# EDGAR Filing Document

**Accession Number:** 0001330967
**File Stem:** 0001752724-23-068533
**Filing Date:** 2023-3
**Character Count:** 135061
**Document Hash:** ee0c8621eb1b71adc194d94e7e4a20cc
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-068533.hdr.sgml**: 20230328

**ACCESSION NUMBER**: 0001752724-23-068533

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 4

**CONFORMED PERIOD OF REPORT**: 20230131

**FILED AS OF DATE**: 20230328

**DATE AS OF CHANGE**: 20230328

**PERIOD START**: 20230430

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** MFS SERIES TRUST XII
- **CENTRAL INDEX KEY:** 0001330967
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0430

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-21780
- **FILM NUMBER:** 23766986

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

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

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

## Series and Classes Contracts Data

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

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

## Nport-Ex

![](img434e1f4a1.gif)

### Quarterly Report
January 31, 2023

MFS<sup>®</sup> Core Bond Fund

![](img2812f0dc2.gif)

MCB-Q3

------

### Portfolio of Investments
1/31/23 (unaudited)

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

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | &nbsp;&nbsp;&nbsp;**Value ($)** |
| Bonds – 99.2% | Bonds – 99.2% | Bonds – 99.2% |
| Asset-Backed & Securitized – 14.6% | Asset-Backed & Securitized – 14.6% | Asset-Backed & Securitized – 14.6% |
| ACRES 2021-FL2 Issuer Ltd., "C", FLR, 7.115% (LIBOR - 1mo. + 2.65%), 1/15/2037 (n) | $200000 | &nbsp;&nbsp;&nbsp;&nbsp;$189053 |
| Allegro CLO V Ltd., 2017-1A, "BR", FLR, 6.242% (LIBOR - 3mo. + 1.45%), 10/16/2030 (n) | 250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;241483 |
| Arbor Realty Trust, Inc., CLO, 2021-FL3, "B", FLR, 6.054% (LIBOR - 1mo. + 1.6%), 8/15/2034 (n) | 200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;183172 |
| BDS 2021-FL10 Ltd., 2021-FL7, "A", FLR, 5.54% (LIBOR - 1mo. + 1.07%), 6/16/2036 (n) | 200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;193936 |
| BSPRT 2021-FL6 Issuer Ltd., "C", FLR, 6.504% (LIBOR - 1mo. + 2.05%), 3/15/2036 (n) | 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;91649 |
| Commercial Mortgage Trust, 2015-PC1, "A5", 3.902%, 7/10/2050 | 250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;243195 |
| Dryden 68 CLO, Ltd., 2019-68A, "BR", FLR, 6.492% (LIBOR - 3mo. + 1.7%), 7/15/2035 (n) | 250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;243027 |
| DT Auto Owner Trust, 2023-1A, "A", 5.48%, 4/15/2027 (n) | &nbsp;&nbsp;84000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;83982 |
| JPMBB Commercial Mortgage Securities Trust, 2014-C26, "A4", 3.494%, 1/15/2048 | &nbsp;&nbsp;75000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;72263 |
| KREF 2018-FT1 Ltd., "A", FLR, 5.535% (LIBOR - 1mo. + 1.1%), 2/15/2039 (n) | 200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;193861 |
| LoanCore 2021-CRE5 Ltd., "B", FLR, 6.454% (LIBOR - 1mo. + 2%), 7/15/2036 (n) | 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;94463 |
| MF1 2021-FL7 Ltd., "AS", FLR, 5.92% (LIBOR - 1mo. + 1.45%), 10/16/2036 (n) | 250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;236936 |
| MF1 2022-FL10 Ltd., "AS", FLR, 7.675% (SOFR - 1mo. + 3.187%), 9/17/2037 (n) | 250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;251119 |
| MF1 2022-FL8 Ltd., "B", FLR, 6.26% (SOFR - 30 day + 1.95%), 2/19/2037 (n) | 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;95749 |
| OneMain Financial Issuance Trust 2022-3A, "A", 5.94%, 5/15/2034 (n) | &nbsp;&nbsp;89000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;89773 |
| Palmer Square Loan Funding 2020-2A Ltd., "A1", FLR, 5.475% (LIBOR - 3mo. + 0.8%), 5/20/2029 (n) | 101123 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;100224 |
| Palmer Square Loan Funding 2022-5A Ltd., "A1", FLR, 6.218% (SOFR - 3mo. + 1.56%), 1/15/2031 (n) | 241129 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;240152 |
| Ready Capital Mortgage Financing LLC, 2022-FL9, FLR, 7.641% (SOFR - 1mo. + 3.111%), 6/25/2037 (n) | 250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;249937 |
| Santander Drive Auto Receivables Trust, 2022-6, "A2", 4.37%, 5/15/2025 | &nbsp;&nbsp;22000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;21921 |
| Wells Fargo Commercial Mortgage Trust, 2015-C28, "A4", 3.54%, 5/15/2048 | 250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;241371 |
| Wells Fargo Commercial Mortgage Trust, 2015-NXS1, "A5", 3.148%, 5/15/2048 | 250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;239341 |
| Wells Fargo Commercial Mortgage Trust, 2017-RB1, "A5", 3.635%, 3/15/2050 | 175000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;165830 |
| Westlake Automobile Receivables Trust, 2022-3A, "A2", 5.24%, 7/15/2025 (n) | &nbsp;&nbsp;61000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;60939 |
|  |  | &nbsp;&nbsp;&nbsp;$3823376 |
| Automotive – 2.1% | Automotive – 2.1% | Automotive – 2.1% |
| Hyundai Capital America, 2.65%, 2/10/2025 (n) | $&nbsp;&nbsp;65000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$61825 |
| Lear Corp., 3.8%, 9/15/2027 | &nbsp;&nbsp;68000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;64856 |
| Magna International, Inc., 2.45%, 6/15/2030 | &nbsp;&nbsp;68000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;58118 |
| Stellantis N.V., 2.691%, 9/15/2031 (n) | 200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;161194 |
| Volkswagen Group of America Finance LLC, 3.35%, 5/13/2025 (n) | 200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;192616 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$538609 |
| Broadcasting – 1.0% | Broadcasting – 1.0% | Broadcasting – 1.0% |
| Walt Disney Co., 3.5%, 5/13/2040 | $137000 | &nbsp;&nbsp;&nbsp;&nbsp;$117191 |
| Warnermedia Holdings, Inc., 5.141%, 3/15/2052 (n) | 161000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;133720 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$250911 |
| Brokerage & Asset Managers – 0.6% | Brokerage & Asset Managers – 0.6% | Brokerage & Asset Managers – 0.6% |
| Intercontinental Exchange, Inc., 2.1%, 6/15/2030 | $103000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$86945 |
| Raymond James Financial, Inc., 4.95%, 7/15/2046 | &nbsp;&nbsp;73000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;70381 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$157326 |
| Building – 0.4% | Building – 0.4% | Building – 0.4% |
| Masco Corp., 2%, 2/15/2031 | $117000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$94717 |
| Business Services – 1.3% | Business Services – 1.3% | Business Services – 1.3% |
| Equinix, Inc., 1.8%, 7/15/2027 | $&nbsp;&nbsp;83000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$72686 |
| Equinix, Inc., 2.5%, 5/15/2031 | &nbsp;&nbsp;69000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;57661 |
| Fiserv, Inc., 2.65%, 6/01/2030 | &nbsp;&nbsp;88000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;76715 |
| Global Payments, Inc., 1.2%, 3/01/2026 | &nbsp;&nbsp;87000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;77356 |
| Global Payments, Inc., 2.9%, 11/15/2031 | &nbsp;&nbsp;77000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;64149 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$348567 |

