# EDGAR Filing Document

**Accession Number:** 0000200489
**File Stem:** 0001752724-23-037575
**Filing Date:** 2023-2
**Character Count:** 524643
**Document Hash:** 56f3b27c4ef3142a8efd13eaadffa9a6
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-037575.hdr.sgml**: 20230224

**ACCESSION NUMBER**: 0001752724-23-037575

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 4

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230224

**DATE AS OF CHANGE**: 20230224

**PERIOD START**: 20230930

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** MFS SERIES TRUST V
- **CENTRAL INDEX KEY:** 0000200489
- **IRS NUMBER:** 042468583
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0930

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-02031
- **FILM NUMBER:** 23662630

**BUSINESS ADDRESS:**
- **STREET 1:** 111 HUNTINGTON AVENUE
- **STREET 2:** 21ST FLOOR
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02199
- **BUSINESS PHONE:** 18006372929

**MAIL ADDRESS:**
- **STREET 1:** 111 HUNTINGTON AVENUE
- **STREET 2:** 21ST FLOOR
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02199

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MFS TOTAL RETURN FUND
- **DATE OF NAME CHANGE:** 19930408

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MASSACHUSETTS MFS TOTAL RETURN FUND
- **DATE OF NAME CHANGE:** 19921023

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MASSACHUSETTS FINANCIAL TOTAL RETURN TRUST
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### MFS Total Return Fund (Series ID: S000002439)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000006546 | A            | MSFRX           |
| C000006547 | R4           | MSFJX           |
| C000006551 | B            | MTRBX           |
| C000006552 | C            | MTRCX           |
| C000006553 | I            | MTRIX           |
| C000006555 | R1           | MSFFX           |
| C000006557 | R2           | MTRRX           |
| C000006558 | R3           | MSFHX           |
| C000116934 | R6           | MSFKX           |

## Nport-Ex

![](img402039601.gif)

### Quarterly Report
December 31, 2022

MFS<sup>®</sup> Total Return Fund

![](imgb7622bdb2.gif)

MTR-Q1

------

### Portfolio of Investments
12/31/22 (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 ($)** |
| Common Stocks – 58.9% | Common Stocks – 58.9% | Common Stocks – 58.9% |
| Aerospace & Defense – 2.2% | Aerospace & Defense – 2.2% |  |
| Honeywell International, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;243420 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$52164906 |
| Howmet Aerospace, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;900774 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;35499503 |
| L3Harris Technologies, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;228282 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;47530595 |
| Northrop Grumman Corp. | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;53445 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;29160127 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$164355131 |
| Alcoholic Beverages – 0.4% | Alcoholic Beverages – 0.4% |  |
| Constellation Brands, Inc., "A" | &nbsp;&nbsp;&nbsp;&nbsp;114889 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$26625526 |
| Automotive – 1.6% | Automotive – 1.6% |  |
| Aptiv PLC (a) | &nbsp;&nbsp;&nbsp;&nbsp;398250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$37089022 |
| Lear Corp. | &nbsp;&nbsp;&nbsp;&nbsp;286329 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;35510523 |
| LKQ Corp. | &nbsp;&nbsp;&nbsp;&nbsp;878014 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;46894728 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$119494273 |
| Broadcasting – 0.7% | Broadcasting – 0.7% |  |
| Omnicom Group, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;565638 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$46139092 |
| Warner Bros. Discovery, Inc. (a) | &nbsp;&nbsp;&nbsp;&nbsp;640145 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6068574 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$52207666 |
| Brokerage & Asset Managers – 3.0% | Brokerage & Asset Managers – 3.0% |  |
| Cboe Global Markets, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;232130 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$29125351 |
| Charles Schwab Corp. | &nbsp;&nbsp;1762172 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;146718441 |
| Invesco Ltd. | &nbsp;&nbsp;&nbsp;&nbsp;992845 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17861282 |
| NASDAQ, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;569769 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;34955328 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$228660402 |
| Business Services – 2.5% | Business Services – 2.5% |  |
| Accenture PLC, "A" | &nbsp;&nbsp;&nbsp;&nbsp;137203 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$36611249 |
| Amdocs Ltd. | &nbsp;&nbsp;&nbsp;&nbsp;471418 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;42851896 |
| Cognizant Technology Solutions Corp., "A" | &nbsp;&nbsp;&nbsp;&nbsp;411833 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;23552729 |
| Equifax, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;89115 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17320392 |
| Fidelity National Information Services, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;450474 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30564661 |
| Fiserv, Inc. (a) | &nbsp;&nbsp;&nbsp;&nbsp;349690 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;35343168 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$186244095 |
| Cable TV – 1.6% | Cable TV – 1.6% |  |
| Comcast Corp., "A" | &nbsp;&nbsp;3381600 | &nbsp;&nbsp;&nbsp;&nbsp;$118254552 |
| Chemicals – 0.6% | Chemicals – 0.6% |  |
| PPG Industries, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;376081 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$47288425 |
| Computer Software – 2.2% | Computer Software – 2.2% |  |
| Microsoft Corp. | &nbsp;&nbsp;&nbsp;&nbsp;608425 | &nbsp;&nbsp;&nbsp;&nbsp;$145912483 |
| Oracle Corp. | &nbsp;&nbsp;&nbsp;&nbsp;268835 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;21974573 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$167887056 |
| Computer Software - Systems – 0.2% | Computer Software - Systems – 0.2% |  |
| Seagate Technology Holdings PLC | &nbsp;&nbsp;&nbsp;&nbsp;353198 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$18581747 |
| Construction – 1.7% | Construction – 1.7% |  |
| Masco Corp. | &nbsp;&nbsp;1437964 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$67109780 |
| Stanley Black & Decker, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;427744 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;32132129 |
| Vulcan Materials Co. | &nbsp;&nbsp;&nbsp;&nbsp;147044 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25748875 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$124990784 |

---

------

Portfolio of Investments (unaudited) – continued

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | &nbsp;&nbsp;&nbsp;**Value ($)** |
| Common Stocks – continued | Common Stocks – continued | Common Stocks – continued |
| Consumer Products – 0.2% | Consumer Products – 0.2% |  |
| Kimberly-Clark Corp. | &nbsp;&nbsp;&nbsp;&nbsp;111058 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$15076123 |
| Consumer Services – 0.2% | Consumer Services – 0.2% |  |
| Booking Holdings, Inc. (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6355 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$12807104 |
| Electrical Equipment – 1.2% | Electrical Equipment – 1.2% |  |
| Johnson Controls International PLC | &nbsp;&nbsp;1388345 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$88854080 |
| Electronics – 2.2% | Electronics – 2.2% |  |
| Applied Materials, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;349951 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$34078228 |
| Intel Corp. | &nbsp;&nbsp;1307739 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;34563542 |
| NXP Semiconductors N.V. | &nbsp;&nbsp;&nbsp;&nbsp;309653 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;48934464 |
| Taiwan Semiconductor Manufacturing Co. Ltd., ADR | &nbsp;&nbsp;&nbsp;&nbsp;310937 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;23161697 |
| Texas Instruments, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;173946 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;28739358 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$169477289 |
| Energy - Independent – 2.9% | Energy - Independent – 2.9% |  |
| ConocoPhillips | &nbsp;&nbsp;&nbsp;&nbsp;771016 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$90979888 |
| Hess Corp. | &nbsp;&nbsp;&nbsp;&nbsp;530724 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;75267278 |
| Pioneer Natural Resources Co. | &nbsp;&nbsp;&nbsp;&nbsp;225793 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;51568863 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$217816029 |
| Energy - Integrated – 0.4% | Energy - Integrated – 0.4% |  |
| Suncor Energy, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;848014 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$26899706 |
| Food & Beverages – 1.3% | Food & Beverages – 1.3% |  |
| Archer Daniels Midland Co. | &nbsp;&nbsp;&nbsp;&nbsp;310795 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$28857316 |
| Danone S.A. | &nbsp;&nbsp;&nbsp;&nbsp;352191 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18559851 |
| General Mills, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;275246 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;23079377 |
| J.M. Smucker Co. | &nbsp;&nbsp;&nbsp;&nbsp;109066 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17282598 |
| Mondelez International, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;164364 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10954861 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$98734003 |
| General Merchandise – 0.1% | General Merchandise – 0.1% |  |
| Dollar Tree, Inc. (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;71797 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$10154968 |
| Health Maintenance Organizations – 1.8% | Health Maintenance Organizations – 1.8% |  |
| Cigna Corp. | &nbsp;&nbsp;&nbsp;&nbsp;410667 | &nbsp;&nbsp;&nbsp;&nbsp;$136070404 |
| Insurance – 3.4% | Insurance – 3.4% |  |
| Aon PLC | &nbsp;&nbsp;&nbsp;&nbsp;272143 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$81681000 |
| Chubb Ltd. | &nbsp;&nbsp;&nbsp;&nbsp;337006 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;74343524 |
| Travelers Cos., Inc. | &nbsp;&nbsp;&nbsp;&nbsp;207295 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;38865739 |
| Willis Towers Watson PLC | &nbsp;&nbsp;&nbsp;&nbsp;266722 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;65234867 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$260125130 |
| Internet – 0.8% | Internet – 0.8% |  |
| Alphabet, Inc., "A" (a) | &nbsp;&nbsp;&nbsp;&nbsp;658683 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$58115601 |
| Leisure & Toys – 0.3% | Leisure & Toys – 0.3% |  |
| Electronic Arts, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;181247 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$22144758 |
| Machinery & Tools – 2.7% | Machinery & Tools – 2.7% |  |
| Eaton Corp. PLC | &nbsp;&nbsp;&nbsp;&nbsp;719086 | &nbsp;&nbsp;&nbsp;&nbsp;$112860547 |
| Ingersoll Rand, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;789375 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;41244844 |
| Regal Rexnord Corp. | &nbsp;&nbsp;&nbsp;&nbsp;435652 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;52269527 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$206374918 |

---

------

Portfolio of Investments (unaudited) – continued

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | &nbsp;&nbsp;&nbsp;**Value ($)** |
| Common Stocks – continued | Common Stocks – continued | Common Stocks – continued |
| Major Banks – 6.6% | Major Banks – 6.6% |  |
| Bank of America Corp. | &nbsp;&nbsp;2811527 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$93117774 |
| Goldman Sachs Group, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;476801 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;163723927 |
| JPMorgan Chase & Co. | &nbsp;&nbsp;1074438 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;144082136 |
| Morgan Stanley | &nbsp;&nbsp;&nbsp;&nbsp;694008 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;59004560 |
| PNC Financial Services Group, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;243142 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;38401848 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$498330245 |
| Medical & Health Technology & Services – 1.4% | Medical & Health Technology & Services – 1.4% |  |
| ICON PLC (a) | &nbsp;&nbsp;&nbsp;&nbsp;158986 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$30883031 |
| McKesson Corp. | &nbsp;&nbsp;&nbsp;&nbsp;163529 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;61342998 |
| Quest Diagnostics, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;104792 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16393660 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$108619689 |
| Medical Equipment – 2.3% | Medical Equipment – 2.3% |  |
| Becton, Dickinson and Co. | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;95022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$24164095 |
| Danaher Corp. | &nbsp;&nbsp;&nbsp;&nbsp;257873 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;68444652 |
| Medtronic PLC | &nbsp;&nbsp;&nbsp;&nbsp;764960 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;59452691 |
| Thermo Fisher Scientific, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;35715 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19667893 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$171729331 |
| Metals & Mining – 0.2% | Metals & Mining – 0.2% |  |
| Rio Tinto PLC | &nbsp;&nbsp;&nbsp;&nbsp;202736 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$14210764 |
| Other Banks & Diversified Financials – 1.8% | Other Banks & Diversified Financials – 1.8% |  |
| Northern Trust Corp. | &nbsp;&nbsp;&nbsp;&nbsp;496424 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$43928560 |
| Truist Financial Corp. | &nbsp;&nbsp;2060069 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;88644769 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$132573329 |
| Pharmaceuticals – 4.9% | Pharmaceuticals – 4.9% |  |
| Bayer AG | &nbsp;&nbsp;&nbsp;&nbsp;685571 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$35464243 |
| Johnson & Johnson | &nbsp;&nbsp;&nbsp;&nbsp;707337 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;124951081 |
| Merck & Co., Inc. | &nbsp;&nbsp;&nbsp;&nbsp;940471 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;104345257 |
| Organon & Co. | &nbsp;&nbsp;&nbsp;&nbsp;562863 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15720764 |
| Pfizer, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;682505 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;34971556 |
| Roche Holding AG | &nbsp;&nbsp;&nbsp;&nbsp;101680 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;31945104 |
| Vertex Pharmaceuticals, Inc. (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;64135 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18520905 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$365918910 |
| Railroad & Shipping – 1.0% | Railroad & Shipping – 1.0% |  |
| Union Pacific Corp. | &nbsp;&nbsp;&nbsp;&nbsp;351999 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$72888433 |
| Real Estate – 0.3% | Real Estate – 0.3% |  |
| STORE Capital Corp., REIT | &nbsp;&nbsp;&nbsp;&nbsp;627499 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$20117618 |
| Restaurants – 0.2% | Restaurants – 0.2% |  |
| Wendy's Co. | &nbsp;&nbsp;&nbsp;&nbsp;837299 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$18948076 |
| Specialty Chemicals – 1.0% | Specialty Chemicals – 1.0% |  |
| Axalta Coating Systems Ltd. (a) | &nbsp;&nbsp;1544481 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$39337931 |
| DuPont de Nemours, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;545085 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;37409184 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$76747115 |
| Specialty Stores – 0.8% | Specialty Stores – 0.8% |  |
| Ross Stores, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;104669 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$12148931 |
| Wal-Mart Stores, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;355805 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;50449591 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$62598522 |

---

------

Portfolio of Investments (unaudited) – continued

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | &nbsp;&nbsp;&nbsp;**Value ($)** |
| Common Stocks – continued | Common Stocks – continued | Common Stocks – continued |
| Telecommunications - Wireless – 0.8% | Telecommunications - Wireless – 0.8% |  |
| T-Mobile US, Inc. (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;425940 | $59631600 |
| Tobacco – 1.0% | Tobacco – 1.0% |  |
| Philip Morris International, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;763626 | $77286587 |
| Utilities - Electric Power – 2.4% | Utilities - Electric Power – 2.4% |  |
| Duke Energy Corp. | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;420510 | $43308325 |
| Exelon Corp. | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;818414 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;35380037 |
| PG&E Corp. (a) | &nbsp;&nbsp;&nbsp;3011498 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;48966957 |
| Southern Co. | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;739058 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;52776132 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$180431451 |
| **Total Common Stocks** |  | &nbsp;&nbsp;**$4437271440** |
| Bonds – 39.3% | Bonds – 39.3% | Bonds – 39.3% |
| Aerospace & Defense – 0.1% | Aerospace & Defense – 0.1% | Aerospace & Defense – 0.1% |
| BAE Systems PLC, 3.4%, 4/15/2030 (n) | $&nbsp;&nbsp;3048000 | &nbsp;&nbsp;&nbsp;$2689596 |
| Huntington Ingalls Industries, Inc., 3.844%, 5/01/2025 | &nbsp;&nbsp;1566000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1513082 |
| Raytheon Technologies Corp., 4.125%, 11/16/2028 | &nbsp;&nbsp;4900000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4689828 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$8892506 |
| Asset-Backed & Securitized – 5.5% | Asset-Backed & Securitized – 5.5% | Asset-Backed & Securitized – 5.5% |
| ACRES 2021-FL2 Issuer Ltd., "AS", FLR, 6.076% (LIBOR - 1mo. + 1.75%), 1/15/2037 (n) | $&nbsp;&nbsp;6082500 | &nbsp;&nbsp;&nbsp;$5714653 |
| Allegro CLO Ltd., 2016-1A, "BR2", FLR, 5.629% (LIBOR - 3mo. + 1.55%), 1/15/2030 (n) | &nbsp;&nbsp;7806564 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7598816 |
| Arbor Realty Trust, Inc., CLO, 2020-FL1, "AS", FLR, 5.85% (LIBOR - 1mo. + 1.4%), 2/15/2035 (n) | &nbsp;&nbsp;3610000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3512321 |
| Arbor Realty Trust, Inc., CLO, 2021-FL1, "AS", FLR, 5.47% (LIBOR - 1mo. + 1.2%), 12/15/2035 (n) | &nbsp;&nbsp;6771500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6213853 |
| Arbor Realty Trust, Inc., CLO, 2021-FL2, "B", FLR, 5.917% (LIBOR - 1mo. + 1.6%), 5/15/2036 (n) | &nbsp;&nbsp;1950000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1837337 |
| Arbor Realty Trust, Inc., CLO, 2021-FL3, "B", FLR, 5.917% (LIBOR - 1mo. + 1.6%), 8/15/2034 (n) | &nbsp;&nbsp;5818000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5294700 |
| Arbor Realty Trust, Inc., CLO, 2022-FL1, "B", FLR, 5.907% (SOFR - 30 day + 2.1%), 1/15/2037 (n) | 16706500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15971767 |
| AREIT 2019-CRE3 Trust, "AS", FLR, 5.74% (LIBOR - 1mo. + 1.3%), 9/14/2036 (n) | 10151500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9886546 |
| AREIT 2022-CRE6 Trust, "B", FLR, 5.675% (SOFR - 30 day + 1.85%), 1/16/2037 (n) | 10151500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9325990 |
| Bayview Financial Revolving Mortgage Loan Trust, FLR, 5.988% (LIBOR - 1mo. + 1.6%), 12/28/2040 (n) | &nbsp;&nbsp;1144201 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1406256 |
| BDS 2019-FL4 Ltd., "A", FLR, 5.426% (LIBOR - 1mo. + 1.10%), 8/15/2036 (n) | &nbsp;&nbsp;&nbsp;&nbsp;136322 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;136322 |
| Brazos Securitization LLC, 5.243%, 3/01/2041 (n) | &nbsp;&nbsp;5403000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5191444 |
| BSPRT 2021-FL6 Issuer Ltd., "AS", FLR, 5.617% (LIBOR - 1mo. + 1.3%), 3/15/2036 (n) | 17122500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16203244 |
| BSPRT 2021-FL7 Issuer Ltd., "B", FLR, 6.368% (LIBOR - 1mo. + 2.05%), 12/15/2038 (n) | &nbsp;&nbsp;2794000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2593665 |
| BSPRT 2022-FL8 Issuer Ltd., "B", FLR, 5.857% (SOFR - 30 day + 2.05%), 2/15/2037 (n) | &nbsp;&nbsp;5979000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5701986 |
| Business Jet Securities LLC, 2021-1A, "A", 2.162%, 4/15/2036 (n) | &nbsp;&nbsp;3514886 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3086258 |
| BXMT 2021-FL4 Ltd., "AS", FLR, 5.617% (LIBOR - 1mo. + 1.3%), 5/15/2038 (n) | 16816500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16043494 |
| CHCP 2021-FL1 Ltd., "AS", FLR, 5.74% (LIBOR - 1mo. + 1.3%) 2/15/2038 (n) | &nbsp;&nbsp;7049000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6806254 |
| Columbia Cent CLO 28 Ltd., "A-2-R", 6.231%, 11/07/2030 (n) | 11264069 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10789964 |
| Commercial Mortgage Trust, 2015-DC1, "A5", 3.35%, 2/10/2048 | &nbsp;&nbsp;7000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6663462 |
| Commercial Mortgage Trust, 2015-LC21, "A4", 3.708%, 7/10/2048 | &nbsp;&nbsp;9641397 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9176097 |
| Commercial Mortgage Trust, 2015-PC1, "A5", 3.902%, 7/10/2050 | 11000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10538073 |
| Credit Acceptance Auto Loan Trust, 2021-3A, "B", 1.38%, 7/15/2030 (n) | &nbsp;&nbsp;3623000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3324042 |
| CSAIL Commercial Mortgage Trust, 2015-C2, "A4", 3.504%, 6/15/2057 | &nbsp;&nbsp;5534308 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5251562 |
| Cutwater 2015-1A Ltd., "AR", FLR, 5.299% (LIBOR - 3mo. + 1.22%), 1/15/2029 (n) | &nbsp;&nbsp;4774744 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4742629 |
| Dryden Senior Loan Fund, 2013-26A, "AR", CLO, FLR, 4.979% (LIBOR - 3mo. + 0.9%), 4/15/2029 (n) | &nbsp;&nbsp;7681856 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7589305 |
| Dryden Senior Loan Fund, 2018-55A, "A1", CLO, FLR, 5.099% (LIBOR - 3mo. + 1.02%), 4/15/2031 (n) | 11647598 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11489692 |
| GMAC Mortgage Corp. Loan Trust, FGIC, 5.805%, 10/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;216114 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;212425 |
| GS Mortgage Securities Trust, 2015-GC30, "A4", 3.382%, 5/10/2050 | 10734280 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10178534 |
| JPMBB Commercial Mortgage Securities Trust, 2015-C28, "A4", 3.227%, 10/15/2048 | 13361337 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12639138 |
| LCCM 2021-FL2 Trust, "B", FLR, 6.217% (LIBOR - 1mo. + 1.9%), 12/13/2038 (n) | &nbsp;&nbsp;8231500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7902816 |
| LoanCore 2021-CRE5 Ltd., "AS", FLR, 6.067% (LIBOR - 1mo. + 1.75%), 7/15/2036 (n) | 16915500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15900477 |
| Magnetite XVI Ltd., 2015-16A, "AR", FLR, 4.994% (LIBOR - 3mo. + 0.8%), 1/18/2028 (n) | &nbsp;&nbsp;3644281 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3621607 |
| MF1 2020-FL4 Ltd., "A", FLR, 6.15% (LIBOR - 1mo. + 1.7%), 11/15/2035 (n) | &nbsp;&nbsp;3873348 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3796324 |
| MF1 2021-FL5 Ltd., "AS", FLR, 5.65% (LIBOR - 1mo. + 1.2%), 7/15/2036 (n) | 17497000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16870625 |
| MF1 2022-FL8 Ltd., "B", FLR, 5.775% (SOFR - 30 day + 1.95%), 2/19/2037 (n) | &nbsp;&nbsp;7392231 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6985226 |
| MidOcean Credit CLO, 2013-2A, "BR", FLR, 6.064% (LIBOR - 3mo. + 1.65%), 1/29/2030 (n) | 12682806 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12248077 |

---

------

Portfolio of Investments (unaudited) – continued

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | &nbsp;&nbsp;&nbsp;**Value ($)** |
| Bonds – continued | Bonds – continued | Bonds – continued |
| Asset-Backed & Securitized – continued | Asset-Backed & Securitized – continued | Asset-Backed & Securitized – continued |
| Morgan Stanley Bank of America Merrill Lynch Trust, 2017-C34, "A4", 3.536%, 11/15/2052 | $&nbsp;&nbsp;4195516 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$3877811 |
| Neuberger Berman CLO Ltd., 2013-15A, "BR2", FLR, 5.429% (LIBOR - 3mo. + 1.35%), 10/15/2029 (n) | &nbsp;&nbsp;5618950 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5434890 |
| Neuberger Berman CLO Ltd., 2015-20A, "ARR", FLR, 5.239% (LIBOR - 3mo. + 1.16%), 7/15/2034 (n) | &nbsp;&nbsp;5725000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5575904 |
| Oaktree CLO 2019-1A Ltd., "BR", FLR, 6.074% (LIBOR - 3mo. + 1.75%), 4/22/2030 (n) | 16678518 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15969381 |
| PFP III 2021-7 Ltd., "AS", FLR, 5.467% (LIBOR - 1mo. + 1.15%), 4/14/2038 (n) | 12525375 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11793367 |
| ReadyCap Commercial Mortgage Trust, 2021-FL5, "A", FLR, 5.389% (LIBOR - 1mo. + 1%), 4/25/2038 (n) | &nbsp;&nbsp;7389107 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7173382 |
| ReadyCap Commercial Mortgage Trust, 2021-FL7, "B", FLR, 6.188% (LIBOR - 1mo. + 1.8%), 11/25/2036 (n) | &nbsp;&nbsp;3695000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3482080 |
| Residential Funding Mortgage Securities, Inc., FGIC, 4.223%, 12/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp;140906 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;139733 |
| Santander Drive Auto Receivables Trust, 2022-6, "A2", 4.37%, 5/15/2025 | &nbsp;&nbsp;3880000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3862148 |
| Santander Retail Auto Lease Trust, 2020-A, "B", 1.88%, 3/20/2024 (n) | &nbsp;&nbsp;&nbsp;&nbsp;957766 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;956197 |
| Starwood Commercial Mortgage, 2022-FL3, "AS", FLR, 5.607% (SOFR - 30 day + 1.8%), 11/15/2038 (n) | 17154000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16244514 |
| TPG Real Estate Finance, 2021-FL4, "A", FLR, 5.526% (LIBOR - 1mo. + 1.2%), 3/15/2038 (n) | 16676500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16115686 |
| Verizon Owner Trust, 2020-A, "B", 1.98%, 7/22/2024 | &nbsp;&nbsp;7967000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7891005 |
| Voya CLO 2012-4A Ltd., "A2R3", FLR, 5.529% (LIBOR - 3mo. + 1.45%), 10/15/2030 (n) | &nbsp;&nbsp;6439259 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6115667 |
| Wells Fargo Commercial Mortgage Trust, 2015-NXS1, "A5", 3.148%, 5/15/2048 | &nbsp;&nbsp;6507931 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6174072 |
| Westlake Automobile Receivables Trust, 2022-3A, "A2", 5.24%, 7/15/2025 (n) | 17841000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17796447 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$411047265 |
| Automotive – 0.4% | Automotive – 0.4% | Automotive – 0.4% |
| General Motors Co., 6.75%, 4/01/2046 | $&nbsp;&nbsp;2545000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$2439901 |
| Hyundai Capital America, 2.65%, 2/10/2025 (n) | &nbsp;&nbsp;2611000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2455371 |
| Lear Corp., 4.25%, 5/15/2029 | &nbsp;&nbsp;2163000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1942468 |
| Magna International, Inc., 2.45%, 6/15/2030 | &nbsp;&nbsp;6114000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5052165 |
| Stellantis N.V., 2.691%, 9/15/2031 (n) | 10166000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7756682 |
| Volkswagen Group of America Finance LLC, 3.35%, 5/13/2025 (n) | 12232000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11681671 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$31328258 |
| Broadcasting – 0.2% | Broadcasting – 0.2% | Broadcasting – 0.2% |
| Walt Disney Co., 3.5%, 5/13/2040 | $11311000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$9105456 |
| Warnermedia Holdings, Inc., 5.05%, 3/15/2042 (n) | &nbsp;&nbsp;6397000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4894231 |
| Warnermedia Holdings, Inc., 5.141%, 3/15/2052 (n) | &nbsp;&nbsp;5588000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4062288 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$18061975 |
| Brokerage & Asset Managers – 0.2% | Brokerage & Asset Managers – 0.2% | Brokerage & Asset Managers – 0.2% |
| Intercontinental Exchange, Inc., 2.1%, 6/15/2030 | $&nbsp;&nbsp;6958000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$5673901 |
| Morgan Stanley Domestic Holdings, Inc., 4.5%, 6/20/2028 | &nbsp;&nbsp;3038000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2954147 |
| Raymond James Financial, Inc., 4.95%, 7/15/2046 | &nbsp;&nbsp;5992000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5327028 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$13955076 |
| Building – 0.1% | Building – 0.1% | Building – 0.1% |
| Martin Marietta Materials, Inc., 2.5%, 3/15/2030 | $&nbsp;&nbsp;&nbsp;&nbsp;622000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$512457 |
| Masco Corp., 2%, 2/15/2031 | 12460000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9586674 |
| Vulcan Materials Co., 3.5%, 6/01/2030 | &nbsp;&nbsp;1246000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1097521 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$11196652 |
| Business Services – 0.6% | Business Services – 0.6% | Business Services – 0.6% |
| Equinix, Inc., 2.625%, 11/18/2024 | $&nbsp;&nbsp;9037000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$8605880 |
| Equinix, Inc., 1.8%, 7/15/2027 | &nbsp;&nbsp;5883000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5035531 |
| Equinix, Inc., 2.5%, 5/15/2031 | &nbsp;&nbsp;7470000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6002080 |
| Experian Finance PLC, 4.25%, 2/01/2029 (n) | &nbsp;&nbsp;4011000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3700279 |
| Fiserv, Inc., 2.65%, 6/01/2030 | &nbsp;&nbsp;2445000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2055352 |
| Global Payments, Inc., 1.2%, 3/01/2026 | &nbsp;&nbsp;6442000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5615216 |
| Global Payments, Inc., 2.9%, 11/15/2031 | &nbsp;&nbsp;8226000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6486763 |
| RELX Capital, Inc., 3%, 5/22/2030 | &nbsp;&nbsp;2015000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1717077 |
| Verisk Analytics, Inc., 4.125%, 3/15/2029 | &nbsp;&nbsp;5997000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5613983 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$44832161 |

