# EDGAR Filing Document

**Accession Number:** 0001217286
**File Stem:** 0001752724-23-045150
**Filing Date:** 2023-2
**Character Count:** 233981
**Document Hash:** 291bd55b8180a2eb3a119528a1fbb8fc
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-045150.hdr.sgml**: 20230228

**ACCESSION NUMBER**: 0001752724-23-045150

**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:** 23680463

**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 2020 Fund (Series ID: S000037364)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000115328 | Class I      | JSSRX           |
| C000115329 | Class R2     | JIORX           |
| C000115330 | Class R5     | JBSRX           |
| C000115331 | Class R6     | JSYRX           |
| C000186787 | Class R3     | JSTKX           |
| C000186788 | Class R4     | JSTLX           |

## 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 2020 Fund

- **b. EDGAR series identifier (if any):** S000037364

- **c. LEI of Series:** 5493000VQHPF01CV1351

**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:** $919740402.79

**Total Liabilities:** $27158488.30

**Net Assets:** $892581914.49

**Cash Not Reported:** $862420.46

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000115328 | 2.11%                | 4.53%                | -2.01%               |
| Class ID C000186788 | 2.05%                | 4.53%                | -1.93%               |
| Class ID C000115329 | 2.06%                | 4.48%                | -2.03%               |
| Class ID C000115330 | 2.05%                | 4.58%                | -1.95%               |
| Class ID C000115331 | 2.11%                | 4.52%                | -1.95%               |
| Class ID C000186787 | 2.06%                | 4.49%                | -1.96%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-4479070.91             | $23607699.07                               |
| Month 2  | $-3360114.78             | $48461268.68                               |
| Month 3  | $-2084878.88             | $-22327815.57                              |

**Designated Index Information**

- **Index Name:** 36.5% 1TRUSD0, 19.6% SP500GRUSD0, 9.8% EAFERNRUSD0, 7.7% 5273TRUSD0, 7.5% 63TRUSD0, 5% G0O1TRUSD0, 4.6% EMGLRNRUSD0, 3.3% EMBIGDTRUSD0, 2.4% RUMIDCAPGRUSD0, 2% RU2000GRUSD0, 1.6% RMZGRUSD0

