# EDGAR Filing Document

**Accession Number:** 0001217286
**File Stem:** 0001752724-23-045196
**Filing Date:** 2023-2
**Character Count:** 235728
**Document Hash:** d2ad394c253b069135c98a9bc412212d
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-045196.hdr.sgml**: 20230228

**ACCESSION NUMBER**: 0001752724-23-045196

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230228

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20230630

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** JPMorgan Trust I
- **CENTRAL INDEX KEY:** 0001217286
- **IRS NUMBER:** 331043149
- **STATE OF INCORPORATION:** DE

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-21295
- **FILM NUMBER:** 23680516

**BUSINESS ADDRESS:**
- **STREET 1:** 277 PARK AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10172
- **BUSINESS PHONE:** 800-480-4111

**MAIL ADDRESS:**
- **STREET 1:** 277 PARK AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10172

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** JP MORGAN MUTUAL FUND SERIES
- **DATE OF NAME CHANGE:** 20030204

## Series and Classes Contracts Data

### JPMorgan SmartRetirement* Blend 2035 Fund (Series ID: S000037367)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000115346 | Class I      | JPSRX           |
| C000115347 | Class R2     | JPRRX           |
| C000115348 | Class R5     | JPBRX           |
| C000115349 | Class R6     | JPYRX           |
| C000186793 | Class R4     | JPTKX           |
| C000186794 | Class R3     | JPTLX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** JPMorgan Trust I

- **b. Investment Company Act file number:** 811-21295

- **c. CIK number of Registrant:** 0001217286

- **d. LEI of Registrant:** 549300DM5WZMCZZ70R78

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

  - **Street Address 1:** 277 Park Avenue

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10172

  - **Telephone number:** 800-480-4111

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

- **a. Name of Series:** JPMorgan SmartRetirement Blend 2035 Fund

- **b. EDGAR series identifier (if any):** S000037367

- **c. LEI of Series:** 5493004TZUXVOYD73Y24

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

- **a. Date of fiscal year-end:** 2023-06-30

- **b. Date as of which information is reported:** 2022-12-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $2018056853.57

**Total Liabilities:** $47966601.54

**Net Assets:** $1970090252.03

**Cash Not Reported:** $604943.68

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000115347 | 4.35%                | 6.80%                | -3.46%               |
| Class ID C000115346 | 4.38%                | 6.84%                | -3.42%               |
| Class ID C000186793 | 4.43%                | 6.83%                | -3.41%               |
| Class ID C000115348 | 4.42%                | 6.87%                | -3.42%               |
| Class ID C000186794 | 4.40%                | 6.78%                | -3.43%               |
| Class ID C000115349 | 4.42%                | 6.86%                | -3.40%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-4048433.05             | $87058988.97                               |
| Month 2  | $-6601873.55             | $146656112.34                              |
| Month 3  | $-10022606.68            | $-73240165.92                              |

**Designated Index Information**

- **Index Name:** 37.07% SP500GRUSD0, 19.52% 1TRUSD0, 18.51% EAFERNRUSD0, 8.68% EMGLRNRUSD0, 4.55% RUMIDCAPGRUSD0, 3.78% RU2000GRUSD0, 3.43% 5273TRUSD0, 3.01% RMZGRUSD0, 1.45% EMBIGDTRUSD0

