# EDGAR Filing Document

**Accession Number:** 0001217286
**File Stem:** 0001752724-23-045100
**Filing Date:** 2023-2
**Character Count:** 299142
**Document Hash:** 52076243cc78f6964c2ff4066b0bccb9
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-045100.hdr.sgml**: 20230228

**ACCESSION NUMBER**: 0001752724-23-045100

**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:** 23680409

**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 2030 Fund (Series ID: S000037366)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000115340 | Class I      | JRBEX           |
| C000115341 | Class R2     | JRBRX           |
| C000115342 | Class R5     | JRBBX           |
| C000115343 | Class R6     | JRBYX           |
| C000186791 | Class R3     | JUTPX           |
| C000186792 | Class R4     | JUTUX           |

## 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 2030 Fund

- **b. EDGAR series identifier (if any):** S000037366

- **c. LEI of Series:** 549300ZJ70OCP0S63D59

**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:** $2092505660.51

**Total Liabilities:** $53259032.77

**Net Assets:** $2039246627.74

**Cash Not Reported:** $722950.71

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000186791 | 3.50%                | 6.15%                | -2.94%               |
| Class ID C000115341 | 3.53%                | 6.12%                | -2.98%               |
| Class ID C000115340 | 3.58%                | 6.17%                | -2.95%               |
| Class ID C000115343 | 3.57%                | 6.20%                | -2.91%               |
| Class ID C000186792 | 3.58%                | 6.17%                | -2.95%               |
| Class ID C000115342 | 3.58%                | 6.16%                | -2.89%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-7670197.52             | $77047251.46                               |
| Month 2  | $-11059208.77            | $142458734.28                              |
| Month 3  | $-5479178.79             | $-68914797.29                              |

**Designated Index Information**

- **Index Name:** 31.07% SP500GRUSD0, 28.68% 1TRUSD0, 15.52% EAFERNRUSD0, 7.3% EMGLRNRUSD0, 5.12% 5273TRUSD0, 3.8% RUMIDCAPGRUSD0, 3.17% RU2000GRUSD0, 2.54% RMZGRUSD0, 2.2% EMBIGDTRUSD0, 0.6% 63TRUSD0