---

------

Portfolio of Investments (unaudited) – continued

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | &nbsp;&nbsp;&nbsp;**Value ($)** |
| Bonds – continued | Bonds – continued | Bonds – continued |
| Cable TV – 0.4% | Cable TV – 0.4% | Cable TV – 0.4% |
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 4.908%, 7/23/2025 | $&nbsp;&nbsp;4865000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$4768191 |
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 6.384%, 10/23/2035 | &nbsp;&nbsp;3413000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3326943 |
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 3.5%, 6/01/2041 | &nbsp;&nbsp;6803000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4432798 |
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 5.375%, 5/01/2047 | &nbsp;&nbsp;1390000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1090375 |
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 5.25%, 4/01/2053 | &nbsp;&nbsp;5724000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4418029 |
| Cox Communications, Inc., 1.8%, 10/01/2030 (n) | &nbsp;&nbsp;4310000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3277698 |
| Time Warner Entertainment Co. LP, 8.375%, 7/15/2033 | &nbsp;&nbsp;6553000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7279378 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$28593412 |
| Chemicals – 0.1% | Chemicals – 0.1% | Chemicals – 0.1% |
| RPM International, Inc., 2.95%, 1/15/2032 | $&nbsp;&nbsp;4666000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$3676420 |
| Sherwin-Williams Co., 2.3%, 5/15/2030 | &nbsp;&nbsp;4950000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4069385 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$7745805 |
| Computer Software – 0.1% | Computer Software – 0.1% | Computer Software – 0.1% |
| Dell International LLC/EMC Corp., 4.9%, 10/01/2026 | $&nbsp;&nbsp;4603000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$4530729 |
| Oracle Corp., 6.15%, 11/09/2029 | &nbsp;&nbsp;3286000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3410756 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$7941485 |
| Conglomerates – 0.3% | Conglomerates – 0.3% | Conglomerates – 0.3% |
| Carrier Global Corp., 3.377%, 4/05/2040 | $10528000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$7990465 |
| Roper Technologies, Inc., 4.2%, 9/15/2028 | &nbsp;&nbsp;2076000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2005093 |
| Roper Technologies, Inc., 2.95%, 9/15/2029 | &nbsp;&nbsp;1310000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1139281 |
| Roper Technologies, Inc., 2%, 6/30/2030 | &nbsp;&nbsp;4196000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3362656 |
| Westinghouse Air Brake Technologies Corp., 4.4%, 3/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp;966000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;950258 |
| Westinghouse Air Brake Technologies Corp., 3.2%, 6/15/2025 | &nbsp;&nbsp;2623000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2469418 |
| Westinghouse Air Brake Technologies Corp., 4.95%, 9/15/2028 | &nbsp;&nbsp;6723000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6454442 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$24371613 |
| Consumer Products – 0.1% | Consumer Products – 0.1% | Consumer Products – 0.1% |
| GSK Consumer Healthcare Capital US LLC, 3.375%, 3/24/2029 | $&nbsp;&nbsp;6157000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$5536597 |
| Consumer Services – 0.1% | Consumer Services – 0.1% | Consumer Services – 0.1% |
| Booking Holdings, Inc., 4.625%, 4/13/2030 | $&nbsp;&nbsp;4593000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$4435820 |
| Electrical Equipment – 0.1% | Electrical Equipment – 0.1% | Electrical Equipment – 0.1% |
| Arrow Electronics, Inc., 2.95%, 2/15/2032 | $&nbsp;&nbsp;9575000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$7549231 |
| Electronics – 0.3% | Electronics – 0.3% | Electronics – 0.3% |
| Broadcom, Inc., 4.15%, 11/15/2030 | $&nbsp;&nbsp;1641000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$1470586 |
| Broadcom, Inc., 4.3%, 11/15/2032 | &nbsp;&nbsp;4290000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3780952 |
| Broadcom, Inc., 3.469%, 4/15/2034 (n) | &nbsp;&nbsp;3891000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3103977 |
| Broadcom, Inc., 3.187%, 11/15/2036 (n) | &nbsp;&nbsp;7412000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5323949 |
| Broadcom, Inc., 4.926%, 5/15/2037 (n) | &nbsp;&nbsp;2223000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1939268 |
| NXP B.V./NXP Funding LLC/NXP USA, Inc., 2.5%, 5/11/2031 | &nbsp;&nbsp;7167000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5708372 |
| NXP B.V./NXP Funding LLC/NXP USA, Inc., 3.25%, 5/11/2041 | &nbsp;&nbsp;6143000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4286226 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$25613330 |
| Energy - Integrated – 0.3% | Energy - Integrated – 0.3% | Energy - Integrated – 0.3% |
| BP Capital Markets America, Inc., 2.721%, 1/12/2032 | $13688000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$11408396 |
| Eni S.p.A., 4.75%, 9/12/2028 (n) | 11589000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11215454 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$22623850 |
| Financial Institutions – 0.6% | Financial Institutions – 0.6% | Financial Institutions – 0.6% |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.875%, 1/16/2024 | $&nbsp;&nbsp;1093000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$1082573 |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 2.45%, 10/29/2026 | 13587000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11881039 |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.65%, 7/21/2027 | &nbsp;&nbsp;7729000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6986942 |
| Air Lease Corp., 2.2%, 1/15/2027 | &nbsp;&nbsp;4561000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3974721 |
| Air Lease Corp., 2.875%, 1/15/2032 | &nbsp;&nbsp;5987000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4756254 |

---

------

Portfolio of Investments (unaudited) – continued

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | &nbsp;&nbsp;&nbsp;**Value ($)** |
| Bonds – continued | Bonds – continued | Bonds – continued |
| Financial Institutions – continued | Financial Institutions – continued | Financial Institutions – continued |
| Avolon Holdings Funding Ltd., 4.375%, 5/01/2026 (n) | $&nbsp;&nbsp;2248000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$2048255 |
| Avolon Holdings Funding Ltd., 3.25%, 2/15/2027 (n) | &nbsp;&nbsp;7097000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6073505 |
| Avolon Holdings Funding Ltd., 2.528%, 11/18/2027 (n) | &nbsp;&nbsp;5867000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4689461 |
| Park Aerospace Holdings Ltd., 5.5%, 2/15/2024 (n) | &nbsp;&nbsp;2057000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2030176 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$43522926 |
| Food & Beverages – 0.4% | Food & Beverages – 0.4% | Food & Beverages – 0.4% |
| Anheuser-Busch InBev S.A., 8%, 11/15/2039 | $&nbsp;&nbsp;9558000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$11739251 |
| Anheuser-Busch InBev Worldwide, Inc., 4.375%, 4/15/2038 | &nbsp;&nbsp;2398000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2143597 |
| Constellation Brands, Inc., 3.5%, 5/09/2027 | &nbsp;&nbsp;5197000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4865635 |
| Diageo Capital PLC, 2.375%, 10/24/2029 | &nbsp;&nbsp;8369000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7139553 |
| Keurig Dr Pepper, Inc., 3.2%, 5/01/2030 | &nbsp;&nbsp;&nbsp;&nbsp;986000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;859245 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$26747281 |
| Gaming & Lodging – 0.3% | Gaming & Lodging – 0.3% | Gaming & Lodging – 0.3% |
| GLP Capital LP/GLP Financing II, Inc., 5.3%, 1/15/2029 | $&nbsp;&nbsp;5014000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$4744949 |
| Las Vegas Sands Corp., 3.9%, 8/08/2029 | &nbsp;&nbsp;2476000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2085938 |
| Marriott International, Inc., 4%, 4/15/2028 | &nbsp;&nbsp;5286000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4909017 |
| Marriott International, Inc., 4.625%, 6/15/2030 | &nbsp;&nbsp;6716000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6266793 |
| Marriott International, Inc., 2.85%, 4/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;23000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18625 |
| Marriott International, Inc., 2.75%, 10/15/2033 | &nbsp;&nbsp;5250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4005266 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$22030588 |
| Insurance – 0.4% | Insurance – 0.4% | Insurance – 0.4% |
| AIA Group Ltd., 3.375%, 4/07/2030 (n) | $&nbsp;&nbsp;7948000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$6986301 |
| Corebridge Financial, Inc., 3.9%, 4/05/2032 (n) | 11118000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9710098 |
| Metropolitan Life Global Funding I, 3.3%, 3/21/2029 (n) | 15225000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13632090 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$30328489 |
| Insurance - Health – 0.2% | Insurance - Health – 0.2% | Insurance - Health – 0.2% |
| Humana, Inc., 3.7%, 3/23/2029 | $&nbsp;&nbsp;6169000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$5647958 |
| Humana, Inc., 5.875%, 3/01/2033 | &nbsp;&nbsp;5855000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6044138 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$11692096 |
| Insurance - Property & Casualty – 0.4% | Insurance - Property & Casualty – 0.4% | Insurance - Property & Casualty – 0.4% |
| Aon Corp., 3.75%, 5/02/2029 | $13224000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$12198395 |
| Aon Corp./Aon Global Holdings PLC, 2.6%, 12/02/2031 | &nbsp;&nbsp;1057000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;862732 |
| Brown & Brown, Inc., 4.2%, 3/17/2032 | &nbsp;&nbsp;7012000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6079137 |
| Fairfax Financial Holdings Ltd., 5.625%, 8/16/2032 (n) | 10369000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9732476 |
| Liberty Mutual Group, Inc., 3.951%, 10/15/2050 (n) | &nbsp;&nbsp;3061000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2135287 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$31008027 |
| International Market Quasi-Sovereign – 0.1% | International Market Quasi-Sovereign – 0.1% | International Market Quasi-Sovereign – 0.1% |
| Temasek Financial I Ltd. (Republic of Singapore), 2.375%, 1/23/2023 (n) | $10140000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$10128756 |
| Machinery & Tools – 0.2% | Machinery & Tools – 0.2% | Machinery & Tools – 0.2% |
| Ashtead Capital, Inc., 5.5%, 8/11/2032 (n) | $10029000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$9592430 |
| CNH Industrial Capital LLC, 4.2%, 1/15/2024 | &nbsp;&nbsp;5288000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5212078 |
| CNH Industrial Capital LLC, 1.875%, 1/15/2026 | &nbsp;&nbsp;1459000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1323011 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$16127519 |
| Major Banks – 2.6% | Major Banks – 2.6% | Major Banks – 2.6% |
| Bank of America Corp., 3.366% to 1/23/2025, FLR (LIBOR - 3mo. + 0.81%) to 1/23/2026 | $&nbsp;&nbsp;4937000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$4707338 |
| Bank of America Corp., 3.5%, 4/19/2026 | &nbsp;&nbsp;8221000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7845645 |
| Bank of America Corp., 2.572% to 10/20/2031, FLR (SOFR + 1.21%) to 10/20/2032 | 11722000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9180698 |
| Barclays PLC, 2.894% to 11/24/2031, FLR (CMT - 1yr. + 1.3%) to 11/24/2032 | &nbsp;&nbsp;3616000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2753886 |
| Capital One Financial Corp., 3.75%, 3/09/2027 | &nbsp;&nbsp;5440000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5169146 |
| Capital One Financial Corp., 3.273% to 3/01/2029, FLR (SOFR - 1 day + 1.79%) to 3/01/2030 | 12356000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10564006 |
| Deutsche Bank AG, 2.311% to 11/16/2026, FLR (SOFR - 1 day + 1.219%) to 11/16/2027 | &nbsp;&nbsp;2877000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2439358 |

---

------

Portfolio of Investments (unaudited) – continued

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | &nbsp;&nbsp;&nbsp;**Value ($)** |
| Bonds – continued | Bonds – continued | Bonds – continued |
| Major Banks – continued | Major Banks – continued | Major Banks – continued |
| Goldman Sachs Group, Inc., 2.6%, 2/07/2030 | $10872000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$9072892 |
| Goldman Sachs Group, Inc., 2.383% to 7/21/2031, FLR (SOFR - 1 day + 1.248%) to 7/21/2032 | &nbsp;&nbsp;9008000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6989385 |
| HSBC Holdings PLC, 4.7% to 9/09/2031, FLR (CMT - 1yr. + 3.25%) to 9/09/2169 | &nbsp;&nbsp;3072000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2434230 |
| HSBC Holdings PLC, 4% to 9/09/2026, FLR (CMT - 1yr. + 3.222%) to 9/09/2170 | &nbsp;&nbsp;1215000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1050919 |
| JPMorgan Chase & Co., 3.782% to 2/01/2027, FLR (LIBOR - 3mo. + 1.337%) to 2/01/2028 | 12711000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11875826 |
| JPMorgan Chase & Co., 2.739% to 10/15/2029, FLR (SOFR - 1 day + 1.51%) to 10/15/2030 | &nbsp;&nbsp;2910000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2440373 |
| JPMorgan Chase & Co., 2.956% to 5/13/2030, FLR (SOFR - 1 day + 2.515%) to 5/13/2031 | &nbsp;&nbsp;1546000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1273836 |
| JPMorgan Chase & Co., 2.545% to 11/08/2031, FLR (SOFR - 1 day + 1.18%) to 11/08/2032 | 15046000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11892825 |
| JPMorgan Chase & Co., 2.963% to 1/25/2032, FLR (SOFR - 1 day + 1.26%) to 1/25/2033 | &nbsp;&nbsp;5837000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4750747 |
| JPMorgan Chase & Co., 3.109% to 4/22/2040, FLR (SOFR - 1 day + 2.46%) to 4/22/2041 | &nbsp;&nbsp;7872000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5720780 |
| JPMorgan Chase & Co., 3.897% to 1/23/2048, FLR (LIBOR - 3mo. + 1.22%) to 1/23/2049 | &nbsp;&nbsp;2847000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2181308 |
| Mitsubishi UFJ Financial Group, Inc., 2.852% to 1/19/2032, FLR (CMT - 1yr. + 1.1%) to 1/19/2033 | &nbsp;&nbsp;9207000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7329019 |
| Morgan Stanley, 3.875%, 4/29/2024 | &nbsp;&nbsp;2290000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2254426 |
| Morgan Stanley, 4%, 7/23/2025 | &nbsp;&nbsp;2685000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2621876 |
| Morgan Stanley, 2.699% to 1/22/2030, FLR (SOFR - 1 day + 1.143%) to 1/22/2031 | 19340000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15981545 |
| Morgan Stanley, 2.943% to 1/21/2032, FLR (SOFR - 1 day + 1.29%) to 1/21/2033 | 10273000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8310634 |
| Royal Bank of Canada, 1.15%, 6/10/2025 | &nbsp;&nbsp;8937000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8180317 |
| State Street Corp., 2.901% to 3/30/2025, FLR (SOFR + 2.6%) to 3/30/2026 | &nbsp;&nbsp;1121000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1066121 |
| Sumitomo Mitsui Financial Group, Inc., 2.472%, 1/14/2029 | 17106000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14407543 |
| UBS Group AG, 2.095% to 2/11/2031, FLR (CMT - 1yr. + 1.0%) to 2/11/2032 (n) | 20862000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15706853 |
| Wells Fargo & Co., 3.35% to 3/02/2032, FLR (SOFR - 1 day + 1.5%) to 3/02/2033 | 17236000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14519568 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$192721100 |
| Medical & Health Technology & Services – 0.5% | Medical & Health Technology & Services – 0.5% | Medical & Health Technology & Services – 0.5% |
| Adventist Health System/West, 5.43%, 3/01/2032 | $&nbsp;&nbsp;8829000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$8696220 |
| Alcon Finance Corp., 2.6%, 5/27/2030 (n) | &nbsp;&nbsp;&nbsp;&nbsp;944000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;801753 |
| Becton, Dickinson and Co., 4.669%, 6/06/2047 | &nbsp;&nbsp;5389000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4742110 |
| Cigna Corp., 3.2%, 3/15/2040 | &nbsp;&nbsp;1517000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1144503 |
| HCA Healthcare, Inc., 4.375%, 3/15/2042 (n) | &nbsp;&nbsp;4148000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3302671 |
| HCA, Inc., 4.125%, 6/15/2029 | &nbsp;&nbsp;5801000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5295681 |
| HCA, Inc., 5.125%, 6/15/2039 | &nbsp;&nbsp;5707000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5106532 |
| Laboratory Corp. of America Holdings, 4.7%, 2/01/2045 | &nbsp;&nbsp;3373000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2890115 |
| Northwell Healthcare, Inc., 3.979%, 11/01/2046 | &nbsp;&nbsp;&nbsp;&nbsp;490000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;375492 |
| Northwell Healthcare, Inc., 4.26%, 11/01/2047 | &nbsp;&nbsp;3797000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3015766 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$35370843 |
| Medical Equipment – 0.1% | Medical Equipment – 0.1% | Medical Equipment – 0.1% |
| Boston Scientific Corp., 2.65%, 6/01/2030 | $&nbsp;&nbsp;5104000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$4359780 |
| Metals & Mining – 0.4% | Metals & Mining – 0.4% | Metals & Mining – 0.4% |
| Anglo American Capital PLC, 3.875%, 3/16/2029 (n) | $&nbsp;&nbsp;1639000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$1471471 |
| Anglo American Capital PLC, 5.625%, 4/01/2030 (n) | &nbsp;&nbsp;4259000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4228063 |
| Anglo American Capital PLC, 2.625%, 9/10/2030 (n) | 14840000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12060245 |
| Glencore Funding LLC, 4.125%, 5/30/2023 (n) | &nbsp;&nbsp;3717000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3697615 |
| Glencore Funding LLC, 2.5%, 9/01/2030 (n) | &nbsp;&nbsp;5444000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4418839 |
| Glencore Funding LLC, 2.85%, 4/27/2031 (n) | &nbsp;&nbsp;2292000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1875601 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$27751834 |
| Midstream – 0.5% | Midstream – 0.5% | Midstream – 0.5% |
| Cheniere Corpus Christi Holdings LLC, 3.7%, 11/15/2029 | $&nbsp;&nbsp;5846000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$5284323 |
| Enbridge, Inc., 2.5%, 1/15/2025 | &nbsp;&nbsp;3055000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2890194 |
| Energy Transfer LP, 5.75%, 2/15/2033 | &nbsp;&nbsp;7608000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7443363 |
| Kinder Morgan Energy Partners LP, 4.15%, 2/01/2024 | &nbsp;&nbsp;4439000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4378995 |
| ONEOK, Inc., 4.95%, 7/13/2047 | &nbsp;&nbsp;7267000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5853016 |
| Plains All American Pipeline LP, 3.8%, 9/15/2030 | &nbsp;&nbsp;6093000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5295311 |
| Sabine Pass Liquefaction LLC, 4.5%, 5/15/2030 | &nbsp;&nbsp;1665000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1543316 |
| Spectra Energy Partners LP, 3.375%, 10/15/2026 | &nbsp;&nbsp;2677000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2491006 |
| Targa Resources Corp., 4.2%, 2/01/2033 | &nbsp;&nbsp;2470000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2125098 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$37304622 |

---

------

Portfolio of Investments (unaudited) – continued

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | &nbsp;&nbsp;&nbsp;**Value ($)** |
| Bonds – continued | Bonds – continued | Bonds – continued |
| Mortgage-Backed – 12.6% | Mortgage-Backed – 12.6% |  |
| Fannie Mae, 2.73%, 4/01/2023 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;564218 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$559520 |
| Fannie Mae, 2.41%, 5/01/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;856033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;846248 |
| Fannie Mae, 2.62%, 5/01/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;561220 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;555197 |
| Fannie Mae, 5.25%, 8/01/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;866135 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;862672 |
| Fannie Mae, 5%, 3/25/2025 - 3/01/2042 | &nbsp;&nbsp;&nbsp;&nbsp;4447008 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4513363 |
| Fannie Mae, 4.54%, 7/01/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;882484 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;879999 |
| Fannie Mae, 3.95%, 1/01/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;851398 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;831794 |
| Fannie Mae, 3%, 11/01/2028 - 9/01/2046 | &nbsp;&nbsp;&nbsp;&nbsp;7685672 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7247401 |
| Fannie Mae, 6.5%, 6/01/2031 - 7/01/2037 | &nbsp;&nbsp;&nbsp;&nbsp;1385062 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1428286 |
| Fannie Mae, 2.5%, 11/01/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;168038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;156803 |
| Fannie Mae, 5.5%, 2/01/2033 - 4/01/2040 | &nbsp;&nbsp;&nbsp;&nbsp;6506969 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6636315 |
| Fannie Mae, 3%, 2/25/2033 (i) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;831313 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;76049 |
| Fannie Mae, 4.5%, 8/01/2033 - 6/01/2044 | &nbsp;&nbsp;11476539 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11352802 |
| Fannie Mae, 6%, 1/01/2034 - 7/01/2037 | &nbsp;&nbsp;&nbsp;&nbsp;3828738 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3914784 |
| Fannie Mae, 3.5%, 4/01/2038 - 7/01/2046 | &nbsp;&nbsp;30786279 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;28723629 |
| Fannie Mae, 3.25%, 5/25/2040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;264635 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;244999 |
| Fannie Mae, 4%, 9/01/2040 - 6/01/2047 | &nbsp;&nbsp;25287302 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24267941 |
| Fannie Mae, 2%, 10/25/2040 - 4/25/2046 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;709730 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;651042 |
| Fannie Mae, 4%, 7/25/2046 (i) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;826448 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;158069 |
| Fannie Mae, UMBS, 2.5%, 11/01/2036 - 11/01/2052 | 146642331 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;125161779 |
| Fannie Mae, UMBS, 2%, 4/01/2037 - 4/01/2052 | &nbsp;&nbsp;77028119 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;65309653 |
| Fannie Mae, UMBS, 1.5%, 2/01/2042 - 9/01/2051 | &nbsp;&nbsp;12208372 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9429036 |
| Fannie Mae, UMBS, 3%, 6/01/2051 - 11/01/2052 | &nbsp;&nbsp;53062444 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;46690160 |
| Fannie Mae, UMBS, 3.5%, 5/01/2052 | &nbsp;&nbsp;&nbsp;&nbsp;2139833 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1944676 |
| Fannie Mae, UMBS, 4.5%, 9/01/2052 - 10/01/2052 | &nbsp;&nbsp;&nbsp;&nbsp;4520282 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4358402 |
| Fannie Mae, UMBS, 5%, 9/01/2052 | &nbsp;&nbsp;&nbsp;&nbsp;6841496 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6746883 |
| Fannie Mae, UMBS, 4%, 11/01/2052 | &nbsp;&nbsp;&nbsp;&nbsp;6574345 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6166990 |
| Fannie Mae, UMBS, 6%, 12/01/2052 | &nbsp;&nbsp;11100003 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11267213 |
| Fannie Mae, UMBS, 5.5%, 1/01/2053 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;999900 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1002584 |
| Freddie Mac, 3.111%, 2/25/2023 | &nbsp;&nbsp;&nbsp;&nbsp;1116593 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1113107 |
| Freddie Mac, 3.32%, 2/25/2023 | &nbsp;&nbsp;&nbsp;&nbsp;1353569 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1349165 |
| Freddie Mac, 3.25%, 4/25/2023 - 11/25/2061 | &nbsp;&nbsp;&nbsp;&nbsp;6626333 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6362397 |
| Freddie Mac, 3.06%, 7/25/2023 | &nbsp;&nbsp;&nbsp;&nbsp;1116000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1105023 |
| Freddie Mac, 3.458%, 8/25/2023 | &nbsp;&nbsp;&nbsp;&nbsp;2538691 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2515025 |
| Freddie Mac, 0.903%, 4/25/2024 (i) | &nbsp;&nbsp;&nbsp;&nbsp;7469830 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;69955 |
| Freddie Mac, 0.505%, 7/25/2024 (i) | &nbsp;&nbsp;40823000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;320428 |
| Freddie Mac, 0.6%, 7/25/2024 (i) | &nbsp;&nbsp;11521570 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;77469 |
| Freddie Mac, 4.5%, 8/01/2024 - 5/01/2042 | &nbsp;&nbsp;&nbsp;&nbsp;1800569 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1786191 |
| Freddie Mac, 0.318%, 8/25/2024 (i) | &nbsp;&nbsp;44106000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;324228 |
| Freddie Mac, 0.387%, 8/25/2024 (i) | &nbsp;&nbsp;72188281 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;449026 |
| Freddie Mac, 3.064%, 8/25/2024 | &nbsp;&nbsp;&nbsp;&nbsp;2236721 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2175281 |
| Freddie Mac, 0.341%, 10/25/2024 (i) | &nbsp;&nbsp;52404235 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;241956 |
| Freddie Mac, 3.171%, 10/25/2024 | &nbsp;&nbsp;&nbsp;&nbsp;3005000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2910568 |
| Freddie Mac, 0.274%, 11/25/2024 (i) | &nbsp;&nbsp;44690000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;211545 |
| Freddie Mac, 2.67%, 12/25/2024 | &nbsp;&nbsp;&nbsp;&nbsp;3687000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3535388 |
| Freddie Mac, 3.329%, 5/25/2025 | &nbsp;&nbsp;&nbsp;&nbsp;4623000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4477399 |
| Freddie Mac, 3.5%, 12/01/2025 - 10/25/2058 | &nbsp;&nbsp;14703926 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13747695 |
| Freddie Mac, 0.639%, 6/25/2027 (i) | &nbsp;&nbsp;39273000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1029275 |
| Freddie Mac, 0.749%, 6/25/2027 (i) | &nbsp;&nbsp;12513687 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;335763 |
| Freddie Mac, 0.574%, 7/25/2027 (i) | &nbsp;&nbsp;33464410 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;724026 |
| Freddie Mac, 0.328%, 8/25/2027 (i) | &nbsp;&nbsp;27934000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;411588 |
| Freddie Mac, 0.424%, 8/25/2027 (i) | &nbsp;&nbsp;17588791 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;293754 |
| Freddie Mac, 0.279%, 9/25/2027 (i) | &nbsp;&nbsp;30183000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;391486 |
| Freddie Mac, 0.196%, 11/25/2027 (i) | &nbsp;&nbsp;47333000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;457999 |
| Freddie Mac, 0.287%, 11/25/2027 (i) | &nbsp;&nbsp;33536660 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;391614 |
| Freddie Mac, 0.327%, 11/25/2027 (i) | &nbsp;&nbsp;29779448 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;407687 |
| Freddie Mac, 0.246%, 12/25/2027 (i) | &nbsp;&nbsp;29308000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;348449 |
| Freddie Mac, 0.29%, 12/25/2027 (i) | &nbsp;&nbsp;32765000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;457698 |
| Freddie Mac, 0.368%, 12/25/2027 (i) | &nbsp;&nbsp;51248143 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;786695 |