---

------

Portfolio of Investments (unaudited) – continued

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | &nbsp;&nbsp;&nbsp;**Value ($)** |
| Bonds – continued | Bonds – continued | Bonds – continued |
| Cable TV – 1.1% | Cable TV – 1.1% | Cable TV – 1.1% |
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 6.384%, 10/23/2035 | $&nbsp;&nbsp;69000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$70568 |
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 5.375%, 5/01/2047 | &nbsp;&nbsp;98000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;83659 |
| Cox Communications, Inc., 1.8%, 10/01/2030 (n) | &nbsp;&nbsp;88000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;69751 |
| Time Warner Entertainment Co. LP, 8.375%, 7/15/2033 | &nbsp;&nbsp;58000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;67986 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$291964 |
| Chemicals – 0.3% | Chemicals – 0.3% | Chemicals – 0.3% |
| Sherwin-Williams Co., 2.3%, 5/15/2030 | $&nbsp;&nbsp;89000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$76074 |
| Computer Software – 0.4% | Computer Software – 0.4% | Computer Software – 0.4% |
| Dell International LLC/EMC Corp., 4.9%, 10/01/2026 | $&nbsp;&nbsp;74000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$73585 |
| Oracle Corp., 6.15%, 11/09/2029 | &nbsp;&nbsp;27000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;28859 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$102444 |
| Conglomerates – 1.2% | Conglomerates – 1.2% | Conglomerates – 1.2% |
| Carrier Global Corp., 3.377%, 4/05/2040 | $159000 | &nbsp;&nbsp;&nbsp;&nbsp;$128107 |
| Roper Technologies, Inc., 2%, 6/30/2030 | &nbsp;&nbsp;89000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;74151 |
| Westinghouse Air Brake Technologies Corp., 3.2%, 6/15/2025 | 129000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;122048 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$324306 |
| Consumer Services – 0.2% | Consumer Services – 0.2% | Consumer Services – 0.2% |
| Booking Holdings, Inc., 4.625%, 4/13/2030 | $&nbsp;&nbsp;60000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$60237 |
| Electrical Equipment – 0.3% | Electrical Equipment – 0.3% | Electrical Equipment – 0.3% |
| Arrow Electronics, Inc., 2.95%, 2/15/2032 | $&nbsp;&nbsp;90000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$74654 |
| Electronics – 0.9% | Electronics – 0.9% | Electronics – 0.9% |
| Broadcom, Inc., 4.15%, 11/15/2030 | $&nbsp;&nbsp;78000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$72761 |
| Broadcom, Inc., 4.3%, 11/15/2032 | &nbsp;&nbsp;63000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;58015 |
| Broadcom, Inc., 4.926%, 5/15/2037 (n) | 108000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;99129 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$229905 |
| Energy - Independent – 0.6% | Energy - Independent – 0.6% | Energy - Independent – 0.6% |
| EQT Corp., 3.9%, 10/01/2027 | $&nbsp;&nbsp;39000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$36998 |
| EQT Corp., 7%, 2/01/2030 | 113000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;120188 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$157186 |
| Financial Institutions – 1.4% | Financial Institutions – 1.4% | Financial Institutions – 1.4% |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 2.45%, 10/29/2026 | $150000 | &nbsp;&nbsp;&nbsp;&nbsp;$134940 |
| Air Lease Corp., 2.875%, 1/15/2032 | &nbsp;&nbsp;93000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;76388 |
| Avolon Holdings Funding Ltd., 4.375%, 5/01/2026 (n) | &nbsp;&nbsp;79000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;75080 |
| Avolon Holdings Funding Ltd., 3.25%, 2/15/2027 (n) | &nbsp;&nbsp;78000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;70398 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$356806 |
| Food & Beverages – 0.6% | Food & Beverages – 0.6% | Food & Beverages – 0.6% |
| Anheuser-Busch InBev Worldwide, Inc., 4.375%, 4/15/2038 | $163000 | &nbsp;&nbsp;&nbsp;&nbsp;$154586 |
| Gaming & Lodging – 0.9% | Gaming & Lodging – 0.9% | Gaming & Lodging – 0.9% |
| GLP Capital LP/GLP Financing II, Inc., 5.3%, 1/15/2029 | $&nbsp;&nbsp;64000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$62400 |
| Las Vegas Sands Corp., 3.9%, 8/08/2029 | &nbsp;&nbsp;65000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;58249 |
| Marriott International, Inc., 4.625%, 6/15/2030 | 108000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;105345 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$225994 |
| Insurance – 0.8% | Insurance – 0.8% | Insurance – 0.8% |
| Corebridge Financial, Inc., 3.9%, 4/05/2032 (n) | $&nbsp;&nbsp;82000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$74689 |
| Metropolitan Life Global Funding I, 3.3%, 3/21/2029 (n) | 150000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;139335 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$214024 |

---

------

Portfolio of Investments (unaudited) – continued

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | &nbsp;&nbsp;&nbsp;**Value ($)** |
| Bonds – continued | Bonds – continued | Bonds – continued |
| Insurance - Health – 0.5% | Insurance - Health – 0.5% | Insurance - Health – 0.5% |
| Humana, Inc., 3.7%, 3/23/2029 | $&nbsp;&nbsp;&nbsp;&nbsp;79000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$74486 |
| Humana, Inc., 5.875%, 3/01/2033 | &nbsp;&nbsp;&nbsp;&nbsp;49000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;52439 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$126925 |
| Insurance - Property & Casualty – 1.0% | Insurance - Property & Casualty – 1.0% | Insurance - Property & Casualty – 1.0% |
| Aon Corp., 3.75%, 5/02/2029 | $&nbsp;&nbsp;&nbsp;107000 | &nbsp;&nbsp;&nbsp;&nbsp;$101606 |
| Brown & Brown, Inc., 4.2%, 3/17/2032 | &nbsp;&nbsp;&nbsp;&nbsp;84000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;76817 |
| Fairfax Financial Holdings Ltd., 5.625%, 8/16/2032 (n) | &nbsp;&nbsp;&nbsp;&nbsp;85000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;82734 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$261157 |
| Machinery & Tools – 0.3% | Machinery & Tools – 0.3% | Machinery & Tools – 0.3% |
| CNH Industrial Capital LLC, 1.875%, 1/15/2026 | $&nbsp;&nbsp;&nbsp;&nbsp;79000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$73133 |
| Major Banks – 7.3% | Major Banks – 7.3% | Major Banks – 7.3% |
| Bank of America Corp., 2.572% to 10/20/2031, FLR (SOFR + 1.21%) to 10/20/2032 | $&nbsp;&nbsp;&nbsp;302000 | &nbsp;&nbsp;&nbsp;&nbsp;$249708 |
| Capital One Financial Corp., 3.273% to 3/01/2029, FLR (SOFR - 1 day + 1.79%) to 3/01/2030 | &nbsp;&nbsp;&nbsp;160000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;141749 |
| Deutsche Bank AG, 2.311% to 11/16/2026, FLR (SOFR - 1 day + 1.219%) to 11/16/2027 | &nbsp;&nbsp;&nbsp;150000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;132573 |
| Deutsche Bank AG, 6.72% to 1/18/2028, FLR (SOFR - 1 day + 3.18%) to 1/18/2029 | &nbsp;&nbsp;&nbsp;150000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;157835 |
| Goldman Sachs Group, Inc., 2.6%, 2/07/2030 | &nbsp;&nbsp;&nbsp;172000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;149599 |
| Goldman Sachs Group, Inc., 2.383% to 7/21/2031, FLR (SOFR - 1 day + 1.248%) to 7/21/2032 | &nbsp;&nbsp;&nbsp;&nbsp;98000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;80242 |
| JPMorgan Chase & Co., 4.323% to 4/26/2027, FLR (SOFR - 1 day + 1.56%) to 4/26/2028 | &nbsp;&nbsp;&nbsp;&nbsp;74000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;72528 |
| JPMorgan Chase & Co., 2.956% to 5/13/2030, FLR (SOFR - 1 day + 2.515%) to 5/13/2031 | &nbsp;&nbsp;&nbsp;&nbsp;72000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;62464 |
| JPMorgan Chase & Co., 2.963% to 1/25/2032, FLR (SOFR - 1 day + 1.26%) to 1/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp;69000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;59148 |
| JPMorgan Chase & Co., 3.109% to 4/22/2040, FLR (SOFR - 1 day + 2.46%) to 4/22/2041 | &nbsp;&nbsp;&nbsp;102000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;80637 |
| JPMorgan Chase & Co., 3.157% to 4/22/2041, FLR (SOFR - 1 day + 1.46%) to 4/22/2042 | &nbsp;&nbsp;&nbsp;152000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;119856 |
| Morgan Stanley, 1.512% to 7/20/2026, FLR (SOFR - 1 day + 0.858%) to 7/20/2027 | &nbsp;&nbsp;&nbsp;131000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;116882 |
| Morgan Stanley, 2.699% to 1/22/2030, FLR (SOFR - 1 day + 1.143%) to 1/22/2031 | &nbsp;&nbsp;&nbsp;&nbsp;97000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;84174 |
| Morgan Stanley, 2.943% to 1/21/2032, FLR (SOFR - 1 day + 1.29%) to 1/21/2033 | &nbsp;&nbsp;&nbsp;127000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;108461 |
| UBS Group AG, 2.095% to 2/11/2031, FLR (CMT - 1yr. + 1.0%) to 2/11/2032 (n) | &nbsp;&nbsp;&nbsp;200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;159444 |
| Wells Fargo & Co., 3.35% to 3/02/2032, FLR (SOFR - 1 day + 1.5%) to 3/02/2033 | &nbsp;&nbsp;&nbsp;162000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;142852 |
|  |  | &nbsp;&nbsp;&nbsp;$1918152 |
| Medical & Health Technology & Services – 1.6% | Medical & Health Technology & Services – 1.6% | Medical & Health Technology & Services – 1.6% |
| Adventist Health System/West, 5.43%, 3/01/2032 | $&nbsp;&nbsp;&nbsp;&nbsp;75000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$76626 |
| Alcon Finance Corp., 2.6%, 5/27/2030 (n) | &nbsp;&nbsp;&nbsp;200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;174889 |
| Becton, Dickinson and Co., 4.669%, 6/06/2047 | &nbsp;&nbsp;&nbsp;&nbsp;78000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;73608 |
| HCA, Inc., 4.125%, 6/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp;79000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;75091 |
| HCA, Inc., 4.375%, 3/15/2042 (n) | &nbsp;&nbsp;&nbsp;&nbsp;34000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;28920 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$429134 |
| Metals & Mining – 1.1% | Metals & Mining – 1.1% | Metals & Mining – 1.1% |
| Anglo American Capital PLC, 5.625%, 4/01/2030 (n) | $&nbsp;&nbsp;&nbsp;200000 | &nbsp;&nbsp;&nbsp;&nbsp;$206226 |
| Glencore Funding LLC, 2.5%, 9/01/2030 (n) | &nbsp;&nbsp;&nbsp;&nbsp;87000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;73722 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$279948 |
| Midstream – 1.6% | Midstream – 1.6% | Midstream – 1.6% |
| Cheniere Corpus Christi Holdings LLC, 3.7%, 11/15/2029 | $&nbsp;&nbsp;&nbsp;&nbsp;84000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$78884 |
| Energy Transfer LP, 5.75%, 2/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp;64000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;65773 |
| Plains All American Pipeline LP, 3.8%, 9/15/2030 | &nbsp;&nbsp;&nbsp;113000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;102656 |
| Sabine Pass Liquefaction LLC, 4.5%, 5/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp;75000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;72802 |
| Targa Resources Corp., 6.125%, 3/15/2033 | &nbsp;&nbsp;&nbsp;102000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;106403 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$426518 |
| Mortgage-Backed – 29.6% | Mortgage-Backed – 29.6% |  |
| Fannie Mae, 3%, 8/01/2046 | $&nbsp;&nbsp;&nbsp;&nbsp;33733 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$31328 |
| Fannie Mae, UMBS, 2.5%, 5/01/2037 - 9/01/2052 | 1414422 | &nbsp;&nbsp;&nbsp;&nbsp;1248125 |
| Fannie Mae, UMBS, 2%, 6/01/2037 - 7/01/2052 | 1048226 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;894054 |
| Fannie Mae, UMBS, 3%, 5/01/2043 - 11/01/2052 | &nbsp;&nbsp;&nbsp;290083 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;265183 |
| Fannie Mae, UMBS, 3.5%, 7/01/2043 - 3/01/2052 | &nbsp;&nbsp;&nbsp;&nbsp;72765 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;69563 |