- **Index Identifier:** IBXUSD002460

### 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        |   2384000 | PA      | $1964192.50   | 0.10%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3140LG3M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    578396 | PA      | $560894.13    | 0.03%             | 2031-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                               | HCA, Inc.                                                                         | CUSIP: 404119BT5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    968000 | PA      | $956315.78    | 0.05%             | 2026-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                  | CUSIP: 3617ULWB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    943536 | PA      | $841557.04    | 0.04%             | 2051-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                              | Progress Residential Trust, Series 2020-SFR3, Class B                             | CUSIP: 74333AAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    380000 | PA      | $335693.18    | 0.02%             | 2027-10-17      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC UMBS, 30 Year                                                               | CUSIP: 3133ABUR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    482558 | PA      | $415663.81    | 0.02%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Public Service Co. of Oklahoma                          | Public Service Co. of Oklahoma, Series K                                          | CUSIP: 744533BP4<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |     90000 | PA      | $59654.91     | 0.00%             | 2051-08-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| New York Life Insurance Co.                             | New York Life Insurance Co.                                                       | CUSIP: 64952GAT5<br>LEI: TAE73CY392TBWJ3O3305 | Long             | DBT              | CORP              | US        |    438000 | PA      | $334921.70    | 0.02%             | 2050-05-15      | Fixed         | 3.75%                 | Yes           |                  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        |   1029990 | PA      | $875073.09    | 0.04%             | 2046-02-25      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| Biogen, Inc.                                            | Biogen, Inc.                                                                      | CUSIP: 09062XAH6<br>LEI: W8J5WZB5IY3K0NDQT671 | Long             | DBT              | CORP              | US        |    125000 | PA      | $101836.40    | 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        |   1963529 | PA      | $1804221.46   | 0.09%             | 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        |    511878 | PA      | $477218.24    | 0.02%             | 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        |    836412 | PA      | $734390.35    | 0.04%             | 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        |   1206429 | PA      | $1068393.27   | 0.05%             | 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        |     87000 | PA      | $85377.91     | 0.00%             | 2023-09-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                      | Banco Santander SA                                                                | CUSIP: 05964HAL9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    400000 | PA      | $353055.67    | 0.02%             | 2026-03-25      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| Xilinx, Inc.                                            | Xilinx, Inc.                                                                      | CUSIP: 983919AK7<br>LEI: 6EY4K7ZMF9UX1CU6KC79 | Long             | DBT              | CORP              | US        |    610000 | PA      | $512921.75    | 0.03%             | 2030-06-01      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Takeda Pharmaceutical Co. Ltd.                          | Takeda Pharmaceutical Co. Ltd.                                                    | CUSIP: 874060AY2<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |   1065000 | PA      | $781557.52    | 0.04%             | 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        |    342741 | PA      | $337608.22    | 0.02%             | 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        |   1043754 | PA      | $965516.57    | 0.05%             | 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        |   1516097 | PA      | $1370571.11   | 0.07%             | 2051-02-27      | Variable      | 2.24%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                  | CUSIP: 3617QKY58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    953695 | PA      | $876321.82    | 0.04%             | 2050-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                | CUSIP: 3140QGS32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1620805 | PA      | $1549440.76   | 0.08%             | 2051-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                              | AMSR Trust, Series 2020-SFR4, Class D                                             | CUSIP: 66981FAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    725000 | PA      | $639524.53    | 0.03%             | 2037-11-17      | Fixed         | 2.01%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                | CUSIP: 3140MPSD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    419043 | PA      | $427740.69    | 0.02%             | 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        |    204000 | PA      | $137696.69    | 0.01%             | 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        |    313000 | PA      | $297710.41    | 0.01%             | 2024-06-25      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| VMware, Inc.                                            | VMware, Inc.                                                                      | CUSIP: 928563AF2<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |    364000 | PA      | $338598.29    | 0.02%             | 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        |    315000 | PA      | $266714.34    | 0.01%             | 2053-04-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| Realty Income Corp.                                     | Realty Income Corp.                                                               | CUSIP: 756109BA1<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    275000 | PA      | $197251.00    | 0.01%             | 2033-03-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Viatris, Inc.                                           | Viatris, Inc.                                                                     | CUSIP: 92556VAE6<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |    252000 | PA      | $168965.49    | 0.01%             | 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        |    346000 | PA      | $234941.71    | 0.01%             | 2040-09-25      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| CubeSmart LP                                            | CubeSmart LP                                                                      | CUSIP: 22966RAG1<br>LEI: 549300MPHKO3I3FJRA97 | Long             | DBT              | CORP              | US        |    505000 | PA      | $380449.12    | 0.02%             | 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        |    180000 | PA      | $140475.56    | 0.01%             | 2031-06-30      | Fixed         | 3.36%                 | Yes           |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                              | AerCap Ireland Capital DAC                                                        | CUSIP: 00774MAN5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    200000 | PA      | $202655.59    | 0.01%             | 2025-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                  | CUSIP: 3617N9LT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    494971 | PA      | $448631.66    | 0.02%             | 2050-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Activision Blizzard, Inc.                               | Activision Blizzard, Inc.                                                         | CUSIP: 00507VAP4<br>LEI: 549300TPQQDBP9GNOF40 | Long             | DBT              | CORP              | US        |    236000 | PA      | $184417.19    | 0.01%             | 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        |   1700000 | PA      | $1687980.47   | 0.08%             | 2029-09-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                              | AerCap Ireland Capital DAC                                                        | CUSIP: 00774MAQ8<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    400000 | PA      | $386662.93    | 0.02%             | 2024-02-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| LendingPoint Asset Securitization Trust                 | LendingPoint Asset Securitization Trust, Series 2020-REV1, Class A                | CUSIP: 52606YAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    967023 | PA      | $953755.13    | 0.05%             | 2028-10-15      | Fixed         | 2.73%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3140LH6E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    848125 | PA      | $851648.31    | 0.04%             | 2030-06-01      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | EURO STOXX 50 Index                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | DE        |      -131 | NC      | $266455.53    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3140LAQA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    988147 | PA      | $809109.33    | 0.04%             | 2029-12-01      | Fixed         | 1.27%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                  | CUSIP: 3617ULWC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1476649 | PA      | $1315140.75   | 0.06%             | 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        |    375000 | PA      | $339566.11    | 0.02%             | 2030-05-08      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| Coterra Energy, Inc.                                    | Coterra Energy, Inc.                                                              | CUSIP: 127097AG8<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |    140000 | PA      | $130720.94    | 0.01%             | 2027-05-15      | Fixed         | 3.90%                 | 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        |    159226 | PA      | $157173.97    | 0.01%             | 2027-04-15      | Fixed         | 1.08%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3138LLYV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    565000 | PA      | $509067.89    | 0.02%             | 2033-01-01      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| Arivo Acceptance Auto Loan Receivables Trust            | Arivo Acceptance Auto Loan Receivables Trust, Series 2021-1A, Class A             | CUSIP: 04047AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     81111 | PA      | $78384.94     | 0.00%             | 2027-01-15      | Fixed         | 1.19%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                | CUSIP: 3140QAD80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1044741 | PA      | $1062923.20   | 0.05%             | 2048-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                   | Bank of America Corp.                                                             | CUSIP: 06051GKJ7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    125000 | PA      | $111023.40    | 0.01%             | 2028-02-04      | Variable      | 2.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2022-93, Class JZ                                                    | CUSIP: 38383R3V7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    441415 | PA      | $341349.26    | 0.02%             | 2052-05-20      | Fixed         | 4.50%                 | 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        |    380828 | PA      | $344115.06    | 0.02%             | 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        |    102000 | PA      | $73392.52     | 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        |    500000 | PA      | $476368.68    | 0.02%             | 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        |    525000 | PA      | $427967.09    | 0.02%             | 2044-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3138L54D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    471218 | PA      | $463963.35    | 0.02%             | 2029-01-01      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                            | Barclays plc                                                                      | CUSIP: 06738EBV6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $152316.68    | 0.01%             | 2032-11-24      | Variable      | 2.89%                 | 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        |    356095 | PA      | $344352.32    | 0.02%             | 2028-11-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                     | Seasoned Credit Risk Transfer Trust, Series 2020-3, Class TTW                     | CUSIP: 35563PSX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1135034 | PA      | $1060152.07   | 0.05%             | 2060-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WEC Energy Group, Inc.                                  | WEC Energy Group, Inc.                                                            | CUSIP: 92939UAD8<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |    236000 | PA      | $200178.00    | 0.01%             | 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        |    130000 | PA      | $120458.88    | 0.01%             | 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        |    743350 | PA      | $631423.25    | 0.03%             | 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        |    530000 | PA      | $482348.33    | 0.02%             | 2027-01-31      | Fixed         | 3.05%                 | Yes           |                  2 | On Loan: No      |
| PeaceHealth Obligated Group                             | PeaceHealth Obligated Group, Series 2020                                          | CUSIP: 70462GAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    160000 | PA      | $103861.35    | 0.01%             | 2050-11-15      | Fixed         | 3.22%                 | No            |                  2 | On Loan: No      |
| Bank of Ireland Group plc                               | Bank of Ireland Group plc                                                         | CUSIP: 06279JAC3<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |    221000 | PA      | $219228.30    | 0.01%             | 2026-09-16      | Variable      | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Bank of Ireland Group plc                               | Bank of Ireland Group plc                                                         | CUSIP: 06279JAA7<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |    460000 | PA      | $455205.71    | 0.02%             | 2023-11-25      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Comcast Corp.                                           | Comcast Corp.                                                                     | CUSIP: 20030NCY5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    380000 | PA      | $296033.89    | 0.01%             | 2039-11-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                                 | CarMax Auto Owner Trust, Series 2020-4, Class C                                   | CUSIP: 14316HAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    290000 | PA      | $264552.38    | 0.01%             | 2026-08-17      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| DH Europe Finance II SARL                               | DH Europe Finance II SARL                                                         | CUSIP: 23291KAJ4<br>LEI: 222100KDGL314CKTZ511 | Long             | DBT              | CORP              | LU        |    119000 | PA      | $94863.42     | 0.00%             | 2039-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Delta Air Lines Pass-Through Trust                      | Delta Air Lines Pass-Through Trust, Series 2020-1, Class A                        | CUSIP: 247361ZW1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    665728 | PA      | $565320.29    | 0.03%             | 2028-06-10      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                               | CUSIP: 91282CEW7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3075000 | PA      | $2973260.73   | 0.15%             | 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        |    369920 | PA      | $362591.26    | 0.02%             | 2052-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                     | Seasoned Credit Risk Transfer Trust, Series 2020-1, Class M55G                    | CUSIP: 35563PPE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    894504 | PA      | $817328.30    | 0.04%             | 2059-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                 | Hyundai Capital America                                                           | CUSIP: 44891ABP1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    730000 | PA      | $624539.22    | 0.03%             | 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        |    422000 | PA      | $349097.15    | 0.02%             | 2030-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Air Lease Corp.                                         | Air Lease Corp.                                                                   | CUSIP: 00914AAH5<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    390000 | PA      | $368870.12    | 0.02%             | 2025-07-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3138L9P63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132544 | PA      | $121386.92    | 0.01%             | 2030-04-01      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| Norfolk Southern Corp.                                  | Norfolk Southern Corp.                                                            | CUSIP: 655844CF3<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |    215000 | PA      | $144003.24    | 0.01%             | 2050-05-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                            | AbbVie, Inc.                                                                      | CUSIP: 00287YCA5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    600000 | PA      | $513569.56    | 0.03%             | 2039-11-21      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                            | UBS Group AG                                                                      | CUSIP: 902613AS7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    200000 | PA      | $193297.50    | 0.01%             | 2027-08-05      | Variable      | 4.70%                 | Yes           |                  2 | On Loan: No      |
| Southern California Edison Co.                          | Southern California Edison Co., Series 20C                                        | CUSIP: 842400GV9<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    202000 | PA      | $179127.05    | 0.01%             | 2026-02-01      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC UMBS, 30 Year                                                               | CUSIP: 3133B3M38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    705142 | PA      | $619869.23    | 0.03%             | 2052-01-01      | Fixed         | 3.00%                 | 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        |    126250 | PA      | $123395.63    | 0.01%             | 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        |    275000 | PA      | $230409.34    | 0.01%             | 2027-10-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Bonds                                                               | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    225000 | PA      | $160655.27    | 0.01%             | 2041-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| DNB Bank ASA                                            | DNB Bank ASA                                                                      | CUSIP: 25601B2B0<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | CORP              | NO        |    320000 | PA      | $270707.43    | 0.01%             | 2028-03-30      | Variable      | 1.60%                 | Yes           |                  2 | On Loan: No      |
| Element Fleet Management Corp.                          | Element Fleet Management Corp.                                                    | CUSIP: 286181AF9<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |    130000 | PA      | $123151.36    | 0.01%             | 2024-04-06      | Fixed         | 1.60%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3140LFE42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    887660 | PA      | $755874.49    | 0.04%             | 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        |    708090 | PA      | $697468.33    | 0.03%             | 2033-07-12      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Hyundai Capital America                                 | Hyundai Capital America                                                           | CUSIP: 44891ABF3<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    596000 | PA      | $560475.36    | 0.03%             | 2025-02-10      | Fixed         | 2.65%                 | Yes           |                  2 | On Loan: No      |
| Rogers Communications, Inc.                             | Rogers Communications, Inc.                                                       | CUSIP: 775109CD1<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |    155000 | PA      | $120169.34    | 0.01%             | 2052-03-15      | Fixed         | 4.55%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                            | Avolon Holdings Funding Ltd.                                                      | CUSIP: 05401AAL5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     20000 | PA      | $18131.03     | 0.00%             | 2026-04-15      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                              | Flagship Credit Auto Trust, Series 2020-4, Class C                                | CUSIP: 33845XAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    585000 | PA      | $559750.23    | 0.03%             | 2027-02-16      | Fixed         | 1.28%                 | Yes           |                  2 | On Loan: No      |