---

------

Portfolio of Investments (unaudited) – continued

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | &nbsp;&nbsp;&nbsp;**Value ($)** |
| Bonds – continued | Bonds – continued | Bonds – continued |
| Mortgage-Backed – continued | Mortgage-Backed – continued |  |
| Freddie Mac, 1.09%, 7/25/2029 (i) | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;854987 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$48678 |
| Freddie Mac, 1.143%, 8/25/2029 (i) | &nbsp;&nbsp;13348771 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;795015 |
| Freddie Mac, 1.8%, 4/25/2030 (i) | &nbsp;&nbsp;&nbsp;&nbsp;2500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;263222 |
| Freddie Mac, 1.868%, 4/25/2030 (i) | &nbsp;&nbsp;&nbsp;&nbsp;7819828 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;833131 |
| Freddie Mac, 1.665%, 5/25/2030 (i) | &nbsp;&nbsp;&nbsp;&nbsp;4048749 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;398875 |
| Freddie Mac, 1.797%, 5/25/2030 (i) | &nbsp;&nbsp;&nbsp;&nbsp;8995049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;960087 |
| Freddie Mac, 1.341%, 6/25/2030 (i) | &nbsp;&nbsp;&nbsp;&nbsp;3687431 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;298089 |
| Freddie Mac, 1.599%, 8/25/2030 (i) | &nbsp;&nbsp;&nbsp;&nbsp;3331192 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;326050 |
| Freddie Mac, 1.169%, 9/25/2030 (i) | &nbsp;&nbsp;&nbsp;&nbsp;2196896 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;158176 |
| Freddie Mac, 1.08%, 11/25/2030 (i) | &nbsp;&nbsp;&nbsp;&nbsp;4320889 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;293609 |
| Freddie Mac, 0.329%, 1/25/2031 (i) | &nbsp;&nbsp;17102003 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;341252 |
| Freddie Mac, 0.781%, 1/25/2031 (i) | &nbsp;&nbsp;&nbsp;&nbsp;6541106 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;326429 |
| Freddie Mac, 0.936%, 1/25/2031 (i) | &nbsp;&nbsp;&nbsp;&nbsp;4767487 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;284989 |
| Freddie Mac, 0.516%, 3/25/2031 (i) | &nbsp;&nbsp;13856650 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;445950 |
| Freddie Mac, 0.732%, 3/25/2031 (i) | &nbsp;&nbsp;&nbsp;&nbsp;5934811 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;286524 |
| Freddie Mac, 1.22%, 5/25/2031 (i) | &nbsp;&nbsp;&nbsp;&nbsp;2518959 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;200320 |
| Freddie Mac, 0.937%, 7/25/2031 (i) | &nbsp;&nbsp;&nbsp;&nbsp;4010843 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;253940 |
| Freddie Mac, 0.508%, 8/25/2031 (i) | &nbsp;&nbsp;&nbsp;&nbsp;5126231 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;176177 |
| Freddie Mac, 0.536%, 9/25/2031 (i) | &nbsp;&nbsp;16898337 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;642853 |
| Freddie Mac, 0.855%, 9/25/2031 (i) | &nbsp;&nbsp;&nbsp;&nbsp;5075984 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;298011 |
| Freddie Mac, 0.349%, 11/25/2031 (i) | &nbsp;&nbsp;25136487 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;645568 |
| Freddie Mac, 0.497%, 12/25/2031 (i) | &nbsp;&nbsp;23600379 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;836581 |
| Freddie Mac, 0.567%, 12/25/2031 (i) | &nbsp;&nbsp;40016231 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1579793 |
| Freddie Mac, 0.297%, 11/25/2032 (i) | &nbsp;&nbsp;24426324 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;504621 |
| Freddie Mac, 3%, 2/15/2033 (i) | &nbsp;&nbsp;&nbsp;&nbsp;1009834 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;63925 |
| Freddie Mac, 6%, 3/01/2033 - 6/01/2037 | &nbsp;&nbsp;&nbsp;&nbsp;1528331 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1574741 |
| Freddie Mac, 5%, 9/01/2033 - 7/01/2041 | &nbsp;&nbsp;&nbsp;&nbsp;2336820 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2373041 |
| Freddie Mac, 5.5%, 12/01/2033 - 10/01/2035 | &nbsp;&nbsp;&nbsp;&nbsp;1381508 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1412741 |
| Freddie Mac, 6.5%, 5/01/2034 - 7/01/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;575202 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;591707 |
| Freddie Mac, 5.5%, 2/15/2036 (i) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;157404 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25870 |
| Freddie Mac, 4%, 8/01/2037 - 4/01/2044 | &nbsp;&nbsp;&nbsp;&nbsp;5428165 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5217055 |
| Freddie Mac, 3%, 1/01/2038 - 2/25/2059 | &nbsp;&nbsp;23809894 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;21569660 |
| Freddie Mac, 4.5%, 12/15/2040 (i) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;123438 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11002 |
| Freddie Mac, 4%, 8/15/2044 (i) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;169159 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20328 |
| Freddie Mac, UMBS, 5%, 7/01/2035 - 8/01/2052 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;774210 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;773163 |
| Freddie Mac, UMBS, 6%, 1/01/2036 - 3/01/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;111899 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;113830 |
| Freddie Mac, UMBS, 2.5%, 3/01/2037 - 6/01/2052 | &nbsp;&nbsp;61995165 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;53373267 |
| Freddie Mac, UMBS, 2%, 7/01/2037 - 4/01/2052 | 107651602 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;89080671 |
| Freddie Mac, UMBS, 3%, 10/01/2037 - 10/01/2052 | &nbsp;&nbsp;21024885 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18746100 |
| Freddie Mac, UMBS, 3.5%, 12/01/2046 - 9/01/2052 | &nbsp;&nbsp;21461164 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19578694 |
| Freddie Mac, UMBS, 4%, 8/01/2047 - 5/01/2052 | &nbsp;&nbsp;10907677 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10321957 |
| Freddie Mac, UMBS, 1.5%, 3/01/2051 - 10/01/2051 | &nbsp;&nbsp;&nbsp;&nbsp;1755265 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1362343 |
| Freddie Mac, UMBS, 4.5%, 10/01/2052 - 1/01/2053 | &nbsp;&nbsp;10689170 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10288927 |
| Freddie Mac, UMBS, 5.5%, 12/01/2052 - 1/01/2053 | &nbsp;&nbsp;24899100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24965932 |
| Ginnie Mae, 6%, 9/15/2032 - 1/15/2038 | &nbsp;&nbsp;&nbsp;&nbsp;1397222 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1467077 |
| Ginnie Mae, 5.5%, 12/15/2032 - 4/20/2035 | &nbsp;&nbsp;&nbsp;&nbsp;1097775 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1148779 |
| Ginnie Mae, 4.5%, 7/15/2033 - 12/20/2052 | &nbsp;&nbsp;39999620 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;38869123 |
| Ginnie Mae, 5%, 7/20/2033 - 11/20/2052 | &nbsp;&nbsp;32378852 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;32101674 |
| Ginnie Mae, 4%, 1/20/2041 - 10/20/2052 | &nbsp;&nbsp;16709983 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15874706 |
| Ginnie Mae, 3.5%, 12/15/2041 - 11/20/2052 | &nbsp;&nbsp;28073807 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25945544 |
| Ginnie Mae, 3%, 4/20/2045 - 10/20/2052 | &nbsp;&nbsp;36015388 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;32308290 |
| Ginnie Mae, 2.5%, 8/20/2051 - 6/20/2052 | &nbsp;&nbsp;53405491 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;46304551 |
| Ginnie Mae, 2%, 1/20/2052 | &nbsp;&nbsp;10172927 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8524851 |
| Ginnie Mae, 0.586%, 2/16/2059 (i) | &nbsp;&nbsp;&nbsp;&nbsp;6978501 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;242721 |
| Ginnie Mae, TBA, 6%, 1/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp;3700000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3758789 |
| Ginnie Mae, TBA, 2%, 1/23/2053 | &nbsp;&nbsp;15100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12651312 |
| Ginnie Mae, TBA, 5.5%, 1/23/2053 | &nbsp;&nbsp;&nbsp;&nbsp;9575000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9628540 |
| UMBS, TBA, 2%, 1/12/2053 | &nbsp;&nbsp;31875000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25929046 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$948210066 |

---

------

Portfolio of Investments (unaudited) – continued

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | &nbsp;&nbsp;&nbsp;**Value ($)** |
| Bonds – continued | Bonds – continued | Bonds – continued |
| Municipals – 0.3% | Municipals – 0.3% | Municipals – 0.3% |
| New Jersey Economic Development Authority State Pension Funding Rev., Taxable, "A", NPFG, 7.425%, 2/15/2029 | $&nbsp;&nbsp;8500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$9150271 |
| New Jersey Turnpike Authority Rev., Taxable (Build America Bonds), "F", 7.414%, 1/01/2040 | &nbsp;&nbsp;5815000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7208469 |
| State of Florida, Taxable, "A", 2.154%, 7/01/2030 | &nbsp;&nbsp;4514000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3696119 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$20054859 |
| Natural Gas - Distribution – 0.1% | Natural Gas - Distribution – 0.1% | Natural Gas - Distribution – 0.1% |
| NiSource, Inc., 2.95%, 9/01/2029 | $&nbsp;&nbsp;3979000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$3450958 |
| NiSource, Inc., 5.65%, 2/01/2045 | &nbsp;&nbsp;1946000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1898723 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$5349681 |
| Natural Gas - Pipeline – 0.1% | Natural Gas - Pipeline – 0.1% | Natural Gas - Pipeline – 0.1% |
| APA Infrastructure Ltd., 4.2%, 3/23/2025 (n) | $&nbsp;&nbsp;8334000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$8047086 |
| APT Pipelines Ltd., 4.25%, 7/15/2027 (n) | &nbsp;&nbsp;&nbsp;&nbsp;777000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;725586 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$8772672 |
| Network & Telecom – 0.3% | Network & Telecom – 0.3% | Network & Telecom – 0.3% |
| AT&T, Inc., 2.75%, 6/01/2031 | $&nbsp;&nbsp;6826000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$5656803 |
| AT&T, Inc., 3.65%, 9/15/2059 | &nbsp;&nbsp;5210000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3487214 |
| Verizon Communications, Inc., 3.15%, 3/22/2030 | &nbsp;&nbsp;3413000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3009723 |
| Verizon Communications, Inc., 2.55%, 3/21/2031 | &nbsp;&nbsp;4203000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3456373 |
| Verizon Communications, Inc., 4.272%, 1/15/2036 | &nbsp;&nbsp;4812000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4283568 |
| Verizon Communications, Inc., 4.812%, 3/15/2039 | &nbsp;&nbsp;6030000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5523436 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$25417117 |
| Oils – 0.2% | Oils – 0.2% | Oils – 0.2% |
| Marathon Petroleum Corp., 4.75%, 9/15/2044 | $&nbsp;&nbsp;2845000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$2375570 |
| Phillips 66 Co., 2.15%, 12/15/2030 | &nbsp;&nbsp;9976000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7987542 |
| Valero Energy Corp., 6.625%, 6/15/2037 | &nbsp;&nbsp;6797000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7232932 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$17596044 |
| Other Banks & Diversified Financials – 0.3% | Other Banks & Diversified Financials – 0.3% | Other Banks & Diversified Financials – 0.3% |
| Macquarie Group Ltd., 4.442% to 6/21/2032, FLR (SOFR - 1 day + 2.405%) to 6/21/2033 (n) | $19423000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$16857129 |
| Northern Trust Corp., 6.125%, 11/02/2032 | &nbsp;&nbsp;9142000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9639711 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$26496840 |
| Pollution Control – 0.0% | Pollution Control – 0.0% | Pollution Control – 0.0% |
| Republic Services, Inc., 1.45%, 2/15/2031 | $&nbsp;&nbsp;2765000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$2131596 |
| Real Estate - Office – 0.0% | Real Estate - Office – 0.0% | Real Estate - Office – 0.0% |
| Boston Properties Ltd. LP, REIT, 2.55%, 4/01/2032 | $&nbsp;&nbsp;4222000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$3209782 |
| Real Estate - Retail – 0.1% | Real Estate - Retail – 0.1% | Real Estate - Retail – 0.1% |
| Brixmor Operating Partnership LP, REIT, 4.125%, 5/15/2029 | $&nbsp;&nbsp;&nbsp;&nbsp;567000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$506933 |
| Brixmor Operating Partnership LP, REIT, 4.05%, 7/01/2030 | &nbsp;&nbsp;5371000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4698577 |
| Realty Income Corp., REIT, 3.25%, 1/15/2031 | &nbsp;&nbsp;1594000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1382263 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$6587773 |
| Retailers – 0.1% | Retailers – 0.1% | Retailers – 0.1% |
| Alimentation Couche-Tard, Inc., 3.439%, 5/13/2041 (n) | $&nbsp;&nbsp;6827000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$4859623 |
| Best Buy Co., Inc., 4.45%, 10/01/2028 | &nbsp;&nbsp;5549000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5340794 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$10200417 |
| Specialty Stores – 0.1% | Specialty Stores – 0.1% | Specialty Stores – 0.1% |
| Genuine Parts Co., 2.75%, 2/01/2032 | $&nbsp;&nbsp;9067000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$7277427 |
| Telecommunications - Wireless – 0.6% | Telecommunications - Wireless – 0.6% | Telecommunications - Wireless – 0.6% |
| American Tower Corp., REIT, 3%, 6/15/2023 | $&nbsp;&nbsp;2324000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$2299272 |
| American Tower Corp., REIT, 3.6%, 1/15/2028 | &nbsp;&nbsp;2895000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2660735 |
| American Tower Trust I, REIT, 3.07%, 3/15/2023 (n) | &nbsp;&nbsp;5228000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5198730 |

---

------

Portfolio of Investments (unaudited) – continued

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | &nbsp;&nbsp;&nbsp;**Value ($)** |
| Bonds – continued | Bonds – continued | Bonds – continued |
| Telecommunications - Wireless – continued | Telecommunications - Wireless – continued | Telecommunications - Wireless – continued |
| Crown Castle, Inc., REIT, 1.35%, 7/15/2025 | $&nbsp;&nbsp;&nbsp;&nbsp;2267000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$2062306 |
| Crown Castle, Inc., REIT, 3.65%, 9/01/2027 | &nbsp;&nbsp;&nbsp;&nbsp;7941000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7375897 |
| Rogers Communications, Inc., 3.8%, 3/15/2032 (n) | &nbsp;&nbsp;17162000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14810008 |
| T-Mobile USA, Inc., 2.05%, 2/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp;6192000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5317888 |
| T-Mobile USA, Inc., 4.5%, 4/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp;7223000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5938300 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$45663136 |
| Tobacco – 0.2% | Tobacco – 0.2% | Tobacco – 0.2% |
| B.A.T. International Finance PLC, 4.448%, 3/16/2028 | $&nbsp;&nbsp;13867000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$12843078 |
| Philip Morris International, Inc., 5.125%, 11/17/2027 | &nbsp;&nbsp;&nbsp;&nbsp;3015000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3037020 |
| Philip Morris International, Inc., 5.625%, 11/17/2029 | &nbsp;&nbsp;&nbsp;&nbsp;1299000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1317807 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$17197905 |
| Transportation - Services – 0.1% | Transportation - Services – 0.1% | Transportation - Services – 0.1% |
| ERAC USA Finance LLC, 7%, 10/15/2037 (n) | $&nbsp;&nbsp;&nbsp;&nbsp;5241000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$5693887 |
| U.S. Government Agencies and Equivalents – 0.0% | U.S. Government Agencies and Equivalents – 0.0% | U.S. Government Agencies and Equivalents – 0.0% |
| Small Business Administration, 4.35%, 7/01/2023 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6565 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$6545 |
| Small Business Administration, 4.77%, 4/01/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;56847 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;56013 |
| Small Business Administration, 5.18%, 5/01/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;73302 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;72528 |
| Small Business Administration, 5.52%, 6/01/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;32320 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;32332 |
| Small Business Administration, 4.99%, 9/01/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;99499 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;97779 |
| Small Business Administration, 4.95%, 3/01/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;106674 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;106724 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$371921 |
| U.S. Treasury Obligations – 7.7% | U.S. Treasury Obligations – 7.7% | U.S. Treasury Obligations – 7.7% |
| U.S. Treasury Bonds, 3.5%, 2/15/2039 | $&nbsp;&nbsp;&nbsp;&nbsp;5140000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$4827785 |
| U.S. Treasury Bonds, 1.375%, 11/15/2040 | &nbsp;&nbsp;15000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9751758 |
| U.S. Treasury Bonds, 1.75%, 8/15/2041 | &nbsp;&nbsp;28989000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19838215 |
| U.S. Treasury Bonds, 2.375%, 2/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp;9700000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7406102 |
| U.S. Treasury Bonds, 2.875%, 5/15/2043 | &nbsp;&nbsp;55466000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;45271956 |
| U.S. Treasury Bonds, 2.5%, 2/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp;5313000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3999900 |
| U.S. Treasury Bonds, 3%, 11/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;215000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;176854 |
| U.S. Treasury Bonds, 2.875%, 11/15/2046 | &nbsp;&nbsp;14148000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11336638 |
| U.S. Treasury Bonds, 3%, 2/15/2048 | &nbsp;&nbsp;22502000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18443729 |
| U.S. Treasury Bonds, 2.375%, 11/15/2049 | 151800000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;109711079 |
| U.S. Treasury Bonds, 1.875%, 11/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp;9015000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5709735 |
| U.S. Treasury Bonds, 2.25%, 2/15/2052 | &nbsp;&nbsp;25958400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18051228 |
| U.S. Treasury Notes, 1.375%, 1/31/2025 (f) | &nbsp;&nbsp;97600000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;91728750 |
| U.S. Treasury Notes, 0.375%, 11/30/2025 | 193700000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;173255569 |
| U.S. Treasury Notes, 2.5%, 3/31/2027 | &nbsp;&nbsp;50000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;46919922 |
| U.S. Treasury Notes, 2.75%, 4/30/2027 | &nbsp;&nbsp;15067600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14278905 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$580708125 |
| Utilities - Electric Power – 0.9% | Utilities - Electric Power – 0.9% | Utilities - Electric Power – 0.9% |
| American Electric Power Co., Inc., 5.95%, 11/01/2032 | $&nbsp;&nbsp;&nbsp;&nbsp;4413000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$4607692 |
| American Transmission Systems, Inc., 2.65%, 1/15/2032 (n) | &nbsp;&nbsp;&nbsp;&nbsp;1738000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1426310 |
| Duke Energy Corp., 2.65%, 9/01/2026 | &nbsp;&nbsp;&nbsp;&nbsp;1236000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1141587 |
| Duke Energy Corp., 4.5%, 8/15/2032 | &nbsp;&nbsp;10428000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9767917 |
| Duke Energy Progress LLC, 3.45%, 3/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp;5584000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5140158 |
| Enel Finance International N.V., 6.8%, 10/14/2025 (n) | &nbsp;&nbsp;&nbsp;&nbsp;2896000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2973696 |
| Enel Finance International N.V., 4.75%, 5/25/2047 (n) | &nbsp;&nbsp;&nbsp;&nbsp;2194000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1720760 |
| Evergy, Inc., 2.9%, 9/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp;5207000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4496447 |
| Exelon Corp., 4.05%, 4/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp;5246000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4870374 |
| FirstEnergy Corp., 3.4%, 3/01/2050 | &nbsp;&nbsp;&nbsp;&nbsp;3479000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2295444 |
| Georgia Power Co., 3.7%, 1/30/2050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;482000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;358849 |
| Jersey Central Power & Light Co., 4.3%, 1/15/2026 (n) | &nbsp;&nbsp;&nbsp;&nbsp;4141000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3999613 |
| Jersey Central Power & Light Co., 2.75%, 3/01/2032 (n) | &nbsp;&nbsp;&nbsp;&nbsp;2958000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2388690 |
| Oncor Electric Delivery Co. LLC, 5.75%, 3/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp;3548000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3679727 |

---

------

Portfolio of Investments (unaudited) – continued

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | &nbsp;&nbsp;&nbsp;**Value ($)** |
| Bonds – continued | Bonds – continued | Bonds – continued |
| Utilities - Electric Power – continued | Utilities - Electric Power – continued | Utilities - Electric Power – continued |
| Pacific Gas & Electric Co., 2.1%, 8/01/2027 | $&nbsp;&nbsp;1561000 | &nbsp;&nbsp;&nbsp;$1333143 |
| Pacific Gas & Electric Co., 3%, 6/15/2028 | &nbsp;&nbsp;4502000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3891993 |
| Pacific Gas & Electric Co., 2.5%, 2/01/2031 | &nbsp;&nbsp;6796000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5272924 |
| Pacific Gas & Electric Co., 3.3%, 8/01/2040 | &nbsp;&nbsp;3004000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2033912 |
| Xcel Energy, Inc., 3.4%, 6/01/2030 | &nbsp;&nbsp;3122000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2784992 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$64184228 |
| Utilities - Gas – 0.0% | Utilities - Gas – 0.0% | Utilities - Gas – 0.0% |
| East Ohio Gas Co., 2%, 6/15/2030 (n) | $&nbsp;&nbsp;3679000 | &nbsp;&nbsp;&nbsp;$2893576 |
| **Total Bonds** |  | &nbsp;&nbsp;**$2960835949** |
| Convertible Preferred Stocks – 0.7% | Convertible Preferred Stocks – 0.7% | Convertible Preferred Stocks – 0.7% |
| Automotive – 0.2% | Automotive – 0.2% |  |
| Aptiv PLC, 5.5% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;122000 | $13093040 |
| Medical Equipment – 0.3% | Medical Equipment – 0.3% |  |
| Boston Scientific Corp., 5.5% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;214080 | $24580666 |
| Telecommunications - Wireless – 0.2% | Telecommunications - Wireless – 0.2% |  |
| T-Mobile USA, Inc., 5.25% (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16855 | $19309610 |
| **Total Convertible Preferred Stocks** | **Total Convertible Preferred Stocks** | &nbsp;&nbsp;&nbsp;&nbsp;**$56983316** |
| Preferred Stocks – 0.7% | Preferred Stocks – 0.7% | Preferred Stocks – 0.7% |
| Computer Software - Systems – 0.2% |  |  |
| Samsung Electronics Co. Ltd. | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;435195 | $17511314 |
| Consumer Products – 0.5% |  |  |
| Henkel AG & Co. KGaA | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;532114 | $37035486 |
| **Total Preferred Stocks** |  | &nbsp;&nbsp;&nbsp;&nbsp;**$54546800** |
| Investment Companies (h) – 1.2% | Investment Companies (h) – 1.2% | Investment Companies (h) – 1.2% |
| Money Market Funds – 1.2% | Money Market Funds – 1.2% |  |
| MFS Institutional Money Market Portfolio, 4.02% (v) | 90064494 | &nbsp;&nbsp;&nbsp;$90091514 |
| Other Assets, Less Liabilities – (0.8)% |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(63306725) |
| **Net Assets – 100.0%** | **Net Assets – 100.0%** | &nbsp;&nbsp;&nbsp;**$7536422294** |

---

(a) Non-income producing security.

(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 $90,091,514 and $7,509,637,505, respectively.

(i) Interest only security for which the fund receives interest on notional principal (Par amount). Par amount shown is the notional principal and does not reflect the cost of the
security.

(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 $592,460,309, representing 7.9% 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: |
| ADR | American Depositary Receipt |
| CLO | Collateralized Loan Obligation |
| CMT | Constant Maturity Treasury |
| FGIC | Financial Guaranty Insurance Co. |
| 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. |

---

------

Portfolio of Investments (unaudited) – continued

---

| | |
|:---|:---|
| LIBOR | London Interbank Offered Rate |
| NPFG | National Public Finance Guarantee Corp. |
| REIT | Real Estate Investment Trust |
| SOFR | Secured Overnight Financing Rate |
| TBA | To Be Announced |
| UMBS | Uniform Mortgage-Backed Security |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Derivative Contracts at 12/31/22** | **Derivative Contracts at 12/31/22** | **Derivative Contracts at 12/31/22** | **Derivative Contracts at 12/31/22** | **Derivative Contracts at 12/31/22** | **Derivative Contracts at 12/31/22** | **Derivative Contracts at 12/31/22** |
| **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 2 yr | &nbsp;&nbsp;&nbsp;Long | &nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;191 | &nbsp;&nbsp;$39169922 | &nbsp;&nbsp;March – 2023 | &nbsp;&nbsp;&nbsp;&nbsp;$28277 |
| U.S. Treasury Ultra Note 10 yr | &nbsp;&nbsp;Short | &nbsp;&nbsp;USD | &nbsp;&nbsp;1216 | &nbsp;&nbsp;143830000 | &nbsp;&nbsp;March – 2023 | &nbsp;&nbsp;&nbsp;&nbsp;1235402 |
|  |  |  |  |  |  | &nbsp;&nbsp;$1263679 |
| **Liability Derivatives** | **Liability Derivatives** | **Liability Derivatives** | **Liability Derivatives** | **Liability Derivatives** | **Liability Derivatives** | **Liability Derivatives** |
| ***Interest Rate Futures*** | ***Interest Rate Futures*** | ***Interest Rate Futures*** | ***Interest Rate Futures*** | ***Interest Rate Futures*** |  |  |
| U.S. Treasury Note 5 yr | &nbsp;&nbsp;&nbsp;Long | &nbsp;&nbsp;USD | &nbsp;&nbsp;2040 | &nbsp;&nbsp;$220176564 | &nbsp;&nbsp;March – 2023 | &nbsp;&nbsp;$(230367) |
| U.S. Treasury Ultra Bond | &nbsp;&nbsp;&nbsp;Long | &nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;515 | &nbsp;&nbsp;69170937 | &nbsp;&nbsp;March – 2023 | &nbsp;&nbsp;&nbsp;&nbsp;(2789153) |
|  |  |  |  |  |  | &nbsp;&nbsp;$(3019520) |

---

At December 31, 2022, the fund had liquid securities with an aggregate value of $4,443,564 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
12/31/22 (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, equity securities, including restricted equity securities, are generally valued at the last sale or official closing price on their primary market or exchange as provided by a third-party pricing service. Equity securities, for which there were no sales reported that day, are generally valued at the last quoted daily bid quotation on their primary market or exchange as provided by a third-party pricing service. 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. Events that occur after foreign markets close (such as developments in foreign markets and significant movements in the U.S. markets) and prior to the determination of the fund's net asset value may be deemed to have a material effect on the value of securities traded in foreign markets. Accordingly, the fund's foreign equity securities may often be valued at fair value. The adviser generally relies on third-party pricing services or other information (such as the correlation with price movements of similar securities in the same or other markets; the type, cost and investment characteristics of the security; the business and financial condition of the issuer; and trading and other market data) to assist in determining whether to fair value and at what value to fair value an investment. The value of an investment for purposes of calculating the fund's net asset value can differ depending on the source and method used to determine value. When fair valuation is used, the value of an investment used to determine the fund's net asset value may differ from quoted or published prices for the same investment. There can be no assurance that the fund could obtain the fair value assigned to an investment if it were to sell the investment at the same time at which the fund determines its net asset value per share.

Various inputs are used in determining the value of the fund's assets or liabilities. These inputs are categorized into three broad levels. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment's level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The fund's assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. Level 1 includes unadjusted quoted prices in active markets for identical assets or liabilities. Level 2 includes other significant observable market-based inputs (including quoted prices for similar securities, interest rates, prepayment speed, and credit risk).