---

------

Portfolio of Investments (unaudited) – continued

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | &nbsp;&nbsp;&nbsp;**Value ($)** |
| Bonds – continued | Bonds – continued | Bonds – continued |
| Mortgage-Backed – continued | Mortgage-Backed – continued |  |
| Fannie Mae, UMBS, 4%, 9/01/2046 - 11/01/2052 | $&nbsp;&nbsp;&nbsp;&nbsp;98041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$95585 |
| Fannie Mae, UMBS, 1.5%, 6/01/2051 | &nbsp;&nbsp;&nbsp;&nbsp;99238 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;79412 |
| Fannie Mae, UMBS, 4.5%, 6/01/2052 - 10/01/2052 | &nbsp;&nbsp;&nbsp;270281 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;267047 |
| Fannie Mae, UMBS, 5.5%, 11/01/2052 - 12/01/2052 | &nbsp;&nbsp;&nbsp;247592 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;251664 |
| Fannie Mae, UMBS, 6%, 11/01/2052 - 12/01/2052 | &nbsp;&nbsp;&nbsp;149857 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;155182 |
| Freddie Mac, UMBS, 2.5%, 5/01/2037 - 10/01/2052 | &nbsp;&nbsp;&nbsp;293932 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;260733 |
| Freddie Mac, UMBS, 2%, 7/01/2037 - 5/01/2052 | 1031397 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;888159 |
| Freddie Mac, UMBS, 3.5%, 1/01/2041 - 10/01/2052 | &nbsp;&nbsp;&nbsp;431960 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;408539 |
| Freddie Mac, UMBS, 1.5%, 3/01/2051 | &nbsp;&nbsp;&nbsp;&nbsp;43581 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;35137 |
| Freddie Mac, UMBS, 3%, 3/01/2052 - 6/01/2052 | &nbsp;&nbsp;&nbsp;443550 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;403263 |
| Freddie Mac, UMBS, 4%, 7/01/2052 | &nbsp;&nbsp;&nbsp;223109 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;215529 |
| Ginnie Mae, 3%, 1/20/2051 - 11/20/2052 | &nbsp;&nbsp;&nbsp;369435 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;339654 |
| Ginnie Mae, 2%, 3/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp;74993 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;64809 |
| Ginnie Mae, 2.5%, 4/20/2052 - 7/20/2052 | &nbsp;&nbsp;&nbsp;439545 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;391861 |
| Ginnie Mae, 4%, 9/20/2052 - 10/20/2052 | &nbsp;&nbsp;&nbsp;148797 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;144448 |
| Ginnie Mae, 4.5%, 9/20/2052 - 12/20/2052 | &nbsp;&nbsp;&nbsp;323064 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;320803 |
| Ginnie Mae, 5%, 9/20/2052 - 11/20/2052 | &nbsp;&nbsp;&nbsp;248650 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250438 |
| Ginnie Mae, 3.5%, 10/20/2052 - 11/20/2052 | &nbsp;&nbsp;&nbsp;273366 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;258423 |
| Ginnie Mae, 5.5%, 1/20/2053 | &nbsp;&nbsp;&nbsp;&nbsp;74993 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;76251 |
| UMBS, TBA, 3%, 2/25/2038 | &nbsp;&nbsp;&nbsp;100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;95915 |
| UMBS, TBA, 5.5%, 2/13/2053 | &nbsp;&nbsp;&nbsp;&nbsp;50000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;50809 |
| UMBS, TBA, 5%, 4/13/2053 | &nbsp;&nbsp;&nbsp;175000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;175424 |
|  |  | &nbsp;&nbsp;&nbsp;$7737338 |
| Natural Gas - Distribution – 0.3% | Natural Gas - Distribution – 0.3% | Natural Gas - Distribution – 0.3% |
| NiSource, Inc., 5.65%, 2/01/2045 | $&nbsp;&nbsp;&nbsp;&nbsp;73000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$76353 |
| Network & Telecom – 0.5% | Network & Telecom – 0.5% | Network & Telecom – 0.5% |
| Verizon Communications, Inc., 2.55%, 3/21/2031 | $&nbsp;&nbsp;&nbsp;&nbsp;84000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$71698 |
| Verizon Communications, Inc., 4.272%, 1/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;78000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;73034 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$144732 |
| Oils – 0.3% | Oils – 0.3% | Oils – 0.3% |
| Marathon Petroleum Corp., 4.75%, 9/15/2044 | $&nbsp;&nbsp;&nbsp;&nbsp;83000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$74473 |
| Other Banks & Diversified Financials – 0.5% | Other Banks & Diversified Financials – 0.5% | Other Banks & Diversified Financials – 0.5% |
| Macquarie Group Ltd., 4.442% to 6/21/2032, FLR (SOFR - 1 day + 2.405%) to 6/21/2033 (n) | $&nbsp;&nbsp;&nbsp;148000 | &nbsp;&nbsp;&nbsp;&nbsp;$134810 |
| Retailers – 0.6% | Retailers – 0.6% | Retailers – 0.6% |
| Alimentation Couche-Tard, Inc., 3.439%, 5/13/2041 (n) | $&nbsp;&nbsp;&nbsp;117000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$88251 |
| Best Buy Co., Inc., 4.45%, 10/01/2028 | &nbsp;&nbsp;&nbsp;&nbsp;63000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;62254 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$150505 |
| Specialty Stores – 0.2% | Specialty Stores – 0.2% | Specialty Stores – 0.2% |
| Genuine Parts Co., 2.75%, 2/01/2032 | $&nbsp;&nbsp;&nbsp;&nbsp;63000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$52486 |
| Telecommunications - Wireless – 1.3% | Telecommunications - Wireless – 1.3% | Telecommunications - Wireless – 1.3% |
| Crown Castle, Inc., REIT, 3.65%, 9/01/2027 | $&nbsp;&nbsp;&nbsp;&nbsp;79000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$75378 |
| Rogers Communications, Inc., 3.8%, 3/15/2032 (n) | &nbsp;&nbsp;&nbsp;146000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;131419 |
| T-Mobile USA, Inc., 2.05%, 2/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp;69000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;60777 |
| T-Mobile USA, Inc., 4.5%, 4/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp;83000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;73299 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$340873 |
| Tobacco – 0.9% | Tobacco – 0.9% | Tobacco – 0.9% |
| B.A.T. International Finance PLC, 4.448%, 3/16/2028 | $&nbsp;&nbsp;&nbsp;158000 | &nbsp;&nbsp;&nbsp;&nbsp;$151221 |
| Philip Morris International, Inc., 5.125%, 11/17/2027 | &nbsp;&nbsp;&nbsp;&nbsp;25000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25551 |
| Philip Morris International, Inc., 5.625%, 11/17/2029 | &nbsp;&nbsp;&nbsp;&nbsp;11000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11489 |

---

------

Portfolio of Investments (unaudited) – continued

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | &nbsp;&nbsp;&nbsp;**Value ($)** |
| Bonds – continued | Bonds – continued | Bonds – continued |
| Tobacco – continued | Tobacco – continued | Tobacco – continued |
| Philip Morris International, Inc., 5.75%, 11/17/2032 | $&nbsp;&nbsp;&nbsp;&nbsp;48000 | &nbsp;&nbsp;&nbsp;$50474 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$238735 |
| Transportation - Services – 0.5% | Transportation - Services – 0.5% | Transportation - Services – 0.5% |
| ERAC USA Finance LLC, 7%, 10/15/2037 (n) | $&nbsp;&nbsp;&nbsp;107000 | &nbsp;&nbsp;&nbsp;$124438 |
| U.S. Treasury Obligations – 20.2% | U.S. Treasury Obligations – 20.2% | U.S. Treasury Obligations – 20.2% |
| U.S. Treasury Bonds, 2.375%, 2/15/2042 | $1500000 | &nbsp;&nbsp;&nbsp;$1213477 |
| U.S. Treasury Bonds, 2.25%, 2/15/2052 | 1600000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1202125 |
| U.S. Treasury Notes, 2.25%, 3/31/2024 (f) | &nbsp;&nbsp;&nbsp;640000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;622375 |
| U.S. Treasury Notes, 4.25%, 9/30/2024 | 2250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2244902 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$5282879 |
| Utilities - Electric Power – 1.7% | Utilities - Electric Power – 1.7% | Utilities - Electric Power – 1.7% |
| American Electric Power Co., Inc., 5.95%, 11/01/2032 | $&nbsp;&nbsp;&nbsp;&nbsp;43000 | &nbsp;&nbsp;&nbsp;$46215 |
| Duke Energy Carolinas LLC, 4.95%, 1/15/2033 | &nbsp;&nbsp;&nbsp;118000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;121170 |
| Duke Energy Progress LLC, 3.45%, 3/15/2029 | &nbsp;&nbsp;&nbsp;118000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;111554 |
| Pacific Gas & Electric Co., 2.1%, 8/01/2027 | &nbsp;&nbsp;&nbsp;&nbsp;82000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;71943 |
| Pacific Gas & Electric Co., 3%, 6/15/2028 | &nbsp;&nbsp;&nbsp;108000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;96572 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$447454 |
| Utilities - Gas – 0.5% | Utilities - Gas – 0.5% | Utilities - Gas – 0.5% |
| East Ohio Gas Co., 2%, 6/15/2030 (n) | $&nbsp;&nbsp;&nbsp;176000 | &nbsp;&nbsp;&nbsp;$143100 |
| **Total Bonds** |  | &nbsp;&nbsp;**$25944829** |
| Investment Companies (h) – 1.1% | Investment Companies (h) – 1.1% | Investment Companies (h) – 1.1% |
| Money Market Funds – 1.1% | Money Market Funds – 1.1% |  |
| MFS Institutional Money Market Portfolio, 4.29% (v) | &nbsp;&nbsp;&nbsp;284698 | &nbsp;&nbsp;&nbsp;$284726 |
| Other Assets, Less Liabilities – (0.3)% |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(68255) |
| **Net Assets – 100.0%** | **Net Assets – 100.0%** | &nbsp;&nbsp;&nbsp;**$26161300** |