| CommonSpirit Health                                     | CommonSpirit Health                                                               | CUSIP: 20268JAE3<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |     75000 | PA      | $67438.47     | 0.00%             | 2025-10-01      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| Utah Acquisition Sub, Inc.                              | Utah Acquisition Sub, Inc.                                                        | CUSIP: 62854AAN4<br>LEI: 254900JOFV74IJ7H9933 | Long             | DBT              | CORP              | US        |    227000 | PA      | $212214.29    | 0.01%             | 2026-06-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                             | Amgen, Inc.                                                                       | CUSIP: 031162DC1<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    100000 | PA      | $63823.60     | 0.00%             | 2052-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC UMBS, 30 Year                                                               | CUSIP: 3133AAPK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1837959 | PA      | $1584781.62   | 0.08%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                  | CUSIP: 3617V7V88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1416205 | PA      | $1266482.49   | 0.06%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                               | CUSIP: 912828Y87<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1180000 | PA      | $1128697.66   | 0.06%             | 2024-07-31      | Fixed         | 1.75%                 | 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        |    415000 | PA      | $391212.49    | 0.02%             | 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        |   1066715 | NS      | $77451509.36  | 3.80%             |  |  |  | No            |                  1 | On Loan: No      |
| Ohio Power Co.                                          | Ohio Power Co., Series R                                                          | CUSIP: 677415CU3<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |    200000 | PA      | $130123.95    | 0.01%             | 2051-10-01      | Fixed         | 2.90%                 | 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        |    222056 | PA      | $214417.91    | 0.01%             | 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        |    323000 | PA      | $270762.49    | 0.01%             | 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        |    500000 | PA      | $440442.28    | 0.02%             | 2026-08-21      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| Macquarie Group Ltd.                                    | Macquarie Group Ltd.                                                              | CUSIP: 55608JAR9<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |    420000 | PA      | $366052.61    | 0.02%             | 2027-01-12      | Variable      | 1.34%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Emerging Markets Debt Fund                     | JPMorgan Emerging Markets Debt Fund, Class R6                                     | CUSIP: 48121A134<br>LEI: 8KLDAXM5A9FOP50PQD10 | Long             |  | RF                | US        |    199153 | NS      | $1175002.90   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                | CUSIP: 3140MDKH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1165629 | PA      | $1080957.33   | 0.05%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                               | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4765000 | PA      | $4391245.31   | 0.22%             | 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        |    100000 | PA      | $76484.18     | 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        |    225000 | PA      | $225696.22    | 0.01%             | 2027-06-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Viatris, Inc.                                           | Viatris, Inc.                                                                     | CUSIP: 92556VAF3<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |    181000 | PA      | $111520.95    | 0.01%             | 2050-06-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| General Motors Co.                                      | General Motors Co.                                                                | CUSIP: 37045VAU4<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    292000 | PA      | $303090.96    | 0.01%             | 2027-10-01      | Fixed         | 6.80%                 | 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        |    233526 | PA      | $213579.82    | 0.01%             | 2037-11-20      | Fixed         | 1.34%                 | Yes           |                  2 | On Loan: No      |
| Nutrien Ltd.                                            | Nutrien Ltd.                                                                      | CUSIP: 67077MAU2<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |    111000 | PA      | $99648.71     | 0.00%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  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        |    501650 | PA      | $417952.01    | 0.02%             | 2030-03-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Healthcare Realty Holdings LP                           | Healthcare Realty Holdings LP                                                     | CUSIP: 42225UAH7<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |    414000 | PA      | $313411.83    | 0.02%             | 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        |    500000 | PA      | $494518.20    | 0.02%             | 2025-03-17      | Fixed         | 1.49%                 | Yes           |                  2 | On Loan: No      |
| Merck & Co., Inc.                                       | Merck & Co., Inc.                                                                 | CUSIP: 58933YBA2<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |    312000 | PA      | $217044.15    | 0.01%             | 2040-06-24      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                  | CUSIP: 3617V7VU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    515646 | PA      | $459153.01    | 0.02%             | 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        |    416000 | PA      | $345247.82    | 0.02%             | 2028-03-25      | Fixed         | 2.26%                 | No            |                  2 | On Loan: No      |
| Microchip Technology, Inc.                              | Microchip Technology, Inc.                                                        | CUSIP: 595017BB9<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |     63000 | PA      | $59826.55     | 0.00%             | 2024-02-15      | Fixed         | 0.97%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                               | HCA, Inc.                                                                         | CUSIP: 404119CB3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    128000 | PA      | $82120.63     | 0.00%             | 2051-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3140LH6D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1611000 | PA      | $1616850.97   | 0.08%             | 2031-07-01      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                             | Capital One Financial Corp.                                                       | CUSIP: 14040HBW4<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    200000 | PA      | $186934.67    | 0.01%             | 2028-01-31      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                      | Banco Santander SA                                                                | CUSIP: 05964HAN5<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    200000 | PA      | $170833.29    | 0.01%             | 2027-09-14      | Variable      | 1.72%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                              | Progress Residential Trust, Series 2020-SFR3, Class A                             | CUSIP: 74333AAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    513525 | PA      | $454789.10    | 0.02%             | 2027-10-17      | Fixed         | 1.29%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                               | CUSIP: 91282CFH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5735000 | PA      | $5515905.11   | 0.27%             | 2027-08-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Scentre Group Trust 1                                   | Scentre Group Trust 1                                                             | CUSIP: 80622GAD6<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |    565000 | PA      | $531438.48    | 0.03%             | 2026-01-28      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                  | CUSIP: 3617V7WL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    262193 | PA      | $234115.79    | 0.01%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                               | CUSIP: 91282CEM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8111000 | PA      | $7596458.44   | 0.37%             | 2029-04-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Atmos Energy Corp.                                      | Atmos Energy Corp.                                                                | CUSIP: 049560AW5<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |    230000 | PA      | $148832.01    | 0.01%             | 2052-02-15      | Fixed         | 2.85%                 | 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        |     34866 | PA      | $34609.37     | 0.00%             | 2024-03-20      | Fixed         | 0.82%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                | CUSIP: 3140KQZH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    349845 | PA      | $320792.02    | 0.02%             | 2050-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                  | CUSIP: 3617UA6Z0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1456923 | PA      | $1338718.18   | 0.07%             | 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        |    170000 | PA      | $140291.22    | 0.01%             | 2028-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA ACES, Series 2021-M11, Class A2                                              | CUSIP: 3136BF4D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    554000 | PA      | $430746.58    | 0.02%             | 2031-03-25      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                         | Citigroup, Inc.                                                                   | CUSIP: 172967LS8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    442000 | PA      | $403279.15    | 0.02%             | 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        |  10265790 | NS      | $591001517.17 | 28.98%            |  |  |  | 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        |    167652 | PA      | $165180.79    | 0.01%             | 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        |   1098619 | PA      | $933041.28    | 0.05%             | 2026-12-17      | Fixed         | 2.40%                 | Yes           |                  2 | On Loan: No      |
| WP Carey, Inc.                                          | WP Carey, Inc.                                                                    | CUSIP: 92936UAH2<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |     90000 | PA      | $66643.39     | 0.00%             | 2033-04-01      | Fixed         | 2.25%                 | No            |                  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        |    510000 | PA      | $497011.83    | 0.02%             | 2037-12-18      | Floating      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| Upstart Pass-Through Trust                              | Upstart Pass-Through Trust, Series 2021-ST2, Class A                              | CUSIP: 91682CAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    129971 | PA      | $121510.74    | 0.01%             | 2027-04-20      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| MVW LLC                                                 | MVW LLC, Series 2021-1WA, Class B                                                 | CUSIP: 55389TAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    144830 | PA      | $131116.78    | 0.01%             | 2041-01-22      | Fixed         | 1.44%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo & Co.                                       | Wells Fargo & Co.                                                                 | CUSIP: 94974BGL8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1443490.43   | 0.07%             | 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        |    367000 | PA      | $311968.86    | 0.02%             | 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        |   1298350 | PA      | $1145051.62   | 0.06%             | 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        |    310000 | PA      | $306197.70    | 0.02%             | 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        |    230000 | PA      | $176116.17    | 0.01%             | 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        |    390000 | PA      | $339765.27    | 0.02%             | 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        |    114618 | PA      | $105632.09    | 0.01%             | 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        |    335000 | PA      | $223945.37    | 0.01%             | 2051-05-13      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| KKR Industrial Portfolio Trust                          | KKR Industrial Portfolio Trust, Series 2021-KDIP, Class B                         | CUSIP: 48254CAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    393750 | PA      | $376697.79    | 0.02%             | 2037-12-15      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Duke Energy Indiana LLC                                 | Duke Energy Indiana LLC, Series YYY                                               | CUSIP: 26443TAB2<br>LEI: 6URPHM2EAWGJ2C6ISB97 | Long             | DBT              | CORP              | US        |    113000 | PA      | $78403.96     | 0.00%             | 2049-10-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| America Movil SAB de CV                                 | America Movil SAB de CV                                                           | CUSIP: 02364WBJ3<br>LEI: 5493000FNR3UCEAONM59 | Long             | DBT              | CORP              | MX        |    220000 | PA      | $187178.75    | 0.01%             | 2030-05-07      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                          | BNP Paribas SA                                                                    | CUSIP: 09659W2R4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    346000 | PA      | $282066.58    | 0.01%             | 2029-09-15      | Variable      | 2.16%                 | Yes           |                  2 | On Loan: No      |
| Universal Health Services, Inc.                         | Universal Health Services, Inc.                                                   | CUSIP: 913903AW0<br>LEI: 549300YGMGQDO0NMJD09 | Long             | DBT              | CORP              | US        |     22000 | PA      | $17509.21     | 0.00%             | 2030-10-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| GSK Consumer Healthcare Capital US LLC                  | GSK Consumer Healthcare Capital US LLC                                            | CUSIP: 36264FAN1<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |    350000 | PA      | $272969.18    | 0.01%             | 2052-03-24      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Flex Intermediate Holdco LLC                            | Flex Intermediate Holdco LLC                                                      | CUSIP: 33939HAB5<br>LEI: 549300290TQIGM30A243 | Long             | DBT              | CORP              | US        |    130000 | PA      | $93370.29     | 0.00%             | 2039-12-30      | Fixed         | 4.32%                 | Yes           |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                              | AerCap Ireland Capital DAC                                                        | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    150000 | PA      | $131166.25    | 0.01%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3140HSAA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    170000 | PA      | $163059.30    | 0.01%             | 2034-02-01      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| Smithfield Foods, Inc.                                  | Smithfield Foods, Inc.                                                            | CUSIP: 832248BC1<br>LEI: CVTIPZRZJC0JQEZLL598 | Long             | DBT              | CORP              | US        |    443000 | PA      | $337297.11    | 0.02%             | 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        |    441329 | PA      | $394750.20    | 0.02%             | 2051-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                 | BPCE SA                                                                           | CUSIP: 05583JAH5<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    864000 | PA      | $767824.13    | 0.04%             | 2026-10-06      | Variable      | 1.65%                 | Yes           |                  2 | On Loan: No      |
| FHF Trust                                               | FHF Trust, Series 2021-2A, Class A                                                | CUSIP: 30322JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    687194 | PA      | $653265.77    | 0.03%             | 2026-12-15      | Fixed         | 0.83%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                               | CUSIP: 91282CCR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2205000 | PA      | $1874336.13   | 0.09%             | 2028-07-31      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress LLC                                | Duke Energy Progress LLC                                                          | CUSIP: 26442UAM6<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    165000 | PA      | $108041.62    | 0.01%             | 2051-08-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3140LGFW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1050000 | PA      | $985045.56    | 0.05%             | 2032-01-01      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| Boardwalk Pipelines LP                                  | Boardwalk Pipelines LP                                                            | CUSIP: 096630AF5<br>LEI: 549300W6AQ2GHHCGL606 | Long             | DBT              | CORP              | US        |    185000 | PA      | $175947.12    | 0.01%             | 2027-07-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Office Properties Income Trust                          | Office Properties Income Trust                                                    | CUSIP: 67623CAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    280000 | PA      | $216999.60    | 0.01%             | 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        |    416733 | PA      | $411138.50    | 0.02%             | 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        |    141000 | PA      | $95441.37     | 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        |    966000 | PA      | $519866.48    | 0.03%             | 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        |   1293000 | PA      | $1261898.98   | 0.06%             | 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        |    200000 | PA      | $153436.54    | 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        |   1050000 | PA      | $883025.39    | 0.04%             | 2031-05-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| CFMT LLC                                                | CFMT LLC, Series 2020-HB4, Class A                                                | CUSIP: 12529LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    141054 | PA      | $136752.99    | 0.01%             | 2030-12-26      | Variable      | 0.95%                 | Yes           |                  3 | On Loan: No      |