- **Index Identifier:** IBXUSD002519

### 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        |   2219000 | PA      | $1828247.97   | 0.20%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                               | HCA, Inc.                                                                         | CUSIP: 404119BT5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    858000 | PA      | $847643.53    | 0.09%             | 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        |    782536 | PA      | $697958.03    | 0.08%             | 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        |    310000 | PA      | $273854.96    | 0.03%             | 2027-10-17      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| New York Life Insurance Co.                             | New York Life Insurance Co.                                                       | CUSIP: 64952GAT5<br>LEI: TAE73CY392TBWJ3O3305 | Long             | DBT              | CORP              | US        |    408000 | PA      | $311981.86    | 0.03%             | 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        |    871923 | PA      | $740780.57    | 0.08%             | 2046-02-25      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| Biogen, Inc.                                            | Biogen, Inc.                                                                      | CUSIP: 09062XAH6<br>LEI: W8J5WZB5IY3K0NDQT671 | Long             | DBT              | CORP              | US        |    114000 | PA      | $92874.79     | 0.01%             | 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        |   1563551 | PA      | $1436694.85   | 0.16%             | 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        |    432986 | PA      | $403668.48    | 0.05%             | 2042-05-01      | Fixed         | 3.50%                 | 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        |    939853 | PA      | $832317.70    | 0.09%             | 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        |     68000 | PA      | $66732.16     | 0.01%             | 2023-09-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| Xilinx, Inc.                                            | Xilinx, Inc.                                                                      | CUSIP: 983919AK7<br>LEI: 6EY4K7ZMF9UX1CU6KC79 | Long             | DBT              | CORP              | US        |    471000 | PA      | $396042.86    | 0.04%             | 2030-06-01      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                               | CUSIP: 91282CEV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1260000 | PA      | $1205760.93   | 0.14%             | 2029-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Takeda Pharmaceutical Co. Ltd.                          | Takeda Pharmaceutical Co. Ltd.                                                    | CUSIP: 874060AY2<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |    700000 | PA      | $513699.78    | 0.06%             | 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        |    280800 | PA      | $276594.67    | 0.03%             | 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        |    700668 | PA      | $648147.73    | 0.07%             | 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        |   1285975 | PA      | $1162538.05   | 0.13%             | 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        |    812681 | PA      | $746748.95    | 0.08%             | 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        |   1443256 | PA      | $1379709.84   | 0.15%             | 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        |    645000 | PA      | $568956.31    | 0.06%             | 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        |    258652 | PA      | $264020.55    | 0.03%             | 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        |    185000 | PA      | $124872.00    | 0.01%             | 2040-11-20      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| VMware, Inc.                                            | VMware, Inc.                                                                      | CUSIP: 928563AF2<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |    320000 | PA      | $297668.82    | 0.03%             | 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        |    200000 | PA      | $169342.44    | 0.02%             | 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        |    220000 | PA      | $157800.80    | 0.02%             | 2033-03-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp.                                       | BAT Capital Corp.                                                                 | CUSIP: 05526DBT1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    315000 | PA      | $213892.02    | 0.02%             | 2040-09-25      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| Flex Intermediate Holdco LLC                            | Flex Intermediate Holdco LLC                                                      | CUSIP: 33939HAA7<br>LEI: 549300290TQIGM30A243 | Long             | DBT              | CORP              | US        |    140000 | PA      | $109258.77    | 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        |    205000 | PA      | $207721.98    | 0.02%             | 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        |    439974 | PA      | $398783.73    | 0.04%             | 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        |    181000 | PA      | $141438.61    | 0.02%             | 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        |    700000 | PA      | $695050.78    | 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        |    300000 | PA      | $289997.20    | 0.03%             | 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        |    825489 | PA      | $814162.81    | 0.09%             | 2028-10-15      | Fixed         | 2.73%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | EURO STOXX 50 Index                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | DE        |       -58 | NC      | $118270.08    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3140LAQA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    862206 | PA      | $705987.55    | 0.08%             | 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        |   1230541 | PA      | $1095950.61   | 0.12%             | 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        |    315000 | PA      | $285235.53    | 0.03%             | 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        |    125000 | PA      | $116715.12    | 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        |    124902 | PA      | $123292.14    | 0.01%             | 2027-04-15      | Fixed         | 1.08%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3140LHRY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    900000 | PA      | $917202.08    | 0.10%             | 2031-06-01      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3138LLYV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    505000 | PA      | $455007.59    | 0.05%             | 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        |     71279 | PA      | $68883.72     | 0.01%             | 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        |    891158 | PA      | $906666.70    | 0.10%             | 2048-12-01      | Fixed         | 5.50%                 | 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        |    302423 | PA      | $273267.85    | 0.03%             | 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        |     97000 | PA      | $69794.84     | 0.01%             | 2046-08-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                      | Energy Transfer LP                                                                | CUSIP: 292480AJ9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    420000 | PA      | $342373.67    | 0.04%             | 2044-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3138L54D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    376974 | PA      | $371170.65    | 0.04%             | 2029-01-01      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| JetBlue Pass-Through Trust                              | JetBlue Pass-Through Trust, Series 2020-1, Class B                                | CUSIP: 477164AB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    272215 | PA      | $263238.23    | 0.03%             | 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        |    996615 | PA      | $930865.24    | 0.10%             | 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        |    199000 | PA      | $168794.16    | 0.02%             | 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        |     85000 | PA      | $78761.57     | 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        |    628308 | PA      | $533702.95    | 0.06%             | 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        |    365000 | PA      | $332183.28    | 0.04%             | 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        |    135000 | PA      | $87633.01     | 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        |    200000 | PA      | $198396.66    | 0.02%             | 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        |    360000 | PA      | $356247.95    | 0.04%             | 2023-11-25      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Comcast Corp.                                           | Comcast Corp.                                                                     | CUSIP: 20030NCY5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    332000 | PA      | $258640.13    | 0.03%             | 2039-11-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| DH Europe Finance II SARL                               | DH Europe Finance II SARL                                                         | CUSIP: 23291KAJ4<br>LEI: 222100KDGL314CKTZ511 | Long             | DBT              | CORP              | LU        |    103000 | PA      | $82108.68     | 0.01%             | 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        |    478395 | PA      | $406241.79    | 0.05%             | 2028-06-10      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC UMBS, 30 Year                                                               | CUSIP: 3133BBA90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    229518 | PA      | $224971.28    | 0.03%             | 2052-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Air Lease Corp.                                         | Air Lease Corp.                                                                   | CUSIP: 00914AAH5<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    345000 | PA      | $326308.18    | 0.04%             | 2025-07-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3138L9P63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114262 | PA      | $104643.90    | 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        |    187000 | PA      | $125249.33    | 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        |    400000 | PA      | $342379.70    | 0.04%             | 2039-11-21      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                          | Southern California Edison Co., Series 20C                                        | CUSIP: 842400GV9<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    176000 | PA      | $156071.10    | 0.02%             | 2026-02-01      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K152, Class A2   | CUSIP: 3137BPVN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    155000 | PA      | $140631.59    | 0.02%             | 2031-01-25      | Fixed         | 3.08%                 | 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        |    101263 | PA      | $98973.56     | 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        |    244000 | PA      | $204435.92    | 0.02%             | 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        |    195000 | PA      | $139234.57    | 0.02%             | 2041-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3140LFE42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    591773 | PA      | $503916.33    | 0.06%             | 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        |    468954 | PA      | $461919.80    | 0.05%             | 2033-07-12      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Rogers Communications, Inc.                             | Rogers Communications, Inc.                                                       | CUSIP: 775109CD1<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |    100000 | PA      | $77528.61     | 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      |
| CommonSpirit Health                                     | CommonSpirit Health                                                               | CUSIP: 20268JAE3<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |     65000 | PA      | $58446.67     | 0.01%             | 2025-10-01      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC UMBS, 30 Year                                                               | CUSIP: 3133AAPK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1565229 | PA      | $1349620.45   | 0.15%             | 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        |   1135723 | PA      | $1015653.18   | 0.11%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                    | FREMF Mortgage Trust, Series 2016-K56, Class B                                    | CUSIP: 30289UAS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    330000 | PA      | $311084.63    | 0.03%             | 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        |    296967 | NS      | $21562031.45  | 2.42%             |  |  |  | No            |                  1 | 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        |    174092 | PA      | $168103.63    | 0.02%             | 2029-05-15      | Fixed         | 1.07%                 | Yes           |                  2 | On Loan: No      |
