# EDGAR Filing Document

**Accession Number:** 0000764719
**File Stem:** 0001752724-23-066031
**Filing Date:** 2023-3
**Character Count:** 282782
**Document Hash:** 7231919e925594988b4cbc4b245553d7
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-066031.hdr.sgml**: 20230327

**ACCESSION NUMBER**: 0001752724-23-066031

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 4

**CONFORMED PERIOD OF REPORT**: 20230131

**FILED AS OF DATE**: 20230327

**DATE AS OF CHANGE**: 20230327

**PERIOD START**: 20231031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** MFS SERIES TRUST XV
- **CENTRAL INDEX KEY:** 0000764719
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04253
- **FILM NUMBER:** 23761547

**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 GOVERNMENT LIMITED MATURITY FUND /MA/
- **DATE OF NAME CHANGE:** 19930623

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MFS GOVERNMENT PREMIUM FUND
- **DATE OF NAME CHANGE:** 19930408

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MFS GOVERNMENT PREMIUM ACCOUNT
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### MFS Commodity Strategy Fund (Series ID: S000028958)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000088951 | A            | MCSAX           |
| C000088952 | B            | MCSFX           |
| C000088953 | C            | MCSHX           |
| C000088954 | I            | MCSIX           |
| C000088955 | R1           | MCSNX           |
| C000088956 | R2           | MCSOX           |
| C000088957 | R3           | MCSQX           |
| C000088958 | R4           | MCSTX           |
| C000119775 | R6           | MCSRX           |

## Nport-Ex

![](imgc635c7de1.gif)

### Quarterly Report
January 31, 2023

MFS<sup>®</sup> Commodity<br> Strategy Fund

![](img2487b4e22.gif)

CMS-Q1

------

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

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

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | &nbsp;&nbsp;&nbsp;**Value ($)** |
| Bonds – 80.2% | Bonds – 80.2% | Bonds – 80.2% |
| Aerospace & Defense – 1.2% | Aerospace & Defense – 1.2% | Aerospace & Defense – 1.2% |
| Boeing Co., 1.167%, 2/04/2023 | $&nbsp;&nbsp;1759000 | &nbsp;&nbsp;&nbsp;&nbsp;$1758703 |
| Boeing Co., 1.433%, 2/04/2024 | &nbsp;&nbsp;3511000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3383832 |
| Boeing Co., 2.196%, 2/04/2026 | &nbsp;&nbsp;2850000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2634905 |
| Huntington Ingalls Industries, Inc., 3.844%, 5/01/2025 | &nbsp;&nbsp;1273000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1234720 |
| Raytheon Technologies Corp., 3.65%, 8/16/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;90000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;89343 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$9101503 |
| Asset-Backed & Securitized – 15.1% | Asset-Backed & Securitized – 15.1% | Asset-Backed & Securitized – 15.1% |
| 3650R Commercial Mortgage Trust, 2021-PF1, "XA", 1.029%, 11/15/2054 (i) | $19907066 | &nbsp;&nbsp;&nbsp;&nbsp;$1128770 |
| ACREC 2021-FL1 Ltd., "AS", FLR, 5.97% (LIBOR - 1mo. + 1.5%), 10/16/2036 (n) | &nbsp;&nbsp;1812000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1736358 |
| ACREC 2021-FL1 Ltd., "B", FLR, 6.27% (LIBOR - 1mo. + 1.8%), 10/16/2036 (n) | &nbsp;&nbsp;1406000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1347274 |
| ACREC 2021-FL1 Ltd., "C", FLR, 6.62% (LIBOR - 1mo. + 2.15%), 10/16/2036 (n) | &nbsp;&nbsp;1129000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1077544 |
| ACRES 2021-FL2 Issuer Ltd., "B", FLR, 6.714% (LIBOR - 1