| Amgen, Inc.                                             | Amgen, Inc.                                                                       | CUSIP: 031162CR9<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    429000 | PA      | $315926.19    | 0.02%             | 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        |   1230000 | PA      | $1138233.94   | 0.06%             | 2028-04-24      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3140J1S58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    689000 | PA      | $582840.28    | 0.03%             | 2028-04-01      | Fixed         | 1.09%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                  | CUSIP: 3617ULV54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1621852 | PA      | $1500290.69   | 0.07%             | 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        |    330000 | PA      | $286090.09    | 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        |    740000 | PA      | $686559.69    | 0.03%             | 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        |    132000 | PA      | $104636.67    | 0.01%             | 2032-03-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA ACES, Series 2020-M50, Class A1                                              | CUSIP: 3136BCGR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    234643 | PA      | $216117.38    | 0.01%             | 2030-10-25      | Fixed         | 0.67%                 | 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        |    127000 | PA      | $113297.48    | 0.01%             | 2025-10-01      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Fn  apr42                                               | Fn  apr42                                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    407000 | PA      | $414136.51    | 0.02%             | 2042-04-30      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA                                                    | FNMA ACES, Series 2021-M3, Class 1A1                                              | CUSIP: 3136BDXP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    134399 | PA      | $126433.66    | 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        |    350000 | PA      | $255714.04    | 0.01%             | 2027-02-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Masco Corp.                                             | Masco Corp.                                                                       | CUSIP: 574599BP0<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | DBT              | CORP              | US        |    203000 | PA      | $157340.95    | 0.01%             | 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        |    303000 | PA      | $286278.77    | 0.01%             | 2026-07-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Bonds                                                               | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     70000 | PA      | $50219.53     | 0.00%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                            | Avolon Holdings Funding Ltd.                                                      | CUSIP: 05401AAM3<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    110000 | PA      | $94674.33     | 0.00%             | 2026-02-21      | Fixed         | 2.12%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3140LH2Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1035000 | PA      | $1030116.09   | 0.05%             | 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        |   4205000 | PA      | $3758218.75   | 0.18%             | 2042-08-15      | Fixed         | 3.38%                 | 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        |    851950 | PA      | $775141.37    | 0.04%             | 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        |   1673311 | PA      | $1580195.73   | 0.08%             | 2057-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                | CUSIP: 3140KPNN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    693575 | PA      | $592203.30    | 0.03%             | 2050-10-01      | Fixed         | 2.50%                 | 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        |    800000 | PA      | $749679.52    | 0.04%             | 2032-09-25      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| Park Aerospace Holdings Ltd.                            | Park Aerospace Holdings Ltd.                                                      | CUSIP: 70014LAC4<br>LEI: 635400CPI3EOIFF6OC33 | Long             | DBT              | CORP              | KY        |    575000 | PA      | $573580.74    | 0.03%             | 2023-03-15      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                            | Pacific Gas and Electric Co.                                                      | CUSIP: 694308JY4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    170000 | PA      | $164529.45    | 0.01%             | 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        |   1660000 | PA      | $1387437.20   | 0.07%             | 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        |    180000 | PA      | $143468.62    | 0.01%             | 2052-03-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Altria Group, Inc.                                      | Altria Group, Inc.                                                                | CUSIP: 02209SBL6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    340000 | PA      | $256494.07    | 0.01%             | 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        |    467000 | PA      | $283967.63    | 0.01%             | 2051-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trust                         | Republic Finance Issuance Trust, Series 2020-A, Class A                           | CUSIP: 76042EAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    600000 | PA      | $566511.84    | 0.03%             | 2030-11-20      | Fixed         | 2.47%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC UMBS, 30 Year                                                               | CUSIP: 3133ABBK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    633978 | PA      | $544567.36    | 0.03%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                        | Boeing Co. (The)                                                                  | CUSIP: 097023DD4<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     85000 | PA      | $84673.48     | 0.00%             | 2023-02-04      | Fixed         | 1.17%                 | No            |                  2 | On Loan: No      |
| Gray Oak Pipeline LLC                                   | Gray Oak Pipeline LLC                                                             | CUSIP: 38937LAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $453409.35    | 0.02%             | 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        |    700000 | PA      | $608475.00    | 0.03%             | 2026-04-15      | Fixed         | 2.05%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                  | CUSIP: 3617XW5V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    738445 | PA      | $650174.33    | 0.03%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ACC Trust                                               | ACC Trust, Series 2021-1, Class B                                                 | CUSIP: 00091KAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    183560 | PA      | $182714.90    | 0.01%             | 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        |    300999 | PA      | $296029.72    | 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        |  10619000 | PA      | $6646000.76   | 0.33%             | 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        |    150000 | PA      | $141032.59    | 0.01%             | 2052-06-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3140LHWQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    767000 | PA      | $791545.86    | 0.04%             | 2032-10-01      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                         | Citigroup, Inc.                                                                   | CUSIP: 172967LP4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    500000 | PA      | $459194.69    | 0.02%             | 2028-07-24      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC UMBS, 30 Year                                                               | CUSIP: 3133AA6V9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    622671 | PA      | $536056.39    | 0.03%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Evergy Missouri West, Inc.                              | Evergy Missouri West, Inc.                                                        | CUSIP: 30037FAA8<br>LEI: EZIFUDC0VSUS6T6LCG85 | Long             | DBT              | CORP              | US        |    279000 | PA      | $277958.76    | 0.01%             | 2027-12-15      | Fixed         | 5.15%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3138LNCD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    310000 | PA      | $284102.63    | 0.01%             | 2033-05-01      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA ACES, Series 2022-M2S, Class A1                                              | CUSIP: 3136BPGK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    813534 | PA      | $781856.31    | 0.04%             | 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        |    911593 | PA      | $859997.50    | 0.04%             | 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        |   1460000 | PA      | $1015270.31   | 0.05%             | 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        |    215000 | PA      | $134085.56    | 0.01%             | 2052-01-01      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| CommonSpirit Health                                     | CommonSpirit Health                                                               | CUSIP: 20268JAF0<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    170000 | PA      | $140220.08    | 0.01%             | 2030-10-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                  | CUSIP: 3617M2LJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    465713 | PA      | $427927.25    | 0.02%             | 2050-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Alexander Funding Trust                                 | Alexander Funding Trust                                                           | CUSIP: 014621AA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    670000 | PA      | $641827.71    | 0.03%             | 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        |    215000 | PA      | $137203.06    | 0.01%             | 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        |    445373 | PA      | $433408.81    | 0.02%             | 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        |    850000 | PA      | $864129.49    | 0.04%             | 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        |   1038010 | PA      | $918209.42    | 0.05%             | 2039-05-20      | Fixed         | 2.23%                 | Yes           |                  2 | On Loan: No      |
| Comcast Corp.                                           | Comcast Corp.                                                                     | CUSIP: 20030NDL2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    270000 | PA      | $170398.27    | 0.01%             | 2051-01-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Entergy Louisiana LLC                                   | Entergy Louisiana LLC                                                             | CUSIP: 29364WBA5<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    166000 | PA      | $149811.06    | 0.01%             | 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        |    132000 | PA      | $107263.59    | 0.01%             | 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        |    414839 | PA      | $385142.34    | 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        |    365000 | PA      | $302422.51    | 0.01%             | 2027-12-02      | Fixed         | 2.45%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3140FXRT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    693486 | PA      | $606708.04    | 0.03%             | 2060-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3138LMF32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    296370 | PA      | $273233.28    | 0.01%             | 2030-03-01      | Fixed         | 3.11%                 | 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        |    865000 | PA      | $831459.54    | 0.04%             | 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        |    191279 | PA      | $154440.91    | 0.01%             | 2028-10-07      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3138LLNK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    290045 | PA      | $264514.31    | 0.01%             | 2029-12-01      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA ACES, Series 2020-M50, Class X1                                              | CUSIP: 3136BCGU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2315222 | PA      | $170927.73    | 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        |   1528666 | PA      | $1389612.94   | 0.07%             | 2051-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp. Ltd.                              | Toorak Mortgage Corp. Ltd., Series 2020-1, Class A1                               | CUSIP: 89052WAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    130893 | PA      | $126423.53    | 0.01%             | 2023-03-25      | Variable      | 2.73%                 | Yes           |                  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        |   1223396 | PA      | $1114251.78   | 0.05%             | 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        |    438000 | PA      | $324314.24    | 0.02%             | 2046-04-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Santander Consumer Auto Receivables Trust               | Santander Consumer Auto Receivables Trust, Series 2021-AA, Class B                | CUSIP: 80282YAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    470000 | PA      | $433383.19    | 0.02%             | 2026-08-17      | Fixed         | 0.71%                 | Yes           |                  2 | On Loan: No      |
| American Tower Corp.                                    | American Tower Corp.                                                              | CUSIP: 03027XBJ8<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    185000 | PA      | $153069.77    | 0.01%             | 2028-01-31      | Fixed         | 1.50%                 | 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        |    330000 | PA      | $312401.13    | 0.02%             | 2026-02-25      | Variable      | 2.09%                 | Yes           |                  2 | On Loan: No      |
| Southern Co. Gas Capital Corp.                          | Southern Co. Gas Capital Corp., Series 21A                                        | CUSIP: 8426EPAE8<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |    160000 | PA      | $103565.84    | 0.01%             | 2051-09-30      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Gray Oak Pipeline LLC                                   | Gray Oak Pipeline LLC                                                             | CUSIP: 38937LAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    306000 | PA      | $270618.40    | 0.01%             | 2027-10-15      | Fixed         | 3.45%                 | Yes           |                  2 | On Loan: No      |
| Graphic Packaging International LLC                     | Graphic Packaging International LLC                                               | CUSIP: 38869PAP9<br>LEI: SO75N4VY5NXGQSK8YQ65 | Long             | DBT              | CORP              | US        |    238000 | PA      | $207609.10    | 0.01%             | 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        |    150000 | PA      | $102034.62    | 0.01%             | 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        |    884356 | PA      | $852642.91    | 0.04%             | 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        |    903000 | PA      | $716474.33    | 0.04%             | 2030-07-11      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                          | Morgan Stanley                                                                    | CUSIP: 61747YEH4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    415000 | PA      | $324762.92    | 0.02%             | 2032-10-20      | Variable      | 2.51%                 | No            |                  2 | On Loan: No      |
| Orange Lake Timeshare Trust                             | Orange Lake Timeshare Trust, Series 2016-A, Class A                               | CUSIP: 68504LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    103008 | PA      | $98759.36     | 0.00%             | 2029-03-08      | Fixed         | 2.61%                 | Yes           |                  2 | On Loan: No      |
| BPR Trust                                               | BPR Trust, Series 2021-KEN, Class A                                               | CUSIP: 05591QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    475000 | PA      | $461994.60    | 0.02%             | 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        |    260143 | PA      | $257223.21    | 0.01%             | 2025-09-15      | Fixed         | 0.77%                 | Yes           |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co.                                | Bristol-Myers Squibb Co.                                                          | CUSIP: 110122CQ9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    265000 | PA      | $235788.12    | 0.01%             | 2039-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                 | MPLX LP                                                                           | CUSIP: 55336VAM2<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    226000 | PA      | $190375.15    | 0.01%             | 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        |   2075000 | PA      | $1812358.54   | 0.09%             | 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        |    328000 | PA      | $300612.22    | 0.01%             | 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        |   1196645 | PA      | $1105466.79   | 0.05%             | 2032-08-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, Other                                                                    | CUSIP: 3622AAUG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    713217 | PA      | $637152.57    | 0.03%             | 2070-10-20      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                   | Global Payments, Inc.                                                             | CUSIP: 37940XAN2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     70000 | PA      | $67673.93     | 0.00%             | 2029-08-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Delta Air Lines Pass-Through Trust                      | Delta Air Lines Pass-Through Trust, Series 2015-1, Class B                        | CUSIP: 24737AAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    167504 | PA      | $164193.32    | 0.01%             | 2023-07-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                            | AbbVie, Inc.                                                                      | CUSIP: 00287YBV0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    265000 | PA      | $246445.80    | 0.01%             | 2026-11-21      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                  | CUSIP: 3617VQ2T2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1446034 | PA      | $1328703.87   | 0.07%             | 2051-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Anglo American Capital plc                              | Anglo American Capital plc                                                        | CUSIP: 034863AS9<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |    295000 | PA      | $284638.13    | 0.01%             | 2024-09-11      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3140LFVV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    580000 | PA      | $510887.95    | 0.03%             | 2033-09-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Fn 4.748                                                | Fn 4.748                                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    835000 | PA      | $847574.48    | 0.04%             | 2033-02-01      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                    | Mitsubishi UFJ Financial Group, Inc.                                              | CUSIP: 606822BH6<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    813000 | PA      | $749204.33    | 0.04%             | 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        |    215000 | PA      | $151094.13    | 0.01%             | 2049-11-07      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Zoetis, Inc.                                            | Zoetis, Inc.                                                                      | CUSIP: 98978VAV5<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |    287000 | PA      | $297511.79    | 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        |    346000 | PA      | $280844.66    | 0.01%             | 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        |    218000 | PA      | $167940.74    | 0.01%             | 2031-02-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                        | Boeing Co. (The)                                                                  | CUSIP: 097023DA0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     59000 | PA      | $54676.86     | 0.00%             | 2026-02-01      | Fixed         | 2.75%                 | 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        |   1133966 | PA      | $1028000.49   | 0.05%             | 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        |    215000 | PA      | $204245.49    | 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        |    253000 | PA      | $176515.87    | 0.01%             | 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        |   1590000 | PA      | $1302434.67   | 0.06%             | 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        |    160000 | PA      | $125025.49    | 0.01%             | 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        |    205000 | PA      | $177436.84    | 0.01%             | 2027-05-11      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                     | Societe Generale SA                                                               | CUSIP: 83368RAZ5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    300000 | PA      | $260748.98    | 0.01%             | 2026-12-14      | Variable      | 1.49%                 | Yes           |                  2 | On Loan: No      |
| Boston Scientific Corp.                                 | Boston Scientific Corp.                                                           | CUSIP: 101137AT4<br>LEI: Y6ZDD9FP4P8JSSJMW954 | Long             | DBT              | CORP              | US        |     68000 | PA      | $60994.29     | 0.00%             | 2039-03-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Santander UK Group Holdings plc                         | Santander UK Group Holdings plc                                                   | CUSIP: 80281LAS4<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    432000 | PA      | $437581.95    | 0.02%             | 2026-11-21      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| Kraft Heinz Foods Co.                                   | Kraft Heinz Foods Co.                                                             | CUSIP: 50077LAX4<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |    240000 | PA      | $210535.78    | 0.01%             | 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        |    136000 | PA      | $114722.26    | 0.01%             | 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        |    210000 | PA      | $169921.17    | 0.01%             | 2049-04-01      | Fixed         | 4.55%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                     | Societe Generale SA                                                               | CUSIP: 83368RBD3<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    590000 | PA      | $453903.13    | 0.02%             | 2032-06-09      | Variable      | 2.89%                 | Yes           |                  2 | On Loan: No      |
| OGE Energy Corp.                                        | OGE Energy Corp.                                                                  | CUSIP: 670837AC7<br>LEI: CE5OG6JPOZMDSA0LAQ19 | Long             | DBT              | CORP              | US        |    130000 | PA      | $127695.81    | 0.01%             | 2023-05-26      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                               | CUSIP: 91282CEB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4203000 | PA      | $3722117.71   | 0.18%             | 2029-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3138L5KB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    250055 | PA      | $243794.24    | 0.01%             | 2030-11-01      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                            | Mizuho Financial Group, Inc.                                                      | CUSIP: 60687YBP3<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    210000 | PA      | $181891.88    | 0.01%             | 2027-05-22      | Variable      | 1.23%                 | No            |                  2 | On Loan: No      |