| Santander UK Group Holdings plc                         | Santander UK Group Holdings plc                                                   | CUSIP: 80281LAM7<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    300000 | PA      | $264265.37    | 0.03%             | 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        |    370000 | PA      | $322474.92    | 0.04%             | 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        |     87228 | NS      | $514647.75    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                | CUSIP: 3140MDKH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    794320 | PA      | $736620.09    | 0.08%             | 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        |    170000 | PA      | $156665.63    | 0.02%             | 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        |     80000 | PA      | $61187.34     | 0.01%             | 2031-08-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Edison International                                    | Edison International                                                              | CUSIP: 281020AN7<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    195000 | PA      | $195603.39    | 0.02%             | 2027-06-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Viatris, Inc.                                           | Viatris, Inc.                                                                     | CUSIP: 92556VAF3<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |    155000 | PA      | $95501.37     | 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        |    300000 | PA      | $311394.83    | 0.03%             | 2027-10-01      | Fixed         | 6.80%                 | 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        |    420739 | PA      | $350540.39    | 0.04%             | 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        |    379000 | PA      | $286915.66    | 0.03%             | 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        |    390000 | PA      | $385724.20    | 0.04%             | 2025-03-17      | Fixed         | 1.49%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                  | CUSIP: 3617V7VU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    409368 | PA      | $364518.43    | 0.04%             | 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        |    386000 | PA      | $320350.14    | 0.04%             | 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        |     55000 | PA      | $52229.53     | 0.01%             | 2024-02-15      | Fixed         | 0.97%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                               | HCA, Inc.                                                                         | CUSIP: 404119CB3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     83000 | PA      | $53250.10     | 0.01%             | 2051-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                      | Banco Santander SA                                                                | CUSIP: 05964HAN5<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    200000 | PA      | $170833.29    | 0.02%             | 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        |    438740 | PA      | $388557.68    | 0.04%             | 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        |   6170000 | PA      | $5934286.75   | 0.66%             | 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        |    510000 | PA      | $479705.53    | 0.05%             | 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        |    206316 | PA      | $184222.24    | 0.02%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Atmos Energy Corp.                                      | Atmos Energy Corp.                                                                | CUSIP: 049560AW5<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |    175000 | PA      | $113241.75    | 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        |     31157 | PA      | $30927.53     | 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        |    298163 | PA      | $273402.26    | 0.03%             | 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        |   1230465 | PA      | $1130633.20   | 0.13%             | 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        |    140000 | PA      | $115533.95    | 0.01%             | 2028-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Equity Index Fund                              | JPMorgan Equity Index Fund, Class R6                                              | CUSIP: 4812C2213<br>LEI: 549300FO80ME045UVK10 | Long             |  | RF                | US        |   3040933 | NS      | $175066520.58 | 19.61%            |  |  |  | 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        |    112093 | PA      | $110440.63    | 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        |    840978 | PA      | $714230.72    | 0.08%             | 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        |     10000 | PA      | $7404.82      | 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        |    455000 | PA      | $443412.52    | 0.05%             | 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        |    112248 | PA      | $104941.08    | 0.01%             | 2027-04-20      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Global Payments, Inc.                                   | Global Payments, Inc.                                                             | CUSIP: 37940XAB8<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    297000 | PA      | $252465.27    | 0.03%             | 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        |    375713 | PA      | $331351.92    | 0.04%             | 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    | 0.03%             | 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        |    175000 | PA      | $134001.43    | 0.02%             | 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        |    290000 | PA      | $252645.97    | 0.03%             | 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        |    112534 | PA      | $103711.51    | 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        |    225000 | PA      | $150411.07    | 0.02%             | 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        |    277500 | PA      | $265482.25    | 0.03%             | 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        |     97000 | PA      | $67302.51     | 0.01%             | 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        |    200000 | PA      | $170162.50    | 0.02%             | 2030-05-07      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Universal Health Services, Inc.                         | Universal Health Services, Inc.                                                   | CUSIP: 913903AW0<br>LEI: 549300YGMGQDO0NMJD09 | Long             | DBT              | CORP              | US        |     15000 | PA      | $11938.10     | 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        |    250000 | PA      | $194977.98    | 0.02%             | 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        |    100000 | PA      | $71823.30     | 0.01%             | 2039-12-30      | Fixed         | 4.32%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3140HSAA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    155000 | PA      | $148671.71    | 0.02%             | 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        |    403000 | PA      | $306841.39    | 0.03%             | 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        |    342829 | PA      | $306646.05    | 0.03%             | 2051-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                 | BPCE SA                                                                           | CUSIP: 05583JAH5<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    795000 | PA      | $706504.84    | 0.08%             | 2026-10-06      | Variable      | 1.65%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                               | CUSIP: 91282CCR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3104000 | PA      | $2638521.24   | 0.30%             | 2028-07-31      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3140LGFW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    660000 | PA      | $619171.50    | 0.07%             | 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        |    165000 | PA      | $156925.81    | 0.02%             | 2027-07-15      | Fixed         | 4.45%                 | 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        |    333186 | PA      | $328713.37    | 0.04%             | 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        |      2000 | PA      | $1353.78      | 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        |     39000 | PA      | $20988.40     | 0.00%             | 2050-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Macquarie Group Ltd.                                    | Macquarie Group Ltd.                                                              | CUSIP: 55608JAZ1<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |    200000 | PA      | $153436.54    | 0.02%             | 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        |    220000 | PA      | $185014.84    | 0.02%             | 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        |    126004 | PA      | $122161.18    | 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        |    394000 | PA      | $290151.33    | 0.03%             | 2040-02-21      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                  | CUSIP: 3617ULV54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1344842 | PA      | $1244042.68   | 0.14%             | 2051-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC Gold Pools, Other                                                           | CUSIP: 3132XHSP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    440000 | PA      | $408224.68    | 0.05%             | 2034-10-01      | Fixed         | 3.80%                 | 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        |    111000 | PA      | $99023.78     | 0.01%             | 2025-10-01      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA ACES, Series 2021-M3, Class 1A1                                              | CUSIP: 3136BDXP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115732 | PA      | $108873.45    | 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        |    275000 | PA      | $200918.18    | 0.02%             | 2027-02-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Masco Corp.                                             | Masco Corp.                                                                       | CUSIP: 574599BP0<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | DBT              | CORP              | US        |    245000 | PA      | $189894.25    | 0.02%             | 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        |     92000 | PA      | $86922.93     | 0.01%             | 2026-07-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                            | Avolon Holdings Funding Ltd.                                                      | CUSIP: 05401AAM3<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    115000 | PA      | $98977.71     | 0.01%             | 2026-02-21      | Fixed         | 2.12%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3140LH2Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1020000 | PA      | $1015186.88   | 0.11%             | 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        |   1570000 | PA      | $1403187.50   | 0.16%             | 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        |    666330 | PA      | $606255.84    | 0.07%             | 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        |   1416916 | PA      | $1338068.99   | 0.15%             | 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        |    593653 | PA      | $506885.86    | 0.06%             | 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        |    480000 | PA      | $449807.71    | 0.05%             | 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        |    505000 | PA      | $503753.52    | 0.06%             | 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        |    130000 | PA      | $125816.64    | 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        |   1495000 | PA      | $1249529.28   | 0.14%             | 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        |    120000 | PA      | $95645.75     | 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        |    285000 | PA      | $215002.38    | 0.02%             | 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        |    403000 | PA      | $245051.30    | 0.03%             | 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        |    515000 | PA      | $486256.00    | 0.05%             | 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        |    543994 | PA      | $467273.96    | 0.05%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Gray Oak Pipeline LLC                                   | Gray Oak Pipeline LLC                                                             | CUSIP: 38937LAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    455000 | PA      | $412602.50    | 0.05%             | 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        |    400000 | PA      | $347700.00    | 0.04%             | 2026-04-15      | Fixed         | 2.05%                 | Yes           |                  2 | On Loan: No      |
