & Brown, Inc., 4.2%, 3/17/2032  | 84000 | &nbsp;&nbsp;&nbsp; 81187 |
| Brown & Brown, Inc., 5.55%, 6/23/2035  | 19000 | &nbsp;&nbsp;&nbsp; 19440 |
| Fairfax Financial Holdings Ltd., 5.625%, 8/16/2032  | 85000 | &nbsp;&nbsp;&nbsp; 88727 |
| Fairfax Financial Holdings Ltd., 5.75%, 5/20/2035  | 72000 | &nbsp;&nbsp;&nbsp; 74980 |
|  |  | &nbsp;&nbsp;&nbsp; $326169 |
| Machinery & Tools – 0.6% | Machinery & Tools – 0.6% | Machinery & Tools – 0.6% |
| Ashtead Capital, Inc., 5.5%, 8/11/2032 (n)  | $200000 | &nbsp;&nbsp;&nbsp; $207339 |
| Major Banks – 6.8% | Major Banks – 6.8% | Major Banks – 6.8% |
| Bank of America Corp., 2.572% to 10/20/2031, FLR (SOFR - 1 day + 1.21%) to 10/20/2032  | $302000 | &nbsp;&nbsp;&nbsp; $272474 |
| Capital One Financial Corp., 3.273% to 3/01/2029, FLR (SOFR - 1 day + 1.79%) to 3/01/2030  | 160000 | &nbsp;&nbsp;&nbsp; 155217 |
| Deutsche Bank AG, 2.311% to 11/16/2026, FLR (SOFR - 1 day + 1.219%) to 11/16/2027  | 150000 | &nbsp;&nbsp;&nbsp; 147886 |
| Deutsche Bank AG, 6.72% to 1/18/2028, FLR (SOFR - 1 day + 3.18%) to 1/18/2029  | 150000 | &nbsp;&nbsp;&nbsp; 157121 |
| Goldman Sachs Group, Inc., 2.6%, 2/07/2030  | 172000 | &nbsp;&nbsp;&nbsp; 161460 |
| Goldman Sachs Group, Inc., 2.383% to 7/21/2031, FLR (SOFR - 1 day + 1.248%) to 7/21/2032  | 98000 | &nbsp;&nbsp;&nbsp; 87637 |
| JPMorgan Chase & Co., 4.323% to 4/26/2027, FLR (SOFR - 1 day + 1.56%) to 4/26/2028  | 74000 | &nbsp;&nbsp;&nbsp; 74294 |
| JPMorgan Chase & Co., 2.956% to 5/13/2030, FLR (SOFR - 1 day + 2.515%) to 5/13/2031  | 72000 | &nbsp;&nbsp;&nbsp; 67857 |
| JPMorgan Chase & Co., 2.963% to 1/25/2032, FLR (SOFR - 1 day + 1.26%) to 1/25/2033  | 69000 | &nbsp;&nbsp;&nbsp; 63279 |
| JPMorgan Chase & Co., 3.109% to 4/22/2040, FLR (SOFR - 1 day + 2.46%) to 4/22/2041  | 102000 | &nbsp;&nbsp;&nbsp; 79549 |
| Mitsubishi UFJ Financial Group, Inc., 5.615%, 4/24/2036  | 200000 | &nbsp;&nbsp;&nbsp; 208950 |
| Morgan Stanley, 1.512% to 7/20/2026, FLR (SOFR - 1 day + 0.858%) to 7/20/2027  | 131000 | &nbsp;&nbsp;&nbsp; 129470 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Bonds – continued  | Bonds – continued  | Bonds – continued  |
| Major Banks – continued | Major Banks – continued | Major Banks – continued |
| Morgan Stanley, 2.699% to 1/22/2030, FLR (SOFR - 1 day + 1.143%) to 1/22/2031  | $97000 | &nbsp;&nbsp;&nbsp; $91024 |
| Morgan Stanley, 2.943% to 1/21/2032, FLR (SOFR - 1 day + 1.29%) to 1/21/2033  | 127000 | &nbsp;&nbsp;&nbsp; 115756 |
| PNC Financial Services Group, Inc., 5.676% to 1/22/2034, FLR (SOFR - 1 day + 1.902%) to 1/22/2035  | 147000 | &nbsp;&nbsp;&nbsp; 154213 |
| UBS Group AG, 2.095% to 2/11/2031, FLR (CMT - 1yr. + 1.0%) to 2/11/2032 (n) | 200000 | &nbsp;&nbsp;&nbsp; 177564 |
| Wells Fargo & Co., 3.35% to 3/02/2032, FLR (SOFR - 1 day + 1.5%) to 3/02/2033  | 162000 | &nbsp;&nbsp;&nbsp; 151054 |
|  |  | &nbsp;&nbsp;&nbsp; $2294805 |
| Medical & Health Technology & Services – 0.8% | Medical & Health Technology & Services – 0.8% | Medical & Health Technology & Services – 0.8% |
| Adventist Health System/West, 5.43%, 3/01/2032  | $75000 | &nbsp;&nbsp;&nbsp; $76761 |
| Alcon Finance Corp., 2.6%, 5/27/2030 (n) | 200000 | &nbsp;&nbsp;&nbsp; 186406 |
|  |  | &nbsp;&nbsp;&nbsp; $263167 |
| Metals & Mining – 0.9% | Metals & Mining – 0.9% | Metals & Mining – 0.9% |
| Anglo American Capital PLC, 5.625%, 4/01/2030 (n) | $200000 | &nbsp;&nbsp;&nbsp; $208232 |
| Glencore Funding LLC, 2.5%, 9/01/2030 (n) | 87000 | &nbsp;&nbsp;&nbsp; 80062 |
|  |  | &nbsp;&nbsp;&nbsp; $288294 |
| Midstream – 2.0% | Midstream – 2.0% | Midstream – 2.0% |
| DCP Midstream Operating LP, 3.25%, 2/15/2032  | $167000 | &nbsp;&nbsp;&nbsp; $153715 |
| Energy Transfer LP, 5.35%, 1/15/2036  | 136000 | &nbsp;&nbsp;&nbsp; 135853 |
| Plains All American Pipeline LP, 3.8%, 9/15/2030  | 174000 | &nbsp;&nbsp;&nbsp; 169456 |
| Sabine Pass Liquefaction LLC, 4.5%, 5/15/2030  | 75000 | &nbsp;&nbsp;&nbsp; 75388 |
| Targa Resources Corp., 6.125%, 3/15/2033  | 138000 | &nbsp;&nbsp;&nbsp; 147455 |
|  |  | &nbsp;&nbsp;&nbsp; $681867 |
| Mortgage-Backed – 23.0% | Mortgage-Backed – 23.0% |  |
| Fannie Mae, 4.697%, 2/25/2045 (n) | $27147 | &nbsp;&nbsp;&nbsp; $27172 |
| Fannie Mae, 3.5%, 3/01/2046  | 24887 | &nbsp;&nbsp;&nbsp; 23512 |
| Fannie Mae, 3%, 8/01/2046  | 25539 | &nbsp;&nbsp;&nbsp; 23364 |
| Fannie Mae, 5.5%, 1/01/2055  | 47284 | &nbsp;&nbsp;&nbsp; 47962 |
| Fannie Mae, TBA, 2%, 2/12/2056  | 375000 | &nbsp;&nbsp;&nbsp; 304139 |
| Fannie Mae, UMBS, 5.5%, 10/01/2038 - 11/01/2053  | 77683 | &nbsp;&nbsp;&nbsp; 79140 |
| Fannie Mae, UMBS, 2%, 7/01/2042 - 2/01/2052  | 492469 | &nbsp;&nbsp;&nbsp; 415489 |
| Fannie Mae, UMBS, 3%, 5/01/2043 - 8/01/2052  | 462497 | &nbsp;&nbsp;&nbsp; 411314 |
| Fannie Mae, UMBS, 3.5%, 7/01/2043 - 6/01/2053  | 34065 | &nbsp;&nbsp;&nbsp; 32352 |
| Fannie Mae, UMBS, 4%, 9/01/2046 - 11/01/2052  | 137181 | &nbsp;&nbsp;&nbsp; 132276 |
| Fannie Mae, UMBS, 2.5%, 1/01/2050 - 5/01/2052  | 1129246 | &nbsp;&nbsp;&nbsp; 966102 |
| Fannie Mae, UMBS, 1.5%, 6/01/2051  | 77546 | &nbsp;&nbsp;&nbsp; 60150 |
| Fannie Mae, UMBS, 4.5%, 6/01/2052 - 9/01/2052  | 91982 | &nbsp;&nbsp;&nbsp; 90507 |
| Fannie Mae, UMBS, 6%, 11/01/2052 - 11/01/2054  | 147666 | &nbsp;&nbsp;&nbsp; 152137 |
| Fannie Mae, UMBS, 5%, 12/01/2052 - 3/01/2055  | 460952 | &nbsp;&nbsp;&nbsp; 461713 |
| Fannie Mae, UMBS, 6.5%, 9/01/2054  | 168553 | &nbsp;&nbsp;&nbsp; 174388 |
| Freddie Mac, 2.57%, 7/25/2026  | 68400 | &nbsp;&nbsp;&nbsp; 67986 |
| Freddie Mac, 3.117%, 6/25/2027  | 100000 | &nbsp;&nbsp;&nbsp; 99154 |
| Freddie Mac, 4%, 7/01/2055  | 74593 | &nbsp;&nbsp;&nbsp; 71292 |
| Freddie Mac, UMBS, 3%, 10/01/2037 - 6/01/2052  | 382097 | &nbsp;&nbsp;&nbsp; 345673 |
| Freddie Mac, UMBS, 3.5%, 1/01/2041 - 3/01/2048  | 116310 | &nbsp;&nbsp;&nbsp; 110146 |
| Freddie Mac, UMBS, 1.5%, 3/01/2051  | 34287 | &nbsp;&nbsp;&nbsp; 26657 |
| Freddie Mac, UMBS, 2.5%, 1/01/2052 - 6/01/2052  | 79551 | &nbsp;&nbsp;&nbsp; 67835 |
| Freddie Mac, UMBS, 4%, 7/01/2052 - 6/01/2055  | 294656 | &nbsp;&nbsp;&nbsp; 282523 |
| Freddie Mac, UMBS, 4.5%, 10/01/2052 - 10/01/2055  | 290790 | &nbsp;&nbsp;&nbsp; 285511 |
| Freddie Mac, UMBS, 5.5%, 4/01/2053 - 6/01/2053  | 199691 | &nbsp;&nbsp;&nbsp; 204593 |
| Freddie Mac, UMBS, 6.5%, 8/01/2053  | 24469 | &nbsp;&nbsp;&nbsp; 25330 |
| Freddie Mac, UMBS, 5%, 11/01/2053  | 86168 | &nbsp;&nbsp;&nbsp; 86355 |
| Freddie Mac, UMBS, 6%, 3/01/2054  | 53767 | &nbsp;&nbsp;&nbsp; 55151 |
| Ginnie Mae, 3.889%, 9/20/2041  | 20972 | &nbsp;&nbsp;&nbsp; 20633 |
| Ginnie Mae, 3%, 1/20/2051 - 11/20/2052  | 287689 | &nbsp;&nbsp;&nbsp; 260180 |
| Ginnie Mae, 2%, 2/20/2052 - 6/20/2052  | 306940 | &nbsp;&nbsp;&nbsp; 255450 |
| Ginnie Mae, 2.5%, 2/20/2052 - 4/20/2052  | 419850 | &nbsp;&nbsp;&nbsp; 363881 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Bonds – continued  | Bonds – continued  | Bonds – continued  |
| Mortgage-Backed – continued | Mortgage-Backed – continued |  |