------

Supplemental Information (unaudited) – continued

Level 3 includes significant unobservable inputs, which may include the adviser's own assumptions in determining the fair value of investments. Other financial instruments are derivative instruments, such as futures contracts. The following is a summary of the levels used as of December 31, 2022 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** |
| Equity Securities: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;United States | &nbsp;&nbsp;&nbsp;$4324703781 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$19309610 | &nbsp;&nbsp;&nbsp;$— | &nbsp;&nbsp;&nbsp;$4344013391 |
| &nbsp;&nbsp;&nbsp;Germany | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;72499729 | &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;&nbsp;&nbsp;&nbsp;&nbsp;72499729 |
| &nbsp;&nbsp;&nbsp;Switzerland | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;31945104 | &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;&nbsp;&nbsp;&nbsp;&nbsp;31945104 |
| &nbsp;&nbsp;&nbsp;Canada | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;26899706 | &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;&nbsp;&nbsp;&nbsp;&nbsp;26899706 |
| &nbsp;&nbsp;&nbsp;Taiwan | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;23161697 | &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;&nbsp;&nbsp;&nbsp;&nbsp;23161697 |
| &nbsp;&nbsp;&nbsp;France | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18559851 | &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;&nbsp;&nbsp;&nbsp;&nbsp;18559851 |
| &nbsp;&nbsp;&nbsp;South Korea | &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;17511314 | &nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17511314 |
| &nbsp;&nbsp;&nbsp;United Kingdom | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14210764 | &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;&nbsp;&nbsp;&nbsp;&nbsp;14210764 |
| U.S. Treasury Bonds & U.S. Government Agencies & Equivalents | &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;581080046 | &nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;581080046 |
| Non - U.S. Sovereign Debt | &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;10128756 | &nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10128756 |
| Municipal Bonds | &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;20054859 | &nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20054859 |
| U.S. Corporate Bonds | &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;713555686 | &nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;713555686 |
| Residential Mortgage-Backed Securities | &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;948562224 | &nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;948562224 |
| Commercial Mortgage-Backed Securities | &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;127448623 | &nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;127448623 |
| Asset-Backed Securities (including CDOs) | &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;283246484 | &nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;283246484 |
| Foreign Bonds | &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;276759271 | &nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;276759271 |
| Mutual Funds | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;90091514 | &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;&nbsp;&nbsp;&nbsp;&nbsp;90091514 |
| Total | &nbsp;&nbsp;&nbsp;$4602072146 | &nbsp;&nbsp;&nbsp;$2997656873 | &nbsp;&nbsp;&nbsp;$— | &nbsp;&nbsp;&nbsp;$7599729019 |
| **Other Financial Instruments** |  |  |  |  |
| Futures Contracts – Assets | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$1263679 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$— | &nbsp;&nbsp;&nbsp;$— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$1263679 |
| Futures Contracts – Liabilities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(3019520) | &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;&nbsp;&nbsp;&nbsp;&nbsp;(3019520) |

---

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

(2) Investments in Affiliated Issuers

An affiliated issuer may be considered one in which the fund owns 5% or more of the outstanding voting securities, or a company which is under common control. 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;$177296073 | &nbsp;&nbsp;$308410861 | &nbsp;&nbsp;$395634431 | &nbsp;&nbsp;$8883 | &nbsp;&nbsp;$10128 | &nbsp;&nbsp;$90091514 |

---

---

| | | |
|:---|:---|:---|
| **Affiliated Issuers** | &nbsp;&nbsp;**Dividend<br> Income** | &nbsp;&nbsp;**Capital Gain<br> Distributions** |
| MFS Institutional Money Market Portfolio | &nbsp;&nbsp;$1292270 | &nbsp;&nbsp;$— |

---

(3) Russia and Ukraine Conflict

The market disruptions, which began in late February 2022, associated with geopolitical events related to the conflict between Russia and Ukraine may adversely affect the value of the fund's assets and thus the fund's performance. Management continues to monitor these events and to evaluate the related impacts, if any, to the fund.

## 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 V

- **b. Investment Company Act file number:** 811-02031

- **c. CIK number of Registrant:** 0000200489

- **d. LEI of Registrant:** 5493004F6FXFYCOUPT54

- **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 Total Return Fund

- **b. EDGAR series identifier (if any):** S000002439

- **c. LEI of Series:** HPZZAPCUIEU12XV0HS18

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

- **a. Date of fiscal year-end:** 2023-09-30

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $7602707183.71

**Total Liabilities:** $66284978.63

**Net Assets:** $7536422205.08

**Delayed Delivery Securities:** $53007652.39

**Cash Not Reported:** $15798.11

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -2142.95519340 | **1-Year:** -57153.41391450 | **5-Year:** -242667.51226860 | **10-Year:** -374109.86390820 | **30-Year:** -75756.78782030

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

- **3-Month:** -23.02140570 | **1-Year:** -399.18559840 | **5-Year:** -2236.57628250 | **10-Year:** -2102.83983420 | **30-Year:** -2256.36262890

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000116934 | 5.34%                | 5.55%                | -2.65%               |
| Class ID C000006553 | 5.34%                | 5.54%                | -2.71%               |
| Class ID C000006552 | 5.25%                | 5.46%                | -2.77%               |
| Class ID C000006555 | 5.25%                | 5.47%                | -2.75%               |
| Class ID C000006546 | 5.32%                | 5.52%                | -2.68%               |
| Class ID C000006558 | 5.31%                | 5.52%                | -2.68%               |
| Class ID C000006551 | 5.23%                | 5.49%                | -2.79%               |
| Class ID C000006547 | 5.33%                | 5.53%                | -2.70%               |
| Class ID C000006557 | 5.27%                | 5.53%                | -2.74%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $23292352.70             | $349314728.18                              |
| Month 2  | $13344368.93             | $380990078.09                              |
| Month 3  | $27094467.76             | $-250389292.13                             |