| ACC Trust                                               | ACC Trust, Series 2021-1, Class B                                                 | CUSIP: 00091KAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    150064 | PA      | $149372.76    | 0.02%             | 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        |    268517 | PA      | $264084.09    | 0.03%             | 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        |   5817000 | PA      | $3640624.01   | 0.41%             | 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        |     80000 | PA      | $75217.38     | 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        |    462000 | PA      | $476785.12    | 0.05%             | 2032-10-01      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC UMBS, 30 Year                                                               | CUSIP: 3133AA6V9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    533162 | PA      | $458998.30    | 0.05%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3138LNCD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    275000 | PA      | $252026.53    | 0.03%             | 2033-05-01      | Fixed         | 3.51%                 | 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        |    712509 | PA      | $672181.93    | 0.08%             | 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        |   1130000 | PA      | $785791.40    | 0.09%             | 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        |    165000 | PA      | $102902.87    | 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        |    150000 | PA      | $123723.60    | 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        |    419142 | PA      | $385134.51    | 0.04%             | 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        |    650000 | PA      | $622668.67    | 0.07%             | 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        |    185000 | PA      | $118058.44    | 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        |    267224 | PA      | $260045.31    | 0.03%             | 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        |    762000 | PA      | $774666.67    | 0.09%             | 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        |    792987 | PA      | $701464.70    | 0.08%             | 2039-05-20      | Fixed         | 2.23%                 | Yes           |                  2 | On Loan: No      |
| Comcast Corp.                                           | Comcast Corp.                                                                     | CUSIP: 20030NDL2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    172000 | PA      | $108550.01    | 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        |    150000 | PA      | $135371.44    | 0.02%             | 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        |     86000 | PA      | $69883.86     | 0.01%             | 2046-06-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| NRG Energy, Inc.                                        | NRG Energy, Inc.                                                                  | CUSIP: 629377CP5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    305000 | PA      | $252709.22    | 0.03%             | 2027-12-02      | Fixed         | 2.45%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3140FXRT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    541344 | PA      | $473603.73    | 0.05%             | 2060-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3138LMF32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    261794 | PA      | $241356.07    | 0.03%             | 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        |    675000 | PA      | $648826.81    | 0.07%             | 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        |    161852 | PA      | $130680.77    | 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        |    255633 | PA      | $233131.26    | 0.03%             | 2029-12-01      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                  | CUSIP: 3622AAXX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1301907 | PA      | $1183481.06   | 0.13%             | 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        |    112839 | PA      | $108985.81    | 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        |    976788 | PA      | $889644.13    | 0.10%             | 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        |    402000 | PA      | $297658.27    | 0.03%             | 2046-04-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                    | American Tower Corp.                                                              | CUSIP: 03027XBJ8<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    155000 | PA      | $128247.65    | 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        |    260000 | PA      | $246134.23    | 0.03%             | 2026-02-25      | Variable      | 2.09%                 | Yes           |                  2 | On Loan: No      |
| Gray Oak Pipeline LLC                                   | Gray Oak Pipeline LLC                                                             | CUSIP: 38937LAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    259000 | PA      | $229052.83    | 0.03%             | 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        |    198000 | PA      | $172716.82    | 0.02%             | 2026-04-15      | Fixed         | 1.51%                 | Yes           |                  2 | On Loan: No      |
| CFMT LLC                                                | CFMT LLC, Series 2021-HB5, Class A                                                | CUSIP: 12526PAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    558660 | PA      | $538626.08    | 0.06%             | 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        |    690000 | PA      | $547472.08    | 0.06%             | 2030-07-11      | Fixed         | 3.95%                 | 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        |     87684 | PA      | $84067.90     | 0.01%             | 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        |    335000 | PA      | $325827.77    | 0.04%             | 2029-02-15      | Floating      | 5.57%                 | Yes           |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co.                                | Bristol-Myers Squibb Co.                                                          | CUSIP: 110122CQ9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    225000 | PA      | $200197.46    | 0.02%             | 2039-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                 | MPLX LP                                                                           | CUSIP: 55336VAM2<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    205000 | PA      | $172685.43    | 0.02%             | 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        |   1660000 | PA      | $1449886.83   | 0.16%             | 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        |    264000 | PA      | $241956.17    | 0.03%             | 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        |    698043 | PA      | $644855.62    | 0.07%             | 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        |    620692 | PA      | $554494.95    | 0.06%             | 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        |     42000 | PA      | $40604.36     | 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        |    146234 | PA      | $143343.39    | 0.02%             | 2023-07-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                            | AbbVie, Inc.                                                                      | CUSIP: 00287YBV0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    235000 | PA      | $218546.28    | 0.02%             | 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        |   1067201 | PA      | $980608.95    | 0.11%             | 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        |    235000 | PA      | $226745.63    | 0.03%             | 2024-09-11      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3140LFVV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    400000 | PA      | $352336.52    | 0.04%             | 2033-09-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Shell International Finance BV                          | Shell International Finance BV                                                    | CUSIP: 822582CE0<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |    205000 | PA      | $144066.49    | 0.02%             | 2049-11-07      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Zoetis, Inc.                                            | Zoetis, Inc.                                                                      | CUSIP: 98978VAV5<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |    170000 | PA      | $176226.50    | 0.02%             | 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        |    315000 | PA      | $255682.28    | 0.03%             | 2030-09-01      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Boeing Co. (The)                                        | Boeing Co. (The)                                                                  | CUSIP: 097023DA0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     49000 | PA      | $45409.59     | 0.01%             | 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        |    943840 | PA      | $855641.10    | 0.10%             | 2051-03-27      | Variable      | 2.12%                 | Yes           |                  2 | On Loan: No      |
| Gilead Sciences, Inc.                                   | Gilead Sciences, Inc.                                                             | CUSIP: 375558BS1<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |    227000 | PA      | $158375.90    | 0.02%             | 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        |    965000 | PA      | $790471.35    | 0.09%             | 2032-04-25      | Variable      | 2.08%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                | Lloyds Banking Group plc                                                          | CUSIP: 53944YAP8<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $173109.12    | 0.02%             | 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        |    260000 | PA      | $225982.45    | 0.03%             | 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        |     63000 | PA      | $56509.42     | 0.01%             | 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        |    256000 | PA      | $259307.82    | 0.03%             | 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        |    155000 | PA      | $135971.02    | 0.02%             | 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        |    126000 | PA      | $106286.80    | 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        |    179000 | PA      | $144837.57    | 0.02%             | 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        |    415000 | PA      | $319270.85    | 0.04%             | 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        |    105000 | PA      | $103138.92    | 0.01%             | 2023-05-26      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3138L5KB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156285 | PA      | $152371.39    | 0.02%             | 2030-11-01      | Fixed         | 4.18%                 | 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        |    170000 | PA      | $159878.29    | 0.02%             | 2028-12-15      | Fixed         | 2.24%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3140FXHG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1144816 | PA      | $1183554.18   | 0.13%             | 2058-01-01      | Fixed         | 5.50%                 | 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        |    764585 | PA      | $648028.10    | 0.07%             | 2036-04-15      | Fixed         | 2.92%                 | Yes           |                  3 | On Loan: No      |