- **Index Identifier:** IBXUSD002461

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| United States of America                                | U.S. Treasury Bonds                                                              | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1119000 | PA      | $921951.09    | 0.05%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                      | CUSIP: 3140LG3M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149585 | PA      | $145058.82    | 0.01%             | 2031-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                               | HCA, Inc.                                                                        | CUSIP: 404119BT5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    224000 | PA      | $221296.21    | 0.01%             | 2026-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                     | Seasoned Credit Risk Transfer Trust, Series 2019-3, Class MB                     | CUSIP: 35563PLJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    224631 | PA      | $190631.03    | 0.01%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                 | CUSIP: 3617ULWB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    286574 | PA      | $255600.92    | 0.01%             | 2051-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| New York Life Insurance Co.                             | New York Life Insurance Co.                                                      | CUSIP: 64952GAT5<br>LEI: TAE73CY392TBWJ3O3305 | Long             | DBT              | CORP              | US        |    106000 | PA      | $81054.11     | 0.00%             | 2050-05-15      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                 | CUSIP: 3617W0AN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     86350 | PA      | $77103.38     | 0.00%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                  | Cascade MH Asset Trust, Series 2021-MH1, Class A1                                | CUSIP: 14731QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    208018 | PA      | $176730.70    | 0.01%             | 2046-02-25      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| Biogen, Inc.                                            | Biogen, Inc.                                                                     | CUSIP: 09062XAH6<br>LEI: W8J5WZB5IY3K0NDQT671 | Long             | DBT              | CORP              | US        |     27000 | PA      | $21996.66     | 0.00%             | 2030-05-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                 | CUSIP: 3617V7VQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    704673 | PA      | $647500.82    | 0.03%             | 2051-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC UMBS, 30 Year                                                              | CUSIP: 3131XJLM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    105323 | PA      | $98191.33     | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                               | CUSIP: 3140QM6G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    178886 | PA      | $157066.13    | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread-Collateralized Notes                  | NRZ Excess Spread-Collateralized Notes, Series 2021-FNT2, Class A                | CUSIP: 62955WAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    252906 | PA      | $223969.15    | 0.01%             | 2026-05-25      | Fixed         | 3.23%                 | Yes           |                  2 | On Loan: No      |
| Microchip Technology, Inc.                              | Microchip Technology, Inc.                                                       | CUSIP: 595017AZ7<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |     19000 | PA      | $18645.75     | 0.00%             | 2023-09-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| Xilinx, Inc.                                            | Xilinx, Inc.                                                                     | CUSIP: 983919AK7<br>LEI: 6EY4K7ZMF9UX1CU6KC79 | Long             | DBT              | CORP              | US        |    127000 | PA      | $106788.63    | 0.01%             | 2030-06-01      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                              | CUSIP: 91282CEV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1020000 | PA      | $976092.18    | 0.05%             | 2029-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Takeda Pharmaceutical Co. Ltd.                          | Takeda Pharmaceutical Co. Ltd.                                                   | CUSIP: 874060AY2<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |    400000 | PA      | $293542.73    | 0.01%             | 2040-07-09      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                          | Pagaya AI Debt Selection Trust, Series 2021-1, Class A                           | CUSIP: 69547JAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    136271 | PA      | $134229.77    | 0.01%             | 2027-11-15      | Fixed         | 1.18%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                 | CUSIP: 3617XVVU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    207784 | PA      | $192209.32    | 0.01%             | 2051-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VOLT XCIV LLC                                           | VOLT XCIV LLC, Series 2021-NPL3, Class A1                                        | CUSIP: 92873AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    307957 | PA      | $278397.27    | 0.01%             | 2051-02-27      | Variable      | 2.24%                 | Yes           |                  2 | On Loan: No      |
| CGI, Inc.                                               | CGI, Inc.                                                                        | CUSIP: 12532HAF1<br>LEI: 549300WSRCZY73ZG3090 | Long             | DBT              | CORP              | CA        |     75000 | PA      | $56947.00     | 0.00%             | 2031-09-14      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                               | CUSIP: 3140MPSD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94508 | PA      | $96469.06     | 0.00%             | 2052-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                            | Verizon Communications, Inc.                                                     | CUSIP: 92343VFT6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     44000 | PA      | $29699.29     | 0.00%             | 2040-11-20      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Athene Global Funding                                   | Athene Global Funding                                                            | CUSIP: 04685A2J9<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |     92000 | PA      | $87505.93     | 0.00%             | 2024-06-25      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| VMware, Inc.                                            | VMware, Inc.                                                                     | CUSIP: 928563AF2<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |     84000 | PA      | $78138.07     | 0.00%             | 2030-05-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                       | Wells Fargo & Co.                                                                | CUSIP: 95000U2Z5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    120000 | PA      | $101605.46    | 0.01%             | 2053-04-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, REMIC, Series 2017-35, Class VA                                            | CUSIP: 3136AWMX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130696 | PA      | $127566.78    | 0.01%             | 2028-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Viatris, Inc.                                           | Viatris, Inc.                                                                    | CUSIP: 92556VAE6<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |     96000 | PA      | $64367.81     | 0.00%             | 2040-06-22      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp.                                       | BAT Capital Corp.                                                                | CUSIP: 05526DBT1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     96000 | PA      | $65186.14     | 0.00%             | 2040-09-25      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                     | Exeter Automobile Receivables Trust, Series 2021-1A, Class C                     | CUSIP: 30166RAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    281729 | PA      | $275584.03    | 0.01%             | 2026-01-15      | Fixed         | 0.74%                 | No            |                  2 | On Loan: No      |
| CubeSmart LP                                            | CubeSmart LP                                                                     | CUSIP: 22966RAG1<br>LEI: 549300MPHKO3I3FJRA97 | Long             | DBT              | CORP              | US        |    102000 | PA      | $76843.19     | 0.00%             | 2031-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Flex Intermediate Holdco LLC                            | Flex Intermediate Holdco LLC                                                     | CUSIP: 33939HAA7<br>LEI: 549300290TQIGM30A243 | Long             | DBT              | CORP              | US        |     40000 | PA      | $31216.79     | 0.00%             | 2031-06-30      | Fixed         | 3.36%                 | Yes           |                  2 | On Loan: No      |
| Activision Blizzard, Inc.                               | Activision Blizzard, Inc.                                                        | CUSIP: 00507VAP4<br>LEI: 549300TPQQDBP9GNOF40 | Long             | DBT              | CORP              | US        |     48000 | PA      | $37508.58     | 0.00%             | 2030-09-15      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                              | CUSIP: 91282CFL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1350000 | PA      | $1340455.08   | 0.07%             | 2029-09-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | EURO STOXX 50 Index                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | DE        |      -126 | NC      | $256280.83    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| SCF Equipment Leasing LLC                               | SCF Equipment Leasing LLC, Series 2022-2A, Class C                               | CUSIP: 78397WAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    195000 | PA      | $190169.97    | 0.01%             | 2032-08-20      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2016-H26, Class FC                                                  | CUSIP: 38376RN28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    271900 | PA      | $269198.28    | 0.01%             | 2066-12-20      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                 | CUSIP: 3617ULWC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    290855 | PA      | $259042.89    | 0.01%             | 2051-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                       | NatWest Group plc                                                                | CUSIP: 780097BL4<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $181101.92    | 0.01%             | 2030-05-08      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                               | CUSIP: 3140KT3U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    639106 | PA      | $607026.76    | 0.03%             | 2051-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ACC Auto Trust                                          | ACC Auto Trust, Series 2021-A, Class A                                           | CUSIP: 00108XAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     33371 | PA      | $32940.67     | 0.00%             | 2027-04-15      | Fixed         | 1.08%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                      | CUSIP: 3140LHRY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $305734.03    | 0.02%             | 2031-06-01      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| VCAT LLC                                                | VCAT LLC, Series 2021-NPL2, Class A1                                             | CUSIP: 91822YAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     78406 | PA      | $70847.23     | 0.00%             | 2051-03-27      | Variable      | 2.12%                 | Yes           |                  2 | On Loan: No      |
| Consumers Energy Co.                                    | Consumers Energy Co.                                                             | CUSIP: 210518CZ7<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |     30000 | PA      | $21586.03     | 0.00%             | 2046-08-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                      | CUSIP: 3140LHBP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115000 | PA      | $109564.80    | 0.01%             | 2032-08-01      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                      | Energy Transfer LP                                                               | CUSIP: 292480AJ9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    105000 | PA      | $85593.42     | 0.00%             | 2044-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                      | CUSIP: 3138L54D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94244 | PA      | $92792.67     | 0.00%             | 2029-01-01      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| JetBlue Pass-Through Trust                              | JetBlue Pass-Through Trust, Series 2020-1, Class B                               | CUSIP: 477164AB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     72802 | PA      | $70400.91     | 0.00%             | 2028-11-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| WEC Energy Group, Inc.                                  | WEC Energy Group, Inc.                                                           | CUSIP: 92939UAD8<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |     44000 | PA      | $37321.32     | 0.00%             | 2027-10-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| PG&E Wildfire Recovery Funding LLC                      | PG&E Wildfire Recovery Funding LLC, Series A-2                                   | CUSIP: 693342AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     30000 | PA      | $27798.20     | 0.00%             | 2036-06-01      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC UMBS, 30 Year                                                              | CUSIP: 3133AFNU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    234509 | PA      | $199199.00    | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fells Point Funding Trust                               | Fells Point Funding Trust                                                        | CUSIP: 314382AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    115000 | PA      | $104660.49    | 0.01%             | 2027-01-31      | Fixed         | 3.05%                 | Yes           |                  2 | On Loan: No      |
| Comcast Corp.                                           | Comcast Corp.                                                                    | CUSIP: 20030NCY5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     84000 | PA      | $65439.07     | 0.00%             | 2039-11-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| RPM International, Inc.                                 | RPM International, Inc.                                                          | CUSIP: 749685AY9<br>LEI: 549300TJCKW4BRXPJ474 | Long             | DBT              | CORP              | US        |     61000 | PA      | $48062.93     | 0.00%             | 2032-01-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| DH Europe Finance II SARL                               | DH Europe Finance II SARL                                                        | CUSIP: 23291KAJ4<br>LEI: 222100KDGL314CKTZ511 | Long             | DBT              | CORP              | LU        |     30000 | PA      | $23915.15     | 0.00%             | 2039-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                              | CUSIP: 91282CEW7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1230000 | PA      | $1189304.29   | 0.06%             | 2027-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC UMBS, 30 Year                                                              | CUSIP: 3133BBA90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     84313 | PA      | $82642.51     | 0.00%             | 2052-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                 | Hyundai Capital America                                                          | CUSIP: 44891ABP1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    198000 | PA      | $169395.57    | 0.01%             | 2027-10-15      | Fixed         | 2.38%                 | Yes           |                  2 | On Loan: No      |
| Elevance Health, Inc.                                   | Elevance Health, Inc.                                                            | CUSIP: 036752AN3<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    100000 | PA      | $82724.44     | 0.00%             | 2030-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                              | AT&T, Inc.                                                                       | CUSIP: 00206RJY9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    168000 | PA      | $139223.97    | 0.01%             | 2031-06-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                 | CUSIP: 3617W0AL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    159841 | PA      | $142824.88    | 0.01%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                              | CUSIP: 91282CBM2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    610000 | PA      | $579571.49    | 0.03%             | 2024-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                            | AbbVie, Inc.                                                                     | CUSIP: 00287YCA5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    300000 | PA      | $256784.78    | 0.01%             | 2039-11-21      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                          | Southern California Edison Co., Series 20C                                       | CUSIP: 842400GV9<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     40000 | PA      | $35470.70     | 0.00%             | 2026-02-01      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| Credito Real USA Auto Receivables Trust                 | Credito Real USA Auto Receivables Trust, Series 2021-1A, Class A                 | CUSIP: 22551EAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     78906 | PA      | $77122.27     | 0.00%             | 2027-02-16      | Fixed         | 1.35%                 | Yes           |                  2 | On Loan: No      |
| Steel Dynamics, Inc.                                    | Steel Dynamics, Inc.                                                             | CUSIP: 858119BN9<br>LEI: 549300HGGKEL4FYTTQ83 | Long             | DBT              | CORP              | US        |     60000 | PA      | $50271.13     | 0.00%             | 2027-10-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                      | CUSIP: 3140LFE42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    246572 | PA      | $209965.14    | 0.01%             | 2032-03-01      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| Bayview Finance LLC                                     | Bayview Finance LLC                                                              | CUSIP: 07335NAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    155283 | PA      | $152953.58    | 0.01%             | 2033-07-12      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Rogers Communications, Inc.                             | Rogers Communications, Inc.                                                      | CUSIP: 775109CD1<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |     35000 | PA      | $27135.01     | 0.00%             | 2052-03-15      | Fixed         | 4.55%                 | Yes           |                  2 | On Loan: No      |
| Utah Acquisition Sub, Inc.                              | Utah Acquisition Sub, Inc.                                                       | CUSIP: 62854AAN4<br>LEI: 254900JOFV74IJ7H9933 | Long             | DBT              | CORP              | US        |     60000 | PA      | $56091.88     | 0.00%             | 2026-06-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                        | CVS Health Corp.                                                                 | CUSIP: 126650DP2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     92000 | PA      | $63560.01     | 0.00%             | 2040-08-21      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                 | CUSIP: 3617V7V88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    289678 | PA      | $259053.24    | 0.01%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                     | Seasoned Credit Risk Transfer Trust, Series 2018-3, Class M55D                   | CUSIP: 35563PGL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    268022 | PA      | $254456.42    | 0.01%             | 2057-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                    | FREMF Mortgage Trust, Series 2016-K56, Class B                                   | CUSIP: 30289UAS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     85000 | PA      | $80127.86     | 0.00%             | 2049-06-25      | Variable      | 3.94%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan BetaBuilders U.S. Mid Cap Equity ETF           | JPMorgan BetaBuilders U.S. Mid Cap Equity ETF                                    | CUSIP: 46641Q340<br>LEI: 549300S2VYDS8QJGW220 | Long             |  | RF                | US        |   1232784 | NS      | $89509364.28  | 4.54%             |  |  |  | No            |                  1 | On Loan: No      |
| Crown Castle, Inc.                                      | Crown Castle, Inc.                                                               | CUSIP: 22822VAN1<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |     96000 | PA      | $83678.04     | 0.00%             | 2029-11-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| LL ABS Trust                                            | LL ABS Trust, Series 2021-1A, Class A                                            | CUSIP: 53934QAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     47964 | PA      | $46314.29     | 0.00%             | 2029-05-15      | Fixed         | 1.07%                 | Yes           |                  2 | On Loan: No      |