| Ginnie Mae, 4%, 7/20/2052 - 10/20/2052  | $116157 | &nbsp;&nbsp;&nbsp; $110848 |
| Ginnie Mae, 4.5%, 9/20/2052 - 5/20/2053  | 291162 | &nbsp;&nbsp;&nbsp; 286399 |
| Ginnie Mae, 5%, 1/20/2053 - 4/20/2053  | 211414 | &nbsp;&nbsp;&nbsp; 212204 |
| Ginnie Mae, 5.5%, 2/20/2053 - 4/20/2055  | 242118 | &nbsp;&nbsp;&nbsp; 245799 |
| UMBS, TBA, 3%, 2/12/2056  | 125000 | &nbsp;&nbsp;&nbsp; 110773 |
| UMBS, TBA, 3.5%, 2/15/2056  | 425000 | &nbsp;&nbsp;&nbsp; 393054 |
| UMBS, TBA, 2.5%, 2/25/2056  | 150000 | &nbsp;&nbsp;&nbsp; 127301 |
| UMBS, TBA, 6%, 2/25/2056  | 275000 | &nbsp;&nbsp;&nbsp; 281594 |
|  |  | &nbsp;&nbsp;&nbsp; $7798039 |
| Municipals – 0.5% | Municipals – 0.5% | Municipals – 0.5% |
| Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, "A", 6.352%, 7/01/2049  | $95000 | &nbsp;&nbsp;&nbsp; $98482 |
| Rhode Island Student Loan Authority Education Loan Rev., Taxable, "1", 6.081%, 12/01/2042  | 75000 | &nbsp;&nbsp;&nbsp; 76111 |
|  |  | &nbsp;&nbsp;&nbsp; $174593 |
| Natural Gas - Distribution – 0.2% | Natural Gas - Distribution – 0.2% | Natural Gas - Distribution – 0.2% |
| NiSource, Inc., 5.65%, 2/01/2045  | $73000 | &nbsp;&nbsp;&nbsp; $72558 |
| Network & Telecom – 1.4% | Network & Telecom – 1.4% | Network & Telecom – 1.4% |
| NTT Finance Corp., 5.502%, 7/16/2035 (n) | $400000 | &nbsp;&nbsp;&nbsp; $413206 |
| Verizon Communications, Inc., 2.55%, 3/21/2031  | 57000 | &nbsp;&nbsp;&nbsp; 52079 |
|  |  | &nbsp;&nbsp;&nbsp; $465285 |
| Oils – 0.2% | Oils – 0.2% | Oils – 0.2% |
| Marathon Petroleum Corp., 4.75%, 9/15/2044  | $83000 | &nbsp;&nbsp;&nbsp; $71622 |
| Other Banks & Diversified Financials – 0.4% | Other Banks & Diversified Financials – 0.4% | Other Banks & Diversified Financials – 0.4% |
| Macquarie Group Ltd., 4.442% to 6/21/2032, FLR (SOFR - 1 day + 2.405%) to 6/21/2033 (n)  | $148000 | &nbsp;&nbsp;&nbsp; $145534 |
| Pollution Control – 0.5% | Pollution Control – 0.5% | Pollution Control – 0.5% |
| Waste Management, Inc., 4.875%, 2/15/2034  | $179000 | &nbsp;&nbsp;&nbsp; $183104 |
| Real Estate - Office – 0.7% | Real Estate - Office – 0.7% | Real Estate - Office – 0.7% |
| Boston Properties LP, REIT, 5.75%, 1/15/2035  | $227000 | &nbsp;&nbsp;&nbsp; $232308 |
| Retailers – 0.6% | Retailers – 0.6% | Retailers – 0.6% |
| Alimentation Couche-Tard, Inc., 2.95%, 1/25/2030 (n) | $62000 | &nbsp;&nbsp;&nbsp; $58874 |
| Alimentation Couche-Tard, Inc., 5.267%, 2/12/2034 (n) | 65000 | &nbsp;&nbsp;&nbsp; 66233 |
| Alimentation Couche-Tard, Inc., 3.439%, 5/13/2041 (n) | 117000 | &nbsp;&nbsp;&nbsp; 92299 |
|  |  | &nbsp;&nbsp;&nbsp; $217406 |
| Specialty Stores – 0.3% | Specialty Stores – 0.3% | Specialty Stores – 0.3% |
| Genuine Parts Co., 2.75%, 2/01/2032  | $115000 | &nbsp;&nbsp;&nbsp; $101886 |
| Telecommunications - Wireless – 1.1% | Telecommunications - Wireless – 1.1% | Telecommunications - Wireless – 1.1% |
| Crown Castle, Inc., REIT, 3.65%, 9/01/2027  | $79000 | &nbsp;&nbsp;&nbsp; $78445 |
| Rogers Communications, Inc., 3.8%, 3/15/2032  | 146000 | &nbsp;&nbsp;&nbsp; 138350 |
| T-Mobile USA, Inc., 2.05%, 2/15/2028  | 69000 | &nbsp;&nbsp;&nbsp; 66382 |
| T-Mobile USA, Inc., 4.5%, 4/15/2050  | 83000 | &nbsp;&nbsp;&nbsp; 68196 |
| Vodafone Group PLC, 5.625%, 2/10/2053  | 22000 | &nbsp;&nbsp;&nbsp; 21182 |
|  |  | &nbsp;&nbsp;&nbsp; $372555 |
| Tobacco – 0.9% | Tobacco – 0.9% | Tobacco – 0.9% |
| B.A.T. International Finance PLC, 4.448%, 3/16/2028  | $158000 | &nbsp;&nbsp;&nbsp; $159307 |
| Philip Morris International, Inc., 5.125%, 11/17/2027  | 25000 | &nbsp;&nbsp;&nbsp; 25529 |
| Philip Morris International, Inc., 5.625%, 11/17/2029  | 11000 | &nbsp;&nbsp;&nbsp; 11570 |
| Philip Morris International, Inc., 5.125%, 2/15/2030  | 52000 | &nbsp;&nbsp;&nbsp; 53679 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Bonds – continued  | Bonds – continued  | Bonds – continued  |
| Tobacco – continued | Tobacco – continued | Tobacco – continued |
| Philip Morris International, Inc., 5.75%, 11/17/2032  | $48000 | &nbsp;&nbsp;&nbsp; $51203 |
|  |  | &nbsp;&nbsp;&nbsp; $301288 |
| Transportation - Services – 0.1% | Transportation - Services – 0.1% | Transportation - Services – 0.1% |
| ERAC USA Finance LLC, 7%, 10/15/2037 (n)  | $36000 | &nbsp;&nbsp;&nbsp; $41507 |
| U.S. Treasury Obligations – 24.3% | U.S. Treasury Obligations – 24.3% | U.S. Treasury Obligations – 24.3% |
| U.S. Treasury Bonds, 2.375%, 2/15/2042  | $1263000 | &nbsp;&nbsp;&nbsp; $926381 |
| U.S. Treasury Bonds, 4.375%, 8/15/2043  | 150000 | &nbsp;&nbsp;&nbsp; 142781 |
| U.S. Treasury Bonds, 4.75%, 11/15/2043  | 100000 | &nbsp;&nbsp;&nbsp; 99594 |
| U.S. Treasury Bonds, 4.5%, 2/15/2044  | 980000 | &nbsp;&nbsp;&nbsp; 944666 |
| U.S. Treasury Bonds, 4.625%, 11/15/2045  | 150000 | &nbsp;&nbsp;&nbsp; 145898 |
| U.S. Treasury Bonds, 2.25%, 2/15/2052 (f) | 900000 | &nbsp;&nbsp;&nbsp; 543832 |
| U.S. Treasury Bonds, 4%, 11/15/2052  | 383000 | &nbsp;&nbsp;&nbsp; 330652 |
| U.S. Treasury Bonds, 4.75%, 11/15/2053  | 80000 | &nbsp;&nbsp;&nbsp; 78147 |
| U.S. Treasury Bonds, 4.25%, 2/15/2054  | 520000 | &nbsp;&nbsp;&nbsp; 467777 |
| U.S. Treasury Bonds, 4.5%, 11/15/2054  | 360000 | &nbsp;&nbsp;&nbsp; 337739 |
| U.S. Treasury Notes, 2.5%, 3/31/2027  | 300000 | &nbsp;&nbsp;&nbsp; 296426 |
| U.S. Treasury Notes, 4.5%, 4/15/2027  | 1170000 | &nbsp;&nbsp;&nbsp; 1182980 |
| U.S. Treasury Notes, 3.5%, 9/30/2027  | 600000 | &nbsp;&nbsp;&nbsp; 599672 |
| U.S. Treasury Notes, 4.25%, 6/30/2029  | 1445000 | &nbsp;&nbsp;&nbsp; 1472150 |
| U.S. Treasury Notes, 3.875%, 7/31/2030  | 450000 | &nbsp;&nbsp;&nbsp; 452074 |
| U.S. Treasury Notes, 3.625%, 8/31/2030  | 200000 | &nbsp;&nbsp;&nbsp; 198734 |
|  |  | &nbsp;&nbsp;&nbsp; $8219503 |
| Utilities - Electric Power – 1.4% | Utilities - Electric Power – 1.4% | Utilities - Electric Power – 1.4% |
| American Electric Power Co., Inc., 5.95%, 11/01/2032  | $43000 | &nbsp;&nbsp;&nbsp; $46113 |
| Duke Energy Carolinas LLC, 4.95%, 1/15/2033  | 118000 | &nbsp;&nbsp;&nbsp; 121127 |
| Duke Energy Progress LLC, 3.45%, 3/15/2029  | 118000 | &nbsp;&nbsp;&nbsp; 116263 |
| Pacific Gas & Electric Co., 2.1%, 8/01/2027  | 82000 | &nbsp;&nbsp;&nbsp; 79630 |
| Pacific Gas & Electric Co., 3%, 6/15/2028  | 108000 | &nbsp;&nbsp;&nbsp; 105089 |
|  |  | &nbsp;&nbsp;&nbsp; $468222 |
| Utilities - Gas – 0.5% | Utilities - Gas – 0.5% | Utilities - Gas – 0.5% |
| East Ohio Gas Co., 2%, 6/15/2030 (n)  | $176000 | &nbsp;&nbsp;&nbsp; $159309 |
| **Total Bonds**  |  | &nbsp;&nbsp; **$33880751** |
| Mutual Funds (h) – 4.2%  | Mutual Funds (h) – 4.2%  | Mutual Funds (h) – 4.2%  |
| Money Market Funds – 4.2% | Money Market Funds – 4.2% |  |
| MFS Institutional Money Market Portfolio, 3.73% (v)  | 1417616 | &nbsp;&nbsp;&nbsp; $1417899 |
| Other Assets, Less Liabilities – (4.3)% |  | &nbsp;&nbsp;&nbsp; (1441325)<br>|
| **Net Assets – 100.0%** | **Net Assets – 100.0%** | &nbsp;&nbsp; **$33857325** |