**Designated Index Information**

- **Index Name:** 60% S&P, 40% BBG Barc US Aggregate Index

- **Index Identifier:** 60% SPX, 40% LBUSTRUU

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| GNMA                                               | GNMA                                                                           | CUSIP: 36179WR26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11474670 | PA      | $9943927.47   | 0.13%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 31297DDH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58912 | PA      | $60416.80     | 0.00%             | 2034-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36201DBT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17483 | PA      | $18519.15     | 0.00%             | 2032-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                     | Broadcom, Inc.                                                                 | CUSIP: 11135FAQ4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   1641000 | PA      | $1470585.69   | 0.02%             | 2030-11-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31418ED56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8653543 | PA      | $7332471.06   | 0.10%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31413GAG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85723 | PA      | $88024.68     | 0.00%             | 2037-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 31297C6G0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39657 | PA      | $40293.86     | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                  | Wells Fargo & Co.                                                              | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  17236000 | PA      | $14519568.14  | 0.19%             | 2033-03-02      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                       | Oracle Corp.                                                                   | CUSIP: 68389X105<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | EC               | CORP              | US        |    268835 | NS      | $21974572.90  | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase & Co.                               | JPMorgan Chase & Co.                                                           | CUSIP: 46625HRY8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  12711000 | PA      | $11875825.91  | 0.16%             | 2028-02-01      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 31297SBU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     76704 | PA      | $78420.20     | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31385JJC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    238414 | PA      | $249012.28    | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Eaton Corp. plc                                    | Eaton Corp. plc                                                                | CUSIP: N/A<br>LEI: 549300VDIGTMXUNT7H71       | Long             | EC               | CORP              | IE        |    719086 | NS      | $112860547.70 | 1.50%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31404QYR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    248237 | PA      | $252970.53    | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3138EPN91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    589281 | PA      | $564444.19    | 0.01%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K110, Class XAM | CUSIP: 3137FTZU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7819828 | PA      | $833130.73    | 0.01%             | 2030-04-25      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| Liberty Mutual Group, Inc.                         | Liberty Mutual Group, Inc.                                                     | CUSIP: 53079EBJ2<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |   3061000 | PA      | $2135287.12   | 0.03%             | 2050-10-15      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 3128LXAE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62893 | PA      | $62105.43     | 0.00%             | 2035-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31405ELX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1138 | PA      | $1141.46      | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Archer-Daniels-Midland Co.                         | Archer-Daniels-Midland Co.                                                     | CUSIP: 039483102<br>LEI: 549300LO13MQ9HYSTR83 | Long             | EC               | CORP              | US        |    310795 | NS      | $28857315.75  | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Small Business Administration        | United States Small Business Administration, Series 2004-20D, Class 1          | CUSIP: 83162CNR0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     56847 | PA      | $56012.66     | 0.00%             | 2024-04-01      | Fixed         | 4.77%                 | No            |                  2 | On Loan: No      |
| Vulcan Materials Co.                               | Vulcan Materials Co.                                                           | CUSIP: 929160109<br>LEI: 549300Q8LSNHAVWBNI21 | Long             | EC               | CORP              | US        |    147044 | NS      | $25748874.84  | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| Alphabet, Inc.                                     | Alphabet, Inc., Class A                                                        | CUSIP: 02079K305<br>LEI: 5493006MHB84DD0ZWV18 | Long             | EC               | CORP              | US        |    658683 | NS      | $58115601.09  | 0.77%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31418EMT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    999900 | PA      | $1002583.86   | 0.01%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Equinix, Inc.                                      | Equinix, Inc.                                                                  | CUSIP: 29444UBC9<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |   9037000 | PA      | $8605879.79   | 0.11%             | 2024-11-18      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Taiwan Semiconductor Manufacturing Co. Ltd.        | Taiwan Semiconductor Manufacturing Co. Ltd.                                    | CUSIP: 874039100<br>LEI: 549300KB6NK5SBD14S87 | Long             | EC               | CORP              | TW        |    310937 | NS      | $23161697.13  | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| Adventist Health System                            | Adventist Health System                                                        | CUSIP: 007944AH4<br>LEI: 5493008YM33UCY5QPW83 | Long             | DBT              | CORP              | US        |   8829000 | PA      | $8696219.52   | 0.12%             | 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        |   1299000 | PA      | $1317807.45   | 0.02%             | 2029-11-17      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Walmart, Inc.                                      | Walmart, Inc.                                                                  | CUSIP: 931142103<br>LEI: Y87794H0US1R65VBXU25 | Long             | EC               | CORP              | US        |    355805 | NS      | $50449590.95  | 0.67%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140QMZC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4996267 | PA      | $4259133.30   | 0.06%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GLP Capital LP                                     | GLP Capital LP                                                                 | CUSIP: 361841AL3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5014000 | PA      | $4744948.76   | 0.06%             | 2029-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 31297C5V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50693 | PA      | $52069.15     | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                   | Deutsche Bank AG                                                               | CUSIP: 251526CP2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   2877000 | PA      | $2439357.72   | 0.03%             | 2027-11-16      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3138WEVB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    651412 | PA      | $606271.20    | 0.01%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3138ENEK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4150104 | PA      | $4114120.59   | 0.05%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                               | JPMorgan Chase & Co.                                                           | CUSIP: 46647PBM7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   7872000 | PA      | $5720780.38   | 0.08%             | 2041-04-22      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 3128M7PU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    356953 | PA      | $354075.22    | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                         | AT&T, Inc.                                                                     | CUSIP: 00206RLV2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   5210000 | PA      | $3487214.15   | 0.05%             | 2059-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3133B4H99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2422276 | PA      | $1984212.41   | 0.03%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3133BME35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33866 | PA      | $29733.18     | 0.00%             | 2052-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Westinghouse Air Brake Technologies Corp.          | Westinghouse Air Brake Technologies Corp.                                      | CUSIP: 960386AQ3<br>LEI: 06BTX5UWZD0GQ5N5Y745 | Long             | DBT              | CORP              | US        |   2623000 | PA      | $2469418.31   | 0.03%             | 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        |  15225000 | PA      | $13632089.70  | 0.18%             | 2029-03-21      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K128, Class X1  | CUSIP: 3137FYUL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13856650 | PA      | $445949.94    | 0.01%             | 2031-03-25      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                       | Avolon Holdings Funding Ltd.                                                   | CUSIP: 05401AAJ0<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   7097000 | PA      | $6073504.58   | 0.08%             | 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        |  10528000 | PA      | $7990465.01   | 0.11%             | 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        |   7941000 | PA      | $7375897.32   | 0.10%             | 2027-09-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Chubb Ltd.                                         | Chubb Ltd.                                                                     | CUSIP: N/A<br>LEI: E0JAN6VLUDI1HITHT809       | Long             | EC               | CORP              | CH        |    337006 | NS      | $74343523.60  | 0.99%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                              | FHLMC, Series 3845, Class AI                                                   | CUSIP: 3137A9RJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    157404 | PA      | $25869.53     | 0.00%             | 2036-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Macquarie Group Ltd.                               | Macquarie Group Ltd.                                                           | CUSIP: 55608JBE7<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |  19423000 | PA      | $16857129.05  | 0.22%             | 2033-06-21      | Variable      | 4.44%                 | Yes           |                  2 | On Loan: No      |
| Georgia Power Co.                                  | Georgia Power Co., Series B                                                    | CUSIP: 373334KN0<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |    482000 | PA      | $358848.58    | 0.00%             | 2050-01-30      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| United States of America                           | U.S. Treasury Bonds                                                            | CUSIP: 912810RB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  55466000 | PA      | $45271956.00  | 0.60%             | 2043-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31413F7J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111550 | PA      | $113726.68    | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Equifax, Inc.                                      | Equifax, Inc.                                                                  | CUSIP: 294429105<br>LEI: 5493004MCF8JDC86VS77 | Long             | EC               | CORP              | US        |     89115 | NS      | $17320391.40  | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| PG&E Corp.                                         | PG&E Corp.                                                                     | CUSIP: 69331C108<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | EC               | CORP              | US        |   3011498 | NS      | $48966957.48  | 0.65%             |  |  |  | No            |                  1 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                | Seasoned Credit Risk Transfer Trust, Series 2019-3, Class MV                   | CUSIP: 35563PLK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    838242 | PA      | $766118.96    | 0.01%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140MMBM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1222678 | PA      | $1073567.75   | 0.01%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3132D6CT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    567968 | PA      | $531979.29    | 0.01%             | 2037-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36200NDM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49188 | PA      | $50438.99     | 0.00%             | 2034-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31403FQY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47462 | PA      | $48873.60     | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3132DWDH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9459343 | PA      | $7701749.01   | 0.10%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 312941LZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    130562 | PA      | $128825.45    | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 3128LXE55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    100464 | PA      | $104179.23    | 0.00%             | 2035-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                    | Goldman Sachs Group, Inc. (The)                                                | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   9008000 | PA      | $6989385.48   | 0.09%             | 2032-07-21      | Variable      | 2.38%                 | No            |                  2 | On Loan: No      |
| Marriott International, Inc.                       | Marriott International, Inc., Series II                                        | CUSIP: 571903BH5<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |   5250000 | PA      | $4005266.48   | 0.05%             | 2033-10-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31419JS25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117167 | PA      | $117756.63    | 0.00%             | 2040-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36179WVT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10172927 | PA      | $8524851.27   | 0.11%             | 2052-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31418EGA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2570848 | PA      | $2354644.25   | 0.03%             | 2037-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K116, Class XAM | CUSIP: 3137FWHX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3331192 | PA      | $326049.74    | 0.00%             | 2030-08-25      | Variable      | 1.70%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                       | Barclays plc                                                                   | CUSIP: 06738EBV6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   3616000 | PA      | $2753885.65   | 0.04%             | 2032-11-24      | Variable      | 2.89%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3132DWFF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1516729 | PA      | $1459937.01   | 0.02%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31405N4M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108308 | PA      | $109643.51    | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3132D6CY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3946326 | PA      | $3696096.78   | 0.05%             | 2037-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31388D4L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100440 | PA      | $102930.61    | 0.00%             | 2031-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 3620AMD58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    158164 | PA      | $155700.48    | 0.00%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Northrop Grumman Corp.                             | Northrop Grumman Corp.                                                         | CUSIP: 666807102<br>LEI: RIMU48P07456QXSO0R61 | Long             | EC               | CORP              | US        |     53445 | NS      | $29160126.45  | 0.39%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 31297DJF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30113 | PA      | $30927.82     | 0.00%             | 2034-08-01      | Fixed         | 6.50%                 | 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        |  89653748 | NS      | $89680644.50  | 1.19%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31417AYK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1168484 | PA      | $1122127.00   | 0.01%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Becton Dickinson and Co.                           | Becton Dickinson and Co.                                                       | CUSIP: 075887BX6<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |   5389000 | PA      | $4742110.31   | 0.06%             | 2047-06-06      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 3132L5AD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3106536 | PA      | $2829857.86   | 0.04%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                         | AerCap Ireland Capital DAC                                                     | CUSIP: 00774MAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   7729000 | PA      | $6986942.03   | 0.09%             | 2027-07-21      | Fixed         | 3.65%                 | 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        |  11000000 | PA      | $10538072.60  | 0.14%             | 2050-07-10      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31405RR65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140866 | PA      | $143676.55    | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RPM International, Inc.                            | RPM International, Inc.                                                        | CUSIP: 749685AY9<br>LEI: 549300TJCKW4BRXPJ474 | Long             | DBT              | CORP              | US        |   4666000 | PA      | $3676420.30   | 0.05%             | 2032-01-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Northern Trust Corp.                               | Northern Trust Corp.                                                           | CUSIP: 665859AX2<br>LEI: 549300GLF98S992BC502 | Long             | DBT              | CORP              | US        |   9142000 | PA      | $9639710.50   | 0.13%             | 2032-11-02      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36179XLE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9475011 | PA      | $8706125.85   | 0.12%             | 2052-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3132DWDR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6325666 | PA      | $5357186.96   | 0.07%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140N0D69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4462090 | PA      | $3917584.25   | 0.05%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36179R7H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    377052 | PA      | $342817.84    | 0.00%             | 2046-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHCP Ltd.                                          | CHCP Ltd., Series 2021-FL1, Class AS                                           | CUSIP: 12546JAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7049000 | PA      | $6806254.29   | 0.09%             | 2038-02-15      | Floating      | 5.74%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31376KCV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47702 | PA      | $49093.05     | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Danaher Corp.                                      | Danaher Corp.                                                                  | CUSIP: 235851102<br>LEI: S4BKK9OTCEWQ3YHPFM11 | Long             | EC               | CORP              | US        |    257873 | NS      | $68444651.66  | 0.91%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 3128MJM64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    269575 | PA      | $267539.05    | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                         | AT&T, Inc.                                                                     | CUSIP: 00206RJY9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   6826000 | PA      | $5656802.38   | 0.08%             | 2031-06-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36200NGF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    112269 | PA      | $114522.50    | 0.00%             | 2034-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JM Smucker Co. (The)                               | JM Smucker Co. (The)                                                           | CUSIP: 832696405<br>LEI: 5493000WDH6A0LHDJD55 | Long             | EC               | CORP              | US        |    109066 | NS      | $17282598.36  | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140LXAE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    267201 | PA      | $238301.43    | 0.00%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Howmet Aerospace, Inc.                             | Howmet Aerospace, Inc.                                                         | CUSIP: 443201108<br>LEI: 549300HO5WFZUT5N2T22 | Long             | EC               | CORP              | US        |    900774 | NS      | $35499503.34  | 0.47%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36179WNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11479457 | PA      | $9964291.35   | 0.13%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 3128KSXS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42489 | PA      | $43363.23     | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  55152822 | PA      | $44907743.77  | 0.60%             | 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        |   9067000 | PA      | $7277426.53   | 0.10%             | 2032-02-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31376KT22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94112 | PA      | $96109.40     | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140N17J6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    707039 | PA      | $680563.68    | 0.01%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140QNDE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11030467 | PA      | $9686861.47   | 0.13%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3138EQTZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    809325 | PA      | $783706.98    | 0.01%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K109, Class XAM | CUSIP: 3137FTG43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2500000 | PA      | $263222.50    | 0.00%             | 2030-04-25      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| Constellation Brands, Inc.                         | Constellation Brands, Inc.                                                     | CUSIP: 21036PAS7<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |   5197000 | PA      | $4865634.65   | 0.06%             | 2027-05-09      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31417TNK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    549348 | PA      | $544585.64    | 0.01%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Intel Corp.                                        | Intel Corp.                                                                    | CUSIP: 458140100<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | EC               | CORP              | US        |   1307739 | NS      | $34563541.77  | 0.46%             |  |  |  | No            |                  1 | On Loan: No      |
| Arbor Realty Commercial Real Estate Notes Ltd.     | Arbor Realty Commercial Real Estate Notes Ltd., Series 2022-FL1, Class B       | CUSIP: 03880XAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  16706500 | PA      | $15971766.51  | 0.21%             | 2037-01-15      | Floating      | 5.91%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140QHNG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    715732 | PA      | $606275.68    | 0.01%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36179XNE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9900000 | PA      | $9604780.81   | 0.13%             | 2052-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MF1 Ltd.                                           | MF1 Ltd., Series 2020-FL4, Class A                                             | CUSIP: 58003UAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3873347 | PA      | $3796323.65   | 0.05%             | 2035-11-15      | Floating      | 6.15%                 | Yes           |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                       | Pacific Gas and Electric Co.                                                   | CUSIP: 694308JH1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   3004000 | PA      | $2033911.55   | 0.03%             | 2040-08-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Alcon Finance Corp.                                | Alcon Finance Corp.                                                            | CUSIP: 01400EAD5<br>LEI: 549300CUZUI9VU7XNK42 | Long             | DBT              | CORP              | US        |    944000 | PA      | $801753.04    | 0.01%             | 2030-05-27      | Fixed         | 2.60%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140M8U31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    540724 | PA      | $457886.46    | 0.01%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                            | Hyundai Capital America                                                        | CUSIP: 44891ABF3<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   2611000 | PA      | $2455371.08   | 0.03%             | 2025-02-10      | Fixed         | 2.65%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                               | FNMA, Series 2014-35, Class CA                                                 | CUSIP: 3136AKFL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    436422 | PA      | $417801.87    | 0.01%             | 2044-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3133L8YY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1338132 | PA      | $1226679.03   | 0.02%             | 2037-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31407HWN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50041 | PA      | $51289.41     | 0.00%             | 2036-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                          | Commercial Mortgage Trust, Series 2015-LC21, Class A4                          | CUSIP: 12593FBD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9641397 | PA      | $9176097.40   | 0.12%             | 2048-07-10      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140MMBG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27338 | PA      | $23994.51     | 0.00%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31402CP30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86884 | PA      | $89584.60     | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| 2020 Cash Mandatory Exchangeable Trust             | 2020 Cash Mandatory Exchangeable Trust                                         | CUSIP: 901375105<br>LEI: N/A                  | Long             | EP               | CORP              | US        |     16855 | NS      | $19309610.51  | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| Constellation Brands, Inc.                         | Constellation Brands, Inc., Class A                                            | CUSIP: 21036P108<br>LEI: 5493005GKEG8QCVY7037 | Long             | EC               | CORP              | US        |    114889 | NS      | $26625525.75  | 0.35%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3132D6B66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12048849 | PA      | $10745967.94  | 0.14%             | 2037-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K097, Class X1  | CUSIP: 3137FNX70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    854987 | PA      | $48677.72     | 0.00%             | 2029-07-25      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| Danone SA                                          | Danone SA                                                                      | CUSIP: N/A<br>LEI: 969500KMUQ2B6CBAF162       | Long             | EC               | CORP              | FR        |    352191 | NS      | $18559850.74  | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 31307WKG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    174095 | PA      | $167598.19    | 0.00%             | 2033-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K127, Class X1  | CUSIP: 3137FXZ50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17102003 | PA      | $341251.66    | 0.00%             | 2031-01-25      | Variable      | 0.42%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                  | HSBC Holdings plc                                                              | CUSIP: 404280CP2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1215000 | PA      | $1050918.68   | 0.01%             | 2026-03-09      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Warnermedia Holdings, Inc.                         | Warnermedia Holdings, Inc.                                                     | CUSIP: 55903VAQ6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   5588000 | PA      | $4062288.35   | 0.05%             | 2052-03-15      | Fixed         | 5.14%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36200AJD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    525814 | PA      | $550643.06    | 0.01%             | 2032-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31418CM43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    570307 | PA      | $529076.03    | 0.01%             | 2037-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K129, Class XAM | CUSIP: 3137H13T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2518959 | PA      | $200319.71    | 0.00%             | 2031-05-25      | Variable      | 1.33%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 3132J87H7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    505048 | PA      | $473287.96    | 0.01%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31405GRV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31011 | PA      | $31094.53     | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| APA Infrastructure Ltd.                            | APA Infrastructure Ltd.                                                        | CUSIP: 00205GAD9<br>LEI: 261700SS8OEHDOCOUJ33 | Long             | DBT              | CORP              | AU        |    777000 | PA      | $725586.22    | 0.01%             | 2027-07-15      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36179W7J1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10211801 | PA      | $8855036.53   | 0.12%             | 2052-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ICON plc                                           | ICON plc                                                                       | CUSIP: N/A<br>LEI: 6354008SRQGEMC4XFI67       | Long             | EC               | CORP              | IE        |    158986 | NS      | $30883030.50  | 0.41%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31410F5D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    412561 | PA      | $421316.56    | 0.01%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fiserv, Inc.                                       | Fiserv, Inc.                                                                   | CUSIP: 337738108<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | EC               | CORP              | US        |    349690 | NS      | $35343168.30  | 0.47%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3138WFPH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3039142 | PA      | $2827901.12   | 0.04%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3133BNU84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1364323 | PA      | $1313236.56   | 0.02%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 3132J4MM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1296981 | PA      | $1241188.82   | 0.02%             | 2037-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31406B2L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    185695 | PA      | $187878.86    | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 31297AZL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30232 | PA      | $31198.60     | 0.00%             | 2034-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31419JSM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    662879 | PA      | $636603.96    | 0.01%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                    | Intercontinental Exchange, Inc.                                                | CUSIP: 45866FAK0<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |   6958000 | PA      | $5673901.10   | 0.08%             | 2030-06-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                | Seasoned Credit Risk Transfer Trust, Series 2019-2, Class MA                   | CUSIP: 35563PKG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     68581 | PA      | $64656.44     | 0.00%             | 2058-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3138WFUW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1042696 | PA      | $969792.48    | 0.01%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Small Business Administration        | United States Small Business Administration, Series 2004-20F, Class 1          | CUSIP: 83162CNU3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     32320 | PA      | $32332.08     | 0.00%             | 2024-06-01      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 3132J9V88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    974688 | PA      | $887915.94    | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3138WEXT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    738117 | PA      | $686509.93    | 0.01%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31402CU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    153566 | PA      | $156820.49    | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36179XFH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17921007 | PA      | $17387514.66  | 0.23%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K137, Class XAM | CUSIP: 3137H5DT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  23600379 | PA      | $836581.51    | 0.01%             | 2031-12-25      | Variable      | 0.60%                 | No            |                  2 | On Loan: No      |
| Exelon Corp.                                       | Exelon Corp.                                                                   | CUSIP: 30161NAX9<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |   5246000 | PA      | $4870374.07   | 0.06%             | 2030-04-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140MJGA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    669651 | PA      | $545389.29    | 0.01%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140MXEA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    518197 | PA      | $439175.23    | 0.01%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36295PM90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    215851 | PA      | $225673.11    | 0.00%             | 2038-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3138E55N4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    109360 | PA      | $102369.67    | 0.00%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31418CV68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    905687 | PA      | $850113.86    | 0.01%             | 2038-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36202F3N4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    568233 | PA      | $552727.04    | 0.01%             | 2042-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36179W2V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2957809 | PA      | $2636241.37   | 0.03%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                | Seasoned Credit Risk Transfer Trust, Series 2019-2, Class MV                   | CUSIP: 35563PKJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    664726 | PA      | $604826.37    | 0.01%             | 2058-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K047, Class A2  | CUSIP: 3137BKRJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4623000 | PA      | $4477399.08   | 0.06%             | 2025-05-25      | Variable      | 3.33%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3133BPHE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6895396 | PA      | $6053889.43   | 0.08%             | 2052-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31406ANH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42170 | PA      | $42805.39     | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3138YWJX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1756445 | PA      | $1633271.65   | 0.02%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31404B7G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25571 | PA      | $25639.61     | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Huntington Ingalls Industries, Inc.                | Huntington Ingalls Industries, Inc.                                            | CUSIP: 446413AS5<br>LEI: 5TZLZ6WJTBVJ0QWBG121 | Long             | DBT              | CORP              | US        |   1566000 | PA      | $1513082.14   | 0.02%             | 2025-05-01      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                       | Pacific Gas and Electric Co.                                                   | CUSIP: 694308JW8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   4502000 | PA      | $3891993.41   | 0.05%             | 2028-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3138EJQT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    423683 | PA      | $420009.21    | 0.01%             | 2042-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ross Stores, Inc.                                  | Ross Stores, Inc.                                                              | CUSIP: 778296103<br>LEI: 549300ENZFLPGRDFZQ60 | Long             | EC               | CORP              | US        |    104669 | NS      | $12148930.83  | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31417G2Y1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2179133 | PA      | $2036997.40   | 0.03%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31407YD63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104562 | PA      | $107792.22    | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO XX Ltd.                       | Neuberger Berman CLO XX Ltd., Series 2015-20A, Class ARR                       | CUSIP: 64130TBA2<br>LEI: 549300NPF57YF6WBDP72 | Long             | ABS-CBDO         | CORP              | KY        |   5725000 | PA      | $5575903.83   | 0.07%             | 2034-07-15      | Floating      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| American Tower Corp.                               | American Tower Corp.                                                           | CUSIP: 03027XAQ3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |   2324000 | PA      | $2299271.78   | 0.03%             | 2023-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140QNZJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70815 | PA      | $64971.23     | 0.00%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 3132QSWK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    857063 | PA      | $797832.78    | 0.01%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140QMQA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    718847 | PA      | $659528.11    | 0.01%             | 2036-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Verizon Owner Trust                                | Verizon Owner Trust, Series 2020-A, Class B                                    | CUSIP: 92348TAC8<br>LEI: 549300XY7L2MRX0BQH89 | Long             | ABS-O            | CORP              | US        |   7967000 | PA      | $7891005.18   | 0.10%             | 2024-07-22      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 3128P8FJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1818573 | PA      | $1688860.98   | 0.02%             | 2038-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Johnson & Johnson                                  | Johnson & Johnson                                                              | CUSIP: 478160104<br>LEI: 549300G0CFPGEF6X2043 | Long             | EC               | CORP              | US        |    707337 | NS      | $124951081.05 | 1.66%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31405MZF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    182324 | PA      | $184508.15    | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31417YRW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76308 | PA      | $77272.58     | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Merck & Co., Inc.                                  | Merck & Co., Inc.                                                              | CUSIP: 58933Y105<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | EC               | CORP              | US        |    940471 | NS      | $104345257.45 | 1.38%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140QPE94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    564721 | PA      | $518186.98    | 0.01%             | 2037-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                    | Goldman Sachs Group, Inc. (The)                                                | CUSIP: 38141GXG4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  10872000 | PA      | $9072892.09   | 0.12%             | 2030-02-07      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                | Seasoned Credit Risk Transfer Trust, Series 2019-4, Class MA                   | CUSIP: 35563PML0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1233386 | PA      | $1142646.78   | 0.02%             | 2059-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31416QUP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    229815 | PA      | $231823.25    | 0.00%             | 2039-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                  | Credit Acceptance Auto Loan Trust, Series 2021-3A, Class B                     | CUSIP: 22535GAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3623000 | PA      | $3324041.63   | 0.04%             | 2030-07-15      | Fixed         | 1.38%                 | Yes           |                  2 | On Loan: No      |
| PFP Ltd.                                           | PFP Ltd., Series 2021-7, Class AS                                              | CUSIP: 69290LAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |  12525375 | PA      | $11793366.99  | 0.16%             | 2038-04-14      | Floating      | 5.47%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31418EHV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156432 | PA      | $132501.31    | 0.00%             | 2052-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31418ED98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2238723 | PA      | $1991096.72   | 0.03%             | 2037-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Northwell Healthcare, Inc.                         | Northwell Healthcare, Inc.                                                     | CUSIP: 667274AC8<br>LEI: 54930073NUTKK4QD3P47 | Long             | DBT              | CORP              | US        |   3797000 | PA      | $3015766.41   | 0.04%             | 2047-11-01      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| Pfizer, Inc.                                       | Pfizer, Inc.                                                                   | CUSIP: 717081103<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | EC               | CORP              | US        |    682505 | NS      | $34971556.20  | 0.46%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36179XLH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  27800247 | PA      | $27553905.04  | 0.37%             | 2052-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Valero Energy Corp.                                | Valero Energy Corp.                                                            | CUSIP: 91913YAL4<br>LEI: 549300XTO5VR8SKV1V74 | Long             | DBT              | CORP              | US        |   6797000 | PA      | $7232932.26   | 0.10%             | 2037-06-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| ONEOK, Inc.                                        | ONEOK, Inc.                                                                    | CUSIP: 682680AT0<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |   7267000 | PA      | $5853015.84   | 0.08%             | 2047-07-13      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3138AM6S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152527 | PA      | $142698.81    | 0.00%             | 2041-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Aon Corp.                                          | Aon Corp.                                                                      | CUSIP: 037389BC6<br>LEI: LTS3U8DGK38SETRUWX71 | Long             | DBT              | CORP              | US        |  13224000 | PA      | $12198395.36  | 0.16%             | 2029-05-02      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36179RBW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    748403 | PA      | $683189.04    | 0.01%             | 2045-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                         | AerCap Ireland Capital DAC                                                     | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |  13587000 | PA      | $11881039.11  | 0.16%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140XFLN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4012137 | PA      | $3566162.96   | 0.05%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31389MRC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87522 | PA      | $89708.35     | 0.00%             | 2032-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Marriott International, Inc.                       | Marriott International, Inc., Series FF                                        | CUSIP: 571903BE2<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |   6716000 | PA      | $6266793.02   | 0.08%             | 2030-06-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Diageo Capital plc                                 | Diageo Capital plc                                                             | CUSIP: 25243YBB4<br>LEI: 213800L23DJLALFC4O95 | Long             | DBT              | CORP              | GB        |   8369000 | PA      | $7139552.89   | 0.09%             | 2029-10-24      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Spectra Energy Partners LP                         | Spectra Energy Partners LP                                                     | CUSIP: 84756NAH2<br>LEI: 2HKVXE7U4NF5B6UGSU72 | Long             | DBT              | CORP              | US        |   2677000 | PA      | $2491005.84   | 0.03%             | 2026-10-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3138X13A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1128819 | PA      | $1056131.19   | 0.01%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3138EH3F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1431299 | PA      | $1374560.86   | 0.02%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K112, Class XAM | CUSIP: 3137FUZZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4048749 | PA      | $398875.06    | 0.01%             | 2030-05-25      | Variable      | 1.77%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 3128LXE30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    150295 | PA      | $153657.90    | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO XV                            | Neuberger Berman CLO XV, Series 2013-15A, Class BR2                            | CUSIP: 64129KBG1<br>LEI: 549300UTI4Y2IA4RUP16 | Long             | ABS-CBDO         | CORP              | KY        |   5618950 | PA      | $5434890.05   | 0.07%             | 2029-10-15      | Floating      | 5.43%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 3128KTMG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48703 | PA      | $49979.61     | 0.00%             | 2037-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3133KMZB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3114670 | PA      | $2655155.46   | 0.04%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31405KMM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146708 | PA      | $150332.04    | 0.00%             | 2034-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States Small Business Administration        | United States Small Business Administration, Series 2003-20G, Class 1          | CUSIP: 83162CNC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6565 | PA      | $6545.05      | 0.00%             | 2023-07-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36241KAL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42893 | PA      | $42901.86     | 0.00%             | 2034-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                                                           | CUSIP: 31381TQQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    851398 | PA      | $831794.47    | 0.01%             | 2027-01-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3138WGHU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    944694 | PA      | $878055.03    | 0.01%             | 2046-01-01      | 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        |   5846000 | PA      | $5284322.69   | 0.07%             | 2029-11-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36179TLR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4356964 | PA      | $3941156.81   | 0.05%             | 2047-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140LUV32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1112291 | PA      | $944357.17    | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| RELX Capital, Inc.                                 | RELX Capital, Inc.                                                             | CUSIP: 74949LAD4<br>LEI: 2R15C3RTKJN1RCBOV146 | Long             | DBT              | CORP              | US        |   2015000 | PA      | $1717076.83   | 0.02%             | 2030-05-22      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K136, Class XAM | CUSIP: 3137H4SM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |  40016231 | PA      | $1579792.78   | 0.02%             | 2031-12-25      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                | Seasoned Credit Risk Transfer Trust, Series 2019-4, Class MV                   | CUSIP: 35563PMN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    891467 | PA      | $776978.09    | 0.01%             | 2059-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31405AAX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68551 | PA      | $69583.48     | 0.00%             | 2034-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31404XS39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    210056 | PA      | $214838.47    | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140QNWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    670256 | PA      | $568306.57    | 0.01%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31419B5X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1011558 | PA      | $971449.93    | 0.01%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Becton Dickinson and Co.                           | Becton Dickinson and Co.                                                       | CUSIP: 075887109<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | EC               | CORP              | US        |     95022 | NS      | $24164094.60  | 0.32%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31418ECZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6695433 | PA      | $5822400.33   | 0.08%             | 2042-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3138A2AX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    607347 | PA      | $575396.05    | 0.01%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3138EPUM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    263034 | PA      | $260753.79    | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36200NGH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    344352 | PA      | $363207.86    | 0.00%             | 2034-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Aptiv plc                                          | Aptiv plc                                                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | JE        |    398250 | NS      | $37089022.50  | 0.49%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31410LDU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    187529 | PA      | $185903.69    | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LKQ Corp.                                          | LKQ Corp.                                                                      | CUSIP: 501889208<br>LEI: DS830JTTZQN6GK0I2E41 | Long             | EC               | CORP              | US        |    878014 | NS      | $46894727.74  | 0.62%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31406B2N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106635 | PA      | $107673.64    | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K071, Class X1  | CUSIP: 3137FCLF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  33536660 | PA      | $391614.28    | 0.01%             | 2027-11-25      | Variable      | 0.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31401L6S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96394 | PA      | $99112.89     | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Oncor Electric Delivery Co. LLC                    | Oncor Electric Delivery Co. LLC                                                | CUSIP: 68233JBK9<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |   3548000 | PA      | $3679727.38   | 0.05%             | 2029-03-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31418EMC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51817 | PA      | $43907.17     | 0.00%             | 2052-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, Series 2013-53, Class CB                                                 | CUSIP: 3136AEEP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34629 | PA      | $34125.81     | 0.00%             | 2040-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36179SJS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    357365 | PA      | $323095.99    | 0.00%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Cutwater Ltd.                                      | Cutwater Ltd., Series 2015-1A, Class AR                                        | CUSIP: 23222LAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4774744 | PA      | $4742629.46   | 0.06%             | 2029-01-15      | Floating      | 5.30%                 | Yes           |                  2 | On Loan: No      |