| Healthpeak Properties, Inc.                             | Healthpeak Properties, Inc.                                                      | CUSIP: 42250PAD5<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              | CORP              | US        |     67000 | PA      | $56164.36     | 0.00%             | 2028-12-01      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Santander UK Group Holdings plc                         | Santander UK Group Holdings plc                                                  | CUSIP: 80281LAM7<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    250000 | PA      | $220221.14    | 0.01%             | 2026-08-21      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| JPMorgan Emerging Markets Debt Fund                     | JPMorgan Emerging Markets Debt Fund, Class R6                                    | CUSIP: 48121A134<br>LEI: 8KLDAXM5A9FOP50PQD10 | Long             |  | RF                | US        |    187334 | NS      | $1105272.49   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                               | CUSIP: 3140MDKH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    253806 | PA      | $235369.74    | 0.01%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                              | CUSIP: 91282CFM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    175000 | PA      | $175656.25    | 0.01%             | 2027-09-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                              | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1825000 | PA      | $1681851.56   | 0.09%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Brixmor Operating Partnership LP                        | Brixmor Operating Partnership LP                                                 | CUSIP: 11120VAL7<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |     20000 | PA      | $15296.84     | 0.00%             | 2031-08-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Edison International                                    | Edison International                                                             | CUSIP: 281020AN7<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |     76000 | PA      | $76235.17     | 0.00%             | 2027-06-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                | Sierra Timeshare Receivables Funding LLC, Series 2021-1A, Class B                | CUSIP: 82652QAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     97622 | PA      | $89283.38     | 0.00%             | 2037-11-20      | Fixed         | 1.34%                 | Yes           |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                      | United Airlines Pass-Through Trust, Series 2018-1, Class A                       | CUSIP: 90931VAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    101139 | PA      | $84264.51     | 0.00%             | 2030-03-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                               | CUSIP: 3140QELR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    134347 | PA      | $115842.60    | 0.01%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Healthcare Realty Holdings LP                           | Healthcare Realty Holdings LP                                                    | CUSIP: 42225UAH7<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |     88000 | PA      | $66618.94     | 0.00%             | 2031-03-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| US Auto Funding                                         | US Auto Funding, Series 2021-1A, Class B                                         | CUSIP: 90355EAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    105000 | PA      | $103848.82    | 0.01%             | 2025-03-17      | Fixed         | 1.49%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                 | CUSIP: 3617V7VU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     98406 | PA      | $87624.63     | 0.00%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp.                                       | BAT Capital Corp.                                                                | CUSIP: 05526DBR5<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     92000 | PA      | $76352.88     | 0.00%             | 2028-03-25      | Fixed         | 2.26%                 | No            |                  2 | On Loan: No      |
| TransCanada PipeLines Ltd.                              | TransCanada PipeLines Ltd.                                                       | CUSIP: 89352HBA6<br>LEI: 5BV01I6231JPDAPMGH09 | Long             | DBT              | CORP              | CA        |     45000 | PA      | $41223.03     | 0.00%             | 2030-04-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                               | HCA, Inc.                                                                        | CUSIP: 404119CB3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     23000 | PA      | $14756.05     | 0.00%             | 2051-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                             | Capital One Financial Corp.                                                      | CUSIP: 14040HBW4<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    102000 | PA      | $95336.68     | 0.00%             | 2028-01-31      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                              | CUSIP: 91282CFH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2515000 | PA      | $2418919.15   | 0.12%             | 2027-08-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                 | CUSIP: 36241L4J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24606 | PA      | $24009.74     | 0.00%             | 2031-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Scentre Group Trust 1                                   | Scentre Group Trust 1                                                            | CUSIP: 80622GAD6<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |    158000 | PA      | $148614.65    | 0.01%             | 2026-01-28      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                              | CUSIP: 91282CEU1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    790000 | PA      | $763553.52    | 0.04%             | 2025-06-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                 | CUSIP: 3617V7WL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55877 | PA      | $49893.48     | 0.00%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Atmos Energy Corp.                                      | Atmos Energy Corp.                                                               | CUSIP: 049560AW5<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |     45000 | PA      | $29119.31     | 0.00%             | 2052-02-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, Multifamily Structured Pass-Through Certificates, Series K136, Class A2   | CUSIP: 3137H4SH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    259000 | PA      | $214206.11    | 0.01%             | 2031-11-25      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Crossroads Asset Trust                                  | Crossroads Asset Trust, Series 2021-A, Class A2                                  | CUSIP: 22767CAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     22997 | PA      | $22827.46     | 0.00%             | 2024-03-20      | Fixed         | 0.82%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                 | CUSIP: 3617UA6Z0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    274810 | PA      | $252514.19    | 0.01%             | 2051-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Brixmor Operating Partnership LP                        | Brixmor Operating Partnership LP                                                 | CUSIP: 11120VAK9<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |     40000 | PA      | $33009.70     | 0.00%             | 2028-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                         | Citigroup, Inc.                                                                  | CUSIP: 172967LS8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    100000 | PA      | $91239.63     | 0.00%             | 2028-10-27      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| JPMorgan Equity Index Fund                              | JPMorgan Equity Index Fund, Class R6                                             | CUSIP: 4812C2213<br>LEI: 549300FO80ME045UVK10 | Long             |  | RF                | US        |  11973029 | NS      | $689287295.19 | 34.99%            |  |  |  | No            |                  1 | On Loan: No      |
| Veros Auto Receivables Trust                            | Veros Auto Receivables Trust, Series 2021-1, Class A                             | CUSIP: 92512BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     37039 | PA      | $36493.44     | 0.00%             | 2026-10-15      | Fixed         | 0.92%                 | Yes           |                  2 | On Loan: No      |
| Home Partners of America Trust                          | Home Partners of America Trust, Series 2021-2, Class C                           | CUSIP: 43732VAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    223613 | PA      | $189911.07    | 0.01%             | 2026-12-17      | Fixed         | 2.40%                 | Yes           |                  2 | On Loan: No      |
| ACRE Commercial Mortgage Ltd.                           | ACRE Commercial Mortgage Ltd., Series 2021-FL4, Class AS                         | CUSIP: 00489TAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    115000 | PA      | $112071.30    | 0.01%             | 2037-12-18      | Floating      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo & Co.                                       | Wells Fargo & Co.                                                                | CUSIP: 94974BGL8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    344000 | PA      | $331040.47    | 0.02%             | 2027-07-22      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                   | Global Payments, Inc.                                                            | CUSIP: 37940XAB8<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     77000 | PA      | $65453.96     | 0.00%             | 2029-08-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                               | CUSIP: 3140MDJT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    118897 | PA      | $104858.21    | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust                      | Tricolor Auto Securitization Trust, Series 2021-1A, Class C                      | CUSIP: 89615BAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    180000 | PA      | $177792.21    | 0.01%             | 2024-09-16      | Fixed         | 1.33%                 | Yes           |                  2 | On Loan: No      |
| Capital One Financial Corp.                             | Capital One Financial Corp.                                                      | CUSIP: 14040HCJ2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     45000 | PA      | $34457.51     | 0.00%             | 2032-11-02      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                              | AMSR Trust, Series 2020-SFR4, Class E2                                           | CUSIP: 66981FAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $87119.30     | 0.00%             | 2037-11-17      | Fixed         | 2.46%                 | Yes           |                  2 | On Loan: No      |
| Diamond Resorts Owner Trust                             | Diamond Resorts Owner Trust, Series 2021-1A, Class A                             | CUSIP: 25273CAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     66687 | PA      | $61458.67     | 0.00%             | 2033-11-21      | Fixed         | 1.51%                 | Yes           |                  2 | On Loan: No      |
| Alimentation Couche-Tard, Inc.                          | Alimentation Couche-Tard, Inc.                                                   | CUSIP: 01626PAQ9<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |     65000 | PA      | $43452.09     | 0.00%             | 2051-05-13      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| Universal Health Services, Inc.                         | Universal Health Services, Inc.                                                  | CUSIP: 913903AW0<br>LEI: 549300YGMGQDO0NMJD09 | Long             | DBT              | CORP              | US        |      4000 | PA      | $3183.49      | 0.00%             | 2030-10-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                              | CUSIP: 91282CBB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3310000 | PA      | $2804061.34   | 0.14%             | 2027-12-31      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| Flex Intermediate Holdco LLC                            | Flex Intermediate Holdco LLC                                                     | CUSIP: 33939HAB5<br>LEI: 549300290TQIGM30A243 | Long             | DBT              | CORP              | US        |     30000 | PA      | $21546.99     | 0.00%             | 2039-12-30      | Fixed         | 4.32%                 | Yes           |                  2 | On Loan: No      |
| Smithfield Foods, Inc.                                  | Smithfield Foods, Inc.                                                           | CUSIP: 832248BC1<br>LEI: CVTIPZRZJC0JQEZLL598 | Long             | DBT              | CORP              | US        |    118000 | PA      | $89844.38     | 0.00%             | 2030-10-15      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                 | CUSIP: 3617V7V70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     82086 | PA      | $73422.28     | 0.00%             | 2051-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                 | BPCE SA                                                                          | CUSIP: 05583JAH5<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    250000 | PA      | $222171.33    | 0.01%             | 2026-10-06      | Variable      | 1.65%                 | Yes           |                  2 | On Loan: No      |
| Duke Energy Progress LLC                                | Duke Energy Progress LLC                                                         | CUSIP: 26442UAM6<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |     40000 | PA      | $26191.91     | 0.00%             | 2051-08-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                      | CUSIP: 3140LGFW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    230000 | PA      | $215771.88    | 0.01%             | 2032-01-01      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| Office Properties Income Trust                          | Office Properties Income Trust                                                   | CUSIP: 67623CAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     60000 | PA      | $46499.91     | 0.00%             | 2026-06-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust                                  | Marlette Funding Trust, Series 2021-1A, Class B                                  | CUSIP: 57110NAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     85048 | PA      | $83905.82     | 0.00%             | 2031-06-16      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| International Flavors & Fragrances, Inc.                | International Flavors & Fragrances, Inc.                                         | CUSIP: 459506AS0<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |     31000 | PA      | $20983.56     | 0.00%             | 2050-12-01      | Fixed         | 3.47%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Bonds                                                              | CUSIP: 912810SN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     93000 | PA      | $50049.26     | 0.00%             | 2050-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                         | Goldman Sachs Group, Inc. (The)                                                  | CUSIP: 38141GVR2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    290000 | PA      | $283024.52    | 0.01%             | 2025-10-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Macquarie Group Ltd.                                    | Macquarie Group Ltd.                                                             | CUSIP: 55608JAZ1<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |    150000 | PA      | $115077.41    | 0.01%             | 2033-01-14      | Variable      | 2.87%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                              | CUSIP: 91282CCB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    160000 | PA      | $134556.25    | 0.01%             | 2031-05-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                             | Amgen, Inc.                                                                      | CUSIP: 031162CR9<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |     96000 | PA      | $70696.77     | 0.00%             | 2040-02-21      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                   | Bank of America Corp.                                                            | CUSIP: 06051GGL7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    278000 | PA      | $257259.38    | 0.01%             | 2028-04-24      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| Federal Realty Investment Trust                         | Federal Realty Investment Trust                                                  | CUSIP: 313747BB2<br>LEI: 549300LI6XZ51GOCJ427 | Long             | DBT              | CORP              | US        |     70000 | PA      | $61650.75     | 0.00%             | 2026-02-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                 | CUSIP: 3617W0AQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    174793 | PA      | $157587.39    | 0.01%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                 | CUSIP: 3617ULV54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    688058 | PA      | $636486.95    | 0.03%             | 2051-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                    | Mitsubishi UFJ Financial Group, Inc.                                             | CUSIP: 606822BY9<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    230000 | PA      | $199396.12    | 0.01%             | 2027-07-20      | Variable      | 1.54%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC Gold Pools, Other                                                          | CUSIP: 3132XHSP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $185556.67    | 0.01%             | 2034-10-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                            | Verizon Communications, Inc.                                                     | CUSIP: 92343VGN8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     20000 | PA      | $15854.04     | 0.00%             | 2032-03-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| LYB International Finance III LLC                       | LYB International Finance III LLC                                                | CUSIP: 50249AAF0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     30000 | PA      | $26763.18     | 0.00%             | 2025-10-01      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA ACES, Series 2021-M3, Class 1A1                                             | CUSIP: 3136BDXP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    175465 | PA      | $165066.16    | 0.01%             | 2033-11-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Office Properties Income Trust                          | Office Properties Income Trust                                                   | CUSIP: 67623CAE9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     75000 | PA      | $54795.87     | 0.00%             | 2027-02-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Masco Corp.                                             | Masco Corp.                                                                      | CUSIP: 574599BP0<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | DBT              | CORP              | US        |     38000 | PA      | $29452.99     | 0.00%             | 2030-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                      | Energy Transfer LP                                                               | CUSIP: 86765BAT6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    146000 | PA      | $137942.90    | 0.01%             | 2026-07-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| CPS Auto Receivables Trust                              | CPS Auto Receivables Trust, Series 2021-A, Class C                               | CUSIP: 12656NAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    333117 | PA      | $328911.10    | 0.02%             | 2026-09-15      | Fixed         | 0.83%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                      | CUSIP: 3140LH2Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    510000 | PA      | $507593.44    | 0.03%             | 2032-12-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Bonds                                                              | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1685000 | PA      | $1505968.75   | 0.08%             | 2042-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| WP Carey, Inc.                                          | WP Carey, Inc.                                                                   | CUSIP: 92936UAE9<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |     26000 | PA      | $25040.91     | 0.00%             | 2026-10-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Multi-Family Structured Credit Risk               | FHLMC, Multi-Family Structured Credit Risk, Series 2021-MN2, Class M1            | CUSIP: 35563JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    176101 | PA      | $160224.81    | 0.01%             | 2041-07-25      | Floating      | 5.73%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, REMIC, Series 2019-7, Class CA                                             | CUSIP: 3136B32G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    337361 | PA      | $318587.87    | 0.02%             | 2057-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                      | CUSIP: 3140LGVS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    210000 | PA      | $201934.56    | 0.01%             | 2031-02-01      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-150, Class A2 | CUSIP: 3137H9C98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    185000 | PA      | $173363.39    | 0.01%             | 2032-09-25      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                            | Pacific Gas and Electric Co.                                                     | CUSIP: 694308JY4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     35000 | PA      | $33873.71     | 0.00%             | 2023-11-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                       | HSBC Holdings plc                                                                | CUSIP: 404280CL1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    400000 | PA      | $334322.22    | 0.02%             | 2028-09-22      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| Berkshire Hathaway Finance Corp.                        | Berkshire Hathaway Finance Corp.                                                 | CUSIP: 084664DB4<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |     40000 | PA      | $31881.92     | 0.00%             | 2052-03-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                        | Deutsche Bank AG                                                                 | CUSIP: 25160PAH0<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    150000 | PA      | $127506.69    | 0.01%             | 2028-01-07      | Variable      | 2.55%                 | No            |                  2 | On Loan: No      |