---

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

&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 $1,417,899 and $33,880,751, respectively.

&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 $9,196,311, representing 27.2% of net assets.

&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;

------

*Portfolio of Investments (unaudited) – continued*

---

| | |
|:---|:---|
| 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  |
| 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;

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Derivative Contracts at 1/31/26** | **Derivative Contracts at 1/31/26** | **Derivative Contracts at 1/31/26** | **Derivative Contracts at 1/31/26** | **Derivative Contracts at 1/31/26** | **Derivative Contracts at 1/31/26** | **Derivative Contracts at 1/31/26** |
| **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>|
| **Liability Derivatives** | **Liability Derivatives** | **Liability Derivatives** | **Liability Derivatives** | **Liability Derivatives** | **Liability Derivatives** | **Liability 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; 11 | $2293414 | March – 2026 | &nbsp;&nbsp; $(4958)<br>|
| U.S. Treasury Note 5 yr | &nbsp;&nbsp; Long | &nbsp;&nbsp; USD | &nbsp;&nbsp; 15 | 1633945 | March – 2026 | &nbsp;&nbsp; (12124)<br>|
| U.S. Treasury Ultra Bond 30 yr | &nbsp;&nbsp; Long | &nbsp;&nbsp; USD | &nbsp;&nbsp; 6 | 704625 | March – 2026 | &nbsp;&nbsp; (20273)<br>|
|  |  |  |  |  |  | &nbsp;&nbsp; $(37355)<br>|

---

At January 31, 2026, the fund had liquid securities collateral with an aggregate value of $69,490 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**

1/31/26 (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, 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. 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 January 31, 2026 in valuing the fund's assets and liabilities:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Financial Instruments** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| U.S. Treasury Bonds & U.S. Government Agencies & Equivalents | &nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp; $8219503 | &nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp; $8219503 |
| Municipal Bonds | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 174593 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 174593 |
| U.S. Corporate Bonds | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 7244271 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 7244271 |
| Residential Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 8734171 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 8734171 |
| Commercial Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 994551 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 994551 |
| Asset-Backed Securities (including CDOs) | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 4946884 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 4946884 |
| Foreign Bonds | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 3566778 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 3566778 |
| Investment Companies | &nbsp;&nbsp;&nbsp; 1417899 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 1417899 |
| Total | &nbsp;&nbsp;&nbsp; $1417899 | &nbsp;&nbsp;&nbsp; $33880751 | &nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp; $35298650 |
| **Other Financial Instruments** |  |  |  |  |
| Futures Contracts – Liabilities | &nbsp;&nbsp;&nbsp; $(37355)<br>| &nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp; $(37355)<br>|

---

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

**(2) 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. The following were affiliated issuers for the period ended January 31, 2026:

&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; $1287229 | &nbsp;&nbsp; $7091844 | &nbsp;&nbsp; $6961566 | &nbsp;&nbsp; $160 | &nbsp;&nbsp; $232 | &nbsp;&nbsp; $1417899<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; $52069 | &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 XII

- **b. Investment Company Act file number:** 811-21780

- **c. CIK number of Registrant:** 0001330967

- **d. LEI of Registrant:** 549300VVIIPRJRW6FR46

- **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 Core Bond Fund

- **b. EDGAR series identifier (if any):** S000076470

- **c. LEI of Series:** 5493007VGRIDZH3OJY65

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

- **a. Date of fiscal year-end:** 2026-04-30

- **b. Date as of which information is reported:** 2026-01-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $36383742.76

**Total Liabilities:** $2526418.44

**Net Assets:** $33857324.32

**Delayed Delivery Securities:** $2037877.94

**Cash Not Reported:** $109106.77

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -58.58007640 | **1-Year:** -880.99348140 | **5-Year:** -3151.35629680 | **10-Year:** -2371.51244580 | **30-Year:** -326.84082480