---

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

(h) An affiliated issuer, which may be considered one in which the fund owns 5% or more of the outstanding voting securities, or a company which is under common control. At period end,
the aggregate values of the fund's investments in affiliated issuers and in unaffiliated issuers were $284,726 and $25,944,829, respectively.

(n) Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in the ordinary course of business in transactions exempt from
registration, normally to qualified institutional buyers. At period end, the aggregate value of these securities was $5,265,145, representing 20.1% of net assets.

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

---

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

---

------

Portfolio of Investments (unaudited) – continued

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Derivative Contracts at 1/31/23** | **Derivative Contracts at 1/31/23** | **Derivative Contracts at 1/31/23** | **Derivative Contracts at 1/31/23** | **Derivative Contracts at 1/31/23** | **Derivative Contracts at 1/31/23** | **Derivative Contracts at 1/31/23** |
| **Futures Contracts** | **Futures Contracts** | **Futures Contracts** | **Futures Contracts** | **Futures Contracts** | **Futures Contracts** | **Futures Contracts** |
| **Description** | &nbsp;&nbsp;**Long/<br> Short** | &nbsp;&nbsp;**Currency** | &nbsp;&nbsp;**Contracts** | &nbsp;&nbsp;**Notional<br> Amount** | &nbsp;&nbsp;**Expiration<br> Date** | &nbsp;&nbsp;**Value/Unrealized<br> Appreciation<br> (Depreciation)** |
| **Asset Derivatives** | **Asset Derivatives** | **Asset Derivatives** | **Asset Derivatives** | **Asset Derivatives** | **Asset Derivatives** | **Asset Derivatives** |
| ***Interest Rate Futures*** | ***Interest Rate Futures*** | ***Interest Rate Futures*** | ***Interest Rate Futures*** | ***Interest Rate Futures*** |  |  |
| U.S. Treasury Note 5 yr | &nbsp;&nbsp;&nbsp;Long | &nbsp;&nbsp;USD | &nbsp;&nbsp;27 | &nbsp;&nbsp;$2949539 | &nbsp;&nbsp;March – 2023 | &nbsp;&nbsp;$32389 |
| **Liability Derivatives** | **Liability Derivatives** | **Liability Derivatives** | **Liability Derivatives** | **Liability Derivatives** | **Liability Derivatives** | **Liability Derivatives** |
| ***Interest Rate Futures*** | ***Interest Rate Futures*** | ***Interest Rate Futures*** | ***Interest Rate Futures*** | ***Interest Rate Futures*** |  |  |
| U.S. Treasury Ultra Bond | &nbsp;&nbsp;&nbsp;Long | &nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;1 | &nbsp;&nbsp;$141750 | &nbsp;&nbsp;March – 2023 | &nbsp;&nbsp;$(1167) |
| U.S. Treasury Ultra Note 10 yr | &nbsp;&nbsp;Short | &nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;8 | &nbsp;&nbsp;969625 | &nbsp;&nbsp;March – 2023 | &nbsp;&nbsp;&nbsp;&nbsp;(13991) |
|  |  |  |  |  |  | &nbsp;&nbsp;$(15158) |

---

At January 31, 2023, the fund had liquid securities with an aggregate value of $29,174 to cover any collateral or margin obligations for certain derivative contracts.

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

------

### Supplemental Information
1/31/23 (unaudited)

The fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies.

(1) Investment Valuations

Subject to its oversight, the fund's Board of Trustees has delegated primary responsibility for determining or causing to be determined the value of the fund's investments to MFS as the fund's adviser, pursuant to the fund's valuation policy and procedures which have been adopted by the adviser and approved by the Board. Effective September 8, 2022, and in accordance with Rule 2a-5 under the Investment Company Act of 1940, the Board of Trustees designated the adviser as the "valuation designee" of the fund. If the adviser, as valuation designee, determines that reliable market quotations are not readily available for an investment, the investment is valued at fair value as determined in good faith by the adviser in accordance with the adviser's fair valuation policy and procedures.

Under the fund's valuation policy and procedures, debt instruments and floating rate loans, including restricted debt instruments, are generally valued at an evaluated or composite bid as provided by a third-party pricing service. Short-term instruments with a maturity at issuance of 60 days or less may be valued at amortized cost, which approximates market value. Futures contracts are generally valued at last posted settlement price on their primary exchange as provided by a third-party pricing service. Futures contracts for which there were no trades that day for a particular position are generally valued at the closing bid quotation on their primary exchange as provided by a third-party pricing service. Open-end investment companies are generally valued at net asset value per share. The values of foreign securities and other assets and liabilities expressed in foreign currencies are converted to U.S. dollars using the mean of bid and asked prices for rates provided by a third-party pricing service.

Under the fund's valuation policy and procedures, market quotations are not considered to be readily available for debt instruments, floating rate loans, and many types of derivatives. These investments are generally valued at fair value based on information from third-party pricing services or otherwise determined by the adviser in accordance with the adviser's fair valuation policy and procedures. Securities and other assets generally valued on the basis of information from a third-party pricing service may also be valued at a broker/dealer bid quotation. In determining values, third-party pricing services can utilize both transaction data and market information such as yield, quality, coupon rate, maturity, type of issue, trading characteristics, spreads and other market data. An investment may also be valued at fair value if the adviser determines that the investment's value has been materially affected by events occurring after the close of the exchange or market on which the investment is principally traded (such as foreign exchange or market) and prior to the determination of the fund's net asset value, or after the halt of trading of a specific security where trading does not resume prior to the close of the exchange or market on which the security is principally traded. The adviser generally relies on third-party pricing services or other information (such as the correlation with price movements of similar securities in the same or other markets; the type, cost and investment characteristics of the security; the business and financial condition of the issuer; and trading and other market data) to assist in determining whether to fair value and at what value to fair value an investment. The value of an investment for purposes of calculating the fund's net asset value can differ depending on the source and method used to determine value. When fair valuation is used, the value of an investment used to determine the fund's net asset value may differ from quoted or published prices for the same investment. There can be no assurance that the fund could obtain the fair value assigned to an investment if it were to sell the investment at the same time at which the fund determines its net asset value per share.

Various inputs are used in determining the value of the fund's assets or liabilities. These inputs are categorized into three broad levels. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment's level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The fund's assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. Level 1 includes unadjusted quoted prices in active markets for identical assets or liabilities. Level 2 includes other significant observable market-based inputs (including quoted prices for similar securities, interest rates, prepayment speed, and credit risk). Level 3 includes significant unobservable inputs, which may include the adviser's own assumptions in determining the fair value of investments. Other financial instruments are derivative instruments, such as futures contracts. The following is a summary of the levels used as of January 31, 2023 in valuing the fund's assets and liabilities:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Financial Instruments** | &nbsp;&nbsp;&nbsp;**Level 1** | &nbsp;&nbsp;&nbsp;**Level 2** | &nbsp;&nbsp;&nbsp;**Level 3** | &nbsp;&nbsp;&nbsp;**Total** |
| U.S. Treasury Bonds & U.S. Government Agencies & Equivalents | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$— | &nbsp;&nbsp;&nbsp;&nbsp;$5282879 | &nbsp;&nbsp;&nbsp;$— | &nbsp;&nbsp;&nbsp;&nbsp;$5282879 |
| U.S. Corporate Bonds | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6922374 | &nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6922374 |
| Residential Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7737338 | &nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7737338 |
| Commercial Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1306400 | &nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1306400 |
| Asset-Backed Securities (including CDOs) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2516976 | &nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2516976 |
| Foreign Bonds | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2178862 | &nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2178862 |
| Mutual Funds | &nbsp;&nbsp;&nbsp;&nbsp;284726 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;284726 |
| Total | &nbsp;&nbsp;&nbsp;$284726 | &nbsp;&nbsp;&nbsp;$25944829 | &nbsp;&nbsp;&nbsp;$— | &nbsp;&nbsp;&nbsp;$26229555 |
| **Other Financial Instruments** |  |  |  |  |
| Futures Contracts – Assets | &nbsp;&nbsp;&nbsp;&nbsp;$32389 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$— | &nbsp;&nbsp;&nbsp;$— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$32389 |
| Futures Contracts – Liabilities | &nbsp;&nbsp;&nbsp;&nbsp;(15158) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(15158) |