| Altria Group, Inc.                                      | Altria Group, Inc.                                                               | CUSIP: 02209SBL6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     70000 | PA      | $52807.60     | 0.00%             | 2032-02-04      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                    | Charter Communications Operating LLC                                             | CUSIP: 161175BV5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     96000 | PA      | $58374.50     | 0.00%             | 2051-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Gray Oak Pipeline LLC                                   | Gray Oak Pipeline LLC                                                            | CUSIP: 38937LAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    198000 | PA      | $179550.10    | 0.01%             | 2025-10-15      | Fixed         | 2.60%                 | Yes           |                  2 | On Loan: No      |
| Triton Container International Ltd.                     | Triton Container International Ltd.                                              | CUSIP: 89680YAA3<br>LEI: 549300O4LZFLCX53XZ54 | Long             | DBT              | CORP              | BM        |    150000 | PA      | $130387.50    | 0.01%             | 2026-04-15      | Fixed         | 2.05%                 | Yes           |                  2 | On Loan: No      |
| ACC Trust                                               | ACC Trust, Series 2021-1, Class B                                                | CUSIP: 00091KAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     38856 | PA      | $38676.89     | 0.00%             | 2024-07-22      | Fixed         | 1.43%                 | Yes           |                  2 | On Loan: No      |
| ACRE Commercial Mortgage Ltd.                           | ACRE Commercial Mortgage Ltd., Series 2021-FL4, Class A                          | CUSIP: 00489TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    116935 | PA      | $115004.36    | 0.01%             | 2037-12-18      | Floating      | 5.17%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Bonds                                                              | CUSIP: 912810SR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    696000 | PA      | $435598.13    | 0.02%             | 2040-05-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| PG&E Wildfire Recovery Funding LLC                      | PG&E Wildfire Recovery Funding LLC, Series A-5                                   | CUSIP: 693342AK3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     35000 | PA      | $32907.60     | 0.00%             | 2052-06-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                      | CUSIP: 3140LHWQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    175000 | PA      | $180600.43    | 0.01%             | 2032-10-01      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Consolidated Edison Co. of New York, Inc.               | Consolidated Edison Co. of New York, Inc.                                        | CUSIP: 209111GD9<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |     70000 | PA      | $74937.75     | 0.00%             | 2052-11-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Evergy Missouri West, Inc.                              | Evergy Missouri West, Inc.                                                       | CUSIP: 30037FAA8<br>LEI: EZIFUDC0VSUS6T6LCG85 | Long             | DBT              | CORP              | US        |     71000 | PA      | $70735.02     | 0.00%             | 2027-12-15      | Fixed         | 5.15%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA ACES, Series 2022-M2S, Class A1                                             | CUSIP: 3136BPGK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    184667 | PA      | $177476.59    | 0.01%             | 2032-05-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                          | Pagaya AI Debt Selection Trust, Series 2021-HG1, Class A                         | CUSIP: 69547PAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    191225 | PA      | $180401.77    | 0.01%             | 2029-01-16      | Fixed         | 1.22%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Bonds                                                              | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    560000 | PA      | $389418.75    | 0.02%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Piedmont Healthcare, Inc.                               | Piedmont Healthcare, Inc.                                                        | CUSIP: 72014TAE9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     45000 | PA      | $28064.42     | 0.00%             | 2052-01-01      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                     | Seasoned Credit Risk Transfer Trust, Series 2018-2, Class M55D                   | CUSIP: 35563PFP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    331607 | PA      | $316341.31    | 0.02%             | 2057-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                            | Hilton Grand Vacations Trust, Series 2017-AA, Class A                            | CUSIP: 43283AAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12069 | PA      | $11879.23     | 0.00%             | 2028-12-26      | Fixed         | 2.66%                 | Yes           |                  2 | On Loan: No      |
| CommonSpirit Health                                     | CommonSpirit Health                                                              | CUSIP: 20268JAF0<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |     74000 | PA      | $61036.98     | 0.00%             | 2030-10-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                      | CUSIP: 3140HWQJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    322249 | PA      | $283685.80    | 0.01%             | 2029-11-01      | Fixed         | 2.41%                 | No            |                  2 | On Loan: No      |
| Alexander Funding Trust                                 | Alexander Funding Trust                                                          | CUSIP: 014621AA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    198000 | PA      | $189674.46    | 0.01%             | 2023-11-15      | Fixed         | 1.84%                 | Yes           |                  2 | On Loan: No      |
| Children's Hospital of Philadelphia (The)               | Children's Hospital of Philadelphia (The), Series 2020                           | CUSIP: 16877PAA8<br>LEI: 254900N2KNSY5WTR1Q61 | Long             | DBT              | CORP              | US        |     70000 | PA      | $44670.76     | 0.00%             | 2050-07-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                               | CUSIP: 3140MLP53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103920 | PA      | $101128.71    | 0.01%             | 2052-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Dell International LLC                                  | Dell International LLC                                                           | CUSIP: 24703TAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    246000 | PA      | $250089.24    | 0.01%             | 2030-07-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| MVW LLC                                                 | MVW LLC, Series 2021-2A, Class C                                                 | CUSIP: 55400KAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    211612 | PA      | $187188.64    | 0.01%             | 2039-05-20      | Fixed         | 2.23%                 | Yes           |                  2 | On Loan: No      |
| Entergy Louisiana LLC                                   | Entergy Louisiana LLC                                                            | CUSIP: 29364WBA5<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |     40000 | PA      | $36099.05     | 0.00%             | 2033-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Kraft Heinz Foods Co.                                   | Kraft Heinz Foods Co.                                                            | CUSIP: 50077LAB2<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |     29000 | PA      | $23565.49     | 0.00%             | 2046-06-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                    | FREMF Mortgage Trust, Series 2016-K58, Class B                                   | CUSIP: 35690AAS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    465000 | PA      | $431712.51    | 0.02%             | 2049-09-25      | Variable      | 3.74%                 | Yes           |                  2 | On Loan: No      |
| NRG Energy, Inc.                                        | NRG Energy, Inc.                                                                 | CUSIP: 629377CP5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    118000 | PA      | $97769.47     | 0.00%             | 2027-12-02      | Fixed         | 2.45%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                      | CUSIP: 3140FXRT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145066 | PA      | $126913.40    | 0.01%             | 2060-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Public Storage                                          | Public Storage                                                                   | CUSIP: 74460DAH2<br>LEI: 549300LMZF40TKJ6DM64 | Long             | DBT              | CORP              | US        |     32000 | PA      | $27296.58     | 0.00%             | 2028-11-09      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| ACC Auto Trust                                          | ACC Auto Trust, Series 2021-A, Class B                                           | CUSIP: 00108XAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    185000 | PA      | $177826.61    | 0.01%             | 2027-04-15      | Fixed         | 1.79%                 | Yes           |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                      | United Airlines Pass-Through Trust, Series 2016-2, Class A                       | CUSIP: 90932DAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     36785 | PA      | $29700.17     | 0.00%             | 2028-10-07      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                      | CUSIP: 3138L5FA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116709 | PA      | $114251.62    | 0.01%             | 2025-12-01      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA ACES, Series 2020-M50, Class X1                                             | CUSIP: 3136BCGU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2367152 | PA      | $174761.63    | 0.01%             | 2030-10-25      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                 | CUSIP: 3622AAXX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    304952 | PA      | $277212.08    | 0.01%             | 2051-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners I LLC                  | Pretium Mortgage Credit Partners I LLC, Series 2021-NPL1, Class A1               | CUSIP: 741389AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    249021 | PA      | $226804.32    | 0.01%             | 2060-09-27      | Variable      | 2.24%                 | Yes           |                  2 | On Loan: No      |
| Lowe's Cos., Inc.                                       | Lowe's Cos., Inc.                                                                | CUSIP: 548661DN4<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    102000 | PA      | $75525.23     | 0.00%             | 2046-04-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                      | CUSIP: 3140HVDE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $89241.45     | 0.00%             | 2031-08-01      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                    | LHOME Mortgage Trust, Series 2021-RTL1, Class A1                                 | CUSIP: 501894AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    340000 | PA      | $321867.83    | 0.02%             | 2026-02-25      | Variable      | 2.09%                 | Yes           |                  2 | On Loan: No      |
| Graphic Packaging International LLC                     | Graphic Packaging International LLC                                              | CUSIP: 38869PAP9<br>LEI: SO75N4VY5NXGQSK8YQ65 | Long             | DBT              | CORP              | US        |     49000 | PA      | $42743.05     | 0.00%             | 2026-04-15      | Fixed         | 1.51%                 | Yes           |                  2 | On Loan: No      |
| Indiana Michigan Power Co.                              | Indiana Michigan Power Co.                                                       | CUSIP: 454889AU0<br>LEI: JHR9V15J0ZRG02MIRD06 | Long             | DBT              | CORP              | US        |     55000 | PA      | $37412.70     | 0.00%             | 2051-05-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CFMT LLC                                                | CFMT LLC, Series 2021-HB5, Class A                                               | CUSIP: 12526PAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    278199 | PA      | $268222.70    | 0.01%             | 2031-02-25      | Variable      | 0.80%                 | Yes           |                  3 | On Loan: No      |
| American Airlines Pass-Through Trust                    | American Airlines Pass-Through Trust, Series 2021-1, Class B                     | CUSIP: 02376LAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    184000 | PA      | $145992.56    | 0.01%             | 2030-07-11      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                               | BPR Trust, Series 2021-KEN, Class A                                              | CUSIP: 05591QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    220000 | PA      | $213976.44    | 0.01%             | 2029-02-15      | Floating      | 5.57%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                       | GLS Auto Receivables Issuer Trust, Series 2021-2A, Class B                       | CUSIP: 36261XAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    146330 | PA      | $144688.06    | 0.01%             | 2025-09-15      | Fixed         | 0.77%                 | Yes           |                  2 | On Loan: No      |
| MPLX LP                                                 | MPLX LP                                                                          | CUSIP: 55336VAM2<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     52000 | PA      | $43803.13     | 0.00%             | 2038-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Oportun Issuance Trust                                  | Oportun Issuance Trust, Series 2021-B, Class A                                   | CUSIP: 68377GAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    425000 | PA      | $371205.97    | 0.02%             | 2031-05-08      | Fixed         | 1.47%                 | Yes           |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                            | Pacific Gas and Electric Co.                                                     | CUSIP: 694308HP5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     51000 | PA      | $46741.53     | 0.00%             | 2026-03-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC Gold Pools, Other                                                          | CUSIP: 3132WVA46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    498602 | PA      | $460611.16    | 0.02%             | 2032-08-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                 | CUSIP: 3617VQ2T2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    314154 | PA      | $288664.09    | 0.01%             | 2051-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                      | CUSIP: 3138LNZS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    185000 | PA      | $171619.08    | 0.01%             | 2033-07-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Anglo American Capital plc                              | Anglo American Capital plc                                                       | CUSIP: 034863AS9<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |    400000 | PA      | $385950.00    | 0.02%             | 2024-09-11      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                      | CUSIP: 3140LFVV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130000 | PA      | $114509.37    | 0.01%             | 2033-09-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Oportun Funding XIV LLC                                 | Oportun Funding XIV LLC, Series 2021-A, Class B                                  | CUSIP: 68377BAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    370000 | PA      | $342682.83    | 0.02%             | 2028-03-08      | Fixed         | 1.76%                 | Yes           |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                    | Mitsubishi UFJ Financial Group, Inc.                                             | CUSIP: 606822BH6<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    184000 | PA      | $169561.62    | 0.01%             | 2029-03-07      | Fixed         | 3.74%                 | No            |                  2 | On Loan: No      |
| Shell International Finance BV                          | Shell International Finance BV                                                   | CUSIP: 822582CE0<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |     52000 | PA      | $36543.70     | 0.00%             | 2049-11-07      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Zoetis, Inc.                                            | Zoetis, Inc.                                                                     | CUSIP: 98978VAV5<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |    100000 | PA      | $103662.65    | 0.01%             | 2032-11-16      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                    | Glencore Funding LLC                                                             | CUSIP: 378272AY4<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     96000 | PA      | $77922.22     | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Roper Technologies, Inc.                                | Roper Technologies, Inc.                                                         | CUSIP: 776743AL0<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |     47000 | PA      | $36207.41     | 0.00%             | 2031-02-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2020-185, Class PE                                                  | CUSIP: 38382LT84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    287177 | PA      | $225803.74    | 0.01%             | 2050-12-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| VOLT XCVI LLC                                           | VOLT XCVI LLC, Series 2021-NPL5, Class A1                                        | CUSIP: 92873FAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    227472 | PA      | $206215.65    | 0.01%             | 2051-03-27      | Variable      | 2.12%                 | Yes           |                  2 | On Loan: No      |
| DT Auto Owner Trust                                     | DT Auto Owner Trust, Series 2021-2A, Class C                                     | CUSIP: 23345EAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    270000 | PA      | $256494.33    | 0.01%             | 2027-02-16      | Fixed         | 1.10%                 | Yes           |                  2 | On Loan: No      |
| Gilead Sciences, Inc.                                   | Gilead Sciences, Inc.                                                            | CUSIP: 375558BS1<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |     52000 | PA      | $36279.94     | 0.00%             | 2040-10-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA ACES, Series 2022-M1S, Class A2                                             | CUSIP: 3136BNET9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    365000 | PA      | $298986.57    | 0.02%             | 2032-04-25      | Variable      | 2.08%                 | No            |                  2 | On Loan: No      |
| WP Carey, Inc.                                          | WP Carey, Inc.                                                                   | CUSIP: 92936UAJ8<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |     40000 | PA      | $31256.37     | 0.00%             | 2032-02-01      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                | Lloyds Banking Group plc                                                         | CUSIP: 53944YAP8<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $173109.12    | 0.01%             | 2027-05-11      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                 | Hyundai Capital America                                                          | CUSIP: 44891ABG1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    200000 | PA      | $179484.01    | 0.01%             | 2027-02-10      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Boston Scientific Corp.                                 | Boston Scientific Corp.                                                          | CUSIP: 101137AT4<br>LEI: Y6ZDD9FP4P8JSSJMW954 | Long             | DBT              | CORP              | US        |     18000 | PA      | $16145.55     | 0.00%             | 2039-03-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Kraft Heinz Foods Co.                                   | Kraft Heinz Foods Co.                                                            | CUSIP: 50077LAX4<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |     55000 | PA      | $48247.78     | 0.00%             | 2039-10-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| ITC Holdings Corp.                                      | ITC Holdings Corp.                                                               | CUSIP: 465685AQ8<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |     30000 | PA      | $25306.38     | 0.00%             | 2030-05-14      | Fixed         | 2.95%                 | Yes           |                  2 | On Loan: No      |
| FirstEnergy Transmission LLC                            | FirstEnergy Transmission LLC                                                     | CUSIP: 33767BAC3<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |     44000 | PA      | $35602.53     | 0.00%             | 2049-04-01      | Fixed         | 4.55%                 | Yes           |                  2 | On Loan: No      |