| Teachers Insurance & Annuity Association of America     | Teachers Insurance & Annuity Association of America                               | CUSIP: 878091BG1<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |    393000 | PA      | $271701.86    | 0.03%             | 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        |    773409 | PA      | $729649.65    | 0.08%             | 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        |    307327 | PA      | $301786.30    | 0.03%             | 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        |    253000 | PA      | $152981.20    | 0.02%             | 2050-10-06      | Fixed         | 2.81%                 | Yes           |                  2 | On Loan: No      |
| Credit Agricole SA                                      | Credit Agricole SA                                                                | CUSIP: 22535WAH0<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    250000 | PA      | $218635.17    | 0.02%             | 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        |    113000 | PA      | $66728.90     | 0.01%             | 2050-08-15      | Fixed         | 2.80%                 | 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        |    550000 | PA      | $499832.14    | 0.06%             | 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        |    230000 | PA      | $168333.62    | 0.02%             | 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        |    847912 | PA      | $777911.33    | 0.09%             | 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        |     58000 | PA      | $53705.69     | 0.01%             | 2024-09-01      | 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        |    537791 | PA      | $491414.91    | 0.06%             | 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        |   1179273 | PA      | $105364.76    | 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        |    968719 | PA      | $864727.03    | 0.10%             | 2060-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                            | Barclays plc                                                                      | CUSIP: 06738EAU9<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    235000 | PA      | $218344.85    | 0.02%             | 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        |   1563390 | NS      | $71587628.10  | 8.02%             |  |  |  | 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        |    394495 | PA      | $340401.40    | 0.04%             | 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        |    305000 | PA      | $306458.27    | 0.03%             | 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        |    624486 | PA      | $589486.02    | 0.07%             | 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        |    665188 | PA      | $613639.81    | 0.07%             | 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        |    118654 | PA      | $113706.97    | 0.01%             | 2027-03-15      | Fixed         | 1.27%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Core Plus Bond Fund                            | JPMorgan Core Plus Bond Fund, Class R6                                            | CUSIP: 4812C0134<br>LEI: JW89OQCNJOLWVS3KT374 | Long             |  | RF                | US        |  12277933 | NS      | $87418882.68  | 9.79%             |  |  |  | No            |                  1 | On Loan: No      |
| Berkshire Hathaway Energy Co.                           | Berkshire Hathaway Energy Co.                                                     | CUSIP: 084659BC4<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |    184000 | PA      | $120461.18    | 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        |    259262 | PA      | $247258.59    | 0.03%             | 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        |    259000 | PA      | $194705.27    | 0.02%             | 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        |   2862977 | NS      | $42057130.65  | 4.71%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3140J27D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    484356 | PA      | $389509.60    | 0.04%             | 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        |    205000 | PA      | $185258.09    | 0.02%             | 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        |    220000 | PA      | $169245.83    | 0.02%             | 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        |    327000 | PA      | $263237.90    | 0.03%             | 2040-05-13      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                            | AbbVie, Inc.                                                                      | CUSIP: 00287YCB3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    180000 | PA      | $149379.33    | 0.02%             | 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        |    303127 | PA      | $269272.60    | 0.03%             | 2035-08-27      | Fixed         | 1.74%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3140LJC46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $1037874.31   | 0.12%             | 2031-02-01      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| Entergy Louisiana LLC                                   | Entergy Louisiana LLC                                                             | CUSIP: 29364WBD9<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |     60000 | PA      | $38386.02     | 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        |    202000 | PA      | $177804.89    | 0.02%             | 2029-03-01      | Fixed         | 2.70%                 | Yes           |                  2 | On Loan: No      |
| CGI, Inc.                                               | CGI, Inc.                                                                         | CUSIP: 12532HAC8<br>LEI: 549300WSRCZY73ZG3090 | Long             | DBT              | CORP              | CA        |    156000 | PA      | $137961.45    | 0.02%             | 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        |    991387 | PA      | $842305.42    | 0.09%             | 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        |    725000 | PA      | $702119.73    | 0.08%             | 2026-09-15      | Fixed         | 1.59%                 | Yes           |                  2 | On Loan: No      |
| Evergy, Inc.                                            | Evergy, Inc.                                                                      | CUSIP: 30034WAB2<br>LEI: 549300PGTHDQY6PSUI61 | Long             | DBT              | CORP              | US        |    394000 | PA      | $340234.29    | 0.04%             | 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        |    635000 | PA      | $542350.83    | 0.06%             | 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        |    160000 | PA      | $119050.71    | 0.01%             | 2031-12-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                 | Hyundai Capital America                                                           | CUSIP: 44891ABS5<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     80000 | PA      | $69965.87     | 0.01%             | 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        |    120000 | PA      | $113598.75    | 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        |    273917 | PA      | $257628.81    | 0.03%             | 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        |    495000 | PA      | $429926.06    | 0.05%             | 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        |     93000 | PA      | $89265.17     | 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        |      9571 | PA      | $9541.28      | 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    | 0.03%             | 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        |    280000 | PA      | $213617.60    | 0.02%             | 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        |    270000 | PA      | $222917.93    | 0.02%             | 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        |    145799 | PA      | $128507.38    | 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        |    551394 | PA      | $500854.29    | 0.06%             | 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        |    233000 | PA      | $222397.54    | 0.02%             | 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        |    170000 | PA      | $164100.04    | 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        |     90000 | PA      | $80275.62     | 0.01%             | 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        |    123850 | PA      | $125915.48    | 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        |    318642 | PA      | $335252.50    | 0.04%             | 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        |    125000 | PA      | $73109.38     | 0.01%             | 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        |    200000 | PA      | $208014.36    | 0.02%             | 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        |     70000 | PA      | $57042.69     | 0.01%             | 2052-04-01      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                   | FMC GMSR Issuer Trust, Series 2021-GT2, Class A                                   | CUSIP: 30259RAK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    550000 | PA      | $441075.80    | 0.05%             | 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        |    593000 | PA      | $453223.44    | 0.05%             | 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        |    191000 | PA      | $185639.80    | 0.02%             | 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        |    369000 | PA      | $296122.50    | 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        |    986000 | PA      | $896164.02    | 0.10%             | 2032-07-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                                | UnitedHealth Group, Inc.                                                          | CUSIP: 91324PES7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     65000 | PA      | $70184.73     | 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        |    238921 | PA      | $220913.45    | 0.02%             | 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        |    645000 | PA      | $625707.47    | 0.07%             | 2029-11-15      | Fixed         | 2.73%                 | Yes           |                  2 | On Loan: No      |
| Republic Finance Issuance Trust                         | Republic Finance Issuance Trust, Series 2021-A, Class A                           | CUSIP: 76042UAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1254000 | PA      | $1123450.57   | 0.13%             | 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        |    700000 | PA      | $671462.11    | 0.08%             | 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        |    136000 | PA      | $105877.05    | 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        |   6881661 | NS      | $42253397.07  | 4.73%             |  |  |  | No            |                  1 | On Loan: No      |
| Pacific Gas and Electric Co.                            | Pacific Gas and Electric Co.                                                      | CUSIP: 694308HA8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     71000 | PA      | $47598.45     | 0.01%             | 2042-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3140LELV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    782956 | PA      | $673798.10    | 0.08%             | 2028-11-01      | Fixed         | 1.58%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                            | Pacific Gas and Electric Co.                                                      | CUSIP: 694308HL4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     65000 | PA      | $46084.22     | 0.01%             | 2045-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3140LGDR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    665000 | PA      | $608555.31    | 0.07%             | 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        |    928000 | PA      | $716132.63    | 0.08%             | 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        |     94012 | PA      | $81348.01     | 0.01%             | 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        |    272114 | PA      | $245028.53    | 0.03%             | 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        |    250000 | PA      | $216495.85    | 0.02%             | 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        |    155000 | PA      | $126077.47    | 0.01%             | 2031-07-15      | Fixed         | 3.25%                 | Yes           |                  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        |   1503218 | PA      | $1352314.05   | 0.15%             | 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        |    200000 | PA      | $168414.39    | 0.02%             | 2043-02-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| NXP BV                                                  | NXP BV                                                                            | CUSIP: 62954HAU2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    265000 | PA      | $183396.56    | 0.02%             | 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        |   9381000 | PA      | $5212684.55   | 0.58%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| JPMorgan Floating Rate Income Fund                      | JPMorgan Floating Rate Income Fund, Class R6                                      | CUSIP: 46637K257<br>LEI: K21GU2WTRTI2PVQVCH83 | Long             |  | RF                | US        |     73485 | NS      | $611397.07    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Avolon Holdings Funding Ltd.                            | Avolon Holdings Funding Ltd.                                                      | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    916000 | PA      | $732153.86    | 0.08%             | 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        |    520198 | PA      | $451127.79    | 0.05%             | 2028-06-15      | Fixed         | 3.20%                 | 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        |    284747 | PA      | $250408.41    | 0.03%             | 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        |    405000 | PA      | $350790.59    | 0.04%             | 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        |    882473 | PA      | $783388.31    | 0.09%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MyMichigan Health                                       | MyMichigan Health, Series 2020                                                    | CUSIP: 597861AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     40000 | PA      | $27487.36     | 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        |    148000 | PA      | $117921.91    | 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        |     75000 | PA      | $68310.57     | 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        |    235000 | PA      | $219020.68    | 0.02%             | 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        |    121000 | PA      | $96554.83     | 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    | 0.03%             | 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        |   5077000 | PA      | $4819778.57   | 0.54%             | 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        |    299000 | PA      | $226924.44    | 0.03%             | 2032-01-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| CommonSpirit Health                                     | CommonSpirit Health                                                               | CUSIP: 20268JAG8<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |     65000 | PA      | $48105.65     | 0.01%             | 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        |    530000 | PA      | $503872.46    | 0.06%             | 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        |    285000 | PA      | $177395.85    | 0.02%             | 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        |      -141 | NC      | $318335.70    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| 7-Eleven, Inc.                                          | 7-Eleven, Inc.                                                                    | CUSIP: 817826AF7<br>LEI: 549300K23JPL0SS3LB18 | Long             | DBT              | CORP              | US        |     99000 | PA      | $65326.93     | 0.01%             | 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        |    874490 | PA      | $764655.84    | 0.09%             | 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        |    187000 | PA      | $119384.01    | 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        |    255000 | PA      | $255046.61    | 0.03%             | 2028-09-13      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| Banner Health                                           | Banner Health                                                                     | CUSIP: 06654DAD9<br>LEI: PLD0E0WJKFN8IZJ2WD85 | Long             | DBT              | CORP              | US        |    246000 | PA      | $194253.94    | 0.02%             | 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        |     49000 | PA      | $48361.02     | 0.01%             | 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        |    540000 | PA      | $524186.26    | 0.06%             | 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        |    250000 | PA      | $214656.25    | 0.02%             | 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        |    315000 | PA      | $302399.34    | 0.03%             | 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        |    496783 | PA      | $457379.14    | 0.05%             | 2026-03-25      | Variable      | 2.12%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3140LJF35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $1019782.76   | 0.11%             | 2029-12-01      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| Analog Devices, Inc.                                    | Analog Devices, Inc.                                                              | CUSIP: 032654AW5<br>LEI: GYVOE5EZ4GDAVTU4CQ61 | Long             | DBT              | CORP              | US        |    171000 | PA      | $125150.98    | 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        |   1513563 | NS      | $69396863.55  | 7.77%             |  |  |  | No            |                  1 | On Loan: No      |
| AerCap Ireland Capital DAC                              | AerCap Ireland Capital DAC                                                        | CUSIP: 00774MAR6<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    810000 | PA      | $752298.07    | 0.08%             | 2027-10-15      | Fixed         | 4.62%                 | 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        |    235000 | PA      | $221168.61    | 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        |    191000 | PA      | $149939.25    | 0.02%             | 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        |    301000 | PA      | $191058.09    | 0.02%             | 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        |     80000 | PA      | $61395.25     | 0.01%             | 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        |    171000 | PA      | $157963.90    | 0.02%             | 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        |    518000 | PA      | $386290.29    | 0.04%             | 2041-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                            | Oracle Corp.                                                                      | CUSIP: 68389XBP9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    279000 | PA      | $220909.69    | 0.02%             | 2037-11-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                  | Credit Suisse Group AG                                                            | CUSIP: 225401AC2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    995000 | PA      | $824706.87    | 0.09%             | 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        |    310358 | PA      | $272717.81    | 0.03%             | 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        |     60606 | PA      | $57699.50     | 0.01%             | 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        |    180000 | PA      | $166546.00    | 0.02%             | 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        |    205000 | PA      | $159387.81    | 0.02%             | 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        |    194000 | PA      | $181956.37    | 0.02%             | 2026-10-01      | Fixed         | 3.55%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo & Co.                                       | Wells Fargo & Co.                                                                 | CUSIP: 95000U2Q5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     53000 | PA      | $37804.40     | 0.00%             | 2041-04-30      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                    | FirstKey Homes Trust, Series 2021-SFR2, Class E1                                  | CUSIP: 33767TAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    780000 | PA      | $646309.25    | 0.07%             | 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        |    402000 | PA      | $402567.79    | 0.05%             | 2025-03-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Discovery Communications LLC                            | Discovery Communications LLC                                                      | CUSIP: 25470DBJ7<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |    203000 | PA      | $167290.03    | 0.02%             | 2030-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3138LG4Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    523226 | PA      | $487041.72    | 0.05%             | 2037-01-01      | Fixed         | 3.61%                 | 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        |    182832 | PA      | $181557.47    | 0.02%             | 2029-02-15      | Fixed         | 1.11%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3140J2WN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    977000 | PA      | $802023.57    | 0.09%             | 2030-12-01      | Fixed         | 1.56%                 | No            |                  2 | On Loan: No      |
| Take-Two Interactive Software, Inc.                     | Take-Two Interactive Software, Inc.                                               | CUSIP: 874054AG4<br>LEI: BOMSTHHJK882EWYX3334 | Long             | DBT              | CORP              | US        |    226000 | PA      | $212671.04    | 0.02%             | 2027-04-14      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Keurig Dr Pepper, Inc.                                  | Keurig Dr Pepper, Inc.                                                            | CUSIP: 49271VAK6<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |    217000 | PA      | $162945.84    | 0.02%             | 2050-05-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Starbucks Corp.                                         | Starbucks Corp.                                                                   | CUSIP: 855244AX7<br>LEI: OQSJ1DU9TAOC51A47K68 | Long             | DBT              | CORP              | US        |    205000 | PA      | $144591.77    | 0.02%             | 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        |    761129 | PA      | $780404.55    | 0.09%             | 2071-06-20      | Variable      | 8.11%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                          | Broadcom, Inc.                                                                    | CUSIP: 11135FBE0<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    418000 | PA      | $353051.11    | 0.04%             | 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        |    435000 | PA      | $385687.27    | 0.04%             | 2027-10-25      | Variable      | 3.59%                 | Yes           |                  2 | On Loan: No      |
| Business Jet Securities LLC                             | Business Jet Securities LLC, Series 2020-1A, Class A                              | CUSIP: 12327FAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    517435 | PA      | $471299.78    | 0.05%             | 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        |     45000 | PA      | $40885.32     | 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        |      -442 | NC      | $690900.06    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3140HSDS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    265000 | PA      | $252487.06    | 0.03%             | 2033-12-01      | Fixed         | 4.03%                 | 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        |    361190 | PA      | $358090.34    | 0.04%             | 2028-12-15      | Fixed         | 1.46%                 | Yes           |                  2 | On Loan: No      |
| KLA Corp.                                               | KLA Corp.                                                                         | CUSIP: 482480AJ9<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |    242000 | PA      | $175242.87    | 0.02%             | 2050-03-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| AstraZeneca plc                                         | AstraZeneca plc                                                                   | CUSIP: 046353AD0<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | DBT              | CORP              | GB        |     45000 | PA      | $50727.01     | 0.01%             | 2037-09-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                  | CUSIP: 3617UA5Y4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    787170 | PA      | $731866.04    | 0.08%             | 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        |    255000 | PA      | $249861.75    | 0.03%             | 2024-05-13      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                  | CUSIP: 3617XRCV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    766640 | PA      | $704434.04    | 0.08%             | 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        |    150000 | PA      | $99954.37     | 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        |   1818949 | PA      | $1644682.37   | 0.18%             | 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        |    770000 | PA      | $693643.87    | 0.08%             | 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        |     91987 | PA      | $91728.01     | 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        |    237572 | PA      | $216371.09    | 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        |    239725 | PA      | $235869.51    | 0.03%             | 2027-12-15      | Fixed         | 1.21%                 | Yes           |                  2 | On Loan: No      |