---

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

------

Supplemental Information (unaudited) – continued

(2) Investments in Affiliated Issuers

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

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Affiliated Issuers** | &nbsp;&nbsp;**Beginning<br> Value** | &nbsp;&nbsp;**Purchases** | &nbsp;&nbsp;**Sales<br> Proceeds** | &nbsp;&nbsp;**Realized<br> Gain<br> (Loss)** | &nbsp;&nbsp;**Change in<br> Unrealized<br> Appreciation or<br> Depreciation** | &nbsp;&nbsp;**Ending<br> Value** |
| MFS Institutional Money Market Portfolio | &nbsp;&nbsp;$— | &nbsp;&nbsp;$23707897 | &nbsp;&nbsp;$23423744 | &nbsp;&nbsp;$517 | &nbsp;&nbsp;$56 | &nbsp;&nbsp;$284726 |

---

---

| | | |
|:---|:---|:---|
| **Affiliated Issuers** | &nbsp;&nbsp;**Dividend<br> Income** | &nbsp;&nbsp;**Capital Gain<br> Distributions** |
| MFS Institutional Money Market Portfolio | &nbsp;&nbsp;$38206 | &nbsp;&nbsp;$— |

---

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02199

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

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

- **a. Name of Series:** MFS Core Bond Fund

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

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

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

- **a. Date of fiscal year-end:** 2023-04-30

- **b. Date as of which information is reported:** 2023-01-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $26824698.00

**Total Liabilities:** $663398.50

**Net Assets:** $26161299.50

**Delayed Delivery Securities:** $497232.42

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -12.72987260 | **1-Year:** -493.65746020 | **5-Year:** -2374.97809860 | **10-Year:** -3374.03135170 | **30-Year:** -724.50842830

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

- **3-Month:** -0.04326720 | **1-Year:** -1.07318530 | **5-Year:** -23.54986950 | **10-Year:** -8.66119380 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000236393 | 3.70%                | -0.68%               | 3.51%                |
| Class ID C000236390 | 3.66%                | -0.72%               | 3.47%                |
| Class ID C000236392 | 3.66%                | -0.72%               | 3.47%                |
| Class ID C000236388 | 3.73%                | -0.66%               | 3.53%                |
| Class ID C000236387 | 3.75%                | -0.63%               | 3.56%                |
| Class ID C000236386 | 3.75%                | -0.64%               | 3.55%                |
| Class ID C000236389 | 3.73%                | -0.66%               | 3.53%                |
| Class ID C000236391 | 3.64%                | -0.64%               | 3.66%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-12322.03               | $830353.91                                 |
| Month 2  | $-50344.35               | $-180945.40                                |
| Month 3  | $-5602.94                | $797146.52                                 |