| Continental Finance Credit Card ABS Master Trust        | Continental Finance Credit Card ABS Master Trust, Series 2020-1A, Class A         | CUSIP: 66981PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    190000 | PA      | $178687.50    | 0.01%             | 2028-12-15      | Fixed         | 2.24%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3140FXHG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1468351 | PA      | $1518036.88   | 0.07%             | 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        |    535000 | PA      | $521047.93    | 0.03%             | 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        |    917502 | PA      | $777633.67    | 0.04%             | 2036-04-15      | Fixed         | 2.92%                 | Yes           |                  3 | On Loan: No      |
| Westlake Automobile Receivables Trust                   | Westlake Automobile Receivables Trust, Series 2020-3A, Class C                    | CUSIP: 96042QAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    260000 | PA      | $253472.02    | 0.01%             | 2025-11-17      | Fixed         | 1.24%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                          | Morgan Stanley                                                                    | CUSIP: 61772BAC7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    255000 | PA      | $188693.67    | 0.01%             | 2042-04-22      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| NBN Co. Ltd.                                            | NBN Co. Ltd.                                                                      | CUSIP: 62878U2B7<br>LEI: 2549007CRZ2NT7S96A24 | Long             | DBT              | NUSS              | AU        |    500000 | PA      | $396662.14    | 0.02%             | 2031-05-05      | Fixed         | 2.62%                 | Yes           |                  2 | On Loan: No      |
| Nordea Bank Abp                                         | Nordea Bank Abp                                                                   | CUSIP: 65558RAD1<br>LEI: 529900ODI3047E2LIV03 | Long             | DBT              | CORP              | FI        |    200000 | PA      | $200922.66    | 0.01%             | 2027-09-22      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Walt Disney Co. (The)                                   | Walt Disney Co. (The)                                                             | CUSIP: 254687FX9<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |    386000 | PA      | $329475.88    | 0.02%             | 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        |    429000 | PA      | $296590.58    | 0.01%             | 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        |    896064 | PA      | $845365.01    | 0.04%             | 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        |    516174 | PA      | $506868.57    | 0.02%             | 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        |    280000 | PA      | $169307.26    | 0.01%             | 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        |    617000 | PA      | $539591.61    | 0.03%             | 2027-01-26      | Variable      | 1.25%                 | Yes           |                  2 | On Loan: No      |
| MultiCare Health System                                 | MultiCare Health System                                                           | CUSIP: 62548LAA0<br>LEI: 549300OSCVFLGLKTTI33 | Long             | DBT              | CORP              | US        |    132000 | PA      | $77948.80     | 0.00%             | 2050-08-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Duke Energy Florida LLC                                 | Duke Energy Florida LLC                                                           | CUSIP: 26444HAN1<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |    133000 | PA      | $141552.06    | 0.01%             | 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        |    810000 | PA      | $736116.42    | 0.04%             | 2037-04-17      | Fixed         | 3.03%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                          | BNP Paribas SA                                                                    | CUSIP: 09659T2B6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    250000 | PA      | $182971.33    | 0.01%             | 2035-08-12      | Variable      | 2.59%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                | CUSIP: 3140QFGG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    993429 | PA      | $911414.25    | 0.04%             | 2050-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Microchip Technology, Inc.                              | Microchip Technology, Inc.                                                        | CUSIP: 595017BC7<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |     74000 | PA      | $68521.06     | 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        |    760000 | PA      | $730350.42    | 0.04%             | 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        |    632975 | PA      | $578391.01    | 0.03%             | 2051-03-27      | Variable      | 2.24%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA ACES, Series 2021-M3, Class X1                                               | CUSIP: 3136BDXR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1355092 | PA      | $121073.68    | 0.01%             | 2033-11-25      | Variable      | 1.94%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                     | Seasoned Credit Risk Transfer Trust, Series 2020-3, Class M5TW                    | CUSIP: 35563PTN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1162463 | PA      | $1037672.44   | 0.05%             | 2060-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| 7-Eleven, Inc.                                          | 7-Eleven, Inc.                                                                    | CUSIP: 817826AA8<br>LEI: 549300K23JPL0SS3LB18 | Long             | DBT              | CORP              | US        |    595000 | PA      | $591950.16    | 0.03%             | 2023-02-10      | Fixed         | 0.62%                 | Yes           |                  2 | On Loan: No      |
| Barclays plc                                            | Barclays plc                                                                      | CUSIP: 06738EAU9<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    265000 | PA      | $246218.66    | 0.01%             | 2028-01-10      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| JPMorgan U.S. Aggregate Bond ETF                        | JPMorgan U.S. Aggregate Bond ETF                                                  | CUSIP: 46641Q241<br>LEI: 549300Y7I30NRICF3S33 | Long             |  | RF                | US        |   2732241 | NS      | $125109315.39 | 6.14%             |  |  |  | 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        |    458980 | PA      | $396043.94    | 0.02%             | 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        |    505000 | PA      | $507414.51    | 0.02%             | 2027-12-15      | Fixed         | 6.51%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-1511, Class A1 | CUSIP: 3137FLYH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    692860 | PA      | $654028.24    | 0.03%             | 2030-10-25      | Fixed         | 3.28%                 | 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        |    786131 | PA      | $725210.65    | 0.04%             | 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        |    546586 | PA      | $523797.67    | 0.03%             | 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        |  21517915 | NS      | $153207555.26 | 7.51%             |  |  |  | No            |                  1 | On Loan: No      |
| Berkshire Hathaway Energy Co.                           | Berkshire Hathaway Energy Co.                                                     | CUSIP: 084659BC4<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |    204000 | PA      | $133554.78    | 0.01%             | 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        |    338481 | PA      | $322809.81    | 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        |    341000 | PA      | $256349.41    | 0.01%             | 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        |  10429343 | NS      | $153207041.78 | 7.51%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3140J27D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    537636 | PA      | $432355.71    | 0.02%             | 2030-12-01      | Fixed         | 1.37%                 | No            |                  2 | On Loan: No      |
| Southern Power Co.                                      | Southern Power Co.                                                                | CUSIP: 843646AH3<br>LEI: 5LADC78JBG2BMZD5XF57 | Long             | DBT              | CORP              | US        |    230000 | PA      | $207850.54    | 0.01%             | 2041-09-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Life Storage LP                                         | Life Storage LP                                                                   | CUSIP: 53227JAD6<br>LEI: X0MIGH67XZCB7HL1A534 | Long             | DBT              | CORP              | US        |    290000 | PA      | $223096.78    | 0.01%             | 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        |    371000 | PA      | $298658.29    | 0.01%             | 2040-05-13      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                            | AbbVie, Inc.                                                                      | CUSIP: 00287YCB3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    210000 | PA      | $174275.88    | 0.01%             | 2049-11-21      | Fixed         | 4.25%                 | 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        |    395848 | PA      | $351638.32    | 0.02%             | 2035-08-27      | Fixed         | 1.74%                 | Yes           |                  2 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust                | AmeriCredit Automobile Receivables Trust, Series 2020-3, Class B                  | CUSIP: 03066PAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    710000 | PA      | $684923.16    | 0.03%             | 2025-12-18      | Fixed         | 0.76%                 | No            |                  2 | On Loan: No      |
| Entergy Louisiana LLC                                   | Entergy Louisiana LLC                                                             | CUSIP: 29364WBD9<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |     70000 | PA      | $44783.69     | 0.00%             | 2051-03-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| S&P Global, Inc.                                        | S&P Global, Inc.                                                                  | CUSIP: 78409VBB9<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |    311000 | PA      | $273749.11    | 0.01%             | 2029-03-01      | Fixed         | 2.70%                 | Yes           |                  2 | On Loan: No      |
| Standard Chartered plc                                  | Standard Chartered plc                                                            | CUSIP: 853254CL2<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    220000 | PA      | $226577.44    | 0.01%             | 2025-11-16      | Variable      | 7.78%                 | 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        |    593000 | PA      | $552188.67    | 0.03%             | 2028-03-08      | Fixed         | 1.21%                 | Yes           |                  2 | On Loan: No      |
| CGI, Inc.                                               | CGI, Inc.                                                                         | CUSIP: 12532HAC8<br>LEI: 549300WSRCZY73ZG3090 | Long             | DBT              | CORP              | CA        |    204000 | PA      | $180411.13    | 0.01%             | 2026-09-14      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC UMBS, 30 Year                                                               | CUSIP: 3133AAP63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1161016 | PA      | $986426.10    | 0.05%             | 2050-10-01      | Fixed         | 2.50%                 | 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        |    935000 | PA      | $905492.34    | 0.04%             | 2026-09-15      | Fixed         | 1.59%                 | Yes           |                  2 | On Loan: No      |
| Evergy, Inc.                                            | Evergy, Inc.                                                                      | CUSIP: 30034WAB2<br>LEI: 549300PGTHDQY6PSUI61 | Long             | DBT              | CORP              | US        |    441000 | PA      | $380820.62    | 0.02%             | 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        |    815000 | PA      | $696088.08    | 0.03%             | 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        |    205000 | PA      | $152533.72    | 0.01%             | 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        |    398130 | PA      | $378480.48    | 0.02%             | 2059-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                 | Hyundai Capital America                                                           | CUSIP: 44891ABS5<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     90000 | PA      | $78711.60     | 0.00%             | 2026-01-08      | Fixed         | 1.30%                 | Yes           |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                            | Pacific Gas and Electric Co.                                                      | CUSIP: 694308JL2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    130000 | PA      | $123065.32    | 0.01%             | 2025-07-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Westgate Resorts LLC                                    | Westgate Resorts LLC, Series 2022-1A, Class B                                     | CUSIP: 96034JAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    397742 | PA      | $374091.19    | 0.02%             | 2036-08-20      | Fixed         | 2.29%                 | Yes           |                  2 | On Loan: No      |
| Air Lease Corp.                                         | Air Lease Corp.                                                                   | CUSIP: 00914AAM4<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    675000 | PA      | $586262.81    | 0.03%             | 2026-08-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Home Depot, Inc. (The)                                  | Home Depot, Inc. (The)                                                            | CUSIP: 437076CT7<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    153000 | PA      | $146855.61    | 0.01%             | 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        |     11066 | PA      | $11032.11     | 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        |    252009 | PA      | $251148.58    | 0.01%             | 2024-06-17      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| TSMC Global Ltd.                                        | TSMC Global Ltd.                                                                  | CUSIP: 872882AG0<br>LEI: 549300N2ZLI21P85T117 | Long             | DBT              | CORP              | VG        |    350000 | PA      | $267022.00    | 0.01%             | 2030-09-28      | Fixed         | 1.38%                 | Yes           |                  2 | On Loan: No      |
| Union Pacific Corp.                                     | Union Pacific Corp.                                                               | CUSIP: 907818FD5<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    297000 | PA      | $245209.73    | 0.01%             | 2039-08-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                      | United Airlines Pass-Through Trust, Series 2016-2, Class B                        | CUSIP: 90933JAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    168669 | PA      | $148665.40    | 0.01%             | 2025-10-07      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                  | CUSIP: 3617XXAR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    861553 | PA      | $782584.84    | 0.04%             | 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        |    285000 | PA      | $272031.33    | 0.01%             | 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        |    345000 | PA      | $333026.55    | 0.02%             | 2025-04-07      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| NRG Energy, Inc.                                        | NRG Energy, Inc.                                                                  | CUSIP: 629377CN0<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    105000 | PA      | $93654.88     | 0.00%             | 2025-12-02      | Fixed         | 2.00%                 | Yes           |                  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        |    193390 | PA      | $196615.25    | 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        |    408802 | PA      | $430112.48    | 0.02%             | 2042-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Republic of Peru                                        | Republic of Peru                                                                  | CUSIP: 715638DQ2<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    147000 | PA      | $85976.63     | 0.00%             | 2060-12-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                       | HSBC Holdings plc                                                                 | CUSIP: 404280DQ9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    238000 | PA      | $247537.09    | 0.01%             | 2026-11-03      | Variable      | 7.34%                 | No            |                  2 | On Loan: No      |
| University of Miami                                     | University of Miami, Series 2022                                                  | CUSIP: 914453AA3<br>LEI: 5493008ZSVWUNRYQE312 | Long             | DBT              | CORP              | US        |    110000 | PA      | $89638.51     | 0.00%             | 2052-04-01      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| BP Capital Markets America, Inc.                        | BP Capital Markets America, Inc.                                                  | CUSIP: 10373QBS8<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |     75000 | PA      | $49438.25     | 0.00%             | 2052-03-17      | Fixed         | 3.00%                 | 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        |    720000 | PA      | $577408.32    | 0.03%             | 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        |    643000 | PA      | $491437.89    | 0.02%             | 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        |    220000 | PA      | $213825.95    | 0.01%             | 2040-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                   | United Mexican States                                                             | CUSIP: 91087BAR1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    730000 | PA      | $585825.00    | 0.03%             | 2034-02-12      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3140LGEC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1662000 | PA      | $1510572.62   | 0.07%             | 2032-07-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                   | Bank of America Corp.                                                             | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    175000 | PA      | $140983.27    | 0.01%             | 2033-02-04      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                                | UnitedHealth Group, Inc.                                                          | CUSIP: 91324PES7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    105000 | PA      | $113375.33    | 0.01%             | 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        |    314579 | PA      | $290869.39    | 0.01%             | 2026-10-25      | Variable      | 2.49%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                       | Credit Acceptance Auto Loan Trust, Series 2020-2A, Class C                        | CUSIP: 22535MAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $727566.83    | 0.04%             | 2029-11-15      | Fixed         | 2.73%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2015-H18, Class FA                                                   | CUSIP: 38376REW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    218365 | PA      | $216357.84    | 0.01%             | 2065-06-20      | Floating      | 4.29%                 | No            |                  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        |   1640000 | PA      | $1469265.50   | 0.07%             | 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        |    780000 | PA      | $748200.64    | 0.04%             | 2025-04-14      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Charter Communications Operating LLC                    | Charter Communications Operating LLC                                              | CUSIP: 161175BU7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    152000 | PA      | $118333.18    | 0.01%             | 2031-04-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| JPMorgan High Yield Fund                                | JPMorgan High Yield Fund, Class R6                                                | CUSIP: 4812C0126<br>LEI: 15QB5UY3VV3GNSMNPX63 | Long             |  | RF                | US        |  13998679 | NS      | $85951888.27  | 4.21%             |  |  |  | No            |                  1 | On Loan: No      |