| Ready Capital Mortgage Financing LLC               | Ready Capital Mortgage Financing LLC, Series 2021-FL7, Class B                 | CUSIP: 75575WAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3695000 | PA      | $3482079.69   | 0.05%             | 2036-11-25      | Floating      | 6.19%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31404BNP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126673 | PA      | $129420.29    | 0.00%             | 2034-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31404UV64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    434359 | PA      | $446675.98    | 0.01%             | 2034-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3138ENSU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    247172 | PA      | $245028.61    | 0.00%             | 2043-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3133KNF99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1089957 | PA      | $923691.74    | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3138ER5E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1199599 | PA      | $1152016.01   | 0.02%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                      | UMBS, 30 Year, Single Family                                                   | CUSIP: 01F020612<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  31875000 | PA      | $25929045.79  | 0.34%             | 2053-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140QKY77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1450520 | PA      | $1291758.99   | 0.02%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3132DWF40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    576536 | PA      | $554947.61    | 0.01%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31405N2Z7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117819 | PA      | $118397.68    | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31417AYE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2490782 | PA      | $2391947.65   | 0.03%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3131XVRK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3341092 | PA      | $3100093.76   | 0.04%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3133AFX22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    221953 | PA      | $188559.17    | 0.00%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3132D6CD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    151015 | PA      | $138178.91    | 0.00%             | 2037-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Johnson Controls International plc                 | Johnson Controls International plc                                             | CUSIP: N/A<br>LEI: 549300XQ6S1GYKGBL205       | Long             | EC               | CORP              | IE        |   1388345 | NS      | $88854080.00  | 1.18%             |  |  |  | No            |                  1 | On Loan: No      |
| Realty Income Corp.                                | Realty Income Corp.                                                            | CUSIP: 756109AX2<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |   1594000 | PA      | $1382262.72   | 0.02%             | 2031-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3132CWWJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9042084 | PA      | $8278866.21   | 0.11%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36179XFG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2288763 | PA      | $2165955.68   | 0.03%             | 2052-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                | Seasoned Credit Risk Transfer Trust, Series 2019-3, Class MA                   | CUSIP: 35563PLH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    769301 | PA      | $727857.88    | 0.01%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 31297DH68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63447 | PA      | $65066.92     | 0.00%             | 2034-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140XFM73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5371738 | PA      | $4550676.50   | 0.06%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Raytheon Technologies Corp.                        | Raytheon Technologies Corp.                                                    | CUSIP: 913017CY3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |   4900000 | PA      | $4689827.68   | 0.06%             | 2028-11-16      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 3132WDYH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1850268 | PA      | $1661931.63   | 0.02%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 312945AM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1535479 | PA      | $1476230.39   | 0.02%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3138AEEF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    232513 | PA      | $235450.42    | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC, Series 4623, Class WI                                                   | CUSIP: 3137BSLS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    169159 | PA      | $20327.78     | 0.00%             | 2044-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BXMT Ltd.                                          | BXMT Ltd., Series 2021-FL4, Class AS                                           | CUSIP: 05609GAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |  16816500 | PA      | $16043494.26  | 0.21%             | 2038-05-15      | Floating      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31400HAZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44195 | PA      | $44331.32     | 0.00%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140XGQ69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4102852 | PA      | $3620680.39   | 0.05%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Warner Bros Discovery, Inc.                        | Warner Bros Discovery, Inc.                                                    | CUSIP: 934423104<br>LEI: 5493006ZCRFWKF6B1K26 | Long             | EC               | CORP              | US        |    640145 | NS      | $6068574.60   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Bayer AG                                           | Bayer AG (Registered)                                                          | CUSIP: N/A<br>LEI: 549300J4U55H3WP1XT59       | Long             | EC               | CORP              | DE        |    685571 | NS      | $35464242.75  | 0.47%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31405FXF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100784 | PA      | $101580.36    | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 31292JAL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     73270 | PA      | $74907.22     | 0.00%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| General Mills, Inc.                                | General Mills, Inc.                                                            | CUSIP: 370334104<br>LEI: 2TGYMUGI08PO8X8L6150 | Long             | EC               | CORP              | US        |    275246 | NS      | $23079377.10  | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K028, Class A2  | CUSIP: 3137B2HN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1116593 | PA      | $1113106.85   | 0.01%             | 2023-02-25      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                       | Pacific Gas and Electric Co.                                                   | CUSIP: 694308JG3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   6796000 | PA      | $5272924.38   | 0.07%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3241256 | PA      | $2815199.17   | 0.04%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| STWD Ltd.                                          | STWD Ltd., Series 2022-FL3, Class AS                                           | CUSIP: 78485KAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  17154000 | PA      | $16244513.79  | 0.22%             | 2038-11-15      | Floating      | 5.61%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3133BQET9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1355550 | PA      | $1304795.38   | 0.02%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3133BRZA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    571908 | PA      | $550492.65    | 0.01%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31405T3U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87590 | PA      | $88937.87     | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd.   | Arbor Realty Collateralized Loan Obligation Ltd., Series 2020-FL1, Class AS    | CUSIP: 03880WAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3610000 | PA      | $3512320.62   | 0.05%             | 2035-02-15      | Floating      | 5.85%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140MJE84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    234861 | PA      | $191349.81    | 0.00%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36179TLS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2755023 | PA      | $2564848.55   | 0.03%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31418ECH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4342778 | PA      | $3776535.60   | 0.05%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, Series 2013-64, Class KI                                                 | CUSIP: 3136AEXM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    155201 | PA      | $13678.50     | 0.00%             | 2033-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31417SBP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108946 | PA      | $110129.01    | 0.00%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3133B4JE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2835673 | PA      | $2321610.78   | 0.03%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36202DYK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     79481 | PA      | $81119.66     | 0.00%             | 2033-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3138WDKV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    745526 | PA      | $714102.24    | 0.01%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                           | U.S. Treasury Bonds                                                            | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25958400 | PA      | $18051227.87  | 0.24%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Warnermedia Holdings, Inc.                         | Warnermedia Holdings, Inc.                                                     | CUSIP: 55903VAN3<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   6397000 | PA      | $4894230.83   | 0.06%             | 2042-03-15      | Fixed         | 5.05%                 | Yes           |                  2 | On Loan: No      |
| United States Small Business Administration        | United States Small Business Administration, Series 2004-20E, Class 1          | CUSIP: 83162CNT6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     73302 | PA      | $72527.79     | 0.00%             | 2024-05-01      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)           | PNC Financial Services Group, Inc. (The)                                       | CUSIP: 693475105<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | EC               | CORP              | US        |    243142 | NS      | $38401847.48  | 0.51%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3133KYWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5646367 | PA      | $4759491.53   | 0.06%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                     | Morgan Stanley                                                                 | CUSIP: 6174468C6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2685000 | PA      | $2621876.40   | 0.03%             | 2025-07-23      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31405RVK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59702 | PA      | $59901.71     | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                           | U.S. Treasury Bonds                                                            | CUSIP: 912810RP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    215000 | PA      | $176854.30    | 0.00%             | 2045-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36179XHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11420540 | PA      | $10807754.44  | 0.14%             | 2052-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Marriott International, Inc.                       | Marriott International, Inc., Series HH                                        | CUSIP: 571903BG7<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |     23000 | PA      | $18625.00     | 0.00%             | 2031-04-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC               | Charter Communications Operating LLC                                           | CUSIP: 161175AY0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4865000 | PA      | $4768191.27   | 0.06%             | 2025-07-23      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31418EJF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6841496 | PA      | $6746883.26   | 0.09%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                     | Morgan Stanley                                                                 | CUSIP: 61747YEL5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  10273000 | PA      | $8310634.18   | 0.11%             | 2033-01-21      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| Travelers Cos., Inc. (The)                         | Travelers Cos., Inc. (The)                                                     | CUSIP: 89417E109<br>LEI: 549300Y650407RU8B149 | Long             | EC               | CORP              | US        |    207295 | NS      | $38865739.55  | 0.52%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 31296UUQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    130856 | PA      | $131842.48    | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Regal Rexnord Corp.                                | Regal Rexnord Corp.                                                            | CUSIP: 758750103<br>LEI: QH78R09VCJGQKPBPYU33 | Long             | EC               | CORP              | US        |    435652 | NS      | $52269526.96  | 0.69%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31419EJE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    219493 | PA      | $222265.20    | 0.00%             | 2040-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 31297B7K2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57889 | PA      | $58838.54     | 0.00%             | 2034-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                        | Capital One Financial Corp.                                                    | CUSIP: 14040HBN4<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   5440000 | PA      | $5169145.77   | 0.07%             | 2027-03-09      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3133BHQL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    485366 | PA      | $479126.62    | 0.01%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140QEFD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    570304 | PA      | $501624.24    | 0.01%             | 2040-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Home Equity Loan Trust                             | Home Equity Loan Trust, Series 2005-HS2, Class AI3                             | CUSIP: 76110VSS8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    140906 | PA      | $139732.63    | 0.00%             | 2035-12-25      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| Hess Corp.                                         | Hess Corp.                                                                     | CUSIP: 42809H107<br>LEI: UASVRYNXNK17ULIGK870 | Long             | EC               | CORP              | US        |    530724 | NS      | $75267277.68  | 1.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Magna International, Inc.                          | Magna International, Inc.                                                      | CUSIP: 559222AV6<br>LEI: 95RWVLFZX6VGDZNNTN43 | Long             | DBT              | CORP              | CA        |   6114000 | PA      | $5052165.66   | 0.07%             | 2030-06-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36179W7K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4661870 | PA      | $4151067.32   | 0.06%             | 2052-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140MM3Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2175401 | PA      | $1845017.78   | 0.02%             | 2052-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3133BQDJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1479126 | PA      | $1423744.81   | 0.02%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3131WGVK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     76580 | PA      | $77775.81     | 0.00%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31411GSU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30741 | PA      | $31551.17     | 0.00%             | 2037-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31404AHA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38456 | PA      | $38571.72     | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36202DZE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    117857 | PA      | $117625.89    | 0.00%             | 2033-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K132, Class X1  | CUSIP: 3137H3EX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5126231 | PA      | $176177.28    | 0.00%             | 2031-08-25      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| Arrow Electronics, Inc.                            | Arrow Electronics, Inc.                                                        | CUSIP: 04273WAC5<br>LEI: 549300YNNLBXT8N8R512 | Long             | DBT              | CORP              | US        |   9575000 | PA      | $7549231.04   | 0.10%             | 2032-02-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3131WHAE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25734 | PA      | $26280.66     | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K727, Class XAM | CUSIP: 3137FARJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  40823000 | PA      | $320427.89    | 0.00%             | 2024-07-25      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, Series 2010-43, Class AH                                                 | CUSIP: 31398RDA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    264635 | PA      | $244999.49    | 0.00%             | 2040-05-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 21H060614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3700000 | PA      | $3758788.82   | 0.05%             | 2053-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31407CD53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    139234 | PA      | $142188.95    | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31418EBH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    476809 | PA      | $385339.33    | 0.01%             | 2042-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3138ERCZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    735440 | PA      | $706265.02    | 0.01%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36202EBT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31766 | PA      | $31704.03     | 0.00%             | 2034-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31403SG42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    134354 | PA      | $136407.16    | 0.00%             | 2034-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Verisk Analytics, Inc.                             | Verisk Analytics, Inc.                                                         | CUSIP: 92345YAF3<br>LEI: 549300I1YSWNIRKBWP67 | Long             | DBT              | CORP              | US        |   5997000 | PA      | $5613982.70   | 0.07%             | 2029-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Anglo American Capital plc                         | Anglo American Capital plc                                                     | CUSIP: 034863AX8<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |  14840000 | PA      | $12060244.66  | 0.16%             | 2030-09-10      | Fixed         | 2.62%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31410LK35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    502160 | PA      | $482024.78    | 0.01%             | 2042-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3132DM5P6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1040971 | PA      | $883448.44    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3133BB3C1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1323945 | PA      | $1212198.07   | 0.02%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31404CMC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61240 | PA      | $61425.78     | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140MFYM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5379987 | PA      | $4559580.01   | 0.06%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LoanCore Issuer Ltd.                               | LoanCore Issuer Ltd., Series 2021-CRE5, Class AS                               | CUSIP: 53947XAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  16915500 | PA      | $15900476.96  | 0.21%             | 2036-07-15      | Floating      | 6.07%                 | Yes           |                  2 | On Loan: No      |
| LCCM Trust                                         | LCCM Trust, Series 2021-FL2, Class B                                           | CUSIP: 50202KAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8231500 | PA      | $7902816.21   | 0.10%             | 2038-12-13      | Floating      | 6.22%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140MNAH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1118933 | PA      | $952983.81    | 0.01%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36179WXK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1621735 | PA      | $1444059.10   | 0.02%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36290RRX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5880 | PA      | $5779.73      | 0.00%             | 2033-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Southern Co. (The)                                 | Southern Co. (The)                                                             | CUSIP: 842587107<br>LEI: 549300FC3G3YU2FBZD92 | Long             | EC               | CORP              | US        |    739058 | NS      | $52776131.78  | 0.70%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 3132XVEW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    527395 | PA      | $471690.39    | 0.01%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Sherwin-Williams Co. (The)                         | Sherwin-Williams Co. (The)                                                     | CUSIP: 824348BL9<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | DBT              | CORP              | US        |   4950000 | PA      | $4069384.56   | 0.05%             | 2030-05-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.               | Mitsubishi UFJ Financial Group, Inc.                                           | CUSIP: 606822CD4<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   9207000 | PA      | $7329018.75   | 0.10%             | 2033-01-19      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress LLC                           | Duke Energy Progress LLC                                                       | CUSIP: 26442UAH7<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |   5584000 | PA      | $5140158.05   | 0.07%             | 2029-03-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31385XQ91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    364872 | PA      | $372340.54    | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BAE Systems plc                                    | BAE Systems plc                                                                | CUSIP: 05523RAD9<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |   3048000 | PA      | $2689596.62   | 0.04%             | 2030-04-15      | Fixed         | 3.40%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31417GQH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1573848 | PA      | $1471900.00   | 0.02%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 3132JNDC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1403257 | PA      | $1312649.46   | 0.02%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K069, Class XAM | CUSIP: 3137FBUB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  30183000 | PA      | $391485.58    | 0.01%             | 2027-09-25      | Variable      | 0.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140QKNN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21814093 | PA      | $18492803.69  | 0.25%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140MKFU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4236039 | PA      | $3717594.02   | 0.05%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Eni SpA                                            | Eni SpA, Series X-R                                                            | CUSIP: 26874RAE8<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |  11589000 | PA      | $11215453.85  | 0.15%             | 2028-09-12      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Roper Technologies, Inc.                           | Roper Technologies, Inc.                                                       | CUSIP: 776743AF3<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |   2076000 | PA      | $2005092.95   | 0.03%             | 2028-09-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36179XHV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8555946 | PA      | $7626954.37   | 0.10%             | 2052-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31404GLP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20311 | PA      | $20621.19     | 0.00%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 31297UKW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65071 | PA      | $65494.23     | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K070, Class XAM | CUSIP: 3137FCJP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  29308000 | PA      | $348448.67    | 0.00%             | 2027-12-25      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                               | Glencore Funding LLC                                                           | CUSIP: 378272AY4<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |   5444000 | PA      | $4418839.11   | 0.06%             | 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        |   3015000 | PA      | $3037019.78   | 0.04%             | 2027-11-17      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Humana, Inc.                                       | Humana, Inc.                                                                   | CUSIP: 444859BT8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |   6169000 | PA      | $5647958.43   | 0.07%             | 2029-03-23      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| TRTX Issuer Ltd.                                   | TRTX Issuer Ltd., Series 2021-FL4, Class A                                     | CUSIP: 87276WAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  16676500 | PA      | $16115685.98  | 0.21%             | 2038-03-15      | Floating      | 5.53%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3132DWDJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1174999 | PA      | $995404.08    | 0.01%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31404BKC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    466640 | PA      | $476100.59    | 0.01%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Brazos Securitization LLC                          | Brazos Securitization LLC                                                      | CUSIP: 106230AB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5403000 | PA      | $5191444.45   | 0.07%             | 2040-09-01      | Fixed         | 5.24%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31418ECY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9196358 | PA      | $7751944.82   | 0.10%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140QMCQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148562 | PA      | $130624.52    | 0.00%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| New Jersey Turnpike Authority                      | New Jersey Turnpike Authority                                                  | CUSIP: 646139W35<br>LEI: 5493005YN67D71KSMI84 | Long             | DBT              | MUN               | US        |   5815000 | PA      | $7208468.80   | 0.10%             | 2040-01-01      | Fixed         | 7.41%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 3128PTJ63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10002 | PA      | $9784.88      | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CNH Industrial Capital LLC                         | CNH Industrial Capital LLC                                                     | CUSIP: 12592BAL8<br>LEI: 549300PNSJ5B81UMVO28 | Long             | DBT              | CORP              | US        |   1459000 | PA      | $1323011.28   | 0.02%             | 2026-01-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3131WGQD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35319 | PA      | $36054.40     | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 31297CNS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50234 | PA      | $51040.85     | 0.00%             | 2034-07-01      | Fixed         | 6.00%                 | 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        |   7392231 | PA      | $6985225.85   | 0.09%             | 2037-02-19      | Floating      | 5.78%                 | Yes           |                  2 | On Loan: No      |
| General Motors Co.                                 | General Motors Co.                                                             | CUSIP: 37045VAL4<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |   2545000 | PA      | $2439900.81   | 0.03%             | 2046-04-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 3128MJS43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    447892 | PA      | $419298.87    | 0.01%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Nasdaq, Inc.                                       | Nasdaq, Inc.                                                                   | CUSIP: 631103108<br>LEI: 549300L8X1Q78ERXFD06 | Long             | EC               | CORP              | US        |    569769 | NS      | $34955328.15  | 0.46%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31404SKL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42190 | PA      | $42939.57     | 0.00%             | 2034-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36202FP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    365008 | PA      | $352679.87    | 0.00%             | 2041-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31405KD73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    261324 | PA      | $264455.08    | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Voya Ltd.                                          | Voya Ltd., Series 2012-4A, Class A2R3                                          | CUSIP: 92916GBF0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6439259 | PA      | $6115666.92   | 0.08%             | 2030-10-15      | Floating      | 5.53%                 | Yes           |                  2 | On Loan: No      |
| Enel Finance International NV                      | Enel Finance International NV                                                  | CUSIP: 29278GAZ1<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |   2896000 | PA      | $2973695.83   | 0.04%             | 2025-10-14      | Fixed         | 6.80%                 | Yes           |                  2 | On Loan: No      |
| Xcel Energy, Inc.                                  | Xcel Energy, Inc.                                                              | CUSIP: 98389BAY6<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |   3122000 | PA      | $2784992.34   | 0.04%             | 2030-06-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140MHS34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5607653 | PA      | $4788744.76   | 0.06%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Corp.                                  | FirstEnergy Corp., Series C                                                    | CUSIP: 337932AM9<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |   3479000 | PA      | $2295444.20   | 0.03%             | 2050-03-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31419BBY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    317157 | PA      | $314407.59    | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                       | UBS Group AG                                                                   | CUSIP: 902613AE8<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |  20862000 | PA      | $15706852.72  | 0.21%             | 2032-02-11      | Variable      | 2.09%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31407HWY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31878 | PA      | $32660.41     | 0.00%             | 2036-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Invesco Ltd.                                       | Invesco Ltd.                                                                   | CUSIP: N/A<br>LEI: ECPGFXU8A2SHKVVGJI15       | Long             | EC               | CORP              | BM        |    992845 | NS      | $17861281.55  | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                               | FNMA, Series 2013-1, Class YI                                                  | CUSIP: 3136ABC35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    676112 | PA      | $62371.42     | 0.00%             | 2033-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                               | JPMorgan Chase & Co.                                                           | CUSIP: 46647PAN6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2847000 | PA      | $2181308.08   | 0.03%             | 2049-01-23      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31408DV50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70500 | PA      | $72734.82     | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| McKesson Corp.                                     | McKesson Corp.                                                                 | CUSIP: 58155Q103<br>LEI: 549300WZWOM80UCFSF54 | Long             | EC               | CORP              | US        |    163529 | NS      | $61342998.48  | 0.81%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31405RVJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39547 | PA      | $39653.59     | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31404QW70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152289 | PA      | $153490.66    | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fiserv, Inc.                                       | Fiserv, Inc.                                                                   | CUSIP: 337738BC1<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |   2445000 | PA      | $2055352.31   | 0.03%             | 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        |   6507931 | PA      | $6174071.54   | 0.08%             | 2048-05-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                                                           | CUSIP: 3138L3UP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    561220 | PA      | $555197.23    | 0.01%             | 2023-05-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| State Street Corp.                                 | State Street Corp.                                                             | CUSIP: 857477BM4<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |   1121000 | PA      | $1066120.66   | 0.01%             | 2026-03-30      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31418EFE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13935601 | PA      | $12428550.59  | 0.16%             | 2037-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31385W2A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152037 | PA      | $156896.98    | 0.00%             | 2033-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31402XTB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43572 | PA      | $44641.15     | 0.00%             | 2033-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Amdocs Ltd.                                        | Amdocs Ltd.                                                                    | CUSIP: N/A<br>LEI: 549300HQV672RJ7RQV66       | Long             | EC               | CORP              | GG        |    471418 | NS      | $42851896.20  | 0.57%             |  |  |  | No            |                  1 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust        | MF1 Multifamily Housing Mortgage Loan Trust, Series 2021-FL5, Class AS         | CUSIP: 55282XAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17497000 | PA      | $16870624.90  | 0.22%             | 2036-07-15      | Floating      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 31296YLB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56309 | PA      | $57747.29     | 0.00%             | 2034-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31418CRF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    991970 | PA      | $920245.80    | 0.01%             | 2037-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Raymond James Financial, Inc.                      | Raymond James Financial, Inc.                                                  | CUSIP: 754730AF6<br>LEI: RGUZHJ05YTITL6D76949 | Long             | DBT              | CORP              | US        |   5992000 | PA      | $5327028.39   | 0.07%             | 2046-07-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                                                           | CUSIP: 31381KYD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    866135 | PA      | $862672.21    | 0.01%             | 2024-08-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3133D3L45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    874814 | PA      | $769454.47    | 0.01%             | 2040-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3133KNEE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10444207 | PA      | $8840875.35   | 0.12%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2017-C34, Class A4  | CUSIP: 61767EAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4195516 | PA      | $3877811.39   | 0.05%             | 2052-11-15      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36179NJA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1758156 | PA      | $1656469.73   | 0.02%             | 2043-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31404LSA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73968 | PA      | $74205.43     | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust         | JPMBB Commercial Mortgage Securities Trust, Series 2015-C28, Class A4          | CUSIP: 46644FAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13361337 | PA      | $12639138.03  | 0.17%             | 2048-10-15      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3133B6QM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38478 | PA      | $33833.77     | 0.00%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140MPWE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    345190 | PA      | $292351.89    | 0.00%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3132D6CC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3875671 | PA      | $3456567.29   | 0.05%             | 2037-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Medtronic plc                                      | Medtronic plc                                                                  | CUSIP: N/A<br>LEI: 549300GX3ZBSQWUXY261       | Long             | EC               | CORP              | IE        |    764960 | NS      | $59452691.20  | 0.79%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 31334YPZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    748959 | PA      | $644886.99    | 0.01%             | 2048-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31406V2P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69937 | PA      | $71421.86     | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K726, Class X1  | CUSIP: 3137BYPS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7469830 | PA      | $69954.96     | 0.00%             | 2024-04-25      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36200NTS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    129903 | PA      | $132508.16    | 0.00%             | 2034-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, Series 2005-18, Class EC                                                 | CUSIP: 31394CSB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59304 | PA      | $58701.70     | 0.00%             | 2025-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140XF4U2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1878294 | PA      | $1593477.61   | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Northwell Healthcare, Inc.                         | Northwell Healthcare, Inc.                                                     | CUSIP: 667274AA2<br>LEI: 54930073NUTKK4QD3P47 | Long             | DBT              | CORP              | US        |    490000 | PA      | $375491.62    | 0.00%             | 2046-11-01      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31417AYG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    279428 | PA      | $268341.32    | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Marathon Petroleum Corp.                           | Marathon Petroleum Corp.                                                       | CUSIP: 56585AAH5<br>LEI: 3BNYRYQHD39K4LCKQF12 | Long             | DBT              | CORP              | US        |   2845000 | PA      | $2375569.77   | 0.03%             | 2044-09-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 21H052611<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9575000 | PA      | $9628539.57   | 0.13%             | 2053-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31406FCH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31703 | PA      | $31787.78     | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3138AA5A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    484008 | PA      | $479809.55    | 0.01%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K729, Class X1  | CUSIP: 3137FCM68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  52404234 | PA      | $241955.59    | 0.00%             | 2024-10-25      | Variable      | 0.34%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36291F4X3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13797 | PA      | $14147.66     | 0.00%             | 2034-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Westinghouse Air Brake Technologies Corp.          | Westinghouse Air Brake Technologies Corp.                                      | CUSIP: 960386AN0<br>LEI: 06BTX5UWZD0GQ5N5Y745 | Long             | DBT              | CORP              | US        |    966000 | PA      | $950258.18    | 0.01%             | 2024-03-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31404QM71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    187807 | PA      | $190089.93    | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 31296XVE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61637 | PA      | $61905.01     | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140MPX71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1002809 | PA      | $880483.61    | 0.01%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3138EHGM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    596659 | PA      | $573004.07    | 0.01%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSK Consumer Healthcare Capital US LLC             | GSK Consumer Healthcare Capital US LLC                                         | CUSIP: 36264FAL5<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |   6157000 | PA      | $5536597.47   | 0.07%             | 2029-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                               | American Tower Corp.                                                           | CUSIP: 03027XAR1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |   2895000 | PA      | $2660735.38   | 0.04%             | 2028-01-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140MNAT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137061 | PA      | $120283.29    | 0.00%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 312934M58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    440973 | PA      | $447508.60    | 0.01%             | 2039-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3138EQ5E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    535385 | PA      | $530742.64    | 0.01%             | 2042-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Aon plc                                            | Aon plc, Class A                                                               | CUSIP: N/A<br>LEI: 635400FALWQYX5E6QC64       | Long             | EC               | CORP              | IE        |    272143 | NS      | $81681000.02  | 1.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Philip Morris International, Inc.                  | Philip Morris International, Inc.                                              | CUSIP: 718172109<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | EC               | CORP              | US        |    763626 | NS      | $77286587.46  | 1.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Willis Towers Watson plc                           | Willis Towers Watson plc                                                       | CUSIP: N/A<br>LEI: 549300WHC56FF48KL350       | Long             | EC               | CORP              | IE        |    266722 | NS      | $65234866.76  | 0.87%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31404SGA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77353 | PA      | $78518.32     | 0.00%             | 2034-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan Energy Partners LP                   | Kinder Morgan Energy Partners LP                                               | CUSIP: 494550BS4<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |   4439000 | PA      | $4378994.89   | 0.06%             | 2024-02-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.              | Sumitomo Mitsui Financial Group, Inc.                                          | CUSIP: 86562MCN8<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |  17106000 | PA      | $14407543.38  | 0.19%             | 2029-01-14      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36202FPG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    391993 | PA      | $391226.36    | 0.01%             | 2041-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140QN6T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3019102 | PA      | $2649383.27   | 0.04%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3132DWF65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  23999309 | PA      | $24063726.27  | 0.32%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                              | Global Payments, Inc.                                                          | CUSIP: 37940XAE2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   6442000 | PA      | $5615216.20   | 0.07%             | 2026-03-01      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC               | Charter Communications Operating LLC                                           | CUSIP: 161175BZ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6803000 | PA      | $4432797.72   | 0.06%             | 2041-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AREIT Trust                                        | AREIT Trust, Series 2019-CRE3, Class AS                                        | CUSIP: 00217LAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10151500 | PA      | $9886545.85   | 0.13%             | 2036-09-14      | Floating      | 5.74%                 | Yes           |                  2 | On Loan: No      |
| ERAC USA Finance LLC                               | ERAC USA Finance LLC                                                           | CUSIP: 26882PBE1<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |   5241000 | PA      | $5693887.34   | 0.08%             | 2037-10-15      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                               | JPMorgan Chase & Co.                                                           | CUSIP: 46647PBE5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2910000 | PA      | $2440372.71   | 0.03%             | 2030-10-15      | Variable      | 2.74%                 | No            |                  2 | On Loan: No      |
| Experian Finance plc                               | Experian Finance plc                                                           | CUSIP: 30217AAB9<br>LEI: 635400RKRK5EGXSPC782 | Long             | DBT              | CORP              | GB        |   4011000 | PA      | $3700278.66   | 0.05%             | 2029-02-01      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Walt Disney Co. (The)                              | Walt Disney Co. (The)                                                          | CUSIP: 254687FY7<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |  11311000 | PA      | $9105455.44   | 0.12%             | 2040-05-13      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31416XV64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    134896 | PA      | $136600.44    | 0.00%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31405HBL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29717 | PA      | $29796.60     | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Dryden XXVI Senior Loan Fund                       | Dryden XXVI Senior Loan Fund, Series 2013-26A, Class AR                        | CUSIP: 26250UAQ8<br>LEI: 549300ENU7ZZLTPT3E22 | Long             | ABS-CBDO         | CORP              | KY        |   7681855 | PA      | $7589304.50   | 0.10%             | 2029-04-15      | Floating      | 4.98%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                               | JPMorgan Chase & Co.                                                           | CUSIP: 46647PCR5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  15046000 | PA      | $11892824.68  | 0.16%             | 2032-11-08      | Variable      | 2.54%                 | No            |                  2 | On Loan: No      |
| Boston Properties LP                               | Boston Properties LP                                                           | CUSIP: 10112RBE3<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |   4222000 | PA      | $3209782.34   | 0.04%             | 2032-04-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                      | Comcast Corp., Class A                                                         | CUSIP: 20030N101<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | EC               | CORP              | US        |   3381600 | NS      | $118254552.00 | 1.57%             |  |  |  | No            |                  1 | On Loan: No      |
| Time Warner Cable Enterprises LLC                  | Time Warner Cable Enterprises LLC                                              | CUSIP: 88731EAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6553000 | PA      | $7279378.03   | 0.10%             | 2033-07-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3138WAFE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    445789 | PA      | $427441.75    | 0.01%             | 2028-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3133KLHG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1386834 | PA      | $1078419.58   | 0.01%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 3132JADZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    448881 | PA      | $408908.88    | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 3132GRL58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1132818 | PA      | $1061597.82   | 0.01%             | 2042-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                  | Duke Energy Corp.                                                              | CUSIP: 26441CAS4<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   1236000 | PA      | $1141587.14   | 0.02%             | 2026-09-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140MHSV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1444630 | PA      | $1186951.35   | 0.02%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                     | Broadcom, Inc.                                                                 | CUSIP: 11135FBL4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   3891000 | PA      | $3103977.20   | 0.04%             | 2034-04-15      | Fixed         | 3.47%                 | Yes           |                  2 | On Loan: No      |
| Booking Holdings, Inc.                             | Booking Holdings, Inc.                                                         | CUSIP: 09857LAR9<br>LEI: FXM8FAOHMYDIPD38UZ17 | Long             | DBT              | CORP              | US        |   4593000 | PA      | $4435820.37   | 0.06%             | 2030-04-13      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2592728 | PA      | $2116981.61   | 0.03%             | 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        |   2476000 | PA      | $2085938.36   | 0.03%             | 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        |   1390000 | PA      | $1090375.14   | 0.01%             | 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        |   7223000 | PA      | $5938299.45   | 0.08%             | 2050-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140MTAD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    660892 | PA      | $589412.25    | 0.01%             | 2037-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K131, Class XAM | CUSIP: 3137H2NA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4010843 | PA      | $253939.71    | 0.00%             | 2031-07-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Evergy, Inc.                                       | Evergy, Inc.                                                                   | CUSIP: 30034WAB2<br>LEI: 549300PGTHDQY6PSUI61 | Long             | DBT              | CORP              | US        |   5207000 | PA      | $4496446.58   | 0.06%             | 2029-09-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| CNH Industrial Capital LLC                         | CNH Industrial Capital LLC                                                     | CUSIP: 12592BAJ3<br>LEI: 549300PNSJ5B81UMVO28 | Long             | DBT              | CORP              | US        |   5288000 | PA      | $5212077.75   | 0.07%             | 2024-01-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Jersey Central Power & Light Co.                   | Jersey Central Power & Light Co.                                               | CUSIP: 476556DD4<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |   2958000 | PA      | $2388690.30   | 0.03%             | 2032-03-01      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 3128MJMS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    118647 | PA      | $117720.10    | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K729, Class XAM | CUSIP: 3137FCM84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  44690000 | PA      | $211544.58    | 0.00%             | 2024-11-25      | Variable      | 0.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31419LZZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    833570 | PA      | $800532.11    | 0.01%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                               | Glencore Funding LLC                                                           | CUSIP: 378272BE7<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |   2292000 | PA      | $1875601.20   | 0.02%             | 2031-04-27      | Fixed         | 2.85%                 | Yes           |                  2 | On Loan: No      |