**Designated Index Information**

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

- **Index Identifier:** LBSTRUU

### Schedule of Portfolio Investments

| Name                                           | Title                                                                    | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FNMA                                           | UMBS                                                                     | CUSIP: 3140QNDF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49810 | PA      | $41915.12     | 0.16%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                 | Broadcom, Inc.                                                           | CUSIP: 11135FAQ4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     78000 | PA      | $72760.93     | 0.28%             | 2030-11-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                              | Wells Fargo & Co.                                                        | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    162000 | PA      | $142851.87    | 0.55%             | 2033-03-02      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                     | CUSIP: 36179XBQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    217371 | PA      | $193856.94    | 0.74%             | 2052-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Duke Energy Carolinas LLC                      | Duke Energy Carolinas LLC                                                | CUSIP: 26442CBJ2<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |    118000 | PA      | $121170.30    | 0.46%             | 2033-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                     | CUSIP: 3138ELN41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47853 | PA      | $46171.43     | 0.18%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                           | JPMorgan Chase & Co.                                                     | CUSIP: 46647PCD6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    152000 | PA      | $119856.52    | 0.46%             | 2042-04-22      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| EQT Corp.                                      | EQT Corp.                                                                | CUSIP: 26884LAG4<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    113000 | PA      | $120187.93    | 0.46%             | 2030-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                     | CUSIP: 3140QCQ82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38353 | PA      | $35263.07     | 0.13%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Adventist Health System                        | Adventist Health System                                                  | CUSIP: 007944AH4<br>LEI: 5493008YM33UCY5QPW83 | Long             | DBT              | CORP              | US        |     75000 | PA      | $76625.70     | 0.29%             | 2032-03-01      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| Philip Morris International, Inc.              | Philip Morris International, Inc.                                        | CUSIP: 718172CW7<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     11000 | PA      | $11488.57     | 0.04%             | 2029-11-17      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| GLP Capital LP                                 | GLP Capital LP                                                           | CUSIP: 361841AL3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     64000 | PA      | $62400.64     | 0.24%             | 2029-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                               | Deutsche Bank AG                                                         | CUSIP: 251526CP2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    150000 | PA      | $132573.16    | 0.51%             | 2027-11-16      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                           | JPMorgan Chase & Co.                                                     | CUSIP: 46647PBM7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    102000 | PA      | $80636.88     | 0.31%             | 2041-04-22      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| Westinghouse Air Brake Technologies Corp.      | Westinghouse Air Brake Technologies Corp.                                | CUSIP: 960386AQ3<br>LEI: 06BTX5UWZD0GQ5N5Y745 | Long             | DBT              | CORP              | US        |    129000 | PA      | $122048.51    | 0.47%             | 2025-06-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Metropolitan Life Global Funding I             | Metropolitan Life Global Funding I                                       | CUSIP: 59217GEZ8<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |    150000 | PA      | $139334.72    | 0.53%             | 2029-03-21      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                   | Avolon Holdings Funding Ltd.                                             | CUSIP: 05401AAJ0<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     78000 | PA      | $70397.54     | 0.27%             | 2027-02-15      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Carrier Global Corp.                           | Carrier Global Corp.                                                     | CUSIP: 14448CAR5<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |    159000 | PA      | $128106.61    | 0.49%             | 2040-04-05      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Crown Castle, Inc.                             | Crown Castle, Inc.                                                       | CUSIP: 22822VAH4<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |     79000 | PA      | $75378.14     | 0.29%             | 2027-09-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                     | CUSIP: 3133WJKP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49477 | PA      | $46317.04     | 0.18%             | 2037-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                     | CUSIP: 3132DWE41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    197241 | PA      | $184999.88    | 0.71%             | 2052-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Macquarie Group Ltd.                           | Macquarie Group Ltd.                                                     | CUSIP: 55608JBE7<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |    148000 | PA      | $134810.17    | 0.52%             | 2033-06-21      | Variable      | 4.44%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                     | CUSIP: 36179V4W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23557 | PA      | $21726.51     | 0.08%             | 2051-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                     | CUSIP: 3132DWDH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     68131 | PA      | $57337.83     | 0.22%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                | Goldman Sachs Group, Inc. (The)                                          | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     98000 | PA      | $80242.19     | 0.31%             | 2032-07-21      | Variable      | 2.38%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                     | CUSIP: 3133B2X95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49319 | PA      | $43247.67     | 0.17%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MFS Institutional Money Market Portfolio       | MFS Institutional Money Market Portfolio, Class A                        | CUSIP: 55291X109<br>LEI: 5L2W638H85N8T1136O07 | Long             | STIV             | RF                | US        |    282209 | NS      | $282236.95    | 1.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Becton Dickinson and Co.                       | Becton Dickinson and Co.                                                 | CUSIP: 075887BX6<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |     78000 | PA      | $73607.84     | 0.28%             | 2047-06-06      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                      | Commercial Mortgage Trust, Series 2015-PC1, Class A5                     | CUSIP: 12593GAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $243195.03    | 0.93%             | 2050-07-10      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                     | CUSIP: 36179XLE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    149232 | PA      | $141070.13    | 0.54%             | 2052-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                               | Deutsche Bank AG                                                         | CUSIP: 251526CS6<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    150000 | PA      | $157835.14    | 0.60%             | 2029-01-18      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                     | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    592926 | PA      | $498978.27    | 1.91%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Genuine Parts Co.                              | Genuine Parts Co.                                                        | CUSIP: 372460AC9<br>LEI: 549300D46DQVEU651W04 | Long             | DBT              | CORP              | US        |     63000 | PA      | $52486.15     | 0.20%             | 2032-02-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                     | CUSIP: 36179XNE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     74855 | PA      | $74332.11     | 0.28%             | 2052-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Alcon Finance Corp.                            | Alcon Finance Corp.                                                      | CUSIP: 01400EAD5<br>LEI: 549300CUZUI9VU7XNK42 | Long             | DBT              | CORP              | US        |    200000 | PA      | $174888.81    | 0.67%             | 2030-05-27      | Fixed         | 2.60%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Capital America                        | Hyundai Capital America                                                  | CUSIP: 44891ABF3<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     65000 | PA      | $61825.17     | 0.24%             | 2025-02-10      | Fixed         | 2.65%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                     | CUSIP: 3132D6B66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    289450 | PA      | $263734.52    | 1.01%             | 2037-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Warnermedia Holdings, Inc.                     | Warnermedia Holdings, Inc.                                               | CUSIP: 55903VAQ6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    161000 | PA      | $133720.24    | 0.51%             | 2052-03-15      | Fixed         | 5.14%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                     | CUSIP: 3133B9DC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24817 | PA      | $20900.93     | 0.08%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                | Intercontinental Exchange, Inc.                                          | CUSIP: 45866FAK0<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |    103000 | PA      | $86944.36     | 0.33%             | 2030-06-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                     | CUSIP: 36179XFH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    173399 | PA      | $172186.84    | 0.66%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Dryden 68 CLO Ltd.                             | Dryden 68 CLO Ltd., Series 2019-68A, Class BR                            | CUSIP: 26252QAL6<br>LEI: 254900MX6QAMC9XBAB53 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $243026.50    | 0.93%             | 2035-07-15      | Floating      | 6.49%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                     | CUSIP: 3140QBR67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34407 | PA      | $31980.85     | 0.12%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                   | Pacific Gas and Electric Co.                                             | CUSIP: 694308JW8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    108000 | PA      | $96572.08     | 0.37%             | 2028-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                     | CUSIP: 3140MUXD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23508 | PA      | $21421.49     | 0.08%             | 2037-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                | Goldman Sachs Group, Inc. (The)                                          | CUSIP: 38141GXG4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    172000 | PA      | $149598.53    | 0.57%             | 2030-02-07      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                     | CUSIP: 36179XLH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    199142 | PA      | $200574.01    | 0.77%             | 2052-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Aon Corp.                                      | Aon Corp.                                                                | CUSIP: 037389BC6<br>LEI: LTS3U8DGK38SETRUWX71 | Long             | DBT              | CORP              | US        |    107000 | PA      | $101606.14    | 0.39%             | 2029-05-02      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                     | AerCap Ireland Capital DAC                                               | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    150000 | PA      | $134940.20    | 0.52%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Marriott International, Inc.                   | Marriott International, Inc., Series FF                                  | CUSIP: 571903BE2<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |    108000 | PA      | $105344.84    | 0.40%             | 2030-06-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                     | CUSIP: 3140MHTQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24912 | PA      | $23391.79     | 0.09%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, 30 Year, Single Family                                             | CUSIP: 01F052623<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     50000 | PA      | $50808.59     | 0.19%             | 2053-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                     | CUSIP: 3131XV5V3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29766 | PA      | $28459.84     | 0.11%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Cheniere Corpus Christi Holdings LLC           | Cheniere Corpus Christi Holdings LLC                                     | CUSIP: 16412XAJ4<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |     84000 | PA      | $78884.36     | 0.30%             | 2029-11-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                     | CUSIP: 3140QK3Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99238 | PA      | $79412.12     | 0.30%             | 2051-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                     | CUSIP: 31418D4X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50032 | PA      | $42091.61     | 0.16%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                     | CUSIP: 3133AFX22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24608 | PA      | $21719.65     | 0.08%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                     | CUSIP: 36179XFG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49524 | PA      | $48077.01     | 0.18%             | 2052-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Philip Morris International, Inc.              | Philip Morris International, Inc.                                        | CUSIP: 718172CX5<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     48000 | PA      | $50474.03     | 0.19%             | 2032-11-17      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust          | Wells Fargo Commercial Mortgage Trust, Series 2015-C28, Class A4         | CUSIP: 94989JAZ9<br>LEI: 549300S7ENI2U7O0XH56 | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $241371.10    | 0.92%             | 2048-05-15      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                     | CUSIP: 36179XFJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49508 | PA      | $49864.19     | 0.19%             | 2052-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                     | CUSIP: 3140XFNJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    181049 | PA      | $158807.31    | 0.61%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                     | CUSIP: 3132DWDQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56073 | PA      | $47207.07     | 0.18%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Bonds                                                      | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1600000 | PA      | $1202124.99   | 4.60%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                     | CUSIP: 36179XHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     99273 | PA      | $96371.26     | 0.37%             | 2052-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                 | Morgan Stanley                                                           | CUSIP: 61747YEL5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    127000 | PA      | $108460.72    | 0.41%             | 2033-01-21      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                     | CUSIP: 31418EDH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73342 | PA      | $68476.47     | 0.26%             | 2037-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Magna International, Inc.                      | Magna International, Inc.                                                | CUSIP: 559222AV6<br>LEI: 95RWVLFZX6VGDZNNTN43 | Long             | DBT              | CORP              | CA        |     68000 | PA      | $58118.34     | 0.22%             | 2030-06-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                     | CUSIP: 36179W7K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     98313 | PA      | $90304.53     | 0.35%             | 2052-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                     | CUSIP: 3140QDJD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74339 | PA      | $65323.24     | 0.25%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                     | CUSIP: 3132A5G25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39651 | PA      | $37874.70     | 0.14%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Arrow Electronics, Inc.                        | Arrow Electronics, Inc.                                                  | CUSIP: 04273WAC5<br>LEI: 549300YNNLBXT8N8R512 | Long             | DBT              | CORP              | US        |     90000 | PA      | $74654.29     | 0.29%             | 2032-02-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                     | CUSIP: 3131WRFV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32100 | PA      | $30973.04     | 0.12%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Sherwin-Williams Co. (The)                     | Sherwin-Williams Co. (The)                                               | CUSIP: 824348BL9<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | DBT              | CORP              | US        |     89000 | PA      | $76074.12     | 0.29%             | 2030-05-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress LLC                       | Duke Energy Progress LLC                                                 | CUSIP: 26442UAH7<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    118000 | PA      | $111553.32    | 0.43%             | 2029-03-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| KREF Ltd.                                      | KREF Ltd., Series 2021-FL2, Class A                                      | CUSIP: 48275RAA5<br>LEI: 54930083ELM2GCMVTQ91 | Long             | ABS-CBDO         | CORP              | KY        |    200000 | PA      | $193860.80    | 0.74%             | 2039-02-15      | Floating      | 5.53%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                     | CUSIP: 3140QKNN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98484 | PA      | $86547.97     | 0.33%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                           | Glencore Funding LLC                                                     | CUSIP: 378272AY4<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     87000 | PA      | $73722.29     | 0.28%             | 2030-09-01      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Philip Morris International, Inc.              | Philip Morris International, Inc.                                        | CUSIP: 718172CV9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     25000 | PA      | $25550.83     | 0.10%             | 2027-11-17      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Humana, Inc.                                   | Humana, Inc.                                                             | CUSIP: 444859BT8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |     79000 | PA      | $74486.64     | 0.28%             | 2029-03-23      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                     | CUSIP: 36179XQX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     74993 | PA      | $76251.43     | 0.29%             | 2053-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CNH Industrial Capital LLC                     | CNH Industrial Capital LLC                                               | CUSIP: 12592BAL8<br>LEI: 549300PNSJ5B81UMVO28 | Long             | DBT              | CORP              | US        |     79000 | PA      | $73133.04     | 0.28%             | 2026-01-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                 | Morgan Stanley                                                           | CUSIP: 61747YEC5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    131000 | PA      | $116881.96    | 0.45%             | 2027-07-20      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| MF1 Ltd.                                       | MF1 Ltd., Series 2022-FL8, Class B                                       | CUSIP: 55284JAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    100000 | PA      | $95748.80     | 0.37%             | 2037-02-19      | Floating      | 6.26%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                     | CUSIP: 31418EJN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24594 | PA      | $21537.11     | 0.08%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                     | CUSIP: 3140QMQ56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70567 | PA      | $62089.58     | 0.24%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                   | UBS Group AG                                                             | CUSIP: 902613AE8<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    200000 | PA      | $159443.82    | 0.61%             | 2032-02-11      | Variable      | 2.09%                 | Yes           |                  2 | On Loan: No      |
| Fiserv, Inc.                                   | Fiserv, Inc.                                                             | CUSIP: 337738BC1<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |     88000 | PA      | $76714.78     | 0.29%             | 2030-06-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust          | Wells Fargo Commercial Mortgage Trust, Series 2015-NXS1, Class A5        | CUSIP: 94989HAQ3<br>LEI: 5493002S7XBI8CVRR075 | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $239341.38    | 0.91%             | 2048-05-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                     | CUSIP: 31418EFE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24495 | PA      | $22318.13     | 0.09%             | 2037-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Raymond James Financial, Inc.                  | Raymond James Financial, Inc.                                            | CUSIP: 754730AF6<br>LEI: RGUZHJ05YTITL6D76949 | Long             | DBT              | CORP              | US        |     73000 | PA      | $70381.36     | 0.27%             | 2046-07-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd.                | Palmer Square Loan Funding Ltd., Series 2021-2A, Class A1                | CUSIP: 69702DAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    101123 | PA      | $100224.22    | 0.38%             | 2029-05-20      | Floating      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                     | CUSIP: 31418D7E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30521 | PA      | $25724.12     | 0.10%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                     | CUSIP: 3133B6QM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49760 | PA      | $45293.12     | 0.17%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Marathon Petroleum Corp.                       | Marathon Petroleum Corp.                                                 | CUSIP: 56585AAH5<br>LEI: 3BNYRYQHD39K4LCKQF12 | Long             | DBT              | CORP              | US        |     83000 | PA      | $74473.14     | 0.28%             | 2044-09-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                     | CUSIP: 3132DWFL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74401 | PA      | $65170.97     | 0.25%             | 2052-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                     | CUSIP: 36179WY85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     74993 | PA      | $64808.53     | 0.25%             | 2052-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                          | Global Payments, Inc.                                                    | CUSIP: 37940XAE2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     87000 | PA      | $77356.64     | 0.30%             | 2026-03-01      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                     | CUSIP: 31418EJ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146942 | PA      | $145133.12    | 0.55%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ERAC USA Finance LLC                           | ERAC USA Finance LLC                                                     | CUSIP: 26882PBE1<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |    107000 | PA      | $124438.33    | 0.48%             | 2037-10-15      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                     | CUSIP: 36179XLD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    173883 | PA      | $159943.15    | 0.61%             | 2052-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Walt Disney Co. (The)                          | Walt Disney Co. (The)                                                    | CUSIP: 254687FY7<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |    137000 | PA      | $117190.63    | 0.45%             | 2040-05-13      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable Enterprises LLC              | Time Warner Cable Enterprises LLC                                        | CUSIP: 88731EAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     58000 | PA      | $67985.96     | 0.26%             | 2033-07-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                     | CUSIP: 3133KLHG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43581 | PA      | $35136.67     | 0.13%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Booking Holdings, Inc.                         | Booking Holdings, Inc.                                                   | CUSIP: 09857LAR9<br>LEI: FXM8FAOHMYDIPD38UZ17 | Long             | DBT              | CORP              | US        |     60000 | PA      | $60237.19     | 0.23%             | 2030-04-13      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                     | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21340 | PA      | $18017.51     | 0.07%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Las Vegas Sands Corp.                          | Las Vegas Sands Corp.                                                    | CUSIP: 517834AF4<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |     65000 | PA      | $58248.80     | 0.22%             | 2029-08-08      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC           | Charter Communications Operating LLC                                     | CUSIP: 161175BL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     98000 | PA      | $83659.16     | 0.32%             | 2047-05-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                             | T-Mobile USA, Inc.                                                       | CUSIP: 87264AAZ8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     83000 | PA      | $73299.10     | 0.28%             | 2050-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                     | CUSIP: 31418ENB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    118806 | PA      | $107945.18    | 0.41%             | 2052-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                   | Oracle Corp.                                                             | CUSIP: 68389XCH6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     27000 | PA      | $28859.06     | 0.11%             | 2029-11-09      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                 | Morgan Stanley                                                           | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     97000 | PA      | $84174.06     | 0.32%             | 2031-01-22      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                          | Bank of America Corp.                                                    | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    302000 | PA      | $249707.77    | 0.95%             | 2032-10-20      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                   | Verizon Communications, Inc.                                             | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     84000 | PA      | $71697.90     | 0.27%             | 2031-03-21      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                     | CUSIP: 31418ELY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    198597 | PA      | $201847.79    | 0.77%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                     | CUSIP: 3140QQYH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74929 | PA      | $76972.97     | 0.29%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust          | Wells Fargo Commercial Mortgage Trust, Series 2017-RB1, Class A5         | CUSIP: 95000TBS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    175000 | PA      | $165829.90    | 0.63%             | 2050-03-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                     | CUSIP: 31418DJR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16672 | PA      | $15344.50     | 0.06%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Masco Corp.                                    | Masco Corp.                                                              | CUSIP: 574599BQ8<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | DBT              | CORP              | US        |    117000 | PA      | $94717.09     | 0.36%             | 2031-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                             | T-Mobile USA, Inc.                                                       | CUSIP: 87264ACA1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     69000 | PA      | $60777.04     | 0.23%             | 2028-02-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust     | JPMBB Commercial Mortgage Securities Trust, Series 2014-C26, Class A4    | CUSIP: 46643TBJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75000 | PA      | $72263.43     | 0.28%             | 2048-01-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| Stellantis Finance US, Inc.                    | Stellantis Finance US, Inc.                                              | CUSIP: 85855CAB6<br>LEI: 549300QZ0AI8Q7LNON33 | Long             | DBT              | CORP              | US        |    200000 | PA      | $161193.47    | 0.62%             | 2031-09-15      | Fixed         | 2.69%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                     | CUSIP: 3133KM4Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     96127 | PA      | $84276.85     | 0.32%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                     | CUSIP: 3140MULM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24970 | PA      | $24662.20     | 0.09%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                   | Verizon Communications, Inc.                                             | CUSIP: 92343VCV4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     78000 | PA      | $73034.02     | 0.28%             | 2036-01-15      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Bonds                                                      | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1500000 | PA      | $1213476.57   | 4.64%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| American Electric Power Co., Inc.              | American Electric Power Co., Inc.                                        | CUSIP: 025537AW1<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |     43000 | PA      | $46214.98     | 0.18%             | 2032-11-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                     | CUSIP: 3138WHVM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33733 | PA      | $31327.79     | 0.12%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Corebridge Financial, Inc.                     | Corebridge Financial, Inc.                                               | CUSIP: 21871XAG4<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |     82000 | PA      | $74688.79     | 0.29%             | 2032-04-05      | Fixed         | 3.90%                 | Yes           |                  2 | On Loan: No      |
| Capital One Financial Corp.                    | Capital One Financial Corp.                                              | CUSIP: 14040HCN3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    160000 | PA      | $141749.24    | 0.54%             | 2030-03-01      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                      | HCA, Inc.                                                                | CUSIP: 404119BX6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     79000 | PA      | $75091.40     | 0.29%             | 2029-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| MF1 LLC                                        | MF1 LLC, Series 2022-FL10, Class AS                                      | CUSIP: 55285BAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $251118.78    | 0.96%             | 2037-09-17      | Floating      | 7.68%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                     | CUSIP: 3133BEW58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    269561 | PA      | $245001.59    | 0.94%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Roper Technologies, Inc.                       | Roper Technologies, Inc.                                                 | CUSIP: 776743AJ5<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |     89000 | PA      | $74150.83     | 0.28%             | 2030-06-30      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                           | JPMorgan Chase & Co.                                                     | CUSIP: 46647PBP0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     72000 | PA      | $62463.72     | 0.24%             | 2031-05-13      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| BAT International Finance plc                  | BAT International Finance plc                                            | CUSIP: 05530QAP5<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |    158000 | PA      | $151221.19    | 0.58%             | 2028-03-16      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| BDS Ltd.                                       | BDS Ltd., Series 2021-FL7, Class A                                       | CUSIP: 05493FAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    200000 | PA      | $193936.00    | 0.74%             | 2036-06-16      | Floating      | 5.54%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                     | CUSIP: 31418EE89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    306325 | PA      | $266400.09    | 1.02%             | 2042-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                     | CUSIP: 31418EKS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49833 | PA      | $48124.56     | 0.18%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Alimentation Couche-Tard, Inc.                 | Alimentation Couche-Tard, Inc.                                           | CUSIP: 01626PAP1<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |    117000 | PA      | $88250.77     | 0.34%             | 2041-05-13      | Fixed         | 3.44%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                     | CUSIP: 3140N83H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74928 | PA      | $78208.69     | 0.30%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                            | U.S. Treasury Ultra Bond                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-1166.59     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| United States of America                       | U.S. Treasury Notes                                                      | CUSIP: 91282CEG2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    640000 | PA      | $622375.00    | 2.38%             | 2024-03-31      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Anglo American Capital plc                     | Anglo American Capital plc                                               | CUSIP: 034863AW0<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $206225.67    | 0.79%             | 2030-04-01      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Dell International LLC                         | Dell International LLC                                                   | CUSIP: 24703TAE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     74000 | PA      | $73584.56     | 0.28%             | 2026-10-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                 | Broadcom, Inc.                                                           | CUSIP: 11135FAS0<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     63000 | PA      | $58014.91     | 0.22%             | 2032-11-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Air Lease Corp.                                | Air Lease Corp.                                                          | CUSIP: 00914AAS1<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     93000 | PA      | $76388.36     | 0.29%             | 2032-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                 | Broadcom, Inc.                                                           | CUSIP: 11135FBV2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    108000 | PA      | $99129.21     | 0.38%             | 2037-05-15      | Fixed         | 4.93%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                     | CUSIP: 3140QNQH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    393750 | PA      | $331344.08    | 1.27%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                           | JPMorgan Chase & Co.                                                     | CUSIP: 46647PDA1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     74000 | PA      | $72527.93     | 0.28%             | 2028-04-26      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| Volkswagen Group of America Finance LLC        | Volkswagen Group of America Finance LLC                                  | CUSIP: 928668BE1<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    200000 | PA      | $192615.95    | 0.74%             | 2025-05-13      | Fixed         | 3.35%                 | Yes           |                  2 | On Loan: No      |