| Oklahoma Gas and Electric Co.                           | Oklahoma Gas and Electric Co.                                                     | CUSIP: 678858BW0<br>LEI: 549300VJ8YXGPO8EV472 | Long             | DBT              | CORP              | US        |    160000 | PA      | $157150.51    | 0.01%             | 2023-05-26      | Fixed         | 0.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2014-H06, Class HB                                                   | CUSIP: 38375UET3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    211434 | PA      | $210344.32    | 0.01%             | 2064-03-20      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                            | Pacific Gas and Electric Co.                                                      | CUSIP: 694308HA8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     79000 | PA      | $52961.66     | 0.00%             | 2042-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                        | Deutsche Bank AG                                                                  | CUSIP: 251526CK3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    408000 | PA      | $309236.59    | 0.02%             | 2032-05-28      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                            | Pacific Gas and Electric Co.                                                      | CUSIP: 694308HL4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     80000 | PA      | $56719.04     | 0.00%             | 2045-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3140LGDR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1030000 | PA      | $942574.39    | 0.05%             | 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        |   1039000 | PA      | $801790.73    | 0.04%             | 2030-10-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| CVS Pass-Through Trust                                  | CVS Pass-Through Trust, Series 2014                                               | CUSIP: 12665VAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    108476 | PA      | $93863.10     | 0.00%             | 2036-08-11      | Fixed         | 4.16%                 | Yes           |                  2 | On Loan: No      |
| BXG Receivables Note Trust                              | BXG Receivables Note Trust, Series 2020-A, Class A                                | CUSIP: 05608TAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    317026 | PA      | $285470.16    | 0.01%             | 2036-02-28      | Fixed         | 1.55%                 | Yes           |                  2 | On Loan: No      |
| Aqua Finance Trust                                      | Aqua Finance Trust, Series 2020-AA, Class C                                       | CUSIP: 038413AC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    290000 | PA      | $251135.19    | 0.01%             | 2046-07-17      | Fixed         | 3.97%                 | Yes           |                  2 | On Loan: No      |
| NGPL PipeCo LLC                                         | NGPL PipeCo LLC                                                                   | CUSIP: 62928CAA0<br>LEI: 549300K3NT1HSQFEM073 | Long             | DBT              | CORP              | US        |    195000 | PA      | $158613.59    | 0.01%             | 2031-07-15      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                               | CUSIP: 91282CBZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3385000 | PA      | $2937148.62   | 0.14%             | 2028-04-30      | Fixed         | 1.25%                 | 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        |   1773114 | PA      | $1595115.91   | 0.08%             | 2051-02-27      | Variable      | 1.89%                 | Yes           |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                       | Enterprise Products Operating LLC                                                 | CUSIP: 29379VAY9<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    317000 | PA      | $266936.80    | 0.01%             | 2043-02-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                | CUSIP: 3140L2YQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    221984 | PA      | $195112.71    | 0.01%             | 2051-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                          | Southern California Edison Co.                                                    | CUSIP: 842400HS5<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    286000 | PA      | $294376.10    | 0.01%             | 2027-11-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| NXP BV                                                  | NXP BV                                                                            | CUSIP: 62954HAU2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    340000 | PA      | $235301.25    | 0.01%             | 2041-05-11      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Bonds                                                               | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11655000 | PA      | $6476264.62   | 0.32%             | 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        |   1092000 | PA      | $872829.71    | 0.04%             | 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        |    614453 | PA      | $532867.41    | 0.03%             | 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        |   3460700 | PA      | $2199437.09   | 0.11%             | 2051-02-15      | 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        |    372078 | PA      | $327207.56    | 0.02%             | 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        |    480000 | PA      | $415751.81    | 0.02%             | 2051-02-27      | Fixed         | 2.06%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                | CUSIP: 3140KNGC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1035302 | PA      | $919057.42    | 0.05%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Tractor Supply Co.                                      | Tractor Supply Co.                                                                | CUSIP: 892356AA4<br>LEI: 549300OJ9VZHZRO6I137 | Long             | DBT              | CORP              | US        |    436000 | PA      | $334779.78    | 0.02%             | 2030-11-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| MyMichigan Health                                       | MyMichigan Health, Series 2020                                                    | CUSIP: 597861AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     45000 | PA      | $30923.28     | 0.00%             | 2050-06-01      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| WP Carey, Inc.                                          | WP Carey, Inc.                                                                    | CUSIP: 92936UAG4<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |    163000 | PA      | $129873.46    | 0.01%             | 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        |    115000 | PA      | $104742.88    | 0.01%             | 2029-04-05      | Fixed         | 3.85%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-1510, Class A2 | CUSIP: 3137FL2L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    265000 | PA      | $246980.77    | 0.01%             | 2031-01-25      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                          | Southern California Edison Co., Series C                                          | CUSIP: 842400GK3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    131000 | PA      | $104534.57    | 0.01%             | 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        |    400000 | PA      | $306360.43    | 0.02%             | 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        |   6796000 | PA      | $6451687.05   | 0.32%             | 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        |    391000 | PA      | $296747.35    | 0.01%             | 2032-01-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| CommonSpirit Health                                     | CommonSpirit Health                                                               | CUSIP: 20268JAG8<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |     75000 | PA      | $55506.52     | 0.00%             | 2050-10-01      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                            | Avolon Holdings Funding Ltd.                                                      | CUSIP: 05401AAK7<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    650000 | PA      | $617956.79    | 0.03%             | 2026-01-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Empower Finance 2020 LP                                 | Empower Finance 2020 LP                                                           | CUSIP: 29248HAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    316000 | PA      | $196691.54    | 0.01%             | 2051-09-17      | Fixed         | 3.08%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | DJ US Real Estate Index                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |      -388 | NC      | $875987.60    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| 7-Eleven, Inc.                                          | 7-Eleven, Inc.                                                                    | CUSIP: 817826AF7<br>LEI: 549300K23JPL0SS3LB18 | Long             | DBT              | CORP              | US        |    112000 | PA      | $73905.21     | 0.00%             | 2041-02-10      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| PRET LLC                                                | PRET LLC, Series 2021-RN4, Class A1                                               | CUSIP: 69359QAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1142667 | PA      | $999150.32    | 0.05%             | 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        |    208000 | PA      | $132790.78    | 0.01%             | 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        |    525000 | PA      | $525095.96    | 0.03%             | 2028-09-13      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust                | AmeriCredit Automobile Receivables Trust, Series 2020-3, Class C                  | CUSIP: 03066PAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    315000 | PA      | $295876.89    | 0.01%             | 2026-08-18      | Fixed         | 1.06%                 | No            |                  2 | On Loan: No      |
| Banner Health                                           | Banner Health                                                                     | CUSIP: 06654DAD9<br>LEI: PLD0E0WJKFN8IZJ2WD85 | Long             | DBT              | CORP              | US        |    288000 | PA      | $227419.25    | 0.01%             | 2031-01-01      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Park Aerospace Holdings Ltd.                            | Park Aerospace Holdings Ltd.                                                      | CUSIP: 70014LAB6<br>LEI: 635400CPI3EOIFF6OC33 | Long             | DBT              | CORP              | KY        |     59000 | PA      | $58230.61     | 0.00%             | 2024-02-15      | Fixed         | 5.50%                 | Yes           |                  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        |    675000 | PA      | $655232.83    | 0.03%             | 2027-03-15      | Fixed         | 1.23%                 | Yes           |                  2 | On Loan: No      |
| Republic of Panama                                      | Republic of Panama                                                                | CUSIP: 698299BK9<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |    300000 | PA      | $257587.50    | 0.01%             | 2030-01-23      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                     | DT Auto Owner Trust, Series 2021-1A, Class C                                      | CUSIP: 23344GAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    330000 | PA      | $316799.31    | 0.02%             | 2026-10-15      | Fixed         | 0.84%                 | 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        |    679972 | PA      | $626037.71    | 0.03%             | 2026-03-25      | Variable      | 2.12%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, REMIC, Series 2014-52, Class BW                                             | CUSIP: 3136AKF24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    785000 | PA      | $659682.68    | 0.03%             | 2044-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Analog Devices, Inc.                                    | Analog Devices, Inc.                                                              | CUSIP: 032654AW5<br>LEI: GYVOE5EZ4GDAVTU4CQ61 | Long             | DBT              | CORP              | US        |    224000 | PA      | $163940.47    | 0.01%             | 2041-10-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| JPMorgan Inflation Managed Bond ETF                     | JPMorgan Inflation Managed Bond ETF                                               | CUSIP: 46654Q104<br>LEI: 5493005532K2IEO31Z97 | Long             |  | RF                | US        |    268625 | NS      | $12316456.25  | 0.60%             |  |  |  | No            |                  1 | On Loan: No      |
| AerCap Ireland Capital DAC                              | AerCap Ireland Capital DAC                                                        | CUSIP: 00774MAR6<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    880000 | PA      | $817311.48    | 0.04%             | 2027-10-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3138LCMZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    667412 | PA      | $602185.75    | 0.03%             | 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        |    385000 | PA      | $362340.06    | 0.02%             | 2028-03-15      | Fixed         | 5.46%                 | Yes           |                  2 | On Loan: No      |
| CSX Corp.                                               | CSX Corp.                                                                         | CUSIP: 126408HF3<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    219000 | PA      | $171919.87    | 0.01%             | 2046-11-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Brookfield Finance, Inc.                                | Brookfield Finance, Inc.                                                          | CUSIP: 11271LAF9<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |    250000 | PA      | $158686.13    | 0.01%             | 2051-03-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| L3Harris Technologies, Inc.                             | L3Harris Technologies, Inc.                                                       | CUSIP: 502431AN9<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |    100000 | PA      | $76744.07     | 0.00%             | 2031-01-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                            | Avolon Holdings Funding Ltd.                                                      | CUSIP: 05401AAH4<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    207000 | PA      | $191219.46    | 0.01%             | 2025-02-15      | Fixed         | 2.88%                 | Yes           |                  2 | On Loan: No      |
| AT&T, Inc.                                              | AT&T, Inc.                                                                        | CUSIP: 00206RJZ6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    584000 | PA      | $435508.74    | 0.02%             | 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        |    300000 | PA      | $213547.23    | 0.01%             | 2041-05-13      | Fixed         | 3.44%                 | Yes           |                  2 | On Loan: No      |
| Oracle Corp.                                            | Oracle Corp.                                                                      | CUSIP: 68389XBP9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    540000 | PA      | $427567.15    | 0.02%             | 2037-11-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Hackensack Meridian Health, Inc.                        | Hackensack Meridian Health, Inc., Series 2020                                     | CUSIP: 404530AC1<br>LEI: 5493001CB3OCWTEJY668 | Long             | DBT              | CORP              | US        |    350000 | PA      | $243380.79    | 0.01%             | 2041-09-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                  | Credit Suisse Group AG                                                            | CUSIP: 225401AC2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   1015000 | PA      | $841283.90    | 0.04%             | 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        |    452955 | PA      | $398020.58    | 0.02%             | 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        |     80572 | PA      | $76707.08     | 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        |    235000 | PA      | $217435.05    | 0.01%             | 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        |    255000 | PA      | $198262.89    | 0.01%             | 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        |    214000 | PA      | $200714.76    | 0.01%             | 2026-10-01      | Fixed         | 3.55%                 | Yes           |                  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        |   1145000 | PA      | $948748.83    | 0.05%             | 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        |    438000 | PA      | $438618.64    | 0.02%             | 2025-03-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Prestige Auto Receivables Trust                         | Prestige Auto Receivables Trust, Series 2020-1A, Class C                          | CUSIP: 74114BAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500254 | PA      | $496348.02    | 0.02%             | 2026-11-16      | Fixed         | 1.31%                 | Yes           |                  2 | On Loan: No      |
| Discovery Communications LLC                            | Discovery Communications LLC                                                      | CUSIP: 25470DBJ7<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |    164000 | PA      | $135150.57    | 0.01%             | 2030-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3138LG4Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    614394 | PA      | $571905.05    | 0.03%             | 2037-01-01      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| Ieldpoint At Schau  oct39                               | Ieldpoint At Schau  oct39                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    601000 | PA      | $610524.03    | 0.03%             | 2039-10-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FHLMC Pool                                              | FHLMC UMBS, 30 Year                                                               | CUSIP: 3133A7RS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67129 | PA      | $57213.27     | 0.00%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Puget Energy, Inc.                                      | Puget Energy, Inc.                                                                | CUSIP: 745310AM4<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |    258000 | PA      | $219525.62    | 0.01%             | 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        |    239088 | PA      | $237421.29    | 0.01%             | 2029-02-15      | Fixed         | 1.11%                 | Yes           |                  2 | On Loan: No      |
| Take-Two Interactive Software, Inc.                     | Take-Two Interactive Software, Inc.                                               | CUSIP: 874054AG4<br>LEI: BOMSTHHJK882EWYX3334 | Long             | DBT              | CORP              | US        |    357000 | PA      | $335944.96    | 0.02%             | 2027-04-14      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| PG&E Wildfire Recovery Funding LLC                      | PG&E Wildfire Recovery Funding LLC, Series A-4                                    | CUSIP: 693342AJ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     80000 | PA      | $77224.29     | 0.00%             | 2047-12-01      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Keurig Dr Pepper, Inc.                                  | Keurig Dr Pepper, Inc.                                                            | CUSIP: 49271VAK6<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |    244000 | PA      | $183220.21    | 0.01%             | 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        |    334000 | PA      | $336549.68    | 0.02%             | 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        |    511000 | PA      | $454294.33    | 0.02%             | 2026-10-24      | Variable      | 1.20%                 | No            |                  2 | On Loan: No      |
| Starbucks Corp.                                         | Starbucks Corp.                                                                   | CUSIP: 855244AX7<br>LEI: OQSJ1DU9TAOC51A47K68 | Long             | DBT              | CORP              | US        |    214000 | PA      | $150939.70    | 0.01%             | 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        |    984675 | PA      | $1009611.95   | 0.05%             | 2071-06-20      | Variable      | 8.11%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                          | Broadcom, Inc.                                                                    | CUSIP: 11135FBE0<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    470000 | PA      | $396971.34    | 0.02%             | 2028-02-15      | Fixed         | 1.95%                 | Yes           |                  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        |    570000 | PA      | $505383.32    | 0.02%             | 2027-10-25      | Variable      | 3.59%                 | Yes           |                  2 | On Loan: No      |
| Boeing Co. (The)                                        | Boeing Co. (The)                                                                  | CUSIP: 097023BJ3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    249000 | PA      | $233392.46    | 0.01%             | 2025-03-01      | Fixed         | 2.50%                 | No            |                  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        |    722698 | PA      | $658261.65    | 0.03%             | 2035-11-15      | Fixed         | 2.98%                 | Yes           |                  3 | On Loan: No      |
| Boeing Co. (The)                                        | Boeing Co. (The)                                                                  | CUSIP: 097023DG7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    105000 | PA      | $95399.08     | 0.00%             | 2026-02-04      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | MSCI Emerging Markets E-Mini Index                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |      -668 | NC      | $1044162.24   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3140HSDS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $285834.41    | 0.01%             | 2033-12-01      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| BP Capital Markets America, Inc.                        | BP Capital Markets America, Inc.                                                  | CUSIP: 10373QBL3<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    279000 | PA      | $256049.69    | 0.01%             | 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        |    522261 | PA      | $517779.28    | 0.03%             | 2028-12-15      | Fixed         | 1.46%                 | Yes           |                  2 | On Loan: No      |