| Oracle Corp.                                       | Oracle Corp.                                                                   | CUSIP: 68389XCH6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   3286000 | PA      | $3410756.01   | 0.05%             | 2029-11-09      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                     | Morgan Stanley                                                                 | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  19340000 | PA      | $15981544.79  | 0.21%             | 2031-01-22      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31418EH52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6411151 | PA      | $5717775.48   | 0.08%             | 2037-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| American Tower Trust 1                             | American Tower Trust 1                                                         | CUSIP: 03027WAJ1<br>LEI: 5493004YGM0MQZJOEJ36 | Long             | ABS-O            | CORP              | US        |   5228000 | PA      | $5198729.47   | 0.07%             | 2023-03-15      | Fixed         | 3.07%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31419CSC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92024 | PA      | $91120.36     | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                           | U.S. Treasury Bonds                                                            | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15000000 | PA      | $9751757.85   | 0.13%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K114, Class XAM | CUSIP: 3137FVNL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3687431 | PA      | $298088.60    | 0.00%             | 2030-06-25      | Variable      | 1.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140MGEY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    672181 | PA      | $569790.30    | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 3128KQ3H7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    178434 | PA      | $184170.30    | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140MMU55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    471544 | PA      | $413845.78    | 0.01%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31418EKQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    264871 | PA      | $232549.15    | 0.00%             | 2052-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                              | Bank of America Corp.                                                          | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  11722000 | PA      | $9180697.95   | 0.12%             | 2032-10-20      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31385XF93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    268647 | PA      | $276775.61    | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36179WR34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1572335 | PA      | $1405977.15   | 0.02%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31412WHE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72138 | PA      | $73925.11     | 0.00%             | 2037-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BSPRT Issuer Ltd.                                  | BSPRT Issuer Ltd., Series 2022-FL8, Class B                                    | CUSIP: 055983AE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5979000 | PA      | $5701986.35   | 0.08%             | 2037-02-15      | Floating      | 5.86%                 | Yes           |                  2 | On Loan: No      |
| Brixmor Operating Partnership LP                   | Brixmor Operating Partnership LP                                               | CUSIP: 11120VAH6<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    567000 | PA      | $506932.76    | 0.01%             | 2029-05-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31407J4F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10693 | PA      | $10883.36     | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140XDY67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4153595 | PA      | $3536300.26   | 0.05%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K066, Class XAM | CUSIP: 3137F2LN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  39273000 | PA      | $1029274.64   | 0.01%             | 2027-06-25      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                       | Verizon Communications, Inc.                                                   | CUSIP: 92343VFE9<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   3413000 | PA      | $3009723.33   | 0.04%             | 2030-03-22      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                       | Verizon Communications, Inc.                                                   | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   4203000 | PA      | $3456373.03   | 0.05%             | 2031-03-21      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K122, Class XAM | CUSIP: 3137F84L4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4320889 | PA      | $293608.73    | 0.00%             | 2030-11-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3132DWD67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26684 | PA      | $23418.40     | 0.00%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36200MJ79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    529772 | PA      | $554603.30    | 0.01%             | 2033-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| APA Infrastructure Ltd.                            | APA Infrastructure Ltd.                                                        | CUSIP: 00205GAB3<br>LEI: 261700SS8OEHDOCOUJ33 | Long             | DBT              | CORP              | AU        |   8334000 | PA      | $8047086.30   | 0.11%             | 2025-03-23      | Fixed         | 4.20%                 | Yes           |                  2 | On Loan: No      |
| HCA, Inc.                                          | HCA, Inc.                                                                      | CUSIP: 404119BY4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   5707000 | PA      | $5106531.43   | 0.07%             | 2039-06-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140QQQM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1327904 | PA      | $1278180.19   | 0.02%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K154, Class X1  | CUSIP: 3137FDEU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  24426324 | PA      | $504620.98    | 0.01%             | 2032-11-25      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3133ARQN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3050540 | PA      | $2589628.21   | 0.03%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ashtead Capital, Inc.                              | Ashtead Capital, Inc.                                                          | CUSIP: 04505AAA7<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |  10029000 | PA      | $9592429.71   | 0.13%             | 2032-08-11      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 3132WH5Q4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2631484 | PA      | $2360770.73   | 0.03%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140MHS42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2456423 | PA      | $2094209.43   | 0.03%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 31292HVC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    207101 | PA      | $214409.16    | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GMACM Home Equity Loan Trust                       | GMACM Home Equity Loan Trust, Series 2006-HE3, Class A3                        | CUSIP: 38012TAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    216114 | PA      | $212425.03    | 0.00%             | 2036-10-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3138LQ2S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    395745 | PA      | $379969.73    | 0.01%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31371J5A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31472 | PA      | $32574.34     | 0.00%             | 2031-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Cognizant Technology Solutions Corp.               | Cognizant Technology Solutions Corp., Class A                                  | CUSIP: 192446102<br>LEI: 5493006IEVQEFQO40L83 | Long             | EC               | CORP              | US        |    411833 | NS      | $23552729.27  | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31418EAP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33723 | PA      | $29650.88     | 0.00%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                               | JPMorgan Chase & Co.                                                           | CUSIP: 46625H100<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | EC               | CORP              | US        |   1074438 | NS      | $144082135.80 | 1.91%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                     | Morgan Stanley, Series F                                                       | CUSIP: 61746BDQ6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2290000 | PA      | $2254425.88   | 0.03%             | 2024-04-29      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3138A5GN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    816181 | PA      | $783813.84    | 0.01%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Cigna Corp.                                        | Cigna Corp.                                                                    | CUSIP: 125523CJ7<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   1517000 | PA      | $1144502.77   | 0.02%             | 2040-03-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Masco Corp.                                        | Masco Corp.                                                                    | CUSIP: 574599BQ8<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | DBT              | CORP              | US        |  12460000 | PA      | $9586673.66   | 0.13%             | 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        |   6192000 | PA      | $5317887.87   | 0.07%             | 2028-02-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31376KS98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60723 | PA      | $62418.25     | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K066, Class X1  | CUSIP: 3137F2LL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12513687 | PA      | $335763.49    | 0.00%             | 2027-06-25      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 31292HYT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    508787 | PA      | $520160.40    | 0.01%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Martin Marietta Materials, Inc.                    | Martin Marietta Materials, Inc., Series CB                                     | CUSIP: 573284AV8<br>LEI: 5299005MZ4WZECVATV08 | Long             | DBT              | CORP              | US        |    622000 | PA      | $512456.93    | 0.01%             | 2030-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 3132WJUV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1019095 | PA      | $946571.59    | 0.01%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Allegro CLO IV Ltd.                                | Allegro CLO IV Ltd., Series 2016-1A, Class BR2                                 | CUSIP: 01749TAQ3<br>LEI: 635400THLJMIHHPCEN50 | Long             | ABS-CBDO         | CORP              | KY        |   7806564 | PA      | $7598815.72   | 0.10%             | 2030-01-15      | Floating      | 5.63%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31407PYP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82836 | PA      | $85752.41     | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                     | Morgan Stanley                                                                 | CUSIP: 617446448<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | EC               | CORP              | US        |    694008 | NS      | $59004560.16  | 0.78%             |  |  |  | No            |                  1 | On Loan: No      |
| Stellantis Finance US, Inc.                        | Stellantis Finance US, Inc.                                                    | CUSIP: 85855CAB6<br>LEI: 549300QZ0AI8Q7LNON33 | Long             | DBT              | CORP              | US        |  10166000 | PA      | $7756681.89   | 0.10%             | 2031-09-15      | Fixed         | 2.69%                 | Yes           |                  2 | On Loan: No      |
| Ready Capital Mortgage Financing LLC               | Ready Capital Mortgage Financing LLC, Series 2021-FL5, Class A                 | CUSIP: 75574YAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7389107 | PA      | $7173382.30   | 0.10%             | 2038-04-25      | Floating      | 5.39%                 | Yes           |                  2 | On Loan: No      |
| PPG Industries, Inc.                               | PPG Industries, Inc.                                                           | CUSIP: 693506107<br>LEI: 549300BKPEP01R3V6C59 | Long             | EC               | CORP              | US        |    376081 | NS      | $47288424.94  | 0.63%             |  |  |  | No            |                  1 | On Loan: No      |
| T-Mobile US, Inc.                                  | T-Mobile US, Inc.                                                              | CUSIP: 872590104<br>LEI: 549300QHIJYOHPACPG31 | Long             | EC               | CORP              | US        |    425940 | NS      | $59631600.00  | 0.79%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31418EDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29575 | PA      | $25050.69     | 0.00%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140KSJQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11731563 | PA      | $9043697.26   | 0.12%             | 2051-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 3132J93Z9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    502467 | PA      | $457729.96    | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Axalta Coating Systems Ltd.                        | Axalta Coating Systems Ltd.                                                    | CUSIP: N/A<br>LEI: 529900AGLPA40GV6H619       | Long             | EC               | CORP              | BM        |   1544481 | NS      | $39337931.07  | 0.52%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley Domestic Holdings, Inc.             | Morgan Stanley Domestic Holdings, Inc.                                         | CUSIP: 269246BS2<br>LEI: 549300RJIC678ZPVWG08 | Long             | DBT              | CORP              | US        |   3038000 | PA      | $2954146.46   | 0.04%             | 2028-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3138WHNH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3446715 | PA      | $3200357.05   | 0.04%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31404U5K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    386077 | PA      | $399953.67    | 0.01%             | 2034-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31405TBK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73893 | PA      | $75205.43     | 0.00%             | 2034-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K072, Class X1  | CUSIP: 3137FEBS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  51248143 | PA      | $786694.86    | 0.01%             | 2027-12-25      | Variable      | 0.37%                 | No            |                  2 | On Loan: No      |
| Vertex Pharmaceuticals, Inc.                       | Vertex Pharmaceuticals, Inc.                                                   | CUSIP: 92532F100<br>LEI: 54930015RAQRRZ5ZGJ91 | Long             | EC               | CORP              | US        |     64135 | NS      | $18520905.30  | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                               | GNMA, Series 2017-94                                                           | CUSIP: 38379RD34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6978501 | PA      | $242720.65    | 0.00%             | 2059-02-16      | Variable      | 0.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31404WXR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56498 | PA      | $57983.94     | 0.00%             | 2034-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31405HL71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107905 | PA      | $109929.16    | 0.00%             | 2034-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                       | Verizon Communications, Inc.                                                   | CUSIP: 92343VCV4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   4812000 | PA      | $4283568.25   | 0.06%             | 2036-01-15      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| BSPRT Issuer Ltd.                                  | BSPRT Issuer Ltd., Series 2021-FL7, Class B                                    | CUSIP: 05602CAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2794000 | PA      | $2593664.61   | 0.03%             | 2038-12-15      | Floating      | 6.37%                 | Yes           |                  2 | On Loan: No      |
| United States of America                           | U.S. Treasury Bonds                                                            | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5313000 | PA      | $3999900.34   | 0.05%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                           | U.S. Treasury Bonds                                                            | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9700000 | PA      | $7406101.51   | 0.10%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31405MJX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    109334 | PA      | $111155.14    | 0.00%             | 2034-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 3128M9BH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    150771 | PA      | $153080.43    | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31405FZM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104878 | PA      | $106480.09    | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Applied Materials, Inc.                            | Applied Materials, Inc.                                                        | CUSIP: 038222105<br>LEI: 41BNNE1AFPNAZELZ6K07 | Long             | EC               | CORP              | US        |    349951 | NS      | $34078228.38  | 0.45%             |  |  |  | No            |                  1 | On Loan: No      |
| Cboe Global Markets, Inc.                          | Cboe Global Markets, Inc.                                                      | CUSIP: 12503M108<br>LEI: 529900RLNSGA90UPEH54 | Long             | EC               | CORP              | US        |    232130 | NS      | $29125351.10  | 0.39%             |  |  |  | No            |                  1 | On Loan: No      |
| NXP BV                                             | NXP BV                                                                         | CUSIP: 62954HAU2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6143000 | PA      | $4286225.79   | 0.06%             | 2041-05-11      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31385JMS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59839 | PA      | $62125.95     | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3138ETEE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    516722 | PA      | $512242.79    | 0.01%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 3128M4ZA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23437 | PA      | $24602.84     | 0.00%             | 2037-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Roche Holding AG                                   | Roche Holding AG                                                               | CUSIP: N/A<br>LEI: 549300U41AUUVOAAOB37       | Long             | EC               | CORP              | CH        |    101680 | NS      | $31945103.55  | 0.42%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140KFYV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    291671 | PA      | $251393.60    | 0.00%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K071, Class XAM | CUSIP: 3137FCLH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  47333000 | PA      | $457998.84    | 0.01%             | 2027-11-25      | Variable      | 0.32%                 | No            |                  2 | On Loan: No      |
| American Electric Power Co., Inc.                  | American Electric Power Co., Inc.                                              | CUSIP: 025537AW1<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |   4413000 | PA      | $4607691.45   | 0.06%             | 2032-11-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36202FSD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    289888 | PA      | $280104.06    | 0.00%             | 2041-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                       | Avolon Holdings Funding Ltd.                                                   | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   5867000 | PA      | $4689461.48   | 0.06%             | 2027-11-18      | Fixed         | 2.53%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31402DF54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69236 | PA      | $70704.35     | 0.00%             | 2034-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, Series 2016-19, Class AD                                                 | CUSIP: 3136ARB31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    529302 | PA      | $476771.53    | 0.01%             | 2046-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States of America                           | U.S. Treasury Bonds                                                            | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9015000 | PA      | $5709734.81   | 0.08%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 31297GMT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72325 | PA      | $73486.58     | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31404S2P9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68999 | PA      | $70038.78     | 0.00%             | 2034-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Exelon Corp.                                       | Exelon Corp.                                                                   | CUSIP: 30161N101<br>LEI: 3SOUA6IRML7435B56G12 | Long             | EC               | CORP              | US        |    818414 | NS      | $35380037.22  | 0.47%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                               | GNMA, Series 2011-123, Class MA                                                | CUSIP: 38377YEC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    407727 | PA      | $397167.54    | 0.01%             | 2041-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140MPVF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    186514 | PA      | $163768.64    | 0.00%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3133KPF52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3915269 | PA      | $3698005.72   | 0.05%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Corebridge Financial, Inc.                         | Corebridge Financial, Inc.                                                     | CUSIP: 21871XAG4<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |  11118000 | PA      | $9710098.53   | 0.13%             | 2032-04-05      | Fixed         | 3.90%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31405DWE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27284 | PA      | $28069.79     | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 3128MJCL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     85982 | PA      | $89021.64     | 0.00%             | 2035-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Cigna Corp.                                        | Cigna Corp.                                                                    | CUSIP: 125523100<br>LEI: 549300VIWYMSIGT1U456 | Long             | EC               | CORP              | US        |    410667 | NS      | $136070403.78 | 1.81%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140QNWS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    171620 | PA      | $145360.63    | 0.00%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3138E2LH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1132857 | PA      | $1060425.76   | 0.01%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                        | Capital One Financial Corp.                                                    | CUSIP: 14040HCN3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |  12356000 | PA      | $10564005.98  | 0.14%             | 2030-03-01      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                          | HCA, Inc.                                                                      | CUSIP: 404119BX6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   5801000 | PA      | $5295681.39   | 0.07%             | 2029-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36179TSF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    210719 | PA      | $189762.40    | 0.00%             | 2048-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Seagate Technology Holdings plc                    | Seagate Technology Holdings plc                                                | CUSIP: N/A<br>LEI: 635400RUXIFEZSRU8X70       | Long             | EC               | CORP              | IE        |    353198 | NS      | $18581746.78  | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 3620AFWD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    405461 | PA      | $401732.91    | 0.01%             | 2040-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31371LEW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156760 | PA      | $160081.66    | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3138WD3L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3763081 | PA      | $3509017.03   | 0.05%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140QQSD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28676 | PA      | $25163.80     | 0.00%             | 2052-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Stanley Black & Decker, Inc.                       | Stanley Black & Decker, Inc.                                                   | CUSIP: 854502101<br>LEI: 549300DJ09SMTO561131 | Long             | EC               | CORP              | US        |    427744 | NS      | $32132129.28  | 0.43%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 3128MJXK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2373370 | PA      | $2207862.80   | 0.03%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K067, Class X1  | CUSIP: 3137FAWU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  33464410 | PA      | $724025.93    | 0.01%             | 2027-07-25      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| Magnetite XVI Ltd.                                 | Magnetite XVI Ltd., Series 2015-16A, Class AR                                  | CUSIP: 55953RAL5<br>LEI: 549300Z3WHVYABE20I45 | Long             | ABS-CBDO         | CORP              | KY        |   3644281 | PA      | $3621606.63   | 0.05%             | 2028-01-18      | Floating      | 4.99%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 3128M9LS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1030601 | PA      | $965815.78    | 0.01%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 3132JAJ97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1177997 | PA      | $1073073.79   | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140QNFR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17037862 | PA      | $14454393.63  | 0.19%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Park Aerospace Holdings Ltd.                       | Park Aerospace Holdings Ltd.                                                   | CUSIP: 70014LAB6<br>LEI: 635400CPI3EOIFF6OC33 | Long             | DBT              | CORP              | KY        |   2057000 | PA      | $2030175.75   | 0.03%             | 2024-02-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| ConocoPhillips                                     | ConocoPhillips                                                                 | CUSIP: 20825C104<br>LEI: WPTL2Z3FIYTHSP5V2253 | Long             | EC               | CORP              | US        |    771016 | NS      | $90979888.00  | 1.21%             |  |  |  | No            |                  1 | On Loan: No      |
| United States of America                           | U.S. Treasury Bonds                                                            | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 151800000 | PA      | $109711078.88 | 1.46%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3138ERQS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2999713 | PA      | $2869338.04   | 0.04%             | 2031-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K033, Class A2  | CUSIP: 3137B4WB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1116000 | PA      | $1105023.02   | 0.01%             | 2023-07-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| Roper Technologies, Inc.                           | Roper Technologies, Inc.                                                       | CUSIP: 776743AJ5<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |   4196000 | PA      | $3362656.06   | 0.04%             | 2030-06-30      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K728, Class XAM | CUSIP: 3137FBTE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  44106000 | PA      | $324227.62    | 0.00%             | 2024-08-25      | Variable      | 0.43%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                  | HSBC Holdings plc                                                              | CUSIP: 404280CQ0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   3072000 | PA      | $2434230.19   | 0.03%             | 2031-03-09      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                               | JPMorgan Chase & Co.                                                           | CUSIP: 46647PBP0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1546000 | PA      | $1273835.60   | 0.02%             | 2031-05-13      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 31297VPS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     92586 | PA      | $94657.81     | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BAT International Finance plc                      | BAT International Finance plc                                                  | CUSIP: 05530QAP5<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |  13867000 | PA      | $12843077.92  | 0.17%             | 2028-03-16      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Charles Schwab Corp. (The)                         | Charles Schwab Corp. (The)                                                     | CUSIP: 808513105<br>LEI: 549300VSGCJ7E698NM85 | Long             | EC               | CORP              | US        |   1762172 | NS      | $146718440.72 | 1.95%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31405CJ34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119079 | PA      | $123149.39    | 0.00%             | 2034-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140QN7M8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2139833 | PA      | $1944676.09   | 0.03%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Brixmor Operating Partnership LP                   | Brixmor Operating Partnership LP                                               | CUSIP: 11120VAJ2<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |   5371000 | PA      | $4698577.49   | 0.06%             | 2030-07-01      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3133AULZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    368431 | PA      | $283923.11    | 0.00%             | 2051-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31405VJP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114590 | PA      | $116755.98    | 0.00%             | 2034-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31418EKS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6574345 | PA      | $6166989.92   | 0.08%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3138EPPA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    290163 | PA      | $299574.93    | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31402DJR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    290649 | PA      | $296811.42    | 0.00%             | 2034-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Alimentation Couche-Tard, Inc.                     | Alimentation Couche-Tard, Inc.                                                 | CUSIP: 01626PAP1<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |   6827000 | PA      | $4859623.06   | 0.06%             | 2041-05-13      | Fixed         | 3.44%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3132A5H32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    445444 | PA      | $396429.54    | 0.01%             | 2048-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                              | Bank of America Corp.                                                          | CUSIP: 06051GFX2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   8221000 | PA      | $7845645.42   | 0.10%             | 2026-04-19      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                | U.S. Treasury Ultra Bond                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       515 | NC      | $-2789152.76  | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3132DWFS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    899791 | PA      | $902206.14    | 0.01%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3133BB2Z1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3208503 | PA      | $2918169.39   | 0.04%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8493331 | PA      | $7159243.71   | 0.09%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3138A7PB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    404218 | PA      | $400714.36    | 0.01%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31405ELT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9350 | PA      | $9491.18      | 0.00%             | 2034-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140QKQL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1774646 | PA      | $1508281.04   | 0.02%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31418QV75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46417 | PA      | $46555.55     | 0.00%             | 2040-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36177MPD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    210561 | PA      | $198020.00    | 0.00%             | 2042-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Anglo American Capital plc                         | Anglo American Capital plc                                                     | CUSIP: 034863AW0<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |   4259000 | PA      | $4228062.62   | 0.06%             | 2030-04-01      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140KHW31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    876505 | PA      | $759297.84    | 0.01%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Dell International LLC                             | Dell International LLC                                                         | CUSIP: 24703TAE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4603000 | PA      | $4530728.80   | 0.06%             | 2026-10-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                     | Broadcom, Inc.                                                                 | CUSIP: 11135FAS0<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   4290000 | PA      | $3780951.43   | 0.05%             | 2032-11-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3138EQ7L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1265151 | PA      | $1214989.38   | 0.02%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Anheuser-Busch InBev Worldwide, Inc.               | Anheuser-Busch InBev Worldwide, Inc.                                           | CUSIP: 03523TBJ6<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |   9558000 | PA      | $11739251.54  | 0.16%             | 2039-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Organon & Co.                                      | Organon & Co.                                                                  | CUSIP: 68622V106<br>LEI: 549300AMCKY57OK2CO56 | Long             | EC               | CORP              | US        |    562863 | NS      | $15720763.59  | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| Air Lease Corp.                                    | Air Lease Corp.                                                                | CUSIP: 00914AAS1<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   5987000 | PA      | $4756254.39   | 0.06%             | 2032-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Ingersoll Rand, Inc.                               | Ingersoll Rand, Inc.                                                           | CUSIP: 45687V106<br>LEI: 5299004C02FMZCUOIR50 | Long             | EC               | CORP              | US        |    789375 | NS      | $41244843.75  | 0.55%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                | U.S. Treasury 2 Year Note                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       191 | NC      | $28277.17     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K728, Class X1  | CUSIP: 3137FBTC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  72188281 | PA      | $449025.54    | 0.01%             | 2024-08-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                     | Broadcom, Inc.                                                                 | CUSIP: 11135FBV2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   2223000 | PA      | $1939267.97   | 0.03%             | 2037-05-15      | Fixed         | 4.93%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140MFWM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3993149 | PA      | $3504780.70   | 0.05%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 3128M9T51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1525462 | PA      | $1466608.46   | 0.02%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 312943UJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    978870 | PA      | $941109.61    | 0.01%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3138W9A75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    422426 | PA      | $404624.81    | 0.01%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3133B5N24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1060892 | PA      | $868086.00    | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Enel Finance International NV                      | Enel Finance International NV                                                  | CUSIP: 29278GAC2<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |   2194000 | PA      | $1720760.41   | 0.02%             | 2047-05-25      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31404T5C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55633 | PA      | $56470.70     | 0.00%             | 2034-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 31297S5K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    106226 | PA      | $106678.58    | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DuPont de Nemours, Inc.                            | DuPont de Nemours, Inc.                                                        | CUSIP: 26614N102<br>LEI: 5493004JF0SDFLM8GD76 | Long             | EC               | CORP              | US        |    545085 | NS      | $37409183.55  | 0.50%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3133BDP58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3330276 | PA      | $2822682.66   | 0.04%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 31335ALX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    488015 | PA      | $484331.57    | 0.01%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| L3Harris Technologies, Inc.                        | L3Harris Technologies, Inc.                                                    | CUSIP: 502431109<br>LEI: 549300UTE50ZMDBG8A20 | Long             | EC               | CORP              | US        |    228282 | NS      | $47530595.22  | 0.63%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31406AYE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49535 | PA      | $50298.26     | 0.00%             | 2034-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Keurig Dr Pepper, Inc.                             | Keurig Dr Pepper, Inc.                                                         | CUSIP: 49271VAJ9<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |    986000 | PA      | $859245.08    | 0.01%             | 2030-05-01      | Fixed         | 3.20%                 | 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        |  12232000 | PA      | $11681670.70  | 0.16%             | 2025-05-13      | Fixed         | 3.35%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36179TQP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17006 | PA      | $15890.38     | 0.00%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K125, Class XAM | CUSIP: 3137F9ZC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6541106 | PA      | $326429.32    | 0.00%             | 2031-01-25      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36179SLR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    974365 | PA      | $881914.46    | 0.01%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31401KVB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42149 | PA      | $42289.29     | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140XHCP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32874 | PA      | $28854.32     | 0.00%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36179USV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    188769 | PA      | $184855.93    | 0.00%             | 2049-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                          | HCA, Inc.                                                                      | CUSIP: 404119CM9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   4148000 | PA      | $3302671.41   | 0.04%             | 2042-03-15      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31402RJV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    228027 | PA      | $232862.05    | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 31297ECL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49673 | PA      | $50612.30     | 0.00%             | 2034-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Cox Communications, Inc.                           | Cox Communications, Inc.                                                       | CUSIP: 224044CL9<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |   4310000 | PA      | $3277698.06   | 0.04%             | 2030-10-01      | Fixed         | 1.80%                 | Yes           |                  2 | On Loan: No      |
| United States of America                           | U.S. Treasury Bonds                                                            | CUSIP: 912810QA9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5140000 | PA      | $4827785.14   | 0.06%             | 2039-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Laboratory Corp. of America Holdings               | Laboratory Corp. of America Holdings                                           | CUSIP: 50540RAS1<br>LEI: OZ7UA8IXAIFILY2VZH07 | Long             | DBT              | CORP              | US        |   3373000 | PA      | $2890115.38   | 0.04%             | 2045-02-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K098, Class X1  | CUSIP: 3137FPHM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13348771 | PA      | $795015.40    | 0.01%             | 2029-08-25      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31404LQM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75149 | PA      | $75742.23     | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 31296R3K2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    330144 | PA      | $337558.18    | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Lear Corp.                                         | Lear Corp.                                                                     | CUSIP: 521865204<br>LEI: 549300UPNBTXA1SYTQ33 | Long             | EC               | CORP              | US        |    286329 | NS      | $35510522.58  | 0.47%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31404MBT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45325 | PA      | $45788.04     | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31407BTX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33054 | PA      | $33755.40     | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Air Lease Corp.                                    | Air Lease Corp.                                                                | CUSIP: 00914AAR3<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   4561000 | PA      | $3974720.58   | 0.05%             | 2027-01-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36290RYF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    272796 | PA      | $284365.60    | 0.00%             | 2034-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 21H020618<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15100000 | PA      | $12651312.43  | 0.17%             | 2053-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                             | Truist Financial Corp.                                                         | CUSIP: 89832Q109<br>LEI: 549300DRQQI75D2JP341 | Long             | EC               | CORP              | US        |   2060069 | NS      | $88644769.07  | 1.18%             |  |  |  | No            |                  1 | On Loan: No      |
| Commercial Mortgage Trust                          | Commercial Mortgage Trust, Series 2015-DC1, Class A5                           | CUSIP: 12629NAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7000000 | PA      | $6663462.40   | 0.09%             | 2048-02-10      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC, Series 4471, Class PI                                                   | CUSIP: 3137BJGN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    123438 | PA      | $11002.44     | 0.00%             | 2040-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140MNA48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15335233 | PA      | $13000110.37  | 0.17%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3138EKBW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    271867 | PA      | $275301.49    | 0.00%             | 2042-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                              | Global Payments, Inc.                                                          | CUSIP: 37940XAH5<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   8226000 | PA      | $6486763.16   | 0.09%             | 2031-11-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC, Series 4182, Class QI                                                   | CUSIP: 3137B0ZL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1009834 | PA      | $63925.04     | 0.00%             | 2033-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                  | Duke Energy Corp.                                                              | CUSIP: 26441CBT1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |  10428000 | PA      | $9767916.57   | 0.13%             | 2032-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140QPKC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27434 | PA      | $24079.00     | 0.00%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K035, Class A2  | CUSIP: 3137B5KW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2538691 | PA      | $2515025.25   | 0.03%             | 2023-08-25      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36202EBF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    317477 | PA      | $335137.95    | 0.00%             | 2034-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BP Capital Markets America, Inc.                   | BP Capital Markets America, Inc.                                               | CUSIP: 10373QBT6<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |  13688000 | PA      | $11408396.24  | 0.15%             | 2032-01-12      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140MPWF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1123423 | PA      | $986446.12    | 0.01%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K727, Class X1  | CUSIP: 3137FARG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11521570 | PA      | $77468.73     | 0.00%             | 2024-07-25      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                    | Goldman Sachs Group, Inc. (The)                                                | CUSIP: 38141G104<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | EC               | CORP              | US        |    476801 | NS      | $163723927.38 | 2.17%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31408EW65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97651 | PA      | $99175.00     | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 3128M8RP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    150461 | PA      | $152766.55    | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K134, Class XAM | CUSIP: 3137H4CH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  25136487 | PA      | $645567.83    | 0.01%             | 2031-11-25      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3138ERQU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1527953 | PA      | $1461661.45   | 0.02%             | 2031-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31401XPX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    355903 | PA      | $361655.47    | 0.00%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3132DWC68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    575718 | PA      | $469105.45    | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K118, Class XAM | CUSIP: 3137F62R7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2196896 | PA      | $158175.63    | 0.00%             | 2030-09-25      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31409FHZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23445 | PA      | $23802.69     | 0.00%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Jersey Central Power & Light Co.                   | Jersey Central Power & Light Co.                                               | CUSIP: 476556DC6<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |   4141000 | PA      | $3999612.80   | 0.05%             | 2026-01-15      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| NXP BV                                             | NXP BV                                                                         | CUSIP: 62954HBA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7167000 | PA      | $5708372.38   | 0.08%             | 2031-05-11      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31404W5H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36032 | PA      | $36671.69     | 0.00%             | 2034-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3133B8CJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    761874 | PA      | $646476.91    | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140QEAV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1410290 | PA      | $1212710.34   | 0.02%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140HF7H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    374200 | PA      | $322514.36    | 0.00%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140QFA66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4245578 | PA      | $3660794.47   | 0.05%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Microsoft Corp.                                    | Microsoft Corp.                                                                | CUSIP: 594918104<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | EC               | CORP              | US        |    608425 | NS      | $145912483.50 | 1.94%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                               | GNMA, Series 2012-12, Class KN                                                 | CUSIP: 38378CP92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    271965 | PA      | $265358.18    | 0.00%             | 2041-09-20      | Fixed         | 4.50%                 | 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        |     -1216 | NC      | $1235402.06   | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Quest Diagnostics, Inc.                            | Quest Diagnostics, Inc.                                                        | CUSIP: 74834L100<br>LEI: 8MCWUBXQ0WE04KMXBX50 | Long             | EC               | CORP              | US        |    104792 | NS      | $16393660.48  | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140FDVW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    935416 | PA      | $838136.77    | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fairfax Financial Holdings Ltd.                    | Fairfax Financial Holdings Ltd.                                                | CUSIP: 303901BK7<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |  10369000 | PA      | $9732475.92   | 0.13%             | 2032-08-16      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31405FYH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22266 | PA      | $22326.15     | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3133BAFE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4417083 | PA      | $3885949.25   | 0.05%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                              | Bank of America Corp.                                                          | CUSIP: 060505104<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | EC               | CORP              | US        |   2811527 | NS      | $93117774.24  | 1.24%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 3132HQDE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1203080 | PA      | $1127432.51   | 0.01%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Commercial Real Estate Notes Ltd.     | Arbor Realty Commercial Real Estate Notes Ltd., Series 2021-FL1, Class AS      | CUSIP: 03881CAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6771500 | PA      | $6213853.43   | 0.08%             | 2035-12-15      | Floating      | 5.47%                 | Yes           |                  2 | On Loan: No      |