| OGE Energy Corp.                                        | OGE Energy Corp.                                                                 | CUSIP: 670837AC7<br>LEI: CE5OG6JPOZMDSA0LAQ19 | Long             | DBT              | CORP              | US        |     30000 | PA      | $29468.26     | 0.00%             | 2023-05-26      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                      | CUSIP: 3138L5KB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53583 | PA      | $52241.62     | 0.00%             | 2030-11-01      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                      | CUSIP: 3140FXHG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    253850 | PA      | $262440.26    | 0.01%             | 2058-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                      | Energy Transfer LP                                                               | CUSIP: 292480AH3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    181000 | PA      | $176279.77    | 0.01%             | 2024-05-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Business Jet Securities LLC                             | Business Jet Securities LLC, Series 2021-1A, Class B                             | CUSIP: 12327BAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    182754 | PA      | $154894.55    | 0.01%             | 2036-04-15      | Fixed         | 2.92%                 | Yes           |                  3 | On Loan: No      |
| Morgan Stanley                                          | Morgan Stanley                                                                   | CUSIP: 61772BAC7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     40000 | PA      | $29599.01     | 0.00%             | 2042-04-22      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| Walt Disney Co. (The)                                   | Walt Disney Co. (The)                                                            | CUSIP: 254687FX9<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |     90000 | PA      | $76820.80     | 0.00%             | 2031-01-13      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Teachers Insurance & Annuity Association of America     | Teachers Insurance & Annuity Association of America                              | CUSIP: 878091BG1<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |     96000 | PA      | $66369.92     | 0.00%             | 2050-05-15      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| CSMC Trust                                              | CSMC Trust, Series 2021-RPL1, Class A1                                           | CUSIP: 12660KAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    187390 | PA      | $176787.36    | 0.01%             | 2060-09-27      | Variable      | 1.67%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                 | CUSIP: 3617F25S2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    114008 | PA      | $111952.98    | 0.01%             | 2052-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| New England Power Co.                                   | New England Power Co.                                                            | CUSIP: 644188BG8<br>LEI: 549300DTVRGN9GYD5U85 | Long             | DBT              | CORP              | US        |     62000 | PA      | $37489.46     | 0.00%             | 2050-10-06      | Fixed         | 2.81%                 | Yes           |                  2 | On Loan: No      |
| Credit Agricole SA                                      | Credit Agricole SA                                                               | CUSIP: 22535WAH0<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    250000 | PA      | $218635.17    | 0.01%             | 2027-01-26      | Variable      | 1.25%                 | Yes           |                  2 | On Loan: No      |
| United Auto Credit Securitization Trust                 | United Auto Credit Securitization Trust, Series 2021-1, Class C                  | CUSIP: 90943UAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     96564 | PA      | $95869.08     | 0.00%             | 2026-06-10      | Fixed         | 0.84%                 | Yes           |                  2 | On Loan: No      |
| Duke Energy Florida LLC                                 | Duke Energy Florida LLC                                                          | CUSIP: 26444HAN1<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |     62000 | PA      | $65986.67     | 0.00%             | 2052-11-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                              | Progress Residential Trust, Series 2020-SFR1, Class E                            | CUSIP: 74331CAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    205000 | PA      | $186301.07    | 0.01%             | 2037-04-17      | Fixed         | 3.03%                 | Yes           |                  2 | On Loan: No      |
| Microchip Technology, Inc.                              | Microchip Technology, Inc.                                                       | CUSIP: 595017BC7<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |     15000 | PA      | $13889.40     | 0.00%             | 2024-09-01      | Fixed         | 0.98%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                     | Exeter Automobile Receivables Trust, Series 2021-2A, Class C                     | CUSIP: 30165XAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    140000 | PA      | $134538.24    | 0.01%             | 2026-06-15      | Fixed         | 0.98%                 | No            |                  2 | On Loan: No      |
| VOLT XCV LLC                                            | VOLT XCV LLC, Series 2021-NPL4, Class A1                                         | CUSIP: 92873BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    185609 | PA      | $169603.38    | 0.01%             | 2051-03-27      | Variable      | 2.24%                 | Yes           |                  2 | On Loan: No      |
| Fn  dec29                                               | Fn  dec29                                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $509752.75    | 0.03%             | 2029-12-01      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA                                                    | FNMA ACES, Series 2021-M3, Class X1                                              | CUSIP: 3136BDXR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    789041 | PA      | $70498.60     | 0.00%             | 2033-11-25      | Variable      | 1.94%                 | No            |                  2 | On Loan: No      |
| 7-Eleven, Inc.                                          | 7-Eleven, Inc.                                                                   | CUSIP: 817826AA8<br>LEI: 549300K23JPL0SS3LB18 | Long             | DBT              | CORP              | US        |    120000 | PA      | $119384.91    | 0.01%             | 2023-02-10      | Fixed         | 0.62%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan U.S. Aggregate Bond ETF                        | JPMorgan U.S. Aggregate Bond ETF                                                 | CUSIP: 46641Q241<br>LEI: 549300Y7I30NRICF3S33 | Long             |  | RF                | US        |   2078642 | NS      | $95181017.18  | 4.83%             |  |  |  | No            |                  1 | On Loan: No      |
| VOLT XCII LLC                                           | VOLT XCII LLC, Series 2021-NPL1, Class A1                                        | CUSIP: 91835MAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    113797 | PA      | $98192.73     | 0.00%             | 2051-02-27      | Variable      | 1.89%                 | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                     | Exeter Automobile Receivables Trust, Series 2022-5A, Class C                     | CUSIP: 30167FAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    115000 | PA      | $115549.84    | 0.01%             | 2027-12-15      | Fixed         | 6.51%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                | Ajax Mortgage Loan Trust, Series 2021-B, Class A                                 | CUSIP: 00970LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    157898 | PA      | $145661.97    | 0.01%             | 2066-06-25      | Variable      | 2.24%                 | Yes           |                  2 | On Loan: No      |
| FHF Trust                                               | FHF Trust, Series 2021-1A, Class A                                               | CUSIP: 30260WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    178953 | PA      | $171492.48    | 0.01%             | 2027-03-15      | Fixed         | 1.27%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Core Plus Bond Fund                            | JPMorgan Core Plus Bond Fund, Class R6                                           | CUSIP: 4812C0134<br>LEI: JW89OQCNJOLWVS3KT374 | Long             |  | RF                | US        |  33724423 | NS      | $240117894.91 | 12.19%            |  |  |  | No            |                  1 | On Loan: No      |
| Berkshire Hathaway Energy Co.                           | Berkshire Hathaway Energy Co.                                                    | CUSIP: 084659BC4<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |     44000 | PA      | $28805.93     | 0.00%             | 2051-05-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, REMIC, Series 2018-72, Class VB                                            | CUSIP: 3136B27G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    313275 | PA      | $298770.80    | 0.02%             | 2031-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Bonds                                                              | CUSIP: 912810SY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     61000 | PA      | $45857.23     | 0.00%             | 2041-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Emerging Markets Research Enhanced Equity Fund | JPMorgan Emerging Markets Research Enhanced Equity Fund, Class R6                | CUSIP: 46645V626<br>LEI: 549300RH6H0TG40PHS83 | Long             |  | RF                | US        |  12006479 | NS      | $176375171.84 | 8.95%             |  |  |  | No            |                  1 | On Loan: No      |
| Southern Power Co.                                      | Southern Power Co.                                                               | CUSIP: 843646AH3<br>LEI: 5LADC78JBG2BMZD5XF57 | Long             | DBT              | CORP              | US        |     74000 | PA      | $66873.65     | 0.00%             | 2041-09-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, REMIC, Series 2011-41, Class KA                                            | CUSIP: 31397SU28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5534 | PA      | $5386.94      | 0.00%             | 2041-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Life Storage LP                                         | Life Storage LP                                                                  | CUSIP: 53227JAD6<br>LEI: X0MIGH67XZCB7HL1A534 | Long             | DBT              | CORP              | US        |     60000 | PA      | $46157.95     | 0.00%             | 2031-10-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Walt Disney Co. (The)                                   | Walt Disney Co. (The)                                                            | CUSIP: 254687FY7<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |     84000 | PA      | $67620.75     | 0.00%             | 2040-05-13      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Elara HGV Timeshare Issuer LLC                          | Elara HGV Timeshare Issuer LLC, Series 2021-A, Class B                           | CUSIP: 28416LAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    146214 | PA      | $129884.42    | 0.01%             | 2035-08-27      | Fixed         | 1.74%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                      | CUSIP: 3140LJC46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    550000 | PA      | $570830.87    | 0.03%             | 2031-02-01      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| S&P Global, Inc.                                        | S&P Global, Inc.                                                                 | CUSIP: 78409VBB9<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |     69000 | PA      | $60735.33     | 0.00%             | 2029-03-01      | Fixed         | 2.70%                 | Yes           |                  2 | On Loan: No      |
| Oportun Funding XIV LLC                                 | Oportun Funding XIV LLC, Series 2021-A, Class A                                  | CUSIP: 68377BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    118000 | PA      | $109879.03    | 0.01%             | 2028-03-08      | Fixed         | 1.21%                 | Yes           |                  2 | On Loan: No      |
| CGI, Inc.                                               | CGI, Inc.                                                                        | CUSIP: 12532HAC8<br>LEI: 549300WSRCZY73ZG3090 | Long             | DBT              | CORP              | CA        |     42000 | PA      | $37143.47     | 0.00%             | 2026-09-14      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| MDC Holdings, Inc.                                      | MDC Holdings, Inc.                                                               | CUSIP: 552676AV0<br>LEI: 5299005FV4VNV75R8R35 | Long             | DBT              | CORP              | US        |     55000 | PA      | $30735.71     | 0.00%             | 2061-08-06      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Plains All American Pipeline LP                         | Plains All American Pipeline LP                                                  | CUSIP: 72650RBJ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    132000 | PA      | $129165.10    | 0.01%             | 2025-10-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Mission Lane Credit Card Master Trust                   | Mission Lane Credit Card Master Trust, Series 2021-A, Class A                    | CUSIP: 60510MAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    195000 | PA      | $188846.00    | 0.01%             | 2026-09-15      | Fixed         | 1.59%                 | Yes           |                  2 | On Loan: No      |
| Evergy, Inc.                                            | Evergy, Inc.                                                                     | CUSIP: 30034WAB2<br>LEI: 549300PGTHDQY6PSUI61 | Long             | DBT              | CORP              | US        |     96000 | PA      | $82899.73     | 0.00%             | 2029-09-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Aligned Data Centers Issuer LLC                         | Aligned Data Centers Issuer LLC, Series 2021-1A, Class A2                        | CUSIP: 01627AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    170000 | PA      | $145196.29    | 0.01%             | 2046-08-15      | Fixed         | 1.94%                 | Yes           |                  2 | On Loan: No      |
| Sabra Health Care LP                                    | Sabra Health Care LP                                                             | CUSIP: 78574MAA1<br>LEI: 549300OVKLRFSIQG0H81 | Long             | DBT              | CORP              | US        |     45000 | PA      | $33483.01     | 0.00%             | 2031-12-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                     | Seasoned Credit Risk Transfer Trust, Series 2019-4, Class M55D                   | CUSIP: 35563PMT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    101536 | PA      | $96525.23     | 0.00%             | 2059-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| American Electric Power Co., Inc.                       | American Electric Power Co., Inc.                                                | CUSIP: 025537AK7<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |    200000 | PA      | $192837.01    | 0.01%             | 2024-03-15      | Fixed         | 2.03%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Bonds                                                              | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1482000 | PA      | $963473.68    | 0.05%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Air Lease Corp.                                         | Air Lease Corp.                                                                  | CUSIP: 00914AAM4<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    210000 | PA      | $182392.88    | 0.01%             | 2026-08-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                     | Seasoned Credit Risk Transfer Trust, Series 2018-4, Class M55D                   | CUSIP: 35563PHK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    180537 | PA      | $172743.43    | 0.01%             | 2058-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Home Depot, Inc. (The)                                  | Home Depot, Inc. (The)                                                           | CUSIP: 437076CT7<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |     36000 | PA      | $34554.26     | 0.00%             | 2052-09-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                            | Upstart Securitization Trust, Series 2021-1, Class A                             | CUSIP: 91681NAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6730 | PA      | $6708.69      | 0.00%             | 2031-03-20      | Fixed         | 0.87%                 | Yes           |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust                      | Tricolor Auto Securitization Trust, Series 2021-1A, Class B                      | CUSIP: 89615BAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    168006 | PA      | $167432.39    | 0.01%             | 2024-06-17      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| Union Pacific Corp.                                     | Union Pacific Corp.                                                              | CUSIP: 907818FD5<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |     70000 | PA      | $57793.54     | 0.00%             | 2039-08-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| QUALCOMM, Inc.                                          | QUALCOMM, Inc.                                                                   | CUSIP: 747525BR3<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |     30000 | PA      | $26272.95     | 0.00%             | 2052-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                            | Verizon Communications, Inc.                                                     | CUSIP: 92343VFE9<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    124000 | PA      | $109348.28    | 0.01%             | 2030-03-22      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                 | CUSIP: 3617XXAR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    192003 | PA      | $174404.62    | 0.01%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| S&P Global, Inc.                                        | S&P Global, Inc.                                                                 | CUSIP: 78409VAZ7<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |     70000 | PA      | $66814.71     | 0.00%             | 2029-05-01      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                      | General Motors Financial Co., Inc.                                               | CUSIP: 37045XDU7<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    105000 | PA      | $101355.91    | 0.01%             | 2025-04-07      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Grantor Trust, Whole Loan, Series 2001-T12, Class A1                       | CUSIP: 31392A5L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    164744 | PA      | $167491.94    | 0.01%             | 2041-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA Trust, Whole Loan, Series 2002-W8, Class A1                                 | CUSIP: 31392DP89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84728 | PA      | $89144.52     | 0.00%             | 2042-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| University of Miami                                     | University of Miami, Series 2022                                                 | CUSIP: 914453AA3<br>LEI: 5493008ZSVWUNRYQE312 | Long             | DBT              | CORP              | US        |     20000 | PA      | $16297.91     | 0.00%             | 2052-04-01      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                   | FMC GMSR Issuer Trust, Series 2021-GT2, Class A                                  | CUSIP: 30259RAK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    150000 | PA      | $120293.40    | 0.01%             | 2026-10-25      | Variable      | 3.85%                 | Yes           |                  2 | On Loan: No      |
| Exxon Mobil Corp.                                       | Exxon Mobil Corp.                                                                | CUSIP: 30231GAY8<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |    146000 | PA      | $111586.21    | 0.01%             | 2039-08-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Northrop Grumman Corp.                                  | Northrop Grumman Corp.                                                           | CUSIP: 666807BT8<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |     37000 | PA      | $35961.64     | 0.00%             | 2040-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                      | CUSIP: 3140LGEC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    422000 | PA      | $383550.93    | 0.02%             | 2032-07-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                                | UnitedHealth Group, Inc.                                                         | CUSIP: 91324PES7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     25000 | PA      | $26994.13     | 0.00%             | 2053-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                                | PRPM LLC, Series 2021-10, Class A1                                               | CUSIP: 69360HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     79640 | PA      | $73637.81     | 0.00%             | 2026-10-25      | Variable      | 2.49%                 | Yes           |                  2 | On Loan: No      |
| Republic Finance Issuance Trust                         | Republic Finance Issuance Trust, Series 2021-A, Class A                          | CUSIP: 76042UAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    334000 | PA      | $299228.46    | 0.02%             | 2031-12-22      | Fixed         | 2.30%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                     | Societe Generale SA                                                              | CUSIP: 83367TBJ7<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    400000 | PA      | $383692.64    | 0.02%             | 2025-04-14      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA ACES, Series 2018-M10, Class A1                                             | CUSIP: 3136B2GY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52408 | PA      | $51764.86     | 0.00%             | 2028-07-25      | Variable      | 3.36%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                    | Charter Communications Operating LLC                                             | CUSIP: 161175BU7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     22000 | PA      | $17127.17     | 0.00%             | 2031-04-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA ACES, Series 2020-M38, Class X2                                             | CUSIP: 3136BBSN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1583302 | PA      | $114539.25    | 0.01%             | 2028-11-25      | Variable      | 1.98%                 | No            |                  2 | On Loan: No      |