| KLA Corp.                                               | KLA Corp.                                                                         | CUSIP: 482480AJ9<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |    370000 | PA      | $267933.32    | 0.01%             | 2050-03-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| AstraZeneca plc                                         | AstraZeneca plc                                                                   | CUSIP: 046353AD0<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | DBT              | CORP              | GB        |     50000 | PA      | $56363.34     | 0.00%             | 2037-09-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA ACES, Series 2017-M11, Class A2                                              | CUSIP: 3136AX3J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    583000 | PA      | $530226.55    | 0.03%             | 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        |   1015546 | PA      | $944197.53    | 0.05%             | 2051-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                               | Vistra Operations Co. LLC                                                         | CUSIP: 92840VAK8<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    420000 | PA      | $411537.00    | 0.02%             | 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        |    903088 | PA      | $767741.84    | 0.04%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3140HY4J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    702537 | PA      | $551604.29    | 0.03%             | 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        |   1135217 | PA      | $1043104.27   | 0.05%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bon Secours Mercy Health, Inc.                          | Bon Secours Mercy Health, Inc., Series 20-2                                       | CUSIP: 09778PAC9<br>LEI: 5493006NA7JSVYYYF398 | Long             | DBT              | CORP              | US        |    175000 | PA      | $116613.44    | 0.01%             | 2050-06-01      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                  | CUSIP: 3617UGL98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2148436 | PA      | $1942602.50   | 0.10%             | 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        |    910000 | PA      | $819760.94    | 0.04%             | 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        |    117969 | PA      | $117635.92    | 0.01%             | 2028-06-19      | Fixed         | 1.03%                 | Yes           |                  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        |    348022 | PA      | $316964.66    | 0.02%             | 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        |    307707 | PA      | $302757.87    | 0.01%             | 2027-12-15      | Fixed         | 1.21%                 | Yes           |                  2 | On Loan: No      |
| NatWest Group plc                                       | NatWest Group plc                                                                 | CUSIP: 639057AG3<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $208120.01    | 0.01%             | 2026-11-10      | Variable      | 7.47%                 | No            |                  2 | On Loan: No      |
| Bank of Ireland Group plc                               | Bank of Ireland Group plc                                                         | CUSIP: 06279JAB5<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |    203000 | PA      | $171293.02    | 0.01%             | 2027-09-30      | Variable      | 2.03%                 | 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        |  64630235 | PA      | $434560.78    | 0.02%             | 2024-07-25      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                         | Citigroup, Inc.                                                                   | CUSIP: 172967LU3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    367000 | PA      | $303331.13    | 0.01%             | 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        |    385000 | PA      | $249389.13    | 0.01%             | 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        |    235000 | PA      | $183770.61    | 0.01%             | 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        |    191000 | PA      | $153875.82    | 0.01%             | 2052-04-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                        | Boeing Co. (The)                                                                  | CUSIP: 097023CA1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    180000 | PA      | $161023.53    | 0.01%             | 2028-11-01      | Fixed         | 3.45%                 | 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        |    650000 | PA      | $623492.16    | 0.03%             | 2027-12-15      | Fixed         | 1.85%                 | Yes           |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                          | Mariner Finance Issuance Trust, Series 2019-AA, Class A                           | CUSIP: 56847MAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    572816 | PA      | $565096.80    | 0.03%             | 2032-07-20      | Fixed         | 2.96%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3140LGZJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1505000 | PA      | $1462969.73   | 0.07%             | 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        |    212000 | PA      | $204761.63    | 0.01%             | 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        |    429000 | PA      | $319569.86    | 0.02%             | 2041-06-29      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| MedStar Health, Inc.                                    | MedStar Health, Inc., Series 20A                                                  | CUSIP: 58506YAS1<br>LEI: 549300ICFOCGDEPVJE31 | Long             | DBT              | CORP              | US        |    150000 | PA      | $107893.67    | 0.01%             | 2049-08-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Fn  dec27                                               | Fn  dec27                                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    634059 | PA      | $639557.97    | 0.03%             | 2027-12-01      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Societe Generale SA                                     | Societe Generale SA                                                               | CUSIP: 83368RBC5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    255000 | PA      | $219404.58    | 0.01%             | 2027-06-09      | Variable      | 1.79%                 | Yes           |                  2 | On Loan: No      |
| Credit Agricole SA                                      | Credit Agricole SA                                                                | CUSIP: 225313AF2<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    580000 | PA      | $559494.01    | 0.03%             | 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        |   2223000 | PA      | $1902836.20   | 0.09%             | 2038-04-19      | Fixed         | 2.20%                 | Yes           |                  2 | On Loan: No      |
| Amazon.com, Inc.                                        | Amazon.com, Inc.                                                                  | CUSIP: 023135CJ3<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    355000 | PA      | $293827.28    | 0.01%             | 2052-04-13      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3140LHSL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    960000 | PA      | $910367.53    | 0.04%             | 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        |   1135000 | PA      | $1082852.54   | 0.05%             | 2026-03-20      | Fixed         | 1.54%                 | Yes           |                  2 | On Loan: No      |
| AbbVie, Inc.                                            | AbbVie, Inc.                                                                      | CUSIP: 00287YBX6<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    624000 | PA      | $562519.78    | 0.03%             | 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        |   1889588 | PA      | $1515874.58   | 0.07%             | 2060-11-30      | Variable      | 2.92%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3140LF5T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    770000 | PA      | $701014.95    | 0.03%             | 2033-03-01      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| Apple, Inc.                                             | Apple, Inc.                                                                       | CUSIP: 037833BA7<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    400000 | PA      | $321504.65    | 0.02%             | 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        |    202000 | PA      | $159252.49    | 0.01%             | 2030-10-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| VMware, Inc.                                            | VMware, Inc.                                                                      | CUSIP: 928563AJ4<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |    394000 | PA      | $343476.02    | 0.02%             | 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        |    285000 | PA      | $265345.06    | 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        |    369000 | PA      | $246212.92    | 0.01%             | 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        |    115000 | PA      | $70885.39     | 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        |    445000 | PA      | $422716.61    | 0.02%             | 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        |   2526000 | PA      | $2300238.75   | 0.11%             | 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        |    938294 | PA      | $822985.19    | 0.04%             | 2060-10-27      | Variable      | 2.36%                 | Yes           |                  2 | On Loan: No      |
| Standard Chartered plc                                  | Standard Chartered plc                                                            | CUSIP: 853254BZ2<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $173302.80    | 0.01%             | 2027-01-14      | Variable      | 1.46%                 | Yes           |                  2 | On Loan: No      |
| Citigroup, Inc.                                         | Citigroup, Inc.                                                                   | CUSIP: 172967MY4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    110000 | PA      | $86841.10     | 0.00%             | 2032-05-01      | Variable      | 2.56%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                            | Pacific Gas and Electric Co.                                                      | CUSIP: 694308KA4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    460000 | PA      | $448984.05    | 0.02%             | 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        |    623382 | PA      | $550150.55    | 0.03%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                            | UBS Group AG                                                                      | CUSIP: 902613AM0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    365000 | PA      | $356737.70    | 0.02%             | 2026-05-12      | Variable      | 4.49%                 | Yes           |                  2 | On Loan: No      |
| Apple, Inc.                                             | Apple, Inc.                                                                       | CUSIP: 037833EK2<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    315000 | PA      | $207660.84    | 0.01%             | 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        |    350000 | PA      | $236378.89    | 0.01%             | 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        |    640228 | PA      | $527828.05    | 0.03%             | 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        |    140000 | PA      | $134642.68    | 0.01%             | 2045-07-01      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                            | Upstart Securitization Trust, Series 2021-4, Class A                              | CUSIP: 91682NAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    123910 | PA      | $119947.60    | 0.01%             | 2031-09-20      | Fixed         | 0.84%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC UMBS, 30 Year                                                               | CUSIP: 3133A1QZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    246782 | PA      | $228294.99    | 0.01%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                   | Bank of America Corp.                                                             | CUSIP: 06051GKP3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    295000 | PA      | $282115.27    | 0.01%             | 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        |  92602580 | NS      | $92602579.99  | 4.54%             |  |  |  | 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        |    393353 | PA      | $338574.81    | 0.02%             | 2028-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2015-H11, Class FC                                                   | CUSIP: 38376RBB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    488586 | PA      | $480800.85    | 0.02%             | 2065-05-20      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA ACES, Series 2022-M3, Class A2                                               | CUSIP: 3136BLW22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    725000 | PA      | $570416.15    | 0.03%             | 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        |   1065000 | PA      | $913036.22    | 0.04%             | 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        |   1422830 | PA      | $1251546.50   | 0.06%             | 2051-04-25      | Variable      | 2.24%                 | Yes           |                  2 | On Loan: No      |
| Banco Santander SA                                      | Banco Santander SA                                                                | CUSIP: 05964HAR6<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    200000 | PA      | $197786.27    | 0.01%             | 2025-08-18      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                    | Charter Communications Operating LLC                                              | CUSIP: 161175CE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    160000 | PA      | $102521.05    | 0.01%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3140LJHP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    870000 | PA      | $898033.22    | 0.04%             | 2031-08-01      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| Galaxy Pipeline Assets Bidco Ltd.                       | Galaxy Pipeline Assets Bidco Ltd.                                                 | CUSIP: 36321PAE0<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | JE        |    193306 | PA      | $154620.64    | 0.01%             | 2040-09-30      | Fixed         | 2.94%                 | Yes           |                  2 | On Loan: No      |
| Kansas City Southern                                    | Kansas City Southern                                                              | CUSIP: 485170BB9<br>LEI: 5493008C12PZMWP3WY03 | Long             | DBT              | CORP              | US        |    178000 | PA      | $153204.17    | 0.01%             | 2048-05-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                       | HSBC Holdings plc                                                                 | CUSIP: 404280CV9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $161436.21    | 0.01%             | 2029-08-17      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| Raytheon Technologies Corp.                             | Raytheon Technologies Corp.                                                       | CUSIP: 75513EAD3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    373000 | PA      | $310389.65    | 0.02%             | 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        |    280963 | PA      | $259096.93    | 0.01%             | 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        |    197000 | PA      | $189328.48    | 0.01%             | 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        |    600305 | PA      | $572278.08    | 0.03%             | 2026-06-15      | Fixed         | 1.46%                 | Yes           |                  2 | On Loan: No      |
| Verizon Communications, Inc.                            | Verizon Communications, Inc.                                                      | CUSIP: 92343VGH1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    150000 | PA      | $130181.73    | 0.01%             | 2028-03-22      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Nordstrom, Inc.                                         | Nordstrom, Inc.                                                                   | CUSIP: 655664AY6<br>LEI: 549300S3IZB5P35KNV16 | Long             | DBT              | CORP              | US        |    272000 | PA      | $194507.20    | 0.01%             | 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        |   2118000 | PA      | $1260210.00   | 0.06%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                               | CUSIP: 91282CEC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4023000 | PA      | $3684502.29   | 0.18%             | 2027-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                  | CUSIP: 3617NS4K4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    578251 | PA      | $531522.61    | 0.03%             | 2050-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC UMBS, 30 Year                                                               | CUSIP: 3133BAZA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    309140 | PA      | $292923.85    | 0.01%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VCAT LLC                                                | VCAT LLC, Series 2021-NPL1, Class A1                                              | CUSIP: 91790CAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    244475 | PA      | $230774.48    | 0.01%             | 2050-12-26      | Variable      | 2.29%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                  | CUSIP: 36179XDD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    272175 | PA      | $257571.64    | 0.01%             | 2052-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                               | CUSIP: 91282CCE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3218000 | PA      | $2786084.06   | 0.14%             | 2028-05-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3138L3KY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    521283 | PA      | $531931.24    | 0.03%             | 2028-03-01      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| UDR, Inc.                                               | UDR, Inc.                                                                         | CUSIP: 90265EAU4<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |     65000 | PA      | $46276.26     | 0.00%             | 2033-03-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                        | Deutsche Bank AG                                                                  | CUSIP: 251526CE7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    795000 | PA      | $701355.38    | 0.03%             | 2026-11-24      | Variable      | 2.13%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                          | Broadcom, Inc.                                                                    | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     69000 | PA      | $49561.86     | 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        |    215000 | PA      | $191576.85    | 0.01%             | 2037-09-17      | Fixed         | 2.76%                 | Yes           |                  2 | On Loan: No      |
| Northrop Grumman Corp.                                  | Northrop Grumman Corp.                                                            | CUSIP: 666807BJ0<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |    115000 | PA      | $91720.31     | 0.00%             | 2045-04-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Elara HGV Timeshare Issuer LLC                          | Elara HGV Timeshare Issuer LLC, Series 2021-A, Class C                            | CUSIP: 28416LAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    178310 | PA      | $156080.32    | 0.01%             | 2035-08-27      | Fixed         | 2.09%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                              | AMSR Trust, Series 2021-SFR2, Class E2                                            | CUSIP: 00179VAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    330000 | PA      | $275894.26    | 0.01%             | 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        |    340436 | PA      | $328906.53    | 0.02%             | 2027-03-22      | Fixed         | 0.93%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3140LGUK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    540000 | PA      | $521662.40    | 0.03%             | 2030-11-01      | Fixed         | 3.99%                 | No            |                  2 | On Loan: No      |