| Rio Tinto plc                                      | Rio Tinto plc                                                                  | CUSIP: N/A<br>LEI: 213800YOEO5OQ72G2R82       | Long             | EC               | CORP              | GB        |    202736 | NS      | $14210764.04  | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31417NB67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    194924 | PA      | $197686.79    | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Kimberly-Clark Corp.                               | Kimberly-Clark Corp.                                                           | CUSIP: 494368103<br>LEI: MP3J6QPYPGN75NVW2S34 | Long             | EC               | CORP              | US        |    111058 | NS      | $15076123.50  | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                               | FNMA, Series 2016-40, Class IQ                                                 | CUSIP: 3136ASG67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    826448 | PA      | $158068.90    | 0.00%             | 2046-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Marriott International, Inc.                       | Marriott International, Inc., Series X                                         | CUSIP: 571903AY9<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |   5286000 | PA      | $4909016.54   | 0.07%             | 2028-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31404FYW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40245 | PA      | $40353.23     | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Republic Services, Inc.                            | Republic Services, Inc.                                                        | CUSIP: 760759AX8<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | DBT              | CORP              | US        |   2765000 | PA      | $2131596.26   | 0.03%             | 2031-02-15      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Crown Castle, Inc.                                 | Crown Castle, Inc.                                                             | CUSIP: 22822VAS0<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |   2267000 | PA      | $2062306.34   | 0.03%             | 2025-07-15      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                              | Bank of America Corp.                                                          | CUSIP: 06051GGZ6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   4937000 | PA      | $4707338.36   | 0.06%             | 2026-01-23      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| Rogers Communications, Inc.                        | Rogers Communications, Inc.                                                    | CUSIP: 775109CC3<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |  17162000 | PA      | $14810008.31  | 0.20%             | 2032-03-15      | Fixed         | 3.80%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K042, Class A2  | CUSIP: 3137BFXT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3687000 | PA      | $3535387.98   | 0.05%             | 2024-12-25      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| Equinix, Inc.                                      | Equinix, Inc.                                                                  | CUSIP: 29444UBS4<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |   7470000 | PA      | $6002080.24   | 0.08%             | 2031-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31404YM82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83369 | PA      | $84408.22     | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BDS Ltd.                                           | BDS Ltd., Series 2019-FL4, Class A                                             | CUSIP: 05492KAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    136322 | PA      | $136321.90    | 0.00%             | 2036-08-15      | Floating      | 5.43%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31404RRD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78696 | PA      | $79914.28     | 0.00%             | 2034-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31418CLH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1572940 | PA      | $1508267.92   | 0.02%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3132DNP64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1559681 | PA      | $1322223.92   | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K128, Class XAM | CUSIP: 3137FYUN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5934811 | PA      | $286523.77    | 0.00%             | 2031-03-25      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3133KNEG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4112135 | PA      | $3500986.99   | 0.05%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3132DWE66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3824998 | PA      | $3681771.73   | 0.05%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31416BW87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    810977 | PA      | $800210.20    | 0.01%             | 2034-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC               | Charter Communications Operating LLC                                           | CUSIP: 161175AZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3413000 | PA      | $3326942.57   | 0.04%             | 2035-10-23      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K072, Class XAM | CUSIP: 3137FEBU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  32765000 | PA      | $457697.56    | 0.01%             | 2027-12-25      | Variable      | 0.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140KE2N7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    282323 | PA      | $243327.17    | 0.00%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                       | GS Mortgage Securities Trust, Series 2015-GC30, Class A4                       | CUSIP: 36250GAP0<br>LEI: 549300L45M7638EL0H21 | Long             | ABS-MBS          | CORP              | US        |  10734280 | PA      | $10178534.12  | 0.14%             | 2050-05-10      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31411GNH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    134700 | PA      | $139130.16    | 0.00%             | 2037-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36179XDF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4214059 | PA      | $4176717.45   | 0.06%             | 2052-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3132A5HP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    417239 | PA      | $371781.37    | 0.00%             | 2047-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Honeywell International, Inc.                      | Honeywell International, Inc.                                                  | CUSIP: 438516106<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | EC               | CORP              | US        |    243420 | NS      | $52164906.00  | 0.69%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31417F3J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1783305 | PA      | $1667725.96   | 0.02%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                               | JPMorgan Chase & Co.                                                           | CUSIP: 46647PCU8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   5837000 | PA      | $4750747.20   | 0.06%             | 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        |      2040 | NC      | $-230367.00   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31405MW52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148422 | PA      | $150701.67    | 0.00%             | 2034-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31418EB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23190544 | PA      | $18894519.57  | 0.25%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 31297NBF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     95751 | PA      | $96240.06     | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3133A62T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    198859 | PA      | $177040.90    | 0.00%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3138ABYR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    787735 | PA      | $780902.73    | 0.01%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Small Business Administration        | United States Small Business Administration, Series 2005-20C, Class 1          | CUSIP: 83162CPK3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    106674 | PA      | $106724.11    | 0.00%             | 2025-03-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140N24Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2485339 | PA      | $2399658.17   | 0.03%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140E0X91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1442655 | PA      | $1385465.09   | 0.02%             | 2041-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                           | U.S. Treasury Notes                                                            | CUSIP: 912828Z52<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  97600000 | PA      | $91728750.00  | 1.22%             | 2025-01-31      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140XCAK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1456043 | PA      | $1242603.12   | 0.02%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140XFGA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4415456 | PA      | $3770309.93   | 0.05%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Equinix, Inc.                                      | Equinix, Inc.                                                                  | CUSIP: 29444UBG0<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |   5883000 | PA      | $5035531.08   | 0.07%             | 2027-07-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC, Series 3629, Class CZ                                                   | CUSIP: 31398W3B8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    461314 | PA      | $462981.81    | 0.01%             | 2040-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36179UWA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    660643 | PA      | $647148.11    | 0.01%             | 2049-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 31296XXV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16475 | PA      | $16739.59     | 0.00%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 3132GS6D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    881490 | PA      | $826084.72    | 0.01%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36179TQN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8732514 | PA      | $7891076.85   | 0.10%             | 2048-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140MMXR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    888652 | PA      | $792321.49    | 0.01%             | 2037-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K041, Class A2  | CUSIP: 3137BFE98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3005000 | PA      | $2910567.57   | 0.04%             | 2024-10-25      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K068, Class X1  | CUSIP: 3137FBBZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17588791 | PA      | $293753.92    | 0.00%             | 2027-08-25      | Variable      | 0.56%                 | 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        |   6093000 | PA      | $5295311.51   | 0.07%             | 2030-09-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31415PNH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36909 | PA      | $37093.34     | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Aon Corp.                                          | Aon Corp.                                                                      | CUSIP: 03740LAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1057000 | PA      | $862731.93    | 0.01%             | 2031-12-02      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 3128MJS35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2999423 | PA      | $2732261.89   | 0.04%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140XAT51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    174635 | PA      | $148341.91    | 0.00%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Masco Corp.                                        | Masco Corp.                                                                    | CUSIP: 574599106<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | EC               | CORP              | US        |   1437964 | NS      | $67109779.88  | 0.89%             |  |  |  | No            |                  1 | On Loan: No      |
| East Ohio Gas Co. (The)                            | East Ohio Gas Co. (The)                                                        | CUSIP: 27409LAC7<br>LEI: BC95Y6MXLT75BGO7UM71 | Long             | DBT              | CORP              | US        |   3679000 | PA      | $2893575.88   | 0.04%             | 2030-06-15      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31417AYH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    536369 | PA      | $515085.50    | 0.01%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31407NAV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43288 | PA      | $43963.71     | 0.00%             | 2035-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31371LM63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36841 | PA      | $38354.46     | 0.00%             | 2034-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31404T4V2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85990 | PA      | $86261.05     | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Mondelez International, Inc.                       | Mondelez International, Inc., Class A                                          | CUSIP: 609207105<br>LEI: 549300DV9GIB88LZ5P30 | Long             | EC               | CORP              | US        |    164364 | NS      | $10954860.60  | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| Wendy's Co. (The)                                  | Wendy's Co. (The)                                                              | CUSIP: 95058W100<br>LEI: 529900M0JIUCMWVKHG76 | Long             | EC               | CORP              | US        |    837299 | NS      | $18948076.37  | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| Northern Trust Corp.                               | Northern Trust Corp.                                                           | CUSIP: 665859104<br>LEI: 549300GLF98S992BC502 | Long             | EC               | CORP              | US        |    496424 | NS      | $43928559.76  | 0.58%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 31307WQ64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28284 | PA      | $27229.27     | 0.00%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Omnicom Group, Inc.                                | Omnicom Group, Inc.                                                            | CUSIP: 681919106<br>LEI: HKUPACFHSSASQK8HLS17 | Long             | EC               | CORP              | US        |    565638 | NS      | $46139091.66  | 0.61%             |  |  |  | No            |                  1 | On Loan: No      |
| Avolon Holdings Funding Ltd.                       | Avolon Holdings Funding Ltd.                                                   | CUSIP: 05401AAG6<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   2248000 | PA      | $2048255.15   | 0.03%             | 2026-05-01      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140XEAU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4094744 | PA      | $3615899.48   | 0.05%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                           | U.S. Treasury Notes                                                            | CUSIP: 91282CAZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 193700000 | PA      | $173255569.34 | 2.30%             | 2025-11-30      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 31297AZP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15843 | PA      | $16247.53     | 0.00%             | 2034-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Sabine Pass Liquefaction LLC                       | Sabine Pass Liquefaction LLC                                                   | CUSIP: 785592AX4<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |   1665000 | PA      | $1543316.29   | 0.02%             | 2030-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140F5BK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168038 | PA      | $156802.66    | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140XDYN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3998596 | PA      | $3414378.57   | 0.05%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Temasek Financial I Ltd.                           | Temasek Financial I Ltd.                                                       | CUSIP: 87973PAC8<br>LEI: 549300XMGMDF3VRJMF12 | Long             | DBT              | CORP              | SG        |  10140000 | PA      | $10128756.46  | 0.13%             | 2023-01-23      | Fixed         | 2.38%                 | Yes           |                  2 | On Loan: No      |
| United States of America                           | U.S. Treasury Bonds                                                            | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  22502000 | PA      | $18443729.20  | 0.24%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 3128MJMN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    213438 | PA      | $211770.96    | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Union Pacific Corp.                                | Union Pacific Corp.                                                            | CUSIP: 907818108<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | EC               | CORP              | US        |    351999 | NS      | $72888432.93  | 0.97%             |  |  |  | No            |                  1 | On Loan: No      |
| Dollar Tree, Inc.                                  | Dollar Tree, Inc.                                                              | CUSIP: 256746108<br>LEI: 549300PMSTQITB1WHR43 | Long             | EC               | CORP              | US        |     71797 | NS      | $10154967.68  | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31407B3J6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    243810 | PA      | $248986.40    | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Anglo American Capital plc                         | Anglo American Capital plc                                                     | CUSIP: 034863BB5<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |   1639000 | PA      | $1471471.48   | 0.02%             | 2029-03-16      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36179XHW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10675613 | PA      | $9809281.57   | 0.13%             | 2052-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3138ENAA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    555384 | PA      | $550568.26    | 0.01%             | 2043-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36297GSD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1155898 | PA      | $1087067.62   | 0.01%             | 2041-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                         | AerCap Ireland Capital DAC                                                     | CUSIP: 00774MAK1<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1093000 | PA      | $1082572.55   | 0.01%             | 2024-01-16      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 3132J8ZX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    485834 | PA      | $442579.69    | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                     | Broadcom, Inc.                                                                 | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   7412000 | PA      | $5323949.40   | 0.07%             | 2036-11-15      | Fixed         | 3.19%                 | Yes           |                  2 | On Loan: No      |
| Boston Scientific Corp.                            | Boston Scientific Corp.                                                        | CUSIP: 101137BA4<br>LEI: Y6ZDD9FP4P8JSSJMW954 | Long             | DBT              | CORP              | US        |   5104000 | PA      | $4359780.15   | 0.06%             | 2030-06-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| NXP Semiconductors NV                              | NXP Semiconductors NV                                                          | CUSIP: N/A<br>LEI: 724500M9BY5293JDF951       | Long             | EC               | CORP              | NL        |    309653 | NS      | $48934463.59  | 0.65%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3131WHFH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    263110 | PA      | $267755.16    | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31405FTX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137633 | PA      | $139926.15    | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Booking Holdings, Inc.                             | Booking Holdings, Inc.                                                         | CUSIP: 09857L108<br>LEI: FXM8FAOHMYDIPD38UZ17 | Long             | EC               | CORP              | US        |      6355 | NS      | $12807104.40  | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 3128MJCF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     76069 | PA      | $78819.76     | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Best Buy Co., Inc.                                 | Best Buy Co., Inc.                                                             | CUSIP: 08652BAA7<br>LEI: HL5XPTVRV0O8TUN5LL90 | Long             | DBT              | CORP              | US        |   5549000 | PA      | $5340793.64   | 0.07%             | 2028-10-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| ACRES Commercial Realty Ltd.                       | ACRES Commercial Realty Ltd., Series 2021-FL2, Class AS                        | CUSIP: 00500JAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6082500 | PA      | $5714652.91   | 0.08%             | 2037-01-15      | Floating      | 6.08%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                                                           | CUSIP: 31381QC53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    674812 | PA      | $681041.82    | 0.01%             | 2026-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36179XLG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8124192 | PA      | $7882347.21   | 0.10%             | 2052-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36202EDG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    166278 | PA      | $175585.62    | 0.00%             | 2035-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140K5AX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    652003 | PA      | $558762.15    | 0.01%             | 2050-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31403WKD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75907 | PA      | $76151.13     | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                                                           | CUSIP: 3138L3D28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    856033 | PA      | $846248.41    | 0.01%             | 2023-05-01      | Fixed         | 2.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140QQVG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    299060 | PA      | $273628.40    | 0.00%             | 2037-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140L1Y41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    838119 | PA      | $688655.14    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 3128M6JU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    100803 | PA      | $103058.24    | 0.00%             | 2036-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                  | Duke Energy Corp.                                                              | CUSIP: 26441C204<br>LEI: I1BZKREC126H0VB1BL91 | Long             | EC               | CORP              | US        |    420510 | NS      | $43308324.90  | 0.57%             |  |  |  | No            |                  1 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                | Seasoned Credit Risk Transfer Trust, Series 2022-1, Class MTU                  | CUSIP: 35563P7E3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2084805 | PA      | $1838610.20   | 0.02%             | 2061-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3133B6DQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2218881 | PA      | $1897712.05   | 0.03%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Roper Technologies, Inc.                           | Roper Technologies, Inc.                                                       | CUSIP: 776743AG1<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |   1310000 | PA      | $1139280.79   | 0.02%             | 2029-09-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3133B7CR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    200429 | PA      | $163267.18    | 0.00%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Westinghouse Air Brake Technologies Corp.          | Westinghouse Air Brake Technologies Corp.                                      | CUSIP: 960386AM2<br>LEI: 06BTX5UWZD0GQ5N5Y745 | Long             | DBT              | CORP              | US        |   6723000 | PA      | $6454441.36   | 0.09%             | 2028-09-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 3128P8E23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    356348 | PA      | $343501.35    | 0.00%             | 2037-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MidOcean Credit CLO II                             | MidOcean Credit CLO II, Series 2013-2A, Class BR                               | CUSIP: 59863KAU1<br>LEI: 549300EKSLXKVD2RWW61 | Long             | ABS-CBDO         | CORP              | KY        |  12682806 | PA      | $12248077.46  | 0.16%             | 2030-01-29      | Floating      | 6.06%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 31297GXJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66984 | PA      | $67954.68     | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31376KTN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    354222 | PA      | $366733.41    | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 3129456V5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     76763 | PA      | $76197.64     | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Thermo Fisher Scientific, Inc.                     | Thermo Fisher Scientific, Inc.                                                 | CUSIP: 883556102<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | EC               | CORP              | US        |     35715 | NS      | $19667893.35  | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140EU7G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    961527 | PA      | $893299.85    | 0.01%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 31297DMD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20570 | PA      | $21100.16     | 0.00%             | 2034-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140MSK61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1118059 | PA      | $981624.08    | 0.01%             | 2052-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                                                           | CUSIP: 3138L3KZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    564218 | PA      | $559519.78    | 0.01%             | 2023-04-01      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31405CMV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132410 | PA      | $135019.09    | 0.00%             | 2034-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31407JUK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30376 | PA      | $30833.66     | 0.00%             | 2035-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31388TL68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26497 | PA      | $27146.96     | 0.00%             | 2031-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 31296RC55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    299942 | PA      | $309578.67    | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                           | U.S. Treasury Bonds                                                            | CUSIP: 912810RU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14148000 | PA      | $11336637.62  | 0.15%             | 2046-11-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| BSPRT Issuer Ltd.                                  | BSPRT Issuer Ltd., Series 2021-FL6, Class AS                                   | CUSIP: 05601HAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  17122500 | PA      | $16203244.34  | 0.21%             | 2036-03-15      | Floating      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31406TAC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    196505 | PA      | $203033.29    | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31405DQU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15198 | PA      | $15244.00     | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, Series 2015-61, Class PA                                                 | CUSIP: 3136APK43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145799 | PA      | $140143.75    | 0.00%             | 2044-05-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 31292KER4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     82712 | PA      | $84878.57     | 0.00%             | 2037-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3138MBH82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    535794 | PA      | $514540.70    | 0.01%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K068, Class XAM | CUSIP: 3137FBC38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  27934000 | PA      | $411587.94    | 0.01%             | 2027-08-25      | Variable      | 0.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140QNLM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    396940 | PA      | $336688.44    | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31417EN98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    746835 | PA      | $698605.77    | 0.01%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3138X6UA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3992230 | PA      | $3732232.68   | 0.05%             | 2043-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                               | Royal Bank of Canada                                                           | CUSIP: 78015K7H1<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |   8937000 | PA      | $8180317.53   | 0.11%             | 2025-06-10      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31407VTF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75052 | PA      | $76358.75     | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31419HBF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51509 | PA      | $51292.56     | 0.00%             | 2040-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 3128MCG82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83723 | PA      | $83625.64     | 0.00%             | 2024-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Columbia Cent CLO 28 Ltd.                          | Columbia Cent CLO 28 Ltd., Series 2018-28A, Class A2R                          | CUSIP: 197361AS7<br>LEI: 549300K7BI8XA1XTMK83 | Long             | ABS-CBDO         | CORP              | KY        |  11264069 | PA      | $10789964.34  | 0.14%             | 2030-11-07      | Floating      | 6.23%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 3132L6HF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1032006 | PA      | $989606.49    | 0.01%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31418EM23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11100003 | PA      | $11267212.56  | 0.15%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Samsung Electronics Co. Ltd.                       | Samsung Electronics Co. Ltd. (Preference)                                      | CUSIP: N/A<br>LEI: 9884007ER46L6N7EI764       | Long             | EC               | CORP              | KR        |    435195 | NS      | $17511314.12  | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31371LJS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    355402 | PA      | $366560.48    | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31406S3H4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    118611 | PA      | $122258.94    | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Anheuser-Busch InBev Worldwide, Inc.               | Anheuser-Busch InBev Worldwide, Inc.                                           | CUSIP: 035240AM2<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |   2398000 | PA      | $2143597.26   | 0.03%             | 2038-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3133ATXF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9933589 | PA      | $8414344.60   | 0.11%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36290SR29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9700 | PA      | $9540.07      | 0.00%             | 2033-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140KGJG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    561765 | PA      | $483407.81    | 0.01%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Aptiv plc                                          | Aptiv plc, Series A                                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | EP               | CORP              | JE        |    122000 | NS      | $13093040.00  | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| Accenture plc                                      | Accenture plc, Class A                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | IE        |    137203 | NS      | $36611248.52  | 0.49%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K111, Class XAM | CUSIP: 3137FUZG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8995049 | PA      | $960086.56    | 0.01%             | 2030-05-25      | Variable      | 1.91%                 | No            |                  2 | On Loan: No      |
| Brown & Brown, Inc.                                | Brown & Brown, Inc.                                                            | CUSIP: 115236AE1<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |   7012000 | PA      | $6079137.12   | 0.08%             | 2032-03-17      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 31297BAX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    144924 | PA      | $149539.13    | 0.00%             | 2034-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 31297DDQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    431844 | PA      | $446256.01    | 0.01%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36179W2U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16998307 | PA      | $14726096.83  | 0.20%             | 2052-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36202FPF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1369824 | PA      | $1318316.69   | 0.02%             | 2041-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31400RW80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17133 | PA      | $17179.47     | 0.00%             | 2033-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36179UQ62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    707656 | PA      | $692978.99    | 0.01%             | 2049-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K132, Class XAM | CUSIP: 3137H3EZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5075984 | PA      | $298011.02    | 0.00%             | 2031-09-25      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140XFHM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2984021 | PA      | $2526316.11   | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Boston Scientific Corp.                            | Boston Scientific Corp., Series A                                              | CUSIP: 101137206<br>LEI: Y6ZDD9FP4P8JSSJMW954 | Long             | EP               | CORP              | US        |    214080 | NS      | $24580665.60  | 0.33%             |  |  |  | No            |                  1 | On Loan: No      |
| State Board of Administration Finance Corp.        | State Board of Administration Finance Corp.                                    | CUSIP: 341271AF1<br>LEI: 549300S34SOJ0RULXM35 | Long             | DBT              | MUN               | US        |   4514000 | PA      | $3696119.17   | 0.05%             | 2030-07-01      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Oaktree CLO Ltd.                                   | Oaktree CLO Ltd., Series 2019-1A, Class BR                                     | CUSIP: 67401XAL5<br>LEI: 549300BJ8TRWJ20BLC43 | Long             | ABS-CBDO         | CORP              | KY        |  16678518 | PA      | $15969380.77  | 0.21%             | 2030-04-22      | Floating      | 6.07%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36179TUA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    142302 | PA      | $132572.66    | 0.00%             | 2048-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K029, Class A2  | CUSIP: 3137B36J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1353569 | PA      | $1349165.12   | 0.02%             | 2023-02-25      | Variable      | 3.32%                 | No            |                  2 | On Loan: No      |
| Pioneer Natural Resources Co.                      | Pioneer Natural Resources Co.                                                  | CUSIP: 723787107<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | EC               | CORP              | US        |    225793 | NS      | $51568863.27  | 0.68%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31418ECG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5450114 | PA      | $4594020.30   | 0.06%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Electronic Arts, Inc.                              | Electronic Arts, Inc.                                                          | CUSIP: 285512109<br>LEI: 549300O7A67PUEYKDL45 | Long             | EC               | CORP              | US        |    181247 | NS      | $22144758.46  | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| STORE Capital Corp.                                | STORE Capital Corp.                                                            | CUSIP: 862121100<br>LEI: 5493004EA6C9IHDZ7N66 | Long             | EC               | CORP              | US        |    627499 | NS      | $20117617.94  | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36202DYJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30744 | PA      | $30684.17     | 0.00%             | 2033-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31418CZB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    214524 | PA      | $201501.07    | 0.00%             | 2033-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31405MWY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30488 | PA      | $30579.43     | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                           | U.S. Treasury Bonds                                                            | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  28989000 | PA      | $19838214.56  | 0.26%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3133B7FR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    904632 | PA      | $767452.76    | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31417AVY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    301427 | PA      | $282150.49    | 0.00%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                               | Glencore Funding LLC                                                           | CUSIP: 378272AF5<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |   3717000 | PA      | $3697614.73   | 0.05%             | 2023-05-30      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31417SBQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127175 | PA      | $128435.59    | 0.00%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3132A5HG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6992408 | PA      | $6623951.51   | 0.09%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AREIT Trust                                        | AREIT Trust, Series 2022-CRE6, Class B                                         | CUSIP: 04002VAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |  10151500 | PA      | $9325990.17   | 0.12%             | 2037-01-16      | Floating      | 5.68%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31376KHJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65049 | PA      | $66737.46     | 0.00%             | 2034-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31404SM28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33209 | PA      | $33709.33     | 0.00%             | 2034-04-01      | Fixed         | 6.00%                 | No            |                  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        |   5818000 | PA      | $5294699.99   | 0.07%             | 2034-08-15      | Floating      | 5.92%                 | Yes           |                  2 | On Loan: No      |
| Enbridge, Inc.                                     | Enbridge, Inc.                                                                 | CUSIP: 29250NAY1<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |   3055000 | PA      | $2890194.36   | 0.04%             | 2025-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 31292H5P5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    355753 | PA      | $367330.66    | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K030, Class A2  | CUSIP: 3137B3NA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4541528 | PA      | $4523786.57   | 0.06%             | 2023-04-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, Series 2010-113, Class GB                                                | CUSIP: 31398T7G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    329636 | PA      | $317865.79    | 0.00%             | 2040-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Phillips 66                                        | Phillips 66                                                                    | CUSIP: 718546AW4<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |   9976000 | PA      | $7987541.78   | 0.11%             | 2030-12-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31404P6Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57332 | PA      | $58547.55     | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3132DWEQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13587624 | PA      | $12348233.31  | 0.16%             | 2052-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 3132WHJY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4825051 | PA      | $4323404.00   | 0.06%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31418D4Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    816578 | PA      | $692513.53    | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Commercial Real Estate Notes Ltd.     | Arbor Realty Commercial Real Estate Notes Ltd., Series 2021-FL2, Class B       | CUSIP: 03881EAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1950000 | PA      | $1837336.80   | 0.02%             | 2036-05-15      | Floating      | 5.92%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36202EDF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42189 | PA      | $43532.72     | 0.00%             | 2035-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36202FUF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    179512 | PA      | $178612.35    | 0.00%             | 2041-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36200NBM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15114 | PA      | $14858.55     | 0.00%             | 2034-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31419ANB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2230437 | PA      | $2142030.27   | 0.03%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                 | Energy Transfer LP                                                             | CUSIP: 29273VAQ3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   7608000 | PA      | $7443362.88   | 0.10%             | 2033-02-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 3620A9WQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    355138 | PA      | $352530.20    | 0.00%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Suncor Energy, Inc.                                | Suncor Energy, Inc.                                                            | CUSIP: 867224107<br>LEI: 549300W70ZOQDVLCHY06 | Long             | EC               | CORP              | CA        |    848014 | NS      | $26899705.54  | 0.36%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                              | FHLMC                                                                          | CUSIP: 3128MJAD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69002 | PA      | $71439.75     | 0.00%             | 2034-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Business Jet Securities LLC                        | Business Jet Securities LLC, Series 2021-1A, Class A                           | CUSIP: 12327BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3514886 | PA      | $3086258.24   | 0.04%             | 2036-04-15      | Fixed         | 2.16%                 | Yes           |                  2 | On Loan: No      |
| Dryden 55 CLO Ltd.                                 | Dryden 55 CLO Ltd., Series 2018-55A, Class A1                                  | CUSIP: 26245MAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  11647598 | PA      | $11489691.51  | 0.15%             | 2031-04-15      | Floating      | 5.10%                 | Yes           |                  2 | On Loan: No      |
| AIA Group Ltd.                                     | AIA Group Ltd.                                                                 | CUSIP: 00131LAJ4<br>LEI: ZP5ILWVSYE4LJGMMVD57 | Long             | DBT              | CORP              | HK        |   7948000 | PA      | $6986300.82   | 0.09%             | 2030-04-07      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| NiSource, Inc.                                     | NiSource, Inc.                                                                 | CUSIP: 65473PAH8<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |   3979000 | PA      | $3450958.17   | 0.05%             | 2029-09-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| United States Small Business Administration        | United States Small Business Administration, Series 2004-20I, Class 1          | CUSIP: 83162CPA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     99499 | PA      | $97778.99     | 0.00%             | 2024-09-01      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140X5XN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1464243 | PA      | $1252106.45   | 0.02%             | 2050-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3138EK6N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1194859 | PA      | $1147443.40   | 0.02%             | 2043-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36179NF78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1884237 | PA      | $1775265.54   | 0.02%             | 2043-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Texas Instruments, Inc.                            | Texas Instruments, Inc.                                                        | CUSIP: 882508104<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | EC               | CORP              | US        |    173946 | NS      | $28739358.12  | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K728, Class A2  | CUSIP: 3137FBTA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2236721 | PA      | $2175281.09   | 0.03%             | 2024-08-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| Targa Resources Corp.                              | Targa Resources Corp.                                                          | CUSIP: 87612GAA9<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |   2470000 | PA      | $2125097.57   | 0.03%             | 2033-02-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                       | Verizon Communications, Inc.                                                   | CUSIP: 92343VDR2<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   6030000 | PA      | $5523435.86   | 0.07%             | 2039-03-15      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31405XDY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    398284 | PA      | $411752.16    | 0.01%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NiSource, Inc.                                     | NiSource, Inc.                                                                 | CUSIP: 65473QBD4<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |   1946000 | PA      | $1898723.35   | 0.03%             | 2045-02-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140L1Y58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    515563 | PA      | $423139.54    | 0.01%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31371LCC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    342733 | PA      | $337972.75    | 0.00%             | 2033-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Revolving Asset Trust            | Bayview Financial Revolving Asset Trust, Series 2005-E, Class M1               | CUSIP: 073250BW1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1144201 | PA      | $1406255.83   | 0.02%             | 2040-12-28      | Floating      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K070, Class X1  | CUSIP: 3137FCJM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  29779448 | PA      | $407686.60    | 0.01%             | 2027-11-25      | Variable      | 0.33%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                    | CSAIL Commercial Mortgage Trust, Series 2015-C2, Class A4                      | CUSIP: 12634NAT5<br>LEI: 549300D5DIOOMKWXVZ20 | Long             | ABS-MBS          | CORP              | US        |   5534308 | PA      | $5251562.42   | 0.07%             | 2057-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31404EPN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53964 | PA      | $55030.69     | 0.00%             | 2034-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States of America                           | U.S. Treasury Notes                                                            | CUSIP: 91282CEN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15067600 | PA      | $14278905.31  | 0.19%             | 2027-04-30      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC               | Charter Communications Operating LLC                                           | CUSIP: 161175CK8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5724000 | PA      | $4418028.87   | 0.06%             | 2053-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36241L4N3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    515371 | PA      | $505624.45    | 0.01%             | 2040-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31418EGG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32256 | PA      | $28314.39     | 0.00%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC, Series 4474, Class HJ                                                   | CUSIP: 3137BJF65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    336444 | PA      | $311048.44    | 0.00%             | 2039-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fidelity National Information Services, Inc.       | Fidelity National Information Services, Inc.                                   | CUSIP: 31620M106<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | EC               | CORP              | US        |    450474 | NS      | $30564660.90  | 0.41%             |  |  |  | No            |                  1 | On Loan: No      |
| Santander Retail Auto Lease Trust                  | Santander Retail Auto Lease Trust, Series 2020-A, Class B                      | CUSIP: 80286KAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    957766 | PA      | $956197.17    | 0.01%             | 2024-03-20      | Fixed         | 1.88%                 | Yes           |                  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        |   3880000 | PA      | $3862147.73   | 0.05%             | 2025-05-15      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140MNM37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5373216 | PA      | $4720821.96   | 0.06%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| American Transmission Systems, Inc.                | American Transmission Systems, Inc.                                            | CUSIP: 030288AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1738000 | PA      | $1426309.95   | 0.02%             | 2032-01-15      | Fixed         | 2.65%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K133, Class XAM | CUSIP: 3137H4BT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16898337 | PA      | $642853.30    | 0.01%             | 2031-09-25      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3138ETDS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1360563 | PA      | $1303603.44   | 0.02%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31418EE30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1430306 | PA      | $1255382.61   | 0.02%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3133WJTN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    556128 | PA      | $509373.48    | 0.01%             | 2037-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                           | U.S. Treasury Notes                                                            | CUSIP: 91282CEF4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  50000000 | PA      | $46919922.00  | 0.62%             | 2027-03-31      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31404WRQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117923 | PA      | $121747.74    | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Humana, Inc.                                       | Humana, Inc.                                                                   | CUSIP: 444859BV3<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |   5855000 | PA      | $6044137.70   | 0.08%             | 2033-03-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Lear Corp.                                         | Lear Corp.                                                                     | CUSIP: 521865BA2<br>LEI: 549300UPNBTXA1SYTQ33 | Long             | DBT              | CORP              | US        |   2163000 | PA      | $1942467.66   | 0.03%             | 2029-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36179W5C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    888311 | PA      | $790979.21    | 0.01%             | 2052-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3133B2S75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4037542 | PA      | $3545949.04   | 0.05%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| New Jersey Economic Development Authority          | New Jersey Economic Development Authority                                      | CUSIP: 645913AA2<br>LEI: 5493006JS6QWDVU4R678 | Long             | DBT              | MUN               | US        |   8500000 | PA      | $9150271.25   | 0.12%             | 2029-02-15      | Fixed         | 7.42%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                           | CUSIP: 36290SKW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8687 | PA      | $8520.65      | 0.00%             | 2033-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31412V4L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58957 | PA      | $61119.91     | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3138EPS47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    330533 | PA      | $317427.25    | 0.00%             | 2043-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K124, Class XAM | CUSIP: 3137F9Z38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4767487 | PA      | $284988.93    | 0.00%             | 2031-01-25      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                       | Pacific Gas and Electric Co.                                                   | CUSIP: 694308JF5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1561000 | PA      | $1333143.06   | 0.02%             | 2027-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                           | CUSIP: 3133KNQU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14373562 | PA      | $11702870.00  | 0.16%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Henkel AG & Co. KGaA                               | Henkel AG & Co. KGaA (Preference)                                              | CUSIP: N/A<br>LEI: 549300VZCL1HTH4O4Y49       | Long             | EC               | CORP              | DE        |    532114 | NS      | $37035485.34  | 0.49%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                               | FNMA                                                                           | CUSIP: 31381RTA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    882484 | PA      | $879999.09    | 0.01%             | 2026-07-01      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 3140KG4A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    712598 | PA      | $613622.29    | 0.01%             | 2050-07-01      | Fixed         | 2.50%                 | 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        |  17841000 | PA      | $17796447.45  | 0.24%             | 2025-07-15      | Fixed         | 5.24%                 | Yes           |                  2 | On Loan: No      |
| Vulcan Materials Co.                               | Vulcan Materials Co.                                                           | CUSIP: 929160AZ2<br>LEI: 549300Q8LSNHAVWBNI21 | Long             | DBT              | CORP              | US        |   1246000 | PA      | $1097521.07   | 0.01%             | 2030-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                           | CUSIP: 31418EBS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2958395 | PA      | $2508027.88   | 0.03%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |

### Signature

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

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

**Signature:** Kasey Phillips

**Name of Signer:** Kasey Phillips

**Title:** Assistant Treasurer