| JPMorgan High Yield Fund                                | JPMorgan High Yield Fund, Class R6                                               | CUSIP: 4812C0126<br>LEI: 15QB5UY3VV3GNSMNPX63 | Long             |  | RF                | US        |   6526284 | NS      | $40071383.94  | 2.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Oklahoma Gas and Electric Co.                           | Oklahoma Gas and Electric Co.                                                    | CUSIP: 678858BW0<br>LEI: 549300VJ8YXGPO8EV472 | Long             | DBT              | CORP              | US        |     35000 | PA      | $34376.67     | 0.00%             | 2023-05-26      | Fixed         | 0.55%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                            | Pacific Gas and Electric Co.                                                     | CUSIP: 694308HA8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     62000 | PA      | $41564.85     | 0.00%             | 2042-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                      | CUSIP: 3140LGDR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    225000 | PA      | $205902.17    | 0.01%             | 2033-08-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                    | American Tower Corp.                                                             | CUSIP: 03027XBG4<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    256000 | PA      | $197553.83    | 0.01%             | 2030-10-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| NGPL PipeCo LLC                                         | NGPL PipeCo LLC                                                                  | CUSIP: 62928CAA0<br>LEI: 549300K3NT1HSQFEM073 | Long             | DBT              | CORP              | US        |     40000 | PA      | $32536.12     | 0.00%             | 2031-07-15      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                      | CUSIP: 3140HVBS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $88660.23     | 0.00%             | 2031-08-01      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| VOLT XCIII LLC                                          | VOLT XCIII LLC, Series 2021-NPL2, Class A1                                       | CUSIP: 92873CAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    358723 | PA      | $322711.33    | 0.02%             | 2051-02-27      | Variable      | 1.89%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                               | CUSIP: 3140L2YQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    390884 | PA      | $343568.00    | 0.02%             | 2051-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NXP BV                                                  | NXP BV                                                                           | CUSIP: 62954HAU2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     75000 | PA      | $51904.69     | 0.00%             | 2041-05-11      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                      | CUSIP: 3140HT2W8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    290000 | PA      | $273202.46    | 0.01%             | 2026-08-01      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Bonds                                                              | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1759000 | PA      | $977413.08    | 0.05%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                            | Avolon Holdings Funding Ltd.                                                     | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    369000 | PA      | $294939.71    | 0.01%             | 2027-11-18      | Fixed         | 2.53%                 | Yes           |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                    | American Airlines Pass-Through Trust, Series 2016-2, Class AA                    | CUSIP: 023765AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    124474 | PA      | $107946.21    | 0.01%             | 2028-06-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Bonds                                                              | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    155700 | PA      | $98954.65     | 0.01%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Bonds                                                              | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    360000 | PA      | $228009.38    | 0.01%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Accelerated LLC                                         | Accelerated LLC, Series 2021-1H, Class B                                         | CUSIP: 00439KAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     76876 | PA      | $67604.85     | 0.00%             | 2040-10-20      | Fixed         | 1.90%                 | Yes           |                  2 | On Loan: No      |
| DataBank Issuer                                         | DataBank Issuer, Series 2021-1A, Class A2                                        | CUSIP: 23802WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    265000 | PA      | $229529.64    | 0.01%             | 2051-02-27      | Fixed         | 2.06%                 | Yes           |                  2 | On Loan: No      |
| Tractor Supply Co.                                      | Tractor Supply Co.                                                               | CUSIP: 892356AA4<br>LEI: 549300OJ9VZHZRO6I137 | Long             | DBT              | CORP              | US        |    100000 | PA      | $76784.35     | 0.00%             | 2030-11-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                               | CUSIP: 3140JVQQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91770 | PA      | $87920.69     | 0.00%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WP Carey, Inc.                                          | WP Carey, Inc.                                                                   | CUSIP: 92936UAG4<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |     36000 | PA      | $28683.71     | 0.00%             | 2031-02-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Corebridge Financial, Inc.                              | Corebridge Financial, Inc.                                                       | CUSIP: 21871XAE9<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |     30000 | PA      | $27324.23     | 0.00%             | 2029-04-05      | Fixed         | 3.85%                 | Yes           |                  2 | On Loan: No      |
| Southern California Edison Co.                          | Southern California Edison Co., Series C                                         | CUSIP: 842400GK3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     30000 | PA      | $23939.21     | 0.00%             | 2048-03-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                      | Banco Santander SA                                                               | CUSIP: 05971KAG4<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    200000 | PA      | $153180.21    | 0.01%             | 2030-12-03      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                              | CUSIP: 91282CFJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1773000 | PA      | $1683172.62   | 0.09%             | 2029-08-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Safehold Operating Partnership LP                       | Safehold Operating Partnership LP                                                | CUSIP: 78646UAB5<br>LEI: 54930012UY5Z4Q8NL108 | Long             | DBT              | CORP              | US        |     80000 | PA      | $60715.57     | 0.00%             | 2032-01-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                            | Avolon Holdings Funding Ltd.                                                     | CUSIP: 05401AAK7<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    259000 | PA      | $246232.01    | 0.01%             | 2026-01-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2016-H13, Class FT                                                  | CUSIP: 38376RUS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     89043 | PA      | $88623.34     | 0.00%             | 2066-05-20      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | DJ US Real Estate Index                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |      -366 | NC      | $826318.20    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| PRET LLC                                                | PRET LLC, Series 2021-RN4, Class A1                                              | CUSIP: 69359QAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     77732 | PA      | $67969.43     | 0.00%             | 2051-10-25      | Variable      | 2.49%                 | Yes           |                  2 | On Loan: No      |
| BP Capital Markets America, Inc.                        | BP Capital Markets America, Inc.                                                 | CUSIP: 10373QBN9<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |     44000 | PA      | $28090.36     | 0.00%             | 2050-11-10      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                            | Mizuho Financial Group, Inc.                                                     | CUSIP: 60687YCL1<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    235000 | PA      | $235042.96    | 0.01%             | 2028-09-13      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| Banner Health                                           | Banner Health                                                                    | CUSIP: 06654DAD9<br>LEI: PLD0E0WJKFN8IZJ2WD85 | Long             | DBT              | CORP              | US        |    100000 | PA      | $78965.02     | 0.00%             | 2031-01-01      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| CPS Auto Receivables Trust                              | CPS Auto Receivables Trust, Series 2021-B, Class C                               | CUSIP: 12656QAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    140000 | PA      | $135900.14    | 0.01%             | 2027-03-15      | Fixed         | 1.23%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                                | PRPM LLC, Series 2021-2, Class A1                                                | CUSIP: 69359UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    301175 | PA      | $277286.12    | 0.01%             | 2026-03-25      | Variable      | 2.12%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                              | CUSIP: 91282CBQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1453000 | PA      | $1294702.46   | 0.07%             | 2026-02-28      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Analog Devices, Inc.                                    | Analog Devices, Inc.                                                             | CUSIP: 032654AW5<br>LEI: GYVOE5EZ4GDAVTU4CQ61 | Long             | DBT              | CORP              | US        |     46000 | PA      | $33666.35     | 0.00%             | 2041-10-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                              | AerCap Ireland Capital DAC                                                       | CUSIP: 00774MAR6<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    300000 | PA      | $278628.92    | 0.01%             | 2027-10-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                      | CUSIP: 3138LCMZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    169078 | PA      | $152553.73    | 0.01%             | 2035-12-01      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                     | DT Auto Owner Trust, Series 2022-2A, Class D                                     | CUSIP: 23345AAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     90000 | PA      | $84702.87     | 0.00%             | 2028-03-15      | Fixed         | 5.46%                 | Yes           |                  2 | On Loan: No      |
| Brookfield Finance, Inc.                                | Brookfield Finance, Inc.                                                         | CUSIP: 11271LAF9<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |     62000 | PA      | $39354.16     | 0.00%             | 2051-03-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                              | AT&T, Inc.                                                                       | CUSIP: 00206RJZ6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    128000 | PA      | $95453.97     | 0.00%             | 2041-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Alimentation Couche-Tard, Inc.                          | Alimentation Couche-Tard, Inc.                                                   | CUSIP: 01626PAP1<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |     60000 | PA      | $42709.45     | 0.00%             | 2041-05-13      | Fixed         | 3.44%                 | Yes           |                  2 | On Loan: No      |
| Oracle Corp.                                            | Oracle Corp.                                                                     | CUSIP: 68389XBP9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    124000 | PA      | $98182.09     | 0.00%             | 2037-11-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                  | Credit Suisse Group AG                                                           | CUSIP: 225401AC2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    500000 | PA      | $414425.57    | 0.02%             | 2028-01-09      | Fixed         | 4.28%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                               | CUSIP: 3140M4M54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96463 | PA      | $84763.63     | 0.00%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                 | CUSIP: 3617UXCZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16568 | PA      | $15772.89     | 0.00%             | 2051-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Air Lease Corp.                                         | Air Lease Corp.                                                                  | CUSIP: 00914AAJ1<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     50000 | PA      | $46262.78     | 0.00%             | 2026-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp.                                       | BAT Capital Corp.                                                                | CUSIP: 05526DBD6<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     55000 | PA      | $42762.58     | 0.00%             | 2037-08-15      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| Phillips 66 Co.                                         | Phillips 66 Co.                                                                  | CUSIP: 718547AE2<br>LEI: RVJMT2IZVVSKIRJJBH76 | Long             | DBT              | CORP              | US        |     44000 | PA      | $41268.46     | 0.00%             | 2026-10-01      | Fixed         | 3.55%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo & Co.                                       | Wells Fargo & Co.                                                                | CUSIP: 95000U2Q5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     18000 | PA      | $12839.23     | 0.00%             | 2041-04-30      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                    | FirstKey Homes Trust, Series 2021-SFR2, Class E1                                 | CUSIP: 33767TAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    260000 | PA      | $215436.42    | 0.01%             | 2038-09-17      | Fixed         | 2.26%                 | Yes           |                  2 | On Loan: No      |
| Sabine Pass Liquefaction LLC                            | Sabine Pass Liquefaction LLC                                                     | CUSIP: 785592AM8<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |    102000 | PA      | $102144.07    | 0.01%             | 2025-03-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Discovery Communications LLC                            | Discovery Communications LLC                                                     | CUSIP: 25470DBJ7<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |     41000 | PA      | $33787.64     | 0.00%             | 2030-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2015-H16, Class FG                                                  | CUSIP: 38376RDY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71753 | PA      | $70920.56     | 0.00%             | 2065-07-20      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| Puget Energy, Inc.                                      | Puget Energy, Inc.                                                               | CUSIP: 745310AM4<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |     54000 | PA      | $45947.22     | 0.00%             | 2028-06-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Lendingpoint Asset Securitization Trust                 | Lendingpoint Asset Securitization Trust, Series 2021-B, Class A                  | CUSIP: 52607HAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     48854 | PA      | $48513.35     | 0.00%             | 2029-02-15      | Fixed         | 1.11%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                      | CUSIP: 3140J2WN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    400000 | PA      | $328361.75    | 0.02%             | 2030-12-01      | Fixed         | 1.56%                 | No            |                  2 | On Loan: No      |
| Take-Two Interactive Software, Inc.                     | Take-Two Interactive Software, Inc.                                              | CUSIP: 874054AG4<br>LEI: BOMSTHHJK882EWYX3334 | Long             | DBT              | CORP              | US        |     79000 | PA      | $74340.76     | 0.00%             | 2027-04-14      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Keurig Dr Pepper, Inc.                                  | Keurig Dr Pepper, Inc.                                                           | CUSIP: 49271VAK6<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |     58000 | PA      | $43552.34     | 0.00%             | 2050-05-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Huntington National Bank (The)                          | Huntington National Bank (The)                                                   | CUSIP: 44644MAJ0<br>LEI: 2WHM8VNJH63UN14OL754 | Long             | DBT              | CORP              | US        |    250000 | PA      | $251908.45    | 0.01%             | 2030-01-10      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                   | Bank of America Corp.                                                            | CUSIP: 06051GJK6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    106000 | PA      | $94237.18     | 0.00%             | 2026-10-24      | Variable      | 1.20%                 | No            |                  2 | On Loan: No      |
| Starbucks Corp.                                         | Starbucks Corp.                                                                  | CUSIP: 855244AX7<br>LEI: OQSJ1DU9TAOC51A47K68 | Long             | DBT              | CORP              | US        |     52000 | PA      | $36676.94     | 0.00%             | 2050-03-12      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2021-H14, Class YD                                                  | CUSIP: 38382YFS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    196583 | PA      | $201561.44    | 0.01%             | 2071-06-20      | Variable      | 8.11%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                    | FREMF Mortgage Trust, Series 2017-KGX1, Class BFX                                | CUSIP: 30305QAG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    115000 | PA      | $101963.30    | 0.01%             | 2027-10-25      | Variable      | 3.59%                 | Yes           |                  2 | On Loan: No      |
| Business Jet Securities LLC                             | Business Jet Securities LLC, Series 2020-1A, Class A                             | CUSIP: 12327FAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    124013 | PA      | $112956.16    | 0.01%             | 2035-11-15      | Fixed         | 2.98%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                     | MSCI Emerging Markets E-Mini Index                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |      -645 | NC      | $1008214.85   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| BP Capital Markets America, Inc.                        | BP Capital Markets America, Inc.                                                 | CUSIP: 10373QBL3<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |     73000 | PA      | $66995.08     | 0.00%             | 2030-04-06      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Lendingpoint Asset Securitization Trust                 | Lendingpoint Asset Securitization Trust, Series 2021-A, Class B                  | CUSIP: 52607FAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     97619 | PA      | $96781.17     | 0.00%             | 2028-12-15      | Fixed         | 1.46%                 | Yes           |                  2 | On Loan: No      |
| KLA Corp.                                               | KLA Corp.                                                                        | CUSIP: 482480AJ9<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |     50000 | PA      | $36207.21     | 0.00%             | 2050-03-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA ACES, Series 2017-M11, Class A2                                             | CUSIP: 3136AX3J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150000 | PA      | $136421.93    | 0.01%             | 2029-08-25      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                 | CUSIP: 3617UA5Y4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    301263 | PA      | $280096.90    | 0.01%             | 2051-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Grantor Trust, Whole Loan, Series 2002-T4, Class A1                        | CUSIP: 31392B6T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18697 | PA      | $19272.40     | 0.00%             | 2041-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                               | Vistra Operations Co. LLC                                                        | CUSIP: 92840VAK8<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     96000 | PA      | $94065.60     | 0.00%             | 2024-05-13      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                               | CUSIP: 3140QM4X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    236192 | PA      | $200794.01    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                      | CUSIP: 3140HY4J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    161394 | PA      | $126719.92    | 0.01%             | 2035-06-01      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                 | CUSIP: 3617XRCV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    226060 | PA      | $207717.74    | 0.01%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                 | CUSIP: 3617UGL98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    437421 | PA      | $395513.07    | 0.02%             | 2051-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                      | Regional Management Issuance Trust, Series 2021-1, Class A                       | CUSIP: 75907VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    185000 | PA      | $166654.70    | 0.01%             | 2031-03-17      | Fixed         | 1.68%                 | Yes           |                  2 | On Loan: No      |