| Bank of Ireland Group plc                               | Bank of Ireland Group plc                                                         | CUSIP: 06279JAB5<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |    200000 | PA      | $168761.60    | 0.02%             | 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        |  38944898 | PA      | $261857.70    | 0.03%             | 2024-07-25      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                         | Citigroup, Inc.                                                                   | CUSIP: 172967LU3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    328000 | PA      | $271097.03    | 0.03%             | 2039-01-24      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| Union Electric Co.                                      | Union Electric Co.                                                                | CUSIP: 906548CU4<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |    124000 | PA      | $99898.44     | 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        |    155000 | PA      | $138659.15    | 0.02%             | 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        |    525000 | PA      | $503589.82    | 0.06%             | 2027-12-15      | Fixed         | 1.85%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3140LGZJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    920000 | PA      | $894307.08    | 0.10%             | 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        |    182000 | PA      | $175785.93    | 0.02%             | 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        |    394000 | PA      | $293497.73    | 0.03%             | 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        |    130000 | PA      | $93507.85     | 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        |    362319 | PA      | $365461.27    | 0.04%             | 2027-12-01      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Credit Agricole SA                                      | Credit Agricole SA                                                                | CUSIP: 225313AF2<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    400000 | PA      | $385857.94    | 0.04%             | 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        |   1775000 | PA      | $1519358.64   | 0.17%             | 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        |    225000 | PA      | $186228.56    | 0.02%             | 2052-04-13      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3140LHSL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    580000 | PA      | $550013.72    | 0.06%             | 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        |    910000 | PA      | $868190.14    | 0.10%             | 2026-03-20      | Fixed         | 1.54%                 | Yes           |                  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        |   1476973 | PA      | $1184864.75   | 0.13%             | 2060-11-30      | Variable      | 2.92%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3140LF5T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $455204.52    | 0.05%             | 2033-03-01      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| CenterPoint Energy Resources Corp.                      | CenterPoint Energy Resources Corp.                                                | CUSIP: 15189YAF3<br>LEI: 2JADVB0458J06WCD4N56 | Long             | DBT              | CORP              | US        |    176000 | PA      | $138754.64    | 0.02%             | 2030-10-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury STRIPS Bonds                                                        | CUSIP: 912833PD6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2065000 | PA      | $1726456.59   | 0.19%             | 2027-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| VMware, Inc.                                            | VMware, Inc.                                                                      | CUSIP: 928563AJ4<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |    308000 | PA      | $268504.10    | 0.03%             | 2026-08-15      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                              | AT&T, Inc.                                                                        | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    305000 | PA      | $203509.32    | 0.02%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                      | Energy Transfer LP                                                                | CUSIP: 292480AK6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    345000 | PA      | $327724.11    | 0.04%             | 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        |   2809000 | PA      | $2557945.63   | 0.29%             | 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        |    720166 | PA      | $631663.92    | 0.07%             | 2060-10-27      | Variable      | 2.36%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Bonds                                                               | CUSIP: 912810QZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1295000 | PA      | $1104796.88   | 0.12%             | 2043-02-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                            | Pacific Gas and Electric Co.                                                      | CUSIP: 694308KA4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    315000 | PA      | $307456.47    | 0.03%             | 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        |    425253 | PA      | $375296.51    | 0.04%             | 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        |    222000 | PA      | $216974.71    | 0.02%             | 2026-05-12      | Variable      | 4.49%                 | Yes           |                  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        |    439280 | PA      | $362159.40    | 0.04%             | 2041-01-17      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Bank of America Corp.                                   | Bank of America Corp.                                                             | CUSIP: 06051GKP3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    190000 | PA      | $181701.36    | 0.02%             | 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        |  71107059 | NS      | $71107059.03  | 7.97%             |  |  |  | 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        |    336138 | PA      | $289327.57    | 0.03%             | 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        |    419080 | PA      | $412402.37    | 0.05%             | 2065-05-20      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                               | CUSIP: 91282CCV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1554000 | PA      | $1326848.90   | 0.15%             | 2028-08-31      | Fixed         | 1.12%                 | 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        |    850000 | PA      | $728714.35    | 0.08%             | 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        |    998416 | PA      | $878224.55    | 0.10%             | 2051-04-25      | Variable      | 2.24%                 | Yes           |                  2 | On Loan: No      |
| Athene Global Funding                                   | Athene Global Funding                                                             | CUSIP: 04685A2U4<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    400000 | PA      | $350069.88    | 0.04%             | 2026-01-08      | Fixed         | 1.45%                 | Yes           |                  2 | On Loan: No      |
| Banco Santander SA                                      | Banco Santander SA                                                                | CUSIP: 05964HAR6<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    200000 | PA      | $197786.27    | 0.02%             | 2025-08-18      | Fixed         | 5.15%                 | 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    | 0.02%             | 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        |    143000 | PA      | $123079.75    | 0.01%             | 2048-05-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Raytheon Technologies Corp.                             | Raytheon Technologies Corp.                                                       | CUSIP: 75513EAD3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    322000 | PA      | $267950.31    | 0.03%             | 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        |    212493 | PA      | $195955.68    | 0.02%             | 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        |    170000 | PA      | $163379.90    | 0.02%             | 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        |    459857 | PA      | $438386.59    | 0.05%             | 2026-06-15      | Fixed         | 1.46%                 | Yes           |                  2 | On Loan: No      |
| Nordstrom, Inc.                                         | Nordstrom, Inc.                                                                   | CUSIP: 655664AY6<br>LEI: 549300S3IZB5P35KNV16 | Long             | DBT              | CORP              | US        |    217000 | PA      | $155176.70    | 0.02%             | 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        |   1102000 | PA      | $655690.00    | 0.07%             | 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        |    474000 | PA      | $434117.35    | 0.05%             | 2027-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | S&P 500 E-Mini Index                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |       -24 | NC      | $196546.38    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                  | CUSIP: 3617NS4K4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    504655 | PA      | $463874.29    | 0.05%             | 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        |    195485 | PA      | $185231.27    | 0.02%             | 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        |    218965 | PA      | $206693.68    | 0.02%             | 2050-12-26      | Variable      | 2.29%                 | Yes           |                  2 | On Loan: No      |
| UDR, Inc.                                               | UDR, Inc.                                                                         | CUSIP: 90265EAU4<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |     50000 | PA      | $35597.12     | 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        |    735000 | PA      | $648422.89    | 0.07%             | 2026-11-24      | Variable      | 2.13%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                          | Broadcom, Inc.                                                                    | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     59000 | PA      | $42378.98     | 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        |    165000 | PA      | $147024.09    | 0.02%             | 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        |    209000 | PA      | $166691.69    | 0.02%             | 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        |    142648 | PA      | $124864.28    | 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        |    255000 | PA      | $213191.02    | 0.02%             | 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        |    272706 | PA      | $263469.63    | 0.03%             | 2027-03-22      | Fixed         | 0.93%                 | Yes           |                  2 | On Loan: No      |