| Targa Resources Corp.                          | Targa Resources Corp.                                                    | CUSIP: 87612GAC5<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    102000 | PA      | $106403.13    | 0.41%             | 2033-03-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                      | HCA, Inc.                                                                | CUSIP: 404119CM9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     34000 | PA      | $28920.67     | 0.11%             | 2042-03-15      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Cox Communications, Inc.                       | Cox Communications, Inc.                                                 | CUSIP: 224044CL9<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |     88000 | PA      | $69751.22     | 0.27%             | 2030-10-01      | Fixed         | 1.80%                 | Yes           |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Notes                                                      | CUSIP: 91282CFN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2250000 | PA      | $2244902.36   | 8.58%             | 2024-09-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, 30 Year, Single Family                                             | CUSIP: 01F050643<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    175000 | PA      | $175423.83    | 0.67%             | 2053-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                          | Global Payments, Inc.                                                    | CUSIP: 37940XAH5<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     77000 | PA      | $64149.19     | 0.25%             | 2031-11-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| ACRES Commercial Realty Ltd.                   | ACRES Commercial Realty Ltd., Series 2021-FL2, Class C                   | CUSIP: 00500JAG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    200000 | PA      | $189053.04    | 0.72%             | 2037-01-15      | Floating      | 7.11%                 | Yes           |                  2 | On Loan: No      |
| Ready Capital Mortgage Financing LLC           | Ready Capital Mortgage Financing LLC, Series 2022-FL9, Class AS          | CUSIP: 75574EAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $249937.35    | 0.96%             | 2037-06-25      | Floating      | 7.64%                 | Yes           |                  2 | On Loan: No      |
| EQT Corp.                                      | EQT Corp.                                                                | CUSIP: 26884LAF6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     39000 | PA      | $36998.52     | 0.14%             | 2027-10-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                     | CUSIP: 31418CBZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48208 | PA      | $47460.30     | 0.18%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                            | U.S. Treasury 10 Year Ultra Note                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -8 | NC      | $-13991.24    | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| Fairfax Financial Holdings Ltd.                | Fairfax Financial Holdings Ltd.                                          | CUSIP: 303901BK7<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |     85000 | PA      | $82734.31     | 0.32%             | 2032-08-16      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                     | CUSIP: 3140MA2Y9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49243 | PA      | $43155.69     | 0.16%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                     | CUSIP: 3140QPCB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137368 | PA      | $120378.61    | 0.46%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Rogers Communications, Inc.                    | Rogers Communications, Inc.                                              | CUSIP: 775109CC3<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |    146000 | PA      | $131418.22    | 0.50%             | 2032-03-15      | Fixed         | 3.80%                 | Yes           |                  2 | On Loan: No      |
| Equinix, Inc.                                  | Equinix, Inc.                                                            | CUSIP: 29444UBS4<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |     69000 | PA      | $57660.66     | 0.22%             | 2031-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd.                | Palmer Square Loan Funding Ltd., Series 2022-5A, Class A1                | CUSIP: 69702QAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    241129 | PA      | $240151.70    | 0.92%             | 2031-01-15      | Floating      | 6.22%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                     | CUSIP: 3140N5MY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48995 | PA      | $49815.87     | 0.19%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust               | OneMain Financial Issuance Trust, Series 2022-3A, Class A                | CUSIP: 68269PAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     89000 | PA      | $89772.62     | 0.34%             | 2034-05-15      | Fixed         | 5.94%                 | Yes           |                  2 | On Loan: No      |
| Charter Communications Operating LLC           | Charter Communications Operating LLC                                     | CUSIP: 161175AZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     69000 | PA      | $70568.13     | 0.27%             | 2035-10-23      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                           | JPMorgan Chase & Co.                                                     | CUSIP: 46647PCU8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     69000 | PA      | $59148.03     | 0.23%             | 2033-01-25      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| N/A                                            | U.S. Treasury 5 Year Note                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        27 | NC      | $32388.53     | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                           | UMBS                                                                     | CUSIP: 3140N24Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24483 | PA      | $24259.95     | 0.09%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Equinix, Inc.                                  | Equinix, Inc.                                                            | CUSIP: 29444UBG0<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |     83000 | PA      | $72685.87     | 0.28%             | 2027-07-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                     | CUSIP: 3140MN3E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24534 | PA      | $24248.19     | 0.09%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                     | CUSIP: 3140XHKX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48292 | PA      | $42545.73     | 0.16%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                     | CUSIP: 36179W5B0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     97902 | PA      | $87250.92     | 0.33%             | 2052-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Plains All American Pipeline LP                | Plains All American Pipeline LP                                          | CUSIP: 72650RBN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    113000 | PA      | $102656.06    | 0.39%             | 2030-09-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| East Ohio Gas Co. (The)                        | East Ohio Gas Co. (The)                                                  | CUSIP: 27409LAC7<br>LEI: BC95Y6MXLT75BGO7UM71 | Long             | DBT              | CORP              | US        |    176000 | PA      | $143100.08    | 0.55%             | 2030-06-15      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                   | Avolon Holdings Funding Ltd.                                             | CUSIP: 05401AAG6<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     79000 | PA      | $75079.72     | 0.29%             | 2026-05-01      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Sabine Pass Liquefaction LLC                   | Sabine Pass Liquefaction LLC                                             | CUSIP: 785592AX4<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |     75000 | PA      | $72802.06     | 0.28%             | 2030-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                     | CUSIP: 36179XHW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    124134 | PA      | $117352.64    | 0.45%             | 2052-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BSPRT Issuer Ltd.                              | BSPRT Issuer Ltd., Series 2021-FL6, Class C                              | CUSIP: 05601HAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    100000 | PA      | $91649.00     | 0.35%             | 2036-03-15      | Floating      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                     | CUSIP: 31418ECP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148445 | PA      | $124823.12    | 0.48%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                     | CUSIP: 3140QNQ21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24741 | PA      | $22517.41     | 0.09%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Best Buy Co., Inc.                             | Best Buy Co., Inc.                                                       | CUSIP: 08652BAA7<br>LEI: HL5XPTVRV0O8TUN5LL90 | Long             | DBT              | CORP              | US        |     63000 | PA      | $62254.59     | 0.24%             | 2028-10-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                     | CUSIP: 36179XLG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     74810 | PA      | $74284.12     | 0.28%             | 2052-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                     | CUSIP: 3140QNE73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94531 | PA      | $83692.07     | 0.32%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                     | CUSIP: 31418EE97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95543 | PA      | $85949.07     | 0.33%             | 2042-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, 15 Year, Single Family                                             | CUSIP: 01F030421<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $95914.92     | 0.37%             | 2038-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                     | CUSIP: 3133BFN48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    223109 | PA      | $215528.55    | 0.82%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Anheuser-Busch InBev Worldwide, Inc.           | Anheuser-Busch InBev Worldwide, Inc.                                     | CUSIP: 035240AM2<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    163000 | PA      | $154585.60    | 0.59%             | 2038-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                     | CUSIP: 3132ACS27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37675 | PA      | $36192.87     | 0.14%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Brown & Brown, Inc.                            | Brown & Brown, Inc.                                                      | CUSIP: 115236AE1<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |     84000 | PA      | $76816.70     | 0.29%             | 2032-03-17      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                     | CUSIP: 36179W2U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    124272 | PA      | $110752.77    | 0.42%             | 2052-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LoanCore Issuer Ltd.                           | LoanCore Issuer Ltd., Series 2021-CRE5, Class B                          | CUSIP: 53947XAG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    100000 | PA      | $94463.19     | 0.36%             | 2036-07-15      | Floating      | 6.45%                 | Yes           |                  2 | On Loan: No      |
| MF1 Ltd.                                       | MF1 Ltd., Series 2021-FL7, Class AS                                      | CUSIP: 55284AAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $236936.00    | 0.91%             | 2036-10-16      | Floating      | 5.92%                 | Yes           |                  2 | On Loan: No      |
| Arbor Realty Commercial Real Estate Notes Ltd. | Arbor Realty Commercial Real Estate Notes Ltd., Series 2021-FL3, Class B | CUSIP: 03880KAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    200000 | PA      | $183172.40    | 0.70%             | 2034-08-15      | Floating      | 6.05%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                     | CUSIP: 3140QQJS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49352 | PA      | $48744.32     | 0.19%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                            | DT Auto Owner Trust, Series 2023-1A, Class A                             | CUSIP: 23346KAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     84000 | PA      | $83982.12     | 0.32%             | 2027-04-15      | Fixed         | 5.48%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                     | CUSIP: 3132DWEQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74735 | PA      | $70096.80     | 0.27%             | 2052-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Lear Corp.                                     | Lear Corp.                                                               | CUSIP: 521865AY1<br>LEI: 549300UPNBTXA1SYTQ33 | Long             | DBT              | CORP              | US        |     68000 | PA      | $64855.93     | 0.25%             | 2027-09-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                     | CUSIP: 3140XFTF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47250 | PA      | $41697.43     | 0.16%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                     | CUSIP: 3132AEP42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20792 | PA      | $19941.04     | 0.08%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                             | Energy Transfer LP                                                       | CUSIP: 29273VAQ3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     64000 | PA      | $65772.80     | 0.25%             | 2033-02-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| NiSource, Inc.                                 | NiSource, Inc.                                                           | CUSIP: 65473QBD4<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |     73000 | PA      | $76353.01     | 0.29%             | 2045-02-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                     | CUSIP: 31418EGG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49502 | PA      | $44984.44     | 0.17%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                     | CUSIP: 3133BJD41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    124229 | PA      | $112967.70    | 0.43%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust         | Santander Drive Auto Receivables Trust, Series 2022-6, Class A2          | CUSIP: 802918AB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     22000 | PA      | $21920.80     | 0.08%             | 2025-05-15      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| Humana, Inc.                                   | Humana, Inc.                                                             | CUSIP: 444859BV3<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |     49000 | PA      | $52438.76     | 0.20%             | 2033-03-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                     | CUSIP: 36179W5C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     73682 | PA      | $67680.37     | 0.26%             | 2052-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                     | CUSIP: 31418EB90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    419820 | PA      | $367924.97    | 1.41%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Allegro CLO V Ltd.                             | Allegro CLO V Ltd., Series 2017-1A, Class BR                             | CUSIP: 01748RAN5<br>LEI: 254900TYK5TGNAFE3053 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $241482.75    | 0.92%             | 2030-10-16      | Floating      | 6.24%                 | Yes           |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                   | Pacific Gas and Electric Co.                                             | CUSIP: 694308JF5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     82000 | PA      | $71943.04     | 0.27%             | 2027-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                     | CUSIP: 31417GLV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7602 | PA      | $7149.06      | 0.03%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust          | Westlake Automobile Receivables Trust, Series 2022-3A, Class A2          | CUSIP: 96043PAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     61000 | PA      | $60938.96     | 0.23%             | 2025-07-15      | Fixed         | 5.24%                 | Yes           |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-03-02

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

**Signature:** Kasey Phillips

**Name of Signer:** Kasey Phillips

**Title:** Assistant Treasurer