| FREED ABS Trust                                         | FREED ABS Trust, Series 2021-2, Class B                                          | CUSIP: 35635CAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     24577 | PA      | $24507.48     | 0.00%             | 2028-06-19      | Fixed         | 1.03%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2022-151, Class B                                                   | CUSIP: 38383YP22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    150226 | PA      | $129577.90    | 0.01%             | 2052-09-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Diamond Resorts Owner Trust                             | Diamond Resorts Owner Trust, Series 2021-1A, Class C                             | CUSIP: 25273CAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     75023 | PA      | $68327.73     | 0.00%             | 2033-11-21      | Fixed         | 2.70%                 | Yes           |                  2 | On Loan: No      |
| Theorem Funding Trust                                   | Theorem Funding Trust, Series 2021-1A, Class A                                   | CUSIP: 88339VAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     64404 | PA      | $63367.94     | 0.00%             | 2027-12-15      | Fixed         | 1.21%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, Multi-family Structured Pass-Through Certificates, Series K727, Class X1  | CUSIP: 3137FARG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14744987 | PA      | $99142.34     | 0.01%             | 2024-07-25      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                         | Citigroup, Inc.                                                                  | CUSIP: 172967LU3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     88000 | PA      | $72733.35     | 0.00%             | 2039-01-24      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| Raytheon Technologies Corp.                             | Raytheon Technologies Corp.                                                      | CUSIP: 75513ECL3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     70000 | PA      | $45343.48     | 0.00%             | 2051-09-01      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| Lowe's Cos., Inc.                                       | Lowe's Cos., Inc.                                                                | CUSIP: 548661DY0<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |     40000 | PA      | $31280.10     | 0.00%             | 2030-10-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| Union Electric Co.                                      | Union Electric Co.                                                               | CUSIP: 906548CU4<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |     43000 | PA      | $34642.20     | 0.00%             | 2052-04-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| NMEF Funding LLC                                        | NMEF Funding LLC, Series 2021-A, Class B                                         | CUSIP: 62919TAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    299000 | PA      | $286806.39    | 0.01%             | 2027-12-15      | Fixed         | 1.85%                 | Yes           |                  2 | On Loan: No      |
| F&G Global Funding                                      | F&G Global Funding                                                               | CUSIP: 30321L2A9<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |     40000 | PA      | $35614.62     | 0.00%             | 2026-06-30      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                 | CUSIP: 3622AAAB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     86074 | PA      | $82134.23     | 0.00%             | 2038-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                      | CUSIP: 3140LGZJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    345000 | PA      | $335365.15    | 0.02%             | 2029-01-01      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Jersey Central Power & Light Co.                        | Jersey Central Power & Light Co.                                                 | CUSIP: 476556DC6<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |     44000 | PA      | $42497.70     | 0.00%             | 2026-01-15      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| TotalEnergies Capital International SA                  | TotalEnergies Capital International SA                                           | CUSIP: 89153VAX7<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |     96000 | PA      | $71512.14     | 0.00%             | 2041-06-29      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| NXP BV                                                  | NXP BV                                                                           | CUSIP: 62954HBA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $55116.25     | 0.00%             | 2031-05-11      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fn  dec27                                               | Fn  dec27                                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    271740 | PA      | $274096.71    | 0.01%             | 2027-12-01      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Digital Realty Trust LP                                 | Digital Realty Trust LP                                                          | CUSIP: 25389JAR7<br>LEI: CD4SPTZ3YBTHY0C1AH38 | Long             | DBT              | CORP              | US        |     90000 | PA      | $83515.59     | 0.00%             | 2027-08-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Credit Agricole SA                                      | Credit Agricole SA                                                               | CUSIP: 225313AF2<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    200000 | PA      | $192928.97    | 0.01%             | 2025-03-17      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                              | Progress Residential Trust, Series 2021-SFR2, Class D                            | CUSIP: 74333DAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    453000 | PA      | $387757.45    | 0.02%             | 2038-04-19      | Fixed         | 2.20%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, Multifamily Structured Pass-Through Certificates, Series K140, Class A2   | CUSIP: 3137H6LZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    262000 | PA      | $218153.83    | 0.01%             | 2032-01-25      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Amazon.com, Inc.                                        | Amazon.com, Inc.                                                                 | CUSIP: 023135CJ3<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |     80000 | PA      | $66214.60     | 0.00%             | 2052-04-13      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                      | CUSIP: 3140LHSL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    220000 | PA      | $208625.89    | 0.01%             | 2032-10-01      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust              | Mercury Financial Credit Card Master Trust, Series 2021-1A, Class A              | CUSIP: 58940BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    235000 | PA      | $224202.95    | 0.01%             | 2026-03-20      | Fixed         | 1.54%                 | Yes           |                  2 | On Loan: No      |
| AbbVie, Inc.                                            | AbbVie, Inc.                                                                     | CUSIP: 00287YBX6<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    198000 | PA      | $178491.85    | 0.01%             | 2029-11-21      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                               | Towd Point Mortgage Trust, Series 2021-R1, Class A1                              | CUSIP: 89179TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    393860 | PA      | $315963.95    | 0.02%             | 2060-11-30      | Variable      | 2.92%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                      | CUSIP: 3140LF5T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    169000 | PA      | $153859.13    | 0.01%             | 2033-03-01      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| Apple, Inc.                                             | Apple, Inc.                                                                      | CUSIP: 037833BA7<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    100000 | PA      | $80376.16     | 0.00%             | 2045-02-09      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| CenterPoint Energy Resources Corp.                      | CenterPoint Energy Resources Corp.                                               | CUSIP: 15189YAF3<br>LEI: 2JADVB0458J06WCD4N56 | Long             | DBT              | CORP              | US        |     40000 | PA      | $31535.15     | 0.00%             | 2030-10-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury STRIPS Bonds                                                       | CUSIP: 912833PD6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    525000 | PA      | $438929.64    | 0.02%             | 2027-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| VMware, Inc.                                            | VMware, Inc.                                                                     | CUSIP: 928563AJ4<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |     83000 | PA      | $72356.62     | 0.00%             | 2026-08-15      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust              | Mercury Financial Credit Card Master Trust, Series 2021-1A, Class B              | CUSIP: 58940BAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    245000 | PA      | $228103.65    | 0.01%             | 2026-03-20      | Fixed         | 2.33%                 | Yes           |                  2 | On Loan: No      |
| AT&T, Inc.                                              | AT&T, Inc.                                                                       | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     76000 | PA      | $50710.52     | 0.00%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Beth Israel Lahey Health, Inc.                          | Beth Israel Lahey Health, Inc., Series L                                         | CUSIP: 08661UAB2<br>LEI: 549300QPZ5W3279DU141 | Long             | DBT              | CORP              | US        |     25000 | PA      | $15409.87     | 0.00%             | 2051-07-01      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                      | Energy Transfer LP                                                               | CUSIP: 292480AK6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     90000 | PA      | $85493.25     | 0.00%             | 2027-03-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                              | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1237000 | PA      | $1126443.13   | 0.06%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners I LLC                  | Pretium Mortgage Credit Partners I LLC, Series 2021-NPL4, Class A1               | CUSIP: 741391AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    193891 | PA      | $170063.37    | 0.01%             | 2060-10-27      | Variable      | 2.36%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Bonds                                                              | CUSIP: 912810QZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    680000 | PA      | $580125.00    | 0.03%             | 2043-02-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                            | Pacific Gas and Electric Co.                                                     | CUSIP: 694308KA4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    100000 | PA      | $97605.23     | 0.00%             | 2024-02-16      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC UMBS, 30 Year                                                              | CUSIP: 3133APKA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    149805 | PA      | $132206.72    | 0.01%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Apple, Inc.                                             | Apple, Inc.                                                                      | CUSIP: 037833EK2<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |     50000 | PA      | $32962.04     | 0.00%             | 2051-08-05      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| San Diego Gas & Electric Co.                            | San Diego Gas & Electric Co.                                                     | CUSIP: 797440CA0<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |     70000 | PA      | $47275.78     | 0.00%             | 2051-08-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                          | Home Partners of America Trust, Series 2021-3, Class D                           | CUSIP: 43730XAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    144869 | PA      | $119435.55    | 0.01%             | 2041-01-17      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| AHS Hospital Corp.                                      | AHS Hospital Corp.                                                               | CUSIP: 001306AB5<br>LEI: 549300D7W3C9Z4RGJG34 | Long             | DBT              | CORP              | US        |     40000 | PA      | $38469.34     | 0.00%             | 2045-07-01      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC UMBS, 30 Year                                                              | CUSIP: 3133A1QZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    409423 | PA      | $378752.75    | 0.02%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Santander UK Group Holdings plc                         | Santander UK Group Holdings plc                                                  | CUSIP: 80281LAR6<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $170791.88    | 0.01%             | 2028-01-11      | Variable      | 2.47%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                   | Bank of America Corp.                                                            | CUSIP: 06051GKP3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     65000 | PA      | $62160.99     | 0.00%             | 2028-04-27      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| JPMorgan U.S. Government Money Market Fund              | JPMorgan U.S. Government Money Market Fund, Class IM                             | CUSIP: 4812C2270<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | STIV             | RF                | US        |  69790297 | NS      | $69790296.57  | 3.54%             |  |  |  | No            |                  1 | On Loan: No      |
| United Airlines Pass-Through Trust                      | United Airlines Pass-Through Trust, Series 2019-2, Class B                       | CUSIP: 90932KAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     67943 | PA      | $58481.10     | 0.00%             | 2028-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA ACES, Series 2022-M3, Class A2                                              | CUSIP: 3136BLW22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    185000 | PA      | $145554.47    | 0.01%             | 2031-11-25      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                          | Mariner Finance Issuance Trust, Series 2021-AA, Class A                          | CUSIP: 56848DAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    195000 | PA      | $167175.65    | 0.01%             | 2036-03-20      | Fixed         | 1.86%                 | Yes           |                  2 | On Loan: No      |
| VOLT XCVII LLC                                          | VOLT XCVII LLC, Series 2021-NPL6, Class A1                                       | CUSIP: 91835EAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    292219 | PA      | $257041.34    | 0.01%             | 2051-04-25      | Variable      | 2.24%                 | Yes           |                  2 | On Loan: No      |
| Charter Communications Operating LLC                    | Charter Communications Operating LLC                                             | CUSIP: 161175CE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     35000 | PA      | $22426.48     | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Kansas City Southern                                    | Kansas City Southern                                                             | CUSIP: 485170BB9<br>LEI: 5493008C12PZMWP3WY03 | Long             | DBT              | CORP              | US        |     37000 | PA      | $31845.81     | 0.00%             | 2048-05-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Raytheon Technologies Corp.                             | Raytheon Technologies Corp.                                                      | CUSIP: 75513EAD3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     80000 | PA      | $66571.51     | 0.00%             | 2030-07-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                | Sierra Timeshare Receivables Funding LLC, Series 2021-2A, Class B                | CUSIP: 82652RAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     56665 | PA      | $52254.85     | 0.00%             | 2038-09-20      | Fixed         | 1.80%                 | Yes           |                  2 | On Loan: No      |
| DuPont de Nemours, Inc.                                 | DuPont de Nemours, Inc.                                                          | CUSIP: 26078JAE0<br>LEI: 5493004JF0SDFLM8GD76 | Long             | DBT              | CORP              | US        |     70000 | PA      | $67274.08     | 0.00%             | 2038-11-15      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                           | Lendbuzz Securitization Trust, Series 2021-1A, Class A                           | CUSIP: 52607BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    124592 | PA      | $118774.68    | 0.01%             | 2026-06-15      | Fixed         | 1.46%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                         | Goldman Sachs Group, Inc. (The)                                                  | CUSIP: 38141GYA6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     75000 | PA      | $65768.09     | 0.00%             | 2027-03-09      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                            | Verizon Communications, Inc.                                                     | CUSIP: 92343VGH1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     30000 | PA      | $26036.35     | 0.00%             | 2028-03-22      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Nordstrom, Inc.                                         | Nordstrom, Inc.                                                                  | CUSIP: 655664AY6<br>LEI: 549300S3IZB5P35KNV16 | Long             | DBT              | CORP              | US        |     80000 | PA      | $57208.00     | 0.00%             | 2031-08-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Bonds                                                              | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2119000 | PA      | $1260805.00   | 0.06%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC UMBS, 30 Year                                                              | CUSIP: 3133BAZA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     68193 | PA      | $64615.54     | 0.00%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                      | CUSIP: 3138L3KY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107703 | PA      | $109903.15    | 0.01%             | 2028-03-01      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                               | CUSIP: 3140KT3T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    452281 | PA      | $431259.32    | 0.02%             | 2051-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                        | Deutsche Bank AG                                                                 | CUSIP: 251526CE7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    300000 | PA      | $264662.41    | 0.01%             | 2026-11-24      | Variable      | 2.13%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                          | Broadcom, Inc.                                                                   | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     18000 | PA      | $12929.18     | 0.00%             | 2036-11-15      | Fixed         | 3.19%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                              | AMSR Trust, Series 2020-SFR3, Class E2                                           | CUSIP: 001807AF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $89105.51     | 0.00%             | 2037-09-17      | Fixed         | 2.76%                 | Yes           |                  2 | On Loan: No      |
| Corebridge Financial, Inc.                              | Corebridge Financial, Inc.                                                       | CUSIP: 21871XAC3<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |     35000 | PA      | $32626.67     | 0.00%             | 2027-04-05      | Fixed         | 3.65%                 | Yes           |                  2 | On Loan: No      |
| Northrop Grumman Corp.                                  | Northrop Grumman Corp.                                                           | CUSIP: 666807BJ0<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |     40000 | PA      | $31902.72     | 0.00%             | 2045-04-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                              | AMSR Trust, Series 2021-SFR2, Class E2                                           | CUSIP: 00179VAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $83604.32     | 0.00%             | 2038-08-17      | Fixed         | 2.58%                 | Yes           |                  2 | On Loan: No      |
| Octane Receivables Trust                                | Octane Receivables Trust, Series 2021-1A, Class A                                | CUSIP: 67571AAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     69513 | PA      | $67158.95     | 0.00%             | 2027-03-22      | Fixed         | 0.93%                 | Yes           |                  2 | On Loan: No      |