| Equinix, Inc.                                           | Equinix, Inc.                                                                     | CUSIP: 29444UBD7<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |    284000 | PA      | $259574.94    | 0.03%             | 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        |    479143 | PA      | $466828.48    | 0.05%             | 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        |   2641300 | PA      | $2534306.72   | 0.28%             | 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        |    221489 | PA      | $194715.26    | 0.02%             | 2050-11-01      | Fixed         | 3.00%                 | 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        |    369742 | PA      | $320373.77    | 0.04%             | 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        |    100000 | PA      | $78053.94     | 0.01%             | 2031-11-01      | Fixed         | 2.62%                 | 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        |    118463 | NS      | $5193417.92   | 0.58%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                  | CUSIP: 3617UXC59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    147696 | PA      | $141255.97    | 0.02%             | 2051-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                               | CUSIP: 91282CDJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     79900 | PA      | $65031.11     | 0.01%             | 2031-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Massachusetts Electric Co.                              | Massachusetts Electric Co.                                                        | CUSIP: 575634AT7<br>LEI: 549300XN8GZY5U5O1B96 | Long             | DBT              | CORP              | US        |     98000 | PA      | $70864.68     | 0.01%             | 2046-08-15      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3140LHSH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    655000 | PA      | $634913.85    | 0.07%             | 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        |   1817994 | NS      | $90227042.22  | 10.11%            |  |  |  | No            |                  1 | On Loan: No      |
| Lennar Corp.                                            | Lennar Corp.                                                                      | CUSIP: 526057BZ6<br>LEI: 529900G61XVRLX5TJX09 | Long             | DBT              | CORP              | US        |     65000 | PA      | $64131.02     | 0.01%             | 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        |    617589 | PA      | $545842.03    | 0.06%             | 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        |    100000 | PA      | $72929.46     | 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        |     35000 | PA      | $32821.03     | 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        |    374885 | PA      | $341912.42    | 0.04%             | 2037-06-15      | Fixed         | 4.46%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                  | CUSIP: 3617MKP78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1332482 | PA      | $1131510.09   | 0.13%             | 2050-12-20      | Fixed         | 2.50%                 | 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        |    185000 | PA      | $176305.37    | 0.02%             | 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        |    255000 | PA      | $217315.28    | 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        |    111000 | PA      | $103951.59    | 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        |    315000 | PA      | $288099.06    | 0.03%             | 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        |       -26 | NC      | $21340.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                  | CUSIP: 3617V7V96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1003751 | PA      | $897114.89    | 0.10%             | 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        |    197000 | PA      | $151996.42    | 0.02%             | 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        |    386982 | PA      | $367813.71    | 0.04%             | 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        |    138000 | PA      | $113259.62    | 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        |   1155000 | PA      | $1029544.70   | 0.12%             | 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        |    375000 | PA      | $323249.51    | 0.04%             | 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        |    368298 | PA      | $327987.33    | 0.04%             | 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        |    356096 | PA      | $325426.85    | 0.04%             | 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        |   1423301 | PA      | $1239225.37   | 0.14%             | 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        |    410000 | PA      | $399942.17    | 0.04%             | 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        |     96000 | PA      | $79565.79     | 0.01%             | 2028-02-10      | Fixed         | 1.30%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3140LEXU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    600000 | PA      | $510860.65    | 0.06%             | 2029-10-01      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                              | AerCap Ireland Capital DAC                                                        | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    150000 | PA      | $125666.29    | 0.01%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                         | Goldman Sachs Group, Inc. (The)                                                   | CUSIP: 38141GZK3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    187000 | PA      | $166502.06    | 0.02%             | 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        |    279267 | PA      | $249862.26    | 0.03%             | 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        |     97000 | PA      | $97081.44     | 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        |    419000 | PA      | $421722.96    | 0.05%             | 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        |    165000 | PA      | $108836.93    | 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        |    430000 | PA      | $408049.06    | 0.05%             | 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        |    620868 | PA      | $635220.63    | 0.07%             | 2041-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Nutrien Ltd.                                            | Nutrien Ltd.                                                                      | CUSIP: 67077MAZ1<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |    114000 | PA      | $115432.69    | 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        |    300000 | PA      | $192260.88    | 0.02%             | 2050-06-01      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Bonds                                                               | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    500000 | PA      | $342167.97    | 0.04%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| SLG Office Trust                                        | SLG Office Trust, Series 2021-OVA, Class A                                        | CUSIP: 78449RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    725000 | PA      | $578350.99    | 0.06%             | 2041-07-15      | Fixed         | 2.59%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3140J2ZN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    344000 | PA      | $287638.28    | 0.03%             | 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        |       -48 | NC      | $201091.14    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| UDR, Inc.                                               | UDR, Inc.                                                                         | CUSIP: 90265EAT7<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |    380000 | PA      | $279174.68    | 0.03%             | 2032-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Entergy Arkansas LLC                                    | Entergy Arkansas LLC                                                              | CUSIP: 29366MAB4<br>LEI: 549300A0I5ONUIFMLP35 | Long             | DBT              | CORP              | US        |     72000 | PA      | $43412.71     | 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        |    250000 | PA      | $169656.17    | 0.02%             | 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        |    396497 | PA      | $372354.04    | 0.04%             | 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        |    145000 | PA      | $146886.46    | 0.02%             | 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        |    386000 | PA      | $293681.80    | 0.03%             | 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        |    200000 | PA      | $170058.55    | 0.02%             | 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        |    344493 | PA      | $305732.38    | 0.03%             | 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        |   6836000 | PA      | $4245262.78   | 0.48%             | 2040-08-15      | Fixed         | 1.12%                 | 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        |    548766 | PA      | $521625.76    | 0.06%             | 2058-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                | CUSIP: 3140MJLM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    290178 | PA      | $254807.34    | 0.03%             | 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        |    344750 | NS      | $17956407.18  | 2.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3140LJDX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $1035827.96   | 0.12%             | 2027-11-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                               | HCA, Inc.                                                                         | CUSIP: 404119BV0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     90000 | PA      | $79930.90     | 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        |    903000 | PA      | $815102.90    | 0.09%             | 2027-02-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Business Jet Securities LLC                             | Business Jet Securities LLC, Series 2021-1A, Class A                              | CUSIP: 12327BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    537026 | PA      | $471537.38    | 0.05%             | 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        |    456236 | PA      | $415784.66    | 0.05%             | 2025-12-25      | Fixed         | 3.84%                 | 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        |    400000 | PA      | $355908.44    | 0.04%             | 2039-06-13      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| Intesa Sanpaolo SpA                                     | Intesa Sanpaolo SpA, Series XR                                                    | CUSIP: 46115HBJ5<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |    300000 | PA      | $284541.10    | 0.03%             | 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        |     60000 | PA      | $51621.80     | 0.01%             | 2033-02-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                       | CUSIP: 3140J2H58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    678267 | PA      | $549611.44    | 0.06%             | 2030-10-01      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Corporate Office Properties LP                          | Corporate Office Properties LP                                                    | CUSIP: 22003BAM8<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |    225000 | PA      | $168390.34    | 0.02%             | 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        |    230000 | PA      | $190735.44    | 0.02%             | 2035-09-14      | Fixed         | 3.45%                 | Yes           |                  2 | On Loan: No      |
| PacifiCorp                                              | PacifiCorp                                                                        | CUSIP: 695114CV8<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |    113000 | PA      | $92660.85     | 0.01%             | 2050-02-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Fortis, Inc.                                            | Fortis, Inc.                                                                      | CUSIP: 349553AM9<br>LEI: 549300MQYQ9Y065XPR71 | Long             | DBT              | CORP              | CA        |    251000 | PA      | $232824.95    | 0.03%             | 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        |    185704 | PA      | $169030.59    | 0.02%             | 2051-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UniCredit SpA                                           | UniCredit SpA                                                                     | CUSIP: 904678AW9<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |    200000 | PA      | $170503.59    | 0.02%             | 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        |    661034 | PA      | $598420.18    | 0.07%             | 2050-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Northwestern Mutual Global Funding                      | Northwestern Mutual Global Funding                                                | CUSIP: 66815L2D0<br>LEI: 635400LZXFVELZDVP257 | Long             | DBT              | CORP              | US        |    150000 | PA      | $126758.02    | 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        |    580000 | PA      | $499877.04    | 0.06%             | 2028-11-01      | Fixed         | 1.80%                 | 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        |    123946 | NS      | $10113993.60  | 1.13%             |  |  |  | No            |                  1 | 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      |

### 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