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

- **3-Month:** -0.93125850 | **1-Year:** -97.01272110 | **5-Year:** -189.83455490 | **10-Year:** -28.04071240 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000236393 | 0.51%                | -0.23%               | 0.22%                |
| Class ID C000236390 | 0.57%                | -0.38%               | 0.28%                |
| Class ID C000236392 | 0.58%                | -0.38%               | 0.27%                |
| Class ID C000236388 | 0.53%                | -0.21%               | 0.24%                |
| Class ID C000236387 | 0.55%                | -0.18%               | 0.26%                |
| Class ID C000236386 | 0.55%                | -0.19%               | 0.25%                |
| Class ID C000236389 | 0.53%                | -0.21%               | 0.23%                |
| Class ID C000236391 | 0.65%                | -0.29%               | 0.36%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $3389.69                 | $64138.28                                  |
| Month 2  | $-10333.98               | $-176941.91                                |
| Month 3  | $-13618.77               | $5621.30                                   |

**Designated Index Information**

- **Index Name:** BBG Barc US Aggregate Index

- **Index Identifier:** LBSTRUU

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QNDF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40912 | PA      | $33301.55     | 0.10%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179XVS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57210 | PA      | $57391.09     | 0.17%             | 2053-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                      | Wells Fargo & Co.                                                                | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    162000 | PA      | $151054.29    | 0.45%             | 2033-03-02      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| Duke Energy Carolinas LLC                              | Duke Energy Carolinas LLC                                                        | CUSIP: 26442CBJ2<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |    118000 | PA      | $121126.98    | 0.36%             | 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        |     18955 | PA      | $19127.96     | 0.06%             | 2028-03-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138ELN41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34065 | PA      | $32352.21     | 0.10%             | 2043-07-01      | Fixed         | 3.50%                 | 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        |     27147 | PA      | $27172.32     | 0.08%             | 2045-02-25      | Floating      | 4.70%                 | Yes           |                  2 | On Loan: No      |
| Bain Capital Credit CLO Ltd.                           | Bain Capital Credit CLO Ltd., Series 2020-3A, Class BRR                          | CUSIP: 05684CAY1<br>LEI: 2549002RK7W6TK0Q0E16 | Long             | ABS-CBDO         | CORP              | KY        |    200000 | PA      | $200187.40    | 0.59%             | 2034-10-23      | Floating      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179XTD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     98941 | PA      | $100550.79    | 0.30%             | 2053-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                               | Benchmark Mortgage Trust, Series 2025-V18, Class A3                              | CUSIP: 08164EAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     72019 | PA      | $74245.55     | 0.22%             | 2058-10-15      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QCQ82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30098 | PA      | $26779.25     | 0.08%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                              | CUSIP: 912810UQ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    150000 | PA      | $145898.44    | 0.43%             | 2045-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                              | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    383000 | PA      | $330651.68    | 0.98%             | 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        |     75000 | PA      | $76761.72     | 0.23%             | 2032-03-01      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| Philip Morris International, Inc.                      | Philip Morris International, Inc.                                                | CUSIP: 718172CW7<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     11000 | PA      | $11570.41     | 0.03%             | 2029-11-17      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| GLP Capital LP                                         | GLP Capital LP                                                                   | CUSIP: 361841AL3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     64000 | PA      | $65222.27     | 0.19%             | 2029-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                       | Deutsche Bank AG                                                                 | CUSIP: 251526CP2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    150000 | PA      | $147885.54    | 0.44%             | 2027-11-16      | Variable      | 2.31%                 | 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        |     63450 | PA      | $64853.72     | 0.19%             | 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        |    102000 | PA      | $79548.81     | 0.23%             | 2041-04-22      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| Dryden 86 CLO Ltd.                                     | Dryden 86 CLO Ltd., Series 2020-86A, Class BR2                                   | CUSIP: 26245XBC0<br>LEI: 25490017VKY7XEFZL303 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250236.75    | 0.74%             | 2034-07-17      | Floating      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| Metropolitan Life Global Funding I                     | Metropolitan Life Global Funding I                                               | CUSIP: 59217GEZ8<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |    150000 | PA      | $146344.73    | 0.43%             | 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        |     22000 | PA      | $21182.33     | 0.06%             | 2053-02-10      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                           | Avolon Holdings Funding Ltd.                                                     | CUSIP: 05401AAJ0<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     78000 | PA      | $77246.30     | 0.23%             | 2027-02-15      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Crown Castle, Inc.                                     | Crown Castle, Inc.                                                               | CUSIP: 22822VAH4<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |     79000 | PA      | $78445.36     | 0.23%             | 2027-09-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC                         | Enterprise Fleet Financing LLC, Series 2026-1, Class A2                          | CUSIP: 29376JAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     77000 | PA      | $77068.21     | 0.23%             | 2028-10-20      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Macquarie Group Ltd.                                   | Macquarie Group Ltd.                                                             | CUSIP: 55608JBE7<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |    148000 | PA      | $145533.95    | 0.43%             | 2033-06-21      | Variable      | 4.44%                 | Yes           |                  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        |     21644 | PA      | $21773.66     | 0.06%             | 2027-05-01      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179WXH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    176871 | PA      | $147200.80    | 0.43%             | 2052-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Alimentation Couche-Tard, Inc.                         | Alimentation Couche-Tard, Inc.                                                   | CUSIP: 01626PAU0<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |     65000 | PA      | $66232.56     | 0.20%             | 2034-02-12      | Fixed         | 5.27%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132D6CT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     81838 | PA      | $78598.03     | 0.23%             | 2037-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179V4W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17217 | PA      | $15623.01     | 0.05%             | 2051-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                           | Oracle Corp.                                                                     | CUSIP: 68389XDM4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     88000 | PA      | $83863.62     | 0.25%             | 2035-09-26      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                        | Goldman Sachs Group, Inc. (The)                                                  | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     98000 | PA      | $87637.23     | 0.26%             | 2032-07-21      | Variable      | 2.38%                 | No            |                  2 | On Loan: No      |
| Alimentation Couche-Tard, Inc.                         | Alimentation Couche-Tard, Inc.                                                   | CUSIP: 01626PAM8<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |     62000 | PA      | $58874.48     | 0.17%             | 2030-01-25      | Fixed         | 2.95%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133B2X95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40539 | PA      | $34522.23     | 0.10%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ACRES Commercial Realty Issuer LLC                     | ACRES Commercial Realty Issuer LLC, Series 2026-FL4, Class A                     | CUSIP: 00501XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    171000 | PA      | $171320.57    | 0.51%             | 2044-08-18      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179YHS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58178 | PA      | $59237.95     | 0.17%             | 2053-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                           | Oracle Corp.                                                                     | CUSIP: 68389XCP8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     22000 | PA      | $21193.99     | 0.06%             | 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        |   1413209 | NS      | $1413491.27   | 4.17%             |  |  |  | No            |                  1 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                   | Mitsubishi UFJ Financial Group, Inc.                                             | CUSIP: 606822DL5<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    200000 | PA      | $208950.36    | 0.62%             | 2036-04-24      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWDR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21493 | PA      | $18353.14     | 0.05%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                       | Deutsche Bank AG                                                                 | CUSIP: 251526CS6<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    150000 | PA      | $157121.28    | 0.46%             | 2029-01-18      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWDZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22418 | PA      | $19910.26     | 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        |     81000 | PA      | $82931.59     | 0.24%             | 2035-03-01      | Fixed         | 5.20%                 | Yes           |                  2 | On Loan: No      |
| Genuine Parts Co.                                      | Genuine Parts Co.                                                                | CUSIP: 372460AC9<br>LEI: 549300D46DQVEU651W04 | Long             | DBT              | CORP              | US        |    115000 | PA      | $101886.18    | 0.30%             | 2032-02-01      | Fixed         | 2.75%                 | 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        |    250000 | PA      | $250000.00    | 0.74%             | 2032-08-08      | Floating      | 5.51%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | UMBS, 30 Year, Single Family                                                     | CUSIP: 01F060626<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    275000 | PA      | $281594.34    | 0.83%             | 2056-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179XNE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58900 | PA      | $57944.02     | 0.17%             | 2052-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | UMBS, 30 Year, Single Family                                                     | CUSIP: 01F032625<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    425000 | PA      | $393053.66    | 1.16%             | 2056-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Alcon Finance Corp.                                    | Alcon Finance Corp.                                                              | CUSIP: 01400EAD5<br>LEI: 549300CUZUI9VU7XNK42 | Long             | DBT              | CORP              | US        |    200000 | PA      | $186405.75    | 0.55%             | 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        |     68649 | PA      | $69161.53     | 0.20%             | 2064-10-25      | Variable      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                           | BX Commercial Mortgage Trust, Series 2025-BCAT, Class A                          | CUSIP: 12433HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     95828 | PA      | $95948.27     | 0.28%             | 2042-08-15      | Floating      | 5.06%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | UMBS, 30 Year, Single Family                                                     | CUSIP: 01F022626<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    150000 | PA      | $127300.91    | 0.38%             | 2056-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418DKQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45731 | PA      | $39292.93     | 0.12%             | 2050-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | UMBS, 30 Year, Single Family                                                     | CUSIP: 01F020620<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    375000 | PA      | $304138.86    | 0.90%             | 2056-02-25      | Fixed         | 2.00%                 | 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        |    100000 | PA      | $100019.06    | 0.30%             | 2028-02-15      | Floating      | 4.38%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                 | CUSIP: 36179XQW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18493 | PA      | $18611.99     | 0.05%             | 2053-01-20      | Fixed         | 5.00%                 | No            |                  2 | 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        |     85600 | PA      | $85939.06     | 0.25%             | 2027-09-15      | Fixed         | 4.58%                 | Yes           |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                        | Intercontinental Exchange, Inc.                                                  | CUSIP: 45866FAK0<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |    103000 | PA      | $94586.55     | 0.28%             | 2030-06-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179XFH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    131745 | PA      | $129646.75    | 0.38%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                              | CUSIP: 91282CNX5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    200000 | PA      | $198734.38    | 0.59%             | 2030-08-31      | Fixed         | 3.62%                 | 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        |    100000 | PA      | $100244.90    | 0.30%             | 2043-01-15      | Floating      | 5.82%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179W2V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43295 | PA      | $39119.41     | 0.12%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust         | Morgan Stanley Residential Mortgage Loan Trust, Series 2026-NQM1, Class A1       | CUSIP: 61780XAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $100010.98    | 0.30%             | 2070-12-25      | Variable      | 4.81%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QBR67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25050 | PA      | $22748.05     | 0.07%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                           | Pacific Gas and Electric Co.                                                     | CUSIP: 694308JW8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    108000 | PA      | $105089.44    | 0.31%             | 2028-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179WXJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    134226 | PA      | $116333.35    | 0.34%             | 2052-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XGEC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    165698 | PA      | $146981.29    | 0.43%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | UMBS, 30 Year, Single Family                                                     | CUSIP: 01F030629<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    125000 | PA      | $110773.39    | 0.33%             | 2056-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                        | Goldman Sachs Group, Inc. (The)                                                  | CUSIP: 38141GXG4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    172000 | PA      | $161460.33    | 0.48%             | 2030-02-07      | Fixed         | 2.60%                 | 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        |     33218 | PA      | $33708.70     | 0.10%             | 2033-01-01      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K057, Class A2    | CUSIP: 3137BRQJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     68400 | PA      | $67985.93     | 0.20%             | 2026-07-25      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| Corebridge Financial, Inc.                             | Corebridge Financial, Inc.                                                       | CUSIP: 21871XAH2<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |     82000 | PA      | $78101.67     | 0.23%             | 2032-04-05      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418FE29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    183890 | PA      | $183954.17    | 0.54%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                             | AerCap Ireland Capital DAC                                                       | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    150000 | PA      | $148313.60    | 0.44%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO Ltd.                           | Bain Capital Credit CLO Ltd., Series 2022-1A, Class CR                           | CUSIP: 05684UAS4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250533.75    | 0.74%             | 2038-10-18      | Floating      | 5.52%                 | Yes           |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                              | CUSIP: 912810TZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    980000 | PA      | $944666.40    | 2.79%             | 2044-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Marriott International, Inc.                           | Marriott International, Inc., Series FF                                          | CUSIP: 571903BE2<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |    108000 | PA      | $109427.58    | 0.32%             | 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        |    200000 | PA      | $188357.43    | 0.56%             | 2029-10-24      | Fixed         | 2.38%                 | 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        |    103157 | PA      | $103908.45    | 0.31%             | 2055-06-25      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3131XV5V3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21064 | PA      | $19875.46     | 0.06%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QEWL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24132 | PA      | $20956.38     | 0.06%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QK3Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77546 | PA      | $60150.16     | 0.18%             | 2051-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418D4X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41464 | PA      | $33797.03     | 0.10%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                               | UnitedHealth Group, Inc.                                                         | CUSIP: 91324PFB3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     78000 | PA      | $78784.44     | 0.23%             | 2034-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179W7H5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     85080 | PA      | $70807.99     | 0.21%             | 2052-06-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                              | CUSIP: 91282CKX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1445000 | PA      | $1472150.19   | 4.35%             | 2029-06-30      | Fixed         | 4.25%                 | 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        |     44620 | PA      | $44808.89     | 0.13%             | 2069-09-25      | Variable      | 5.14%                 | Yes           |                  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        |     91000 | PA      | $91367.54     | 0.27%             | 2042-06-18      | Floating      | 5.34%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179XFG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38656 | PA      | $36914.42     | 0.11%             | 2052-09-20      | Fixed         | 4.00%                 | 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        |      3261 | PA      | $3261.70      | 0.01%             | 2027-08-16      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                              | CUSIP: 91282CKJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1170000 | PA      | $1182979.69   | 3.49%             | 2027-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 3618N5EV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41225 | PA      | $41719.17     | 0.12%             | 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        |     48000 | PA      | $51203.05     | 0.15%             | 2032-11-17      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MF1 LLC                                                | MF1 LLC, Series 2025-FL20, Class AS                                              | CUSIP: 59319CAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    164000 | PA      | $164410.41    | 0.49%             | 2043-02-18      | Floating      | 5.38%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QM5E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    236682 | PA      | $201082.37    | 0.59%             | 2052-01-01      | 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        |    145414 | PA      | $153316.57    | 0.45%             | 2056-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138WGUF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24887 | PA      | $23512.21     | 0.07%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Waste Management, Inc.                                 | Waste Management, Inc.                                                           | CUSIP: 94106LBW8<br>LEI: 549300YX8JIID70NFS41 | Long             | DBT              | CORP              | US        |    179000 | PA      | $183103.83    | 0.54%             | 2034-02-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                              | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    900000 | PA      | $543832.03    | 1.61%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179XHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56883 | PA      | $54253.27     | 0.16%             | 2052-10-20      | Fixed         | 4.00%                 | 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        |     51686 | PA      | $51890.29     | 0.15%             | 2027-07-20      | Fixed         | 4.63%                 | Yes           |                  2 | On Loan: No      |
| LPL Holdings, Inc.                                     | LPL Holdings, Inc.                                                               | CUSIP: 50212YAC8<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |     43000 | PA      | $42799.57     | 0.13%             | 2027-11-15      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                         | Morgan Stanley                                                                   | CUSIP: 61747YEL5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    127000 | PA      | $115755.84    | 0.34%             | 2033-01-21      | Variable      | 2.94%                 | 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        |     76630 | PA      | $77228.20     | 0.23%             | 2069-10-25      | Variable      | 5.36%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179W7K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     96163 | PA      | $86887.73     | 0.26%             | 2052-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140X7DN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2621 | PA      | $2658.45      | 0.01%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Aon Corp.                                              | Aon Corp.                                                                        | CUSIP: 037389BB8<br>LEI: LTS3U8DGK38SETRUWX71 | Long             | DBT              | CORP              | US        |     61000 | PA      | $61835.11     | 0.18%             | 2028-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132A5G25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29995 | PA      | $28265.54     | 0.08%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Arrow Electronics, Inc.                                | Arrow Electronics, Inc.                                                          | CUSIP: 04273WAC5<br>LEI: 549300YNNLBXT8N8R512 | Long             | DBT              | CORP              | US        |    147000 | PA      | $131649.70    | 0.39%             | 2032-02-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3131WRFV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22058 | PA      | $21167.68     | 0.06%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fairfax Financial Holdings Ltd.                        | Fairfax Financial Holdings Ltd.                                                  | CUSIP: 303901BL5<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |     85000 | PA      | $88727.52     | 0.26%             | 2032-08-16      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)               | PNC Financial Services Group, Inc. (The)                                         | CUSIP: 693475BW4<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    147000 | PA      | $154213.13    | 0.46%             | 2035-01-22      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC                         | Enterprise Fleet Financing LLC, Series 2023-1, Class A2                          | CUSIP: 29375CAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2058 | PA      | $2061.39      | 0.01%             | 2029-01-22      | Fixed         | 5.51%                 | Yes           |                  2 | On Loan: No      |
| Duke Energy Progress LLC                               | Duke Energy Progress LLC                                                         | CUSIP: 26442UAH7<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    118000 | PA      | $116262.82    | 0.34%             | 2029-03-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| KREF Ltd.                                              | KREF Ltd., Series 2021-FL2, Class A                                              | CUSIP: 48275RAA5<br>LEI: 54930083ELM2GCMVTQ91 | Long             | ABS-CBDO         | CORP              | KY        |     74505 | PA      | $74482.17     | 0.22%             | 2039-02-15      | Floating      | 4.86%                 | Yes           |                  2 | On Loan: No      |
| MF1                                                    | MF1, Series 2024-FL16, Class A                                                   | CUSIP: 55287EAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    154790 | PA      | $155370.63    | 0.46%             | 2039-11-18      | Floating      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3142J6A29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74593 | PA      | $71292.02     | 0.21%             | 2055-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Dryden 113 CLO Ltd.                                    | Dryden 113 CLO Ltd., Series 2022-113A, Class AR3                                 | CUSIP: 26253EBK3<br>LEI: 254900XN9Y85HJGYJ219 | Long             | ABS-CBDO         | CORP              | JE        |    250000 | PA      | $250453.50    | 0.74%             | 2037-10-15      | Floating      | 4.76%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QKNN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81506 | PA      | $69247.13     | 0.20%             | 2051-05-01      | Fixed         | 2.50%                 | 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        |     33827 | PA      | $33942.83     | 0.10%             | 2027-07-20      | Fixed         | 4.69%                 | Yes           |                  2 | On Loan: No      |
| ELM Trust                                              | ELM Trust, Series 2024-ELM, Class B10                                            | CUSIP: 26860XBA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $100560.99    | 0.30%             | 2039-06-10      | Variable      | 6.20%                 | Yes           |                  2 | On Loan: No      |
| BDS LLC                                                | BDS LLC, Series 2025-FL16, Class A                                               | CUSIP: 05556XAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    136617 | PA      | $136788.04    | 0.40%             | 2043-07-19      | Floating      | 5.08%                 | Yes           |                  2 | On Loan: No      |
| Glencore Funding LLC                                   | Glencore Funding LLC                                                             | CUSIP: 378272AY4<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     87000 | PA      | $80061.75     | 0.24%             | 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        |     25000 | PA      | $25529.17     | 0.08%             | 2027-11-17      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418ECQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60814 | PA      | $51948.08     | 0.15%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418FHX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95469 | PA      | $95495.18     | 0.28%             | 2055-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Dryden 68 CLO Ltd.                                     | Dryden 68 CLO Ltd., Series 2019-68A, Class BRR                                   | CUSIP: 26252QAU6<br>LEI: 254900MX6QAMC9XBAB53 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250221.00    | 0.74%             | 2035-07-15      | Floating      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                         | Morgan Stanley                                                                   | CUSIP: 61747YEC5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    131000 | PA      | $129470.34    | 0.38%             | 2027-07-20      | Variable      | 1.51%                 | 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        |    100000 | PA      | $99812.59     | 0.29%             | 2037-02-19      | Floating      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140NGC65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38924 | PA      | $39045.30     | 0.12%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QMQ56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55393 | PA      | $47608.92     | 0.14%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                           | UBS Group AG                                                                     | CUSIP: 902613AE8<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    200000 | PA      | $177563.58    | 0.52%             | 2032-02-11      | Variable      | 2.10%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140X54P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23117 | PA      | $19982.53     | 0.06%             | 2050-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fiserv, Inc.                                           | Fiserv, Inc.                                                                     | CUSIP: 337738BC1<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |     88000 | PA      | $81285.39     | 0.24%             | 2030-06-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418D7E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25406 | PA      | $20692.01     | 0.06%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BANK5                                                  | BANK5, Series 2025-5YR17, Class A3                                               | CUSIP: 06211GAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74140 | PA      | $76519.35     | 0.23%             | 2058-11-15      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| Marathon Petroleum Corp.                               | Marathon Petroleum Corp.                                                         | CUSIP: 56585AAH5<br>LEI: 3BNYRYQHD39K4LCKQF12 | Long             | DBT              | CORP              | US        |     83000 | PA      | $71622.49     | 0.21%             | 2044-09-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179W2T4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44988 | PA      | $37441.25     | 0.11%             | 2052-04-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| TRTX Issuer Ltd.                                       | TRTX Issuer Ltd., Series 2025-FL7, Class A                                       | CUSIP: 87277LAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    183045 | PA      | $183032.19    | 0.54%             | 2043-06-18      | Floating      | 5.13%                 | Yes           |                  2 | On Loan: No      |
| Verus Securitization Trust                             | Verus Securitization Trust, Series 2025-9, Class A1                              | CUSIP: 92490EAA1<br>LEI: 2138002AFCEWDDRL8N22 | Long             | ABS-MBS          | CORP              | US        |     96813 | PA      | $97310.52     | 0.29%             | 2070-10-27      | Variable      | 4.93%                 | Yes           |                  2 | On Loan: No      |
| LLC                                                    | LLC, Series 2025-FL19, Class A                                                   | CUSIP: 55287KAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $100374.95    | 0.30%             | 2042-05-18      | Floating      | 5.16%                 | Yes           |                  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        |     27106 | PA      | $27150.54     | 0.08%             | 2030-04-15      | Fixed         | 5.08%                 | Yes           |                  2 | On Loan: No      |
| Global Payments, Inc.                                  | Global Payments, Inc.                                                            | CUSIP: 37940XAE2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     87000 | PA      | $86807.11     | 0.26%             | 2026-03-01      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K066, Class A2    | CUSIP: 3137F2LJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $99153.72     | 0.29%             | 2027-06-25      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| ERAC USA Finance LLC                                   | ERAC USA Finance LLC                                                             | CUSIP: 26882PBE1<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |     36000 | PA      | $41506.84     | 0.12%             | 2037-10-15      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179XLD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    131014 | PA      | $118549.66    | 0.35%             | 2052-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Walt Disney Co. (The)                                  | Walt Disney Co. (The)                                                            | CUSIP: 254687FY7<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |     68000 | PA      | $56621.69     | 0.17%             | 2040-05-13      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | U.S. Treasury 2 Year Note                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        11 | NC      | $-4957.83     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Time Warner Cable Enterprises LLC                      | Time Warner Cable Enterprises LLC                                                | CUSIP: 88731EAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     58000 | PA      | $66694.79     | 0.20%             | 2033-07-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| NTT Finance Corp.                                      | NTT Finance Corp.                                                                | CUSIP: 62954WAV7<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |    400000 | PA      | $413205.90    | 1.22%             | 2035-07-16      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133KLHG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34287 | PA      | $26657.36     | 0.08%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418EAN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20810 | PA      | $17795.30     | 0.05%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17624 | PA      | $14409.23     | 0.04%             | 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        |     65000 | PA      | $63343.27     | 0.19%             | 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        |     66000 | PA      | $54188.08     | 0.16%             | 2047-05-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418FCJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168553 | PA      | $174388.19    | 0.52%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                     | T-Mobile USA, Inc.                                                               | CUSIP: 87264AAZ8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     83000 | PA      | $68195.59     | 0.20%             | 2050-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                              | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    360000 | PA      | $337739.06    | 1.00%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3142J6AL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    120699 | PA      | $115358.67    | 0.34%             | 2055-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140X87M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8036 | PA      | $7790.05      | 0.02%             | 2050-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Boston Properties LP                                   | Boston Properties LP                                                             | CUSIP: 10112RBJ2<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |    227000 | PA      | $232308.00    | 0.69%             | 2035-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QDT38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24858 | PA      | $21529.64     | 0.06%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                         | Morgan Stanley                                                                   | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     97000 | PA      | $91023.61     | 0.27%             | 2031-01-22      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                  | Bank of America Corp.                                                            | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    302000 | PA      | $272473.42    | 0.80%             | 2032-10-20      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140MF4H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38305 | PA      | $37692.07     | 0.11%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133KRJP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60619 | PA      | $61906.27     | 0.18%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133CA7G9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24469 | PA      | $25330.07     | 0.07%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                           | Verizon Communications, Inc.                                                     | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     57000 | PA      | $52078.80     | 0.15%             | 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        |     52000 | PA      | $53679.32     | 0.16%             | 2030-02-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                               | Angel Oak Mortgage Trust, Series 2025-10, Class A1                               | CUSIP: 034940AA4<br>LEI: 254900CFOEUA52TRVZ51 | Long             | ABS-MBS          | CORP              | US        |     47876 | PA      | $48039.25     | 0.14%             | 2070-09-25      | Variable      | 4.96%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2017-RB1, Class A5                 | CUSIP: 95000TBS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    175000 | PA      | $171869.08    | 0.51%             | 2050-03-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Ashtead Capital, Inc.                                  | Ashtead Capital, Inc.                                                            | CUSIP: 04505AAA7<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |    200000 | PA      | $207338.86    | 0.61%             | 2032-08-11      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| OBX Trust                                              | OBX Trust, Series 2024-NQM10, Class A2                                           | CUSIP: 67119MAB4<br>LEI: 25490010LUJWFEUCIH44 | Long             | ABS-MBS          | CORP              | US        |     60788 | PA      | $61506.71     | 0.18%             | 2064-05-25      | Variable      | 6.33%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418DJR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12995 | PA      | $11667.11     | 0.03%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Masco Corp.                                            | Masco Corp.                                                                      | CUSIP: 574599BQ8<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | DBT              | CORP              | US        |    117000 | PA      | $103591.61    | 0.31%             | 2031-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                     | T-Mobile USA, Inc.                                                               | CUSIP: 87264ACA1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     69000 | PA      | $66382.48     | 0.20%             | 2028-02-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QMAL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43111 | PA      | $38241.55     | 0.11%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 3618N5KW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43774 | PA      | $44291.21     | 0.13%             | 2055-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                              | CUSIP: 912810TV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     80000 | PA      | $78146.88     | 0.23%             | 2053-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Stellantis Finance US, Inc.                            | Stellantis Finance US, Inc.                                                      | CUSIP: 85855CAB6<br>LEI: 549300QZ0AI8Q7LNON33 | Long             | DBT              | CORP              | US        |    200000 | PA      | $176176.67    | 0.52%             | 2031-09-15      | Fixed         | 2.69%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418EDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66345 | PA      | $56672.70     | 0.17%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140MULM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18905 | PA      | $18553.68     | 0.05%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                              | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1263000 | PA      | $926380.90    | 2.74%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Kenvue, Inc.                                           | Kenvue, Inc.                                                                     | CUSIP: 49177JAK8<br>LEI: 5493008HSF8L4M2LIJ82 | Long             | DBT              | CORP              | US        |     60000 | PA      | $61091.48     | 0.18%             | 2033-03-22      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| American Electric Power Co., Inc.                      | American Electric Power Co., Inc.                                                | CUSIP: 025537AW1<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |     43000 | PA      | $46112.79     | 0.14%             | 2032-11-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138WHVM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25539 | PA      | $23364.17     | 0.07%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWDS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    277841 | PA      | $247165.20    | 0.73%             | 2052-05-01      | Fixed         | 3.00%                 | 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        |     75000 | PA      | $76110.88     | 0.22%             | 2042-12-01      | Fixed         | 6.08%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                            | Capital One Financial Corp.                                                      | CUSIP: 14040HCN3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    160000 | PA      | $155216.75    | 0.46%             | 2030-03-01      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                              | CUSIP: 912810TX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    520000 | PA      | $467776.56    | 1.38%             | 2054-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| MF1 LLC                                                | MF1 LLC, Series 2022-FL10, Class AS                                              | CUSIP: 55285BAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $250000.08    | 0.74%             | 2037-09-17      | Floating      | 6.86%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179XX50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    135711 | PA      | $136200.71    | 0.40%             | 2053-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179X2J4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42601 | PA      | $41832.12     | 0.12%             | 2053-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DQDZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18829 | PA      | $19437.60     | 0.06%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Roper Technologies, Inc.                               | Roper Technologies, Inc.                                                         | CUSIP: 776743AJ5<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |     89000 | PA      | $80502.11     | 0.24%             | 2030-06-30      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                   | JPMorgan Chase & Co.                                                             | CUSIP: 46647PBP0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     72000 | PA      | $67857.16     | 0.20%             | 2031-05-13      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| BAT International Finance plc                          | BAT International Finance plc                                                    | CUSIP: 05530QAP5<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |    158000 | PA      | $159306.49    | 0.47%             | 2028-03-16      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140Y65R7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47284 | PA      | $47962.36     | 0.14%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418EE89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    241833 | PA      | $211060.98    | 0.62%             | 2042-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                              | CUSIP: 91282CPB1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    600000 | PA      | $599671.87    | 1.77%             | 2027-09-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418EKS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91265 | PA      | $87616.20     | 0.26%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | U.S. Treasury 5 Year Note                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        15 | NC      | $-12123.63    | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Alimentation Couche-Tard, Inc.                         | Alimentation Couche-Tard, Inc.                                                   | CUSIP: 01626PAP1<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |    117000 | PA      | $92298.49     | 0.27%             | 2041-05-13      | Fixed         | 3.44%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140N83H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60964 | PA      | $63135.75     | 0.19%             | 2052-11-01      | 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        |         6 | NC      | $-20273.04    | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| Anglo American Capital plc                             | Anglo American Capital plc                                                       | CUSIP: 034863AW0<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $208232.58    | 0.62%             | 2030-04-01      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Broadcom, Inc.                                         | Broadcom, Inc.                                                                   | CUSIP: 11135FAS0<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     63000 | PA      | $62138.31     | 0.18%             | 2032-11-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Anheuser-Busch InBev Worldwide, Inc.                   | Anheuser-Busch InBev Worldwide, Inc.                                             | CUSIP: 03523TBJ6<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    123000 | PA      | $156580.55    | 0.46%             | 2039-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWDY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17519 | PA      | $14959.76     | 0.04%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                   | JPMorgan Chase & Co.                                                             | CUSIP: 46647PDA1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     74000 | PA      | $74293.86     | 0.22%             | 2028-04-26      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| Targa Resources Corp.                                  | Targa Resources Corp.                                                            | CUSIP: 87612GAC5<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    138000 | PA      | $147455.39    | 0.44%             | 2033-03-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Brown & Brown, Inc.                                    | Brown & Brown, Inc.                                                              | CUSIP: 115236AM3<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |     19000 | PA      | $19439.59     | 0.06%             | 2035-06-23      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140M83M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61686 | PA      | $50083.39     | 0.15%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-40, Class FX                                                   | CUSIP: 38383WQB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20972 | PA      | $20632.83     | 0.06%             | 2041-09-20      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| LPL Holdings, Inc.                                     | LPL Holdings, Inc.                                                               | CUSIP: 50212YAH7<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |     11000 | PA      | $11700.55     | 0.03%             | 2028-11-17      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Santos Finance Ltd.                                    | Santos Finance Ltd.                                                              | CUSIP: 803014AC3<br>LEI: 213800BKUBSWG53XNS94 | Long             | DBT              | CORP              | AU        |    102000 | PA      | $102287.82    | 0.30%             | 2035-11-13      | Fixed         | 5.75%                 | Yes           |                  2 | 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        |    158000 | PA      | $158493.75    | 0.47%             | 2035-06-15      | Floating      | 5.43%                 | Yes           |                  2 | On Loan: No      |
| Eni SpA                                                | Eni SpA                                                                          | CUSIP: 26874RAN8<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |    208000 | PA      | $214979.56    | 0.63%             | 2034-05-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Global Payments, Inc.                                  | Global Payments, Inc.                                                            | CUSIP: 37940XAH5<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     77000 | PA      | $69078.69     | 0.20%             | 2031-11-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XCZD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20822 | PA      | $17256.04     | 0.05%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140MPWF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119019 | PA      | $105602.18    | 0.31%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust               | AmeriCredit Automobile Receivables Trust, Series 2025-1, Class A2A               | CUSIP: 03067FAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     23000 | PA      | $23031.07     | 0.07%             | 2029-03-19      | Fixed         | 4.22%                 | Yes           |                  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        |     83462 | PA      | $84044.19     | 0.25%             | 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        |     28671 | PA      | $28876.94     | 0.09%             | 2032-07-15      | Fixed         | 6.05%                 | Yes           |                  2 | On Loan: No      |
| AutoNation Finance Trust                               | AutoNation Finance Trust, Series 2026-1A, Class A2                               | CUSIP: 05330WAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     38000 | PA      | $38029.41     | 0.11%             | 2029-01-11      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418CBZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37880 | PA      | $36869.46     | 0.11%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XHHS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42722 | PA      | $34888.67     | 0.10%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MF1                                                    | MF1, Series 2024-FL15, Class AS                                                  | CUSIP: 58003MAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    100000 | PA      | $100375.15    | 0.30%             | 2041-08-18      | Floating      | 5.72%                 | Yes           |                  2 | On Loan: No      |
| Corebridge Financial, Inc.                             | Corebridge Financial, Inc.                                                       | CUSIP: 21871XAS8<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |     95000 | PA      | $99243.82     | 0.29%             | 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        |    198000 | PA      | $211341.40    | 0.62%             | 2034-05-19      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140ATKJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20244 | PA      | $20743.43     | 0.06%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Equinix, Inc.                                          | Equinix, Inc.                                                                    | CUSIP: 29444UBS4<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |     69000 | PA      | $62530.78     | 0.18%             | 2031-05-15      | Fixed         | 2.50%                 | No            |                  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        |     72650 | PA      | $72949.14     | 0.22%             | 2069-08-25      | Variable      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140N5MY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33830 | PA      | $34434.25     | 0.10%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWKW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53767 | PA      | $55151.37     | 0.16%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                       | OneMain Financial Issuance Trust, Series 2022-3A, Class A                        | CUSIP: 68269PAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     18165 | PA      | $18220.03     | 0.05%             | 2034-05-15      | Fixed         | 5.94%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWE66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    117596 | PA      | $115677.93    | 0.34%             | 2052-10-01      | 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        |     69000 | PA      | $71316.67     | 0.21%             | 2035-10-23      | Fixed         | 6.38%                 | 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        |    115500 | PA      | $115287.13    | 0.34%             | 2042-12-18      | Floating      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                              | CUSIP: 912810TW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000 | PA      | $99593.75     | 0.29%             | 2043-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                   | JPMorgan Chase & Co.                                                             | CUSIP: 46647PCU8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     69000 | PA      | $63279.11     | 0.19%             | 2033-01-25      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| Venture 43 CLO Ltd.                                    | Venture 43 CLO Ltd., Series 2021-43A, Class BR                                   | CUSIP: 92290CAV1<br>LEI: 549300OLN5VHTMLSN650 | Long             | ABS-CBDO         | CORP              | KY        |    150000 | PA      | $150036.90    | 0.44%             | 2034-04-15      | Floating      | 5.52%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140N24Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16839 | PA      | $16647.15     | 0.05%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Verisk Analytics, Inc.                                 | Verisk Analytics, Inc.                                                           | CUSIP: 92345YAH9<br>LEI: 549300I1YSWNIRKBWP67 | Long             | DBT              | CORP              | US        |     70000 | PA      | $73975.25     | 0.22%             | 2033-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Equinix, Inc.                                          | Equinix, Inc.                                                                    | CUSIP: 29444UBG0<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |     83000 | PA      | $80443.94     | 0.24%             | 2027-07-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140MN3E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17933 | PA      | $17613.60     | 0.05%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XHKX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37070 | PA      | $31996.56     | 0.09%             | 2052-03-01      | Fixed         | 2.50%                 | 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        |    174000 | PA      | $169455.87    | 0.50%             | 2030-09-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| East Ohio Gas Co. (The)                                | East Ohio Gas Co. (The)                                                          | CUSIP: 27409LAC7<br>LEI: BC95Y6MXLT75BGO7UM71 | Long             | DBT              | CORP              | US        |    176000 | PA      | $159309.38    | 0.47%             | 2030-06-15      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| PFP Ltd.                                               | PFP Ltd., Series 2024-11, Class A                                                | CUSIP: 69291WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |     77507 | PA      | $77658.85     | 0.23%             | 2039-09-17      | Floating      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                           | Avolon Holdings Funding Ltd.                                                     | CUSIP: 05401AAG6<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     79000 | PA      | $79030.00     | 0.23%             | 2026-05-01      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Sabine Pass Liquefaction LLC                           | Sabine Pass Liquefaction LLC                                                     | CUSIP: 785592AX4<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |     75000 | PA      | $75387.58     | 0.22%             | 2030-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Rogers Communications, Inc.                            | Rogers Communications, Inc.                                                      | CUSIP: 775109CH2<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |    146000 | PA      | $138349.48    | 0.41%             | 2032-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179XBT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20618 | PA      | $19680.46     | 0.06%             | 2052-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QNQ21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19598 | PA      | $17410.77     | 0.05%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179XLG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57916 | PA      | $56976.02     | 0.17%             | 2052-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QNE73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73985 | PA      | $63918.65     | 0.19%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140A5RZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51099 | PA      | $52428.62     | 0.15%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133BFN48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    173957 | PA      | $167163.71    | 0.49%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Anheuser-Busch InBev Worldwide, Inc.                   | Anheuser-Busch InBev Worldwide, Inc.                                             | CUSIP: 035240AM2<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    163000 | PA      | $154136.80    | 0.46%             | 2038-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fairfax Financial Holdings Ltd.                        | Fairfax Financial Holdings Ltd.                                                  | CUSIP: 303901BX9<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |     72000 | PA      | $74980.17     | 0.22%             | 2035-05-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWJQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86168 | PA      | $86354.98     | 0.26%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132ACS27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27549 | PA      | $26021.00     | 0.08%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                              | CUSIP: 91282CNN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    450000 | PA      | $452074.22    | 1.34%             | 2030-07-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Brown & Brown, Inc.                                    | Brown & Brown, Inc.                                                              | CUSIP: 115236AE1<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |     84000 | PA      | $81187.11     | 0.24%             | 2032-03-17      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179W2U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    152153 | PA      | $131869.98    | 0.39%             | 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        |     75280 | PA      | $76085.43     | 0.22%             | 2069-10-25      | Variable      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| Shackleton 2019-XIV CLO Ltd.                           | Shackleton 2019-XIV CLO Ltd., Series 2019-14A, Class CRR                         | CUSIP: 81880XBA9<br>LEI: 549300HOHPZON6E4VH77 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250808.50    | 0.74%             | 2034-07-20      | Floating      | 5.57%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179WY93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    133471 | PA      | $115678.41    | 0.34%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LPL Holdings, Inc.                                     | LPL Holdings, Inc.                                                               | CUSIP: 50212YAF1<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |    178000 | PA      | $172970.75    | 0.51%             | 2031-05-15      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| LoanCore Issuer Ltd.                                   | LoanCore Issuer Ltd., Series 2021-CRE5, Class B                                  | CUSIP: 53947XAG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    100000 | PA      | $99780.77     | 0.29%             | 2036-07-15      | Floating      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust         | Morgan Stanley Residential Mortgage Loan Trust, Series 2025-NQM10, Class A1LC    | CUSIP: 617955AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $101080.07    | 0.30%             | 2070-11-25      | Variable      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| MF1 Ltd.                                               | MF1 Ltd., Series 2021-FL7, Class AS                                              | CUSIP: 55284AAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $249649.00    | 0.74%             | 2036-10-16      | Floating      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XJXH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15359 | PA      | $15828.63     | 0.05%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140A3YP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41232 | PA      | $42047.55     | 0.12%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LLC                                                    | LLC, Series 2026-FL21, Class AS                                                  | CUSIP: 55287NAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $100093.60    | 0.30%             | 2041-02-18      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3142J6BY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    173194 | PA      | $169833.00    | 0.50%             | 2055-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DCP Midstream Operating LP                             | DCP Midstream Operating LP                                                       | CUSIP: 23311VAK3<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |    167000 | PA      | $153715.44    | 0.45%             | 2032-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XFTF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38067 | PA      | $32906.27     | 0.10%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132AEP42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15644 | PA      | $14815.13     | 0.04%             | 2045-08-01      | Fixed         | 3.50%                 | 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        |     69165 | PA      | $74559.65     | 0.22%             | 2056-12-15      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                              | CUSIP: 912810TU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    150000 | PA      | $142781.25    | 0.42%             | 2043-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| NiSource, Inc.                                         | NiSource, Inc.                                                                   | CUSIP: 65473QBD4<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |     73000 | PA      | $72557.75     | 0.21%             | 2045-02-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418ELX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99301 | PA      | $99689.64     | 0.29%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Massachusetts Educational Financing Authority          | Massachusetts Educational Financing Authority, Series 2024A                      | CUSIP: 57563RTX7<br>LEI: 5493007K5OP7V6CL0Y88 | Long             | DBT              | MUN               | US        |     95000 | PA      | $98481.71     | 0.29%             | 2049-07-01      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418EGG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41276 | PA      | $36653.55     | 0.11%             | 2052-08-01      | 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        |    300000 | PA      | $296425.78    | 0.88%             | 2027-03-31      | Fixed         | 2.50%                 | 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        |     10878 | PA      | $11378.40     | 0.03%             | 2056-07-15      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| Humana, Inc.                                           | Humana, Inc.                                                                     | CUSIP: 444859BV3<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    112000 | PA      | $115942.09    | 0.34%             | 2033-03-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418ES43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43368 | PA      | $43529.07     | 0.13%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418EB90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    340735 | PA      | $291164.01    | 0.86%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                     | Energy Transfer LP                                                               | CUSIP: 29273VBK5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    136000 | PA      | $135853.14    | 0.40%             | 2036-01-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                           | Pacific Gas and Electric Co.                                                     | CUSIP: 694308JF5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     82000 | PA      | $79629.73     | 0.24%             | 2027-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DQSY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    120243 | PA      | $123249.17    | 0.36%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31417GLV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5652 | PA      | $5230.20      | 0.02%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Chesapeake Funding II LLC                              | Chesapeake Funding II LLC, Series 2023-1A, Class A1                              | CUSIP: 165183CU6<br>LEI: 5493000HT7H4OFOD6Z12 | Long             | ABS-O            | CORP              | US        |     22955 | PA      | $23061.18     | 0.07%             | 2035-05-15      | Fixed         | 5.65%                 | Yes           |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-03-02

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

**Signature:** James Byrne

**Name of Signer:** James Byrne

**Title:** Assistant Treasurer