| Equinix, Inc.                                           | Equinix, Inc.                                                                     | CUSIP: 29444UBD7<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |    314000 | PA      | $286994.83    | 0.01%             | 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        |    688445 | PA      | $670751.20    | 0.03%             | 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        |   6554000 | PA      | $6288511.81   | 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        |    261760 | PA      | $230118.05    | 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        |    375000 | PA      | $377277.73    | 0.02%             | 2025-03-31      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3140HXJ27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1375000 | PA      | $1162115.35   | 0.06%             | 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        |    436180 | PA      | $377940.93    | 0.02%             | 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        |    130000 | PA      | $101470.12    | 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        |    354093 | PA      | $319616.75    | 0.02%             | 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        |    427769 | PA      | $395179.59    | 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        |    343843 | PA      | $303238.46    | 0.01%             | 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        |    129288 | NS      | $5667985.92   | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                     | S&P 500 E-Mini Index                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |       188 | NC      | $-1541572.94  | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| Southern California Gas Co.                             | Southern California Gas Co.                                                       | CUSIP: 842434CX8<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |    150000 | PA      | $164084.96    | 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        |    189873 | PA      | $181593.63    | 0.01%             | 2051-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Massachusetts Electric Co.                              | Massachusetts Electric Co.                                                        | CUSIP: 575634AT7<br>LEI: 549300XN8GZY5U5O1B96 | Long             | DBT              | CORP              | US        |    103000 | PA      | $74480.23     | 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        |   1100000 | PA      | $1066267.53   | 0.05%             | 2032-11-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| JPMorgan BetaBuilders International Equity ETF          | JPMorgan BetaBuilders International Equity ETF                                    | CUSIP: 46641Q373<br>LEI: 549300BU8GZGI7U5FB20 | Long             |  | RF                | US        |   6569053 | NS      | $326022100.39 | 15.99%            |  |  |  | No            |                  1 | On Loan: No      |
| Lennar Corp.                                            | Lennar Corp.                                                                      | CUSIP: 526057BZ6<br>LEI: 529900G61XVRLX5TJX09 | Long             | DBT              | CORP              | US        |     75000 | PA      | $73997.33     | 0.00%             | 2024-04-30      | Fixed         | 4.50%                 | No            |                  2 | 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        |   1038673 | PA      | $918007.05    | 0.05%             | 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        |    294000 | PA      | $214412.60    | 0.01%             | 2040-02-15      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                    | FREMF Mortgage Trust, Series 2015-K48, Class C                                    | CUSIP: 30293HAG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     40000 | PA      | $37509.74     | 0.00%             | 2048-08-25      | Variable      | 3.65%                 | Yes           |                  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        |    621761 | PA      | $567074.27    | 0.03%             | 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        |    892000 | PA      | $853419.88    | 0.04%             | 2025-06-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                  | CUSIP: 3617MKP78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1541872 | PA      | $1309318.83   | 0.06%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3140LAUW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1690000 | PA      | $1346380.89   | 0.07%             | 2031-01-01      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                    | FREMF Mortgage Trust, Series 2017-K728, Class C                                   | CUSIP: 30305GAU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    215000 | PA      | $204895.43    | 0.01%             | 2050-11-25      | Variable      | 3.65%                 | Yes           |                  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        |    395000 | PA      | $336625.64    | 0.02%             | 2039-05-17      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Athene Global Funding                                   | Athene Global Funding                                                             | CUSIP: 04685A2L4<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    124000 | PA      | $116126.10    | 0.01%             | 2025-01-14      | Fixed         | 2.50%                 | 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        |    420000 | PA      | $384132.08    | 0.02%             | 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        |       -59 | NC      | $48425.35     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Progress Residential Trust                              | Progress Residential Trust, Series 2020-SFR2, Class D                             | CUSIP: 74333LAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    320000 | PA      | $296615.23    | 0.01%             | 2037-06-17      | Fixed         | 3.87%                 | Yes           |                  2 | On Loan: No      |
| Banque Federative du Credit Mutuel SA                   | Banque Federative du Credit Mutuel SA                                             | CUSIP: 06675FAY3<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |    345000 | PA      | $300094.69    | 0.01%             | 2026-10-04      | Fixed         | 1.60%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                  | CUSIP: 3617V7V96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1252429 | PA      | $1119373.09   | 0.05%             | 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        |    223000 | PA      | $172056.87    | 0.01%             | 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        |    979429 | PA      | $930915.66    | 0.05%             | 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        |    143000 | PA      | $117363.23    | 0.01%             | 2031-05-14      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3138LJZP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1485000 | PA      | $1323700.32   | 0.06%             | 2032-07-01      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                          | Carvana Auto Receivables Trust, Series 2020-P1, Class C                           | CUSIP: 14687AAR9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    405000 | PA      | $349109.47    | 0.02%             | 2026-11-09      | Fixed         | 1.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                | CUSIP: 3140X6PC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    463343 | PA      | $412629.23    | 0.02%             | 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        |    404109 | PA      | $369304.60    | 0.02%             | 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        |   1780118 | PA      | $1549894.70   | 0.08%             | 2051-03-20      | Fixed         | 3.00%                 | 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        |    460000 | PA      | $448715.60    | 0.02%             | 2027-02-16      | Fixed         | 0.68%                 | Yes           |                  2 | On Loan: No      |
| 7-Eleven, Inc.                                          | 7-Eleven, Inc.                                                                    | CUSIP: 817826AD2<br>LEI: 549300K23JPL0SS3LB18 | Long             | DBT              | CORP              | US        |    112000 | PA      | $92826.75     | 0.00%             | 2028-02-10      | Fixed         | 1.30%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Bonds                                                               | CUSIP: 912810RT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    930000 | PA      | $658156.64    | 0.03%             | 2046-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                         | Goldman Sachs Group, Inc. (The)                                                   | CUSIP: 38141GZK3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    274000 | PA      | $243965.59    | 0.01%             | 2028-02-24      | Variable      | 2.64%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                  | CUSIP: 3617V7VT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    351491 | PA      | $314481.81    | 0.02%             | 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        |    109000 | PA      | $109091.52    | 0.01%             | 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        |    705000 | PA      | $709581.59    | 0.03%             | 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        |    217000 | PA      | $143137.06    | 0.01%             | 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        |    570000 | PA      | $540902.24    | 0.03%             | 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        |    795766 | PA      | $814161.56    | 0.04%             | 2041-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Nutrien Ltd.                                            | Nutrien Ltd.                                                                      | CUSIP: 67077MAZ1<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |    191000 | PA      | $193400.39    | 0.01%             | 2024-11-07      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| West Virginia United Health System Obligated Group      | West Virginia United Health System Obligated Group, Series 2020                   | CUSIP: 956708AB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    340000 | PA      | $217895.67    | 0.01%             | 2050-06-01      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Aker BP ASA                                             | Aker BP ASA                                                                       | CUSIP: 55037AAA6<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |    200000 | PA      | $176662.16    | 0.01%             | 2026-07-15      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Bonds                                                               | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    485000 | PA      | $331902.93    | 0.02%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Kingdom of Saudi Arabia                                 | Kingdom of Saudi Arabia                                                           | CUSIP: 80413TAV1<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    200000 | PA      | $161537.50    | 0.01%             | 2033-02-02      | Fixed         | 2.25%                 | Yes           |                  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        |    925000 | PA      | $737896.09    | 0.04%             | 2041-07-15      | Fixed         | 2.59%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3140J2ZN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    398000 | PA      | $332790.80    | 0.02%             | 2029-12-01      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | MSCI EAFE E-Mini Index                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |      -109 | NC      | $456645.87    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| UDR, Inc.                                               | UDR, Inc.                                                                         | CUSIP: 90265EAT7<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |    416000 | PA      | $305622.81    | 0.01%             | 2032-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                              | AT&T, Inc.                                                                        | CUSIP: 00206RJX1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    322000 | PA      | $286383.21    | 0.01%             | 2027-06-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Entergy Arkansas LLC                                    | Entergy Arkansas LLC                                                              | CUSIP: 29366MAB4<br>LEI: 549300A0I5ONUIFMLP35 | Long             | DBT              | CORP              | US        |     84000 | PA      | $50648.16     | 0.00%             | 2051-06-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Commonwealth Bank of Australia                          | Commonwealth Bank of Australia                                                    | CUSIP: 202712BQ7<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |    255000 | PA      | $173049.29    | 0.01%             | 2041-03-11      | Fixed         | 3.31%                 | Yes           |                  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        |   1008179 | PA      | $946790.19    | 0.05%             | 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        |    200000 | PA      | $202602.02    | 0.01%             | 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        |    422000 | PA      | $321071.82    | 0.02%             | 2031-03-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Santander UK Group Holdings plc                         | Santander UK Group Holdings plc                                                   | CUSIP: 80281LAQ8<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    215000 | PA      | $182812.94    | 0.01%             | 2027-06-14      | Variable      | 1.67%                 | 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        |    431421 | PA      | $382879.80    | 0.02%             | 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        |   8198000 | PA      | $5091086.05   | 0.25%             | 2040-08-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, REMIC, Series 2022-46, Class GZ                                             | CUSIP: 3136BNFY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    689166 | PA      | $606269.91    | 0.03%             | 2052-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                               | CUSIP: 91282CFB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     75000 | PA      | $70959.96     | 0.00%             | 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        |    955353 | PA      | $908103.05    | 0.04%             | 2058-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                         | Goldman Sachs Group, Inc. (The)                                                   | CUSIP: 38141GXM1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1149000 | PA      | $1012873.43   | 0.05%             | 2026-12-09      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                | CUSIP: 3140MJLM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    427889 | PA      | $375732.84    | 0.02%             | 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        |   1239658 | NS      | $64567958.83  | 3.17%             |  |  |  | No            |                  1 | On Loan: No      |
| HCA, Inc.                                               | HCA, Inc.                                                                         | CUSIP: 404119BV0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    140000 | PA      | $124336.95    | 0.01%             | 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        |   1496000 | PA      | $1350380.89   | 0.07%             | 2027-02-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| First Investors Auto Owner Trust                        | First Investors Auto Owner Trust, Series 2021-1A, Class B                         | CUSIP: 32059FAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    350000 | PA      | $338465.82    | 0.02%             | 2027-03-15      | Fixed         | 0.89%                 | Yes           |                  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        |    642325 | PA      | $563995.67    | 0.03%             | 2036-04-15      | Fixed         | 2.16%                 | Yes           |                  3 | On Loan: No      |
| NRZ Excess Spread-Collateralized Notes                  | NRZ Excess Spread-Collateralized Notes, Series 2020-PLS1, Class A                 | CUSIP: 433674AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    511999 | PA      | $466602.80    | 0.02%             | 2025-12-25      | Fixed         | 3.84%                 | Yes           |                  2 | On Loan: No      |
| Equinix, Inc.                                           | Equinix, Inc.                                                                     | CUSIP: 29444UBR6<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |    424000 | PA      | $357919.44    | 0.02%             | 2028-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| TSMC Global Ltd.                                        | TSMC Global Ltd.                                                                  | CUSIP: 872882AN5<br>LEI: 549300N2ZLI21P85T117 | Long             | DBT              | CORP              | VG        |    200000 | PA      | $196936.00    | 0.01%             | 2032-07-22      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| BXP Trust                                               | BXP Trust, Series 2017-GM, Class A                                                | CUSIP: 056083AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    670000 | PA      | $596146.64    | 0.03%             | 2039-06-13      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                | CUSIP: 3140MHL80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    537714 | PA      | $506768.69    | 0.02%             | 2052-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                     | Constellation Energy Generation LLC                                               | CUSIP: 30161MAJ2<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    205000 | PA      | $198908.61    | 0.01%             | 2041-10-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Intesa Sanpaolo SpA                                     | Intesa Sanpaolo SpA, Series XR                                                    | CUSIP: 46115HBJ5<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |    400000 | PA      | $379388.13    | 0.02%             | 2024-09-23      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Targa Resources Corp.                                   | Targa Resources Corp.                                                             | CUSIP: 87612GAA9<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |     90000 | PA      | $77432.71     | 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        |    202000 | PA      | $197796.58    | 0.01%             | 2023-10-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3140J2H58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    773025 | PA      | $626395.38    | 0.03%             | 2030-10-01      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Duquesne Light Holdings, Inc.                           | Duquesne Light Holdings, Inc.                                                     | CUSIP: 266233AJ4<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |     85000 | PA      | $66484.45     | 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        |    271000 | PA      | $202816.81    | 0.01%             | 2031-04-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                        | OneMain Financial Issuance Trust, Series 2020-2A, Class D                         | CUSIP: 682696AD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    260000 | PA      | $215613.97    | 0.01%             | 2035-09-14      | Fixed         | 3.45%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo & Co.                                       | Wells Fargo & Co.                                                                 | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    484000 | PA      | $427172.96    | 0.02%             | 2028-06-02      | Variable      | 2.39%                 | No            |                  2 | On Loan: No      |
| PacifiCorp                                              | PacifiCorp                                                                        | CUSIP: 695114CV8<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |    135000 | PA      | $110701.02    | 0.01%             | 2050-02-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3140J7SQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1294892 | PA      | $1193582.84   | 0.06%             | 2032-10-01      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| Fortis, Inc.                                            | Fortis, Inc.                                                                      | CUSIP: 349553AM9<br>LEI: 549300MQYQ9Y065XPR71 | Long             | DBT              | CORP              | CA        |    283000 | PA      | $262507.81    | 0.01%             | 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        |    234084 | PA      | $213066.54    | 0.01%             | 2051-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UniCredit SpA                                           | UniCredit SpA                                                                     | CUSIP: 904678AW9<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |    265000 | PA      | $225917.25    | 0.01%             | 2027-06-03      | Variable      | 1.98%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                  | CUSIP: 3617M2LH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    737307 | PA      | $667468.69    | 0.03%             | 2050-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury STRIPS Bonds                                                        | CUSIP: 912833PA2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2540000 | PA      | $2186098.73   | 0.11%             | 2026-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Northwestern Mutual Global Funding                      | Northwestern Mutual Global Funding                                                | CUSIP: 66815L2D0<br>LEI: 635400LZXFVELZDVP257 | Long             | DBT              | CORP              | US        |    190000 | PA      | $160560.16    | 0.01%             | 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        |   1440000 | PA      | $1241074.04   | 0.06%             | 2028-11-01      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC UMBS, 30 Year                                                               | CUSIP: 3133B2F38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    438676 | PA      | $411825.20    | 0.02%             | 2052-01-01      | Fixed         | 4.00%                 | 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        |    541164 | NS      | $44158982.40  | 2.17%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                                   | FHLMC, REMIC, Series 5225, Class QL                                               | CUSIP: 3137H7L84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    810000 | PA      | $676250.86    | 0.03%             | 2052-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Westpac Banking Corp.                                   | Westpac Banking Corp.                                                             | CUSIP: 961214EQ2<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |     50000 | PA      | $33013.25     | 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        |   2964000 | PA      | $2094945.95   | 0.10%             | 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