| Equinix, Inc.                                           | Equinix, Inc.                                                                    | CUSIP: 29444UBD7<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |     70000 | PA      | $63979.74     | 0.00%             | 2026-11-18      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                          | Pagaya AI Debt Selection Trust, Series 2021-3, Class A                           | CUSIP: 69546RAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    128461 | PA      | $125158.92    | 0.01%             | 2029-05-15      | Fixed         | 1.15%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                              | CUSIP: 91282CDV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6324000 | PA      | $6067828.61   | 0.31%             | 2024-01-31      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC UMBS, 30 Year                                                              | CUSIP: 3133KKVR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    201565 | PA      | $177200.11    | 0.01%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Cheniere Corpus Christi Holdings LLC                    | Cheniere Corpus Christi Holdings LLC                                             | CUSIP: 16412XAC9<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |     75000 | PA      | $75455.55     | 0.00%             | 2025-03-31      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                      | CUSIP: 3140HXJ27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    365000 | PA      | $308488.80    | 0.02%             | 2032-03-01      | Fixed         | 2.44%                 | No            |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                    | American Airlines Pass-Through Trust, Series 2016-3, Class AA                    | CUSIP: 023771R91<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     87380 | PA      | $75713.34     | 0.00%             | 2028-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Physicians Realty LP                                    | Physicians Realty LP                                                             | CUSIP: 71951QAC6<br>LEI: 549300P6Q1UMT0X60U20 | Long             | DBT              | CORP              | US        |     25000 | PA      | $19513.48     | 0.00%             | 2031-11-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                     | Seasoned Credit Risk Transfer Trust, Series 2019-1, Class MT                     | CUSIP: 35563PJE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     90648 | PA      | $81821.90     | 0.00%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                 | CUSIP: 3617UHAE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    394859 | PA      | $364776.82    | 0.02%             | 2051-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                     | Seasoned Credit Risk Transfer Trust, Series 2022-1, Class MTU                    | CUSIP: 35563P7E3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     87107 | PA      | $76820.41     | 0.00%             | 2061-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan High Yield Research Enhanced ETF               | JPMorgan High Yield Research Enhanced ETF                                        | CUSIP: 46641Q878<br>LEI: 549300UUJZT2ZWE64W88 | Long             |  | RF                | US        |    312361 | NS      | $13693906.24  | 0.70%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                     | S&P 500 E-Mini Index                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |       182 | NC      | $-1492372.66  | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| Southern California Gas Co.                             | Southern California Gas Co.                                                      | CUSIP: 842434CX8<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |    125000 | PA      | $136737.47    | 0.01%             | 2052-11-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                 | CUSIP: 3617UXC59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31671 | PA      | $30290.11     | 0.00%             | 2051-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                              | CUSIP: 91282CDJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     18800 | PA      | $15301.44     | 0.00%             | 2031-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Massachusetts Electric Co.                              | Massachusetts Electric Co.                                                       | CUSIP: 575634AT7<br>LEI: 549300XN8GZY5U5O1B96 | Long             | DBT              | CORP              | US        |     13000 | PA      | $9400.42      | 0.00%             | 2046-08-15      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                      | CUSIP: 3140LHSH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    275000 | PA      | $266566.88    | 0.01%             | 2032-11-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                 | CUSIP: 3617W0AP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     86937 | PA      | $77575.04     | 0.00%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan BetaBuilders International Equity ETF          | JPMorgan BetaBuilders International Equity ETF                                   | CUSIP: 46641Q373<br>LEI: 549300BU8GZGI7U5FB20 | Long             |  | RF                | US        |   7635046 | NS      | $378927332.98 | 19.23%            |  |  |  | No            |                  1 | On Loan: No      |
| VOLT XCIX LLC                                           | VOLT XCIX LLC, Series 2021-NPL8, Class A1                                        | CUSIP: 92872VAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    245632 | PA      | $217096.26    | 0.01%             | 2051-04-25      | Variable      | 2.12%                 | Yes           |                  2 | On Loan: No      |
| Otis Worldwide Corp.                                    | Otis Worldwide Corp.                                                             | CUSIP: 68902VAL1<br>LEI: 549300ZLBKR8VSU25153 | Long             | DBT              | CORP              | US        |     66000 | PA      | $48133.44     | 0.00%             | 2040-02-15      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| Business Jet Securities LLC                             | Business Jet Securities LLC, Series 2022-1A, Class A                             | CUSIP: 12327AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    141725 | PA      | $129259.59    | 0.01%             | 2037-06-15      | Fixed         | 4.46%                 | Yes           |                  3 | On Loan: No      |
| Constellation Energy Generation LLC                     | Constellation Energy Generation LLC                                              | CUSIP: 30161MAS2<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    194000 | PA      | $185609.26    | 0.01%             | 2025-06-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2012-H31, Class FD                                                  | CUSIP: 38375BD74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    127559 | PA      | $126172.91    | 0.01%             | 2062-12-20      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                 | CUSIP: 3617MKP78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    289339 | PA      | $245699.34    | 0.01%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                    | FirstKey Homes Trust, Series 2022-SFR1, Class E1                                 | CUSIP: 33768NAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $85221.68     | 0.00%             | 2039-05-17      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                              | AMSR Trust, Series 2020-SFR2, Class E1                                           | CUSIP: 00178UAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    102000 | PA      | $93289.22     | 0.00%             | 2037-07-17      | Fixed         | 4.03%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | FTSE 100 Index                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | GB        |       -57 | NC      | $46783.80     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Crossroads Asset Trust                                  | Crossroads Asset Trust, Series 2021-A, Class B                                   | CUSIP: 22767CAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    155000 | PA      | $151145.26    | 0.01%             | 2025-06-20      | Fixed         | 1.12%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                 | CUSIP: 3617V7V96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    257720 | PA      | $230340.30    | 0.01%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Emera US Finance LP                                     | Emera US Finance LP                                                              | CUSIP: 29103DAM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     52000 | PA      | $40120.88     | 0.00%             | 2046-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                     | Seasoned Credit Risk Transfer Trust, Series 2019-3, Class M55D                   | CUSIP: 35563PLQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    275398 | PA      | $261756.99    | 0.01%             | 2058-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bunge Ltd. Finance Corp.                                | Bunge Ltd. Finance Corp.                                                         | CUSIP: 120568BC3<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |     25000 | PA      | $20518.05     | 0.00%             | 2031-05-14      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                      | CUSIP: 3138LJZP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130000 | PA      | $115879.49    | 0.01%             | 2032-07-01      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                               | CUSIP: 3140X6PC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160388 | PA      | $142833.18    | 0.01%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                             | Legacy Mortgage Asset Trust, Series 2021-GS1, Class A1                           | CUSIP: 52474JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     92025 | PA      | $84099.08     | 0.00%             | 2066-10-25      | Variable      | 1.89%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                 | CUSIP: 3617UP4S5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    545114 | PA      | $474614.35    | 0.02%             | 2051-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Workday, Inc.                                           | Workday, Inc.                                                                    | CUSIP: 98138HAG6<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |     53000 | PA      | $49532.16     | 0.00%             | 2027-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                              | Flagship Credit Auto Trust, Series 2021-1, Class B                               | CUSIP: 33843WAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     75000 | PA      | $73160.15     | 0.00%             | 2027-02-16      | Fixed         | 0.68%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                      | CUSIP: 3140LEXU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $425717.21    | 0.02%             | 2029-10-01      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Bonds                                                              | CUSIP: 912810RT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    195000 | PA      | $138000.59    | 0.01%             | 2046-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                 | CUSIP: 3617V7VT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     67409 | PA      | $60311.59     | 0.00%             | 2051-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HF Sinclair Corp.                                       | HF Sinclair Corp.                                                                | CUSIP: 403949AB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     90000 | PA      | $90075.57     | 0.00%             | 2026-04-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Macquarie Group Ltd.                                    | Macquarie Group Ltd.                                                             | CUSIP: 55608JBL1<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |    180000 | PA      | $181169.77    | 0.01%             | 2024-11-22      | Fixed         | 6.21%                 | Yes           |                  2 | On Loan: No      |
| Westpac Banking Corp.                                   | Westpac Banking Corp.                                                            | CUSIP: 961214EY5<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |     45000 | PA      | $29682.80     | 0.00%             | 2041-11-18      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Lendingpoint Asset Securitization Trust                 | Lendingpoint Asset Securitization Trust, Series 2021-B, Class B                  | CUSIP: 52607HAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    120000 | PA      | $113874.16    | 0.01%             | 2029-02-15      | Fixed         | 1.68%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, REMIC Trust, Whole Loan, Series 2002-W3, Class A4                          | CUSIP: 31392CT61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    165203 | PA      | $169021.84    | 0.01%             | 2041-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Nutrien Ltd.                                            | Nutrien Ltd.                                                                     | CUSIP: 67077MAZ1<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |    142000 | PA      | $143784.58    | 0.01%             | 2024-11-07      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA ACES, Series 2020-M50, Class A2                                             | CUSIP: 3136BCGS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145000 | PA      | $124363.98    | 0.01%             | 2030-10-25      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| SLG Office Trust                                        | SLG Office Trust, Series 2021-OVA, Class A                                       | CUSIP: 78449RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    195000 | PA      | $155556.47    | 0.01%             | 2041-07-15      | Fixed         | 2.59%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | MSCI EAFE E-Mini Index                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |      -106 | NC      | $444080.58    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| UDR, Inc.                                               | UDR, Inc.                                                                        | CUSIP: 90265EAT7<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |     88000 | PA      | $64650.98     | 0.00%             | 2032-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                     | Seasoned Credit Risk Transfer Trust, Series 2018-1, Class M60C                   | CUSIP: 35563PEL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    204023 | PA      | $191599.63    | 0.01%             | 2057-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PG&E Recovery Funding LLC                               | PG&E Recovery Funding LLC, Series A-3                                            | CUSIP: 71710TAF5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     65000 | PA      | $65845.66     | 0.00%             | 2047-07-15      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| Brown & Brown, Inc.                                     | Brown & Brown, Inc.                                                              | CUSIP: 115236AC5<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |     92000 | PA      | $69996.70     | 0.00%             | 2031-03-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                               | CUSIP: 3140M3AF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    266153 | PA      | $226480.06    | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread-Collateralized Notes                  | NRZ Excess Spread-Collateralized Notes, Series 2021-FNT1, Class A                | CUSIP: 64830YAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    218930 | PA      | $194297.20    | 0.01%             | 2026-03-25      | Fixed         | 2.98%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Bonds                                                              | CUSIP: 912810SQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1166000 | PA      | $724104.21    | 0.04%             | 2040-08-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                              | CUSIP: 91282CFB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    300000 | PA      | $283839.84    | 0.01%             | 2027-07-31      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                     | Seasoned Credit Risk Transfer Trust, Series 2019-2, Class M55D                   | CUSIP: 35563PKL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    291844 | PA      | $277410.10    | 0.01%             | 2058-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                               | CUSIP: 3140MJLM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93447 | PA      | $82056.59     | 0.00%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan BetaBuilders U.S. Small Cap Equity ETF         | JPMorgan BetaBuilders U.S. Small Cap Equity ETF                                  | CUSIP: 46641Q290<br>LEI: 549300LKK9I7ORHNOS29 | Long             |  | RF                | US        |   1426741 | NS      | $74312233.01  | 3.77%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                      | CUSIP: 3140LJDX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    450000 | PA      | $466122.58    | 0.02%             | 2027-11-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                               | HCA, Inc.                                                                        | CUSIP: 404119BV0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     25000 | PA      | $22203.03     | 0.00%             | 2047-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                        | Boeing Co. (The)                                                                 | CUSIP: 097023CM5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    594000 | PA      | $536180.65    | 0.03%             | 2027-02-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Business Jet Securities LLC                             | Business Jet Securities LLC, Series 2021-1A, Class A                             | CUSIP: 12327BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    129869 | PA      | $114031.91    | 0.01%             | 2036-04-15      | Fixed         | 2.16%                 | Yes           |                  3 | On Loan: No      |
| Equinix, Inc.                                           | Equinix, Inc.                                                                    | CUSIP: 29444UBR6<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |     89000 | PA      | $75129.32     | 0.00%             | 2028-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BXP Trust                                               | BXP Trust, Series 2017-GM, Class A                                               | CUSIP: 056083AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    170000 | PA      | $151261.09    | 0.01%             | 2039-06-13      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                     | Constellation Energy Generation LLC                                              | CUSIP: 30161MAJ2<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |     40000 | PA      | $38811.44     | 0.00%             | 2041-10-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Targa Resources Corp.                                   | Targa Resources Corp.                                                            | CUSIP: 87612GAA9<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |     20000 | PA      | $17207.27     | 0.00%             | 2033-02-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| HF Sinclair Corp.                                       | HF Sinclair Corp.                                                                | CUSIP: 403949AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     22000 | PA      | $21542.20     | 0.00%             | 2023-10-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Duquesne Light Holdings, Inc.                           | Duquesne Light Holdings, Inc.                                                    | CUSIP: 266233AJ4<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |     20000 | PA      | $15643.40     | 0.00%             | 2032-01-07      | Fixed         | 2.77%                 | Yes           |                  2 | On Loan: No      |
| Corporate Office Properties LP                          | Corporate Office Properties LP                                                   | CUSIP: 22003BAM8<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |     54000 | PA      | $40413.68     | 0.00%             | 2031-04-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fortis, Inc.                                            | Fortis, Inc.                                                                     | CUSIP: 349553AM9<br>LEI: 549300MQYQ9Y065XPR71 | Long             | DBT              | CORP              | CA        |     70000 | PA      | $64931.26     | 0.00%             | 2026-10-04      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                 | CUSIP: 3617UXCF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44288 | PA      | $40311.31     | 0.00%             | 2051-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Northwestern Mutual Global Funding                      | Northwestern Mutual Global Funding                                               | CUSIP: 66815L2D0<br>LEI: 635400LZXFVELZDVP257 | Long             | DBT              | CORP              | US        |     40000 | PA      | $33802.14     | 0.00%             | 2028-06-01      | Fixed         | 1.70%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC Gold Pools, Other                                                          | CUSIP: 3132XFJB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    335000 | PA      | $288722.08    | 0.01%             | 2028-11-01      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                      | CUSIP: 3140HVFQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $88059.87     | 0.00%             | 2031-08-01      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| JPMorgan BetaBuilders MSCI US REIT ETF                  | JPMorgan BetaBuilders MSCI US REIT ETF                                           | CUSIP: 46641Q738<br>LEI: 549300UDD0DL9T2E4I67 | Long             |  | RF                | US        |    631119 | NS      | $51499310.40  | 2.61%             |  |  |  | No            |                  1 | On Loan: No      |
| Westpac Banking Corp.                                   | Westpac Banking Corp.                                                            | CUSIP: 961214EQ2<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |     44000 | PA      | $29051.66     | 0.00%             | 2040-11-16      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Bonds                                                              | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1252000 | PA      | $884909.69    | 0.04%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-30

**Name of Applicant:** JPMorgan Trust I

**Signature:** Timothy J. Clemens

**Name of Signer:** Timothy J. Clemens

**Title:** Treasurer and Principal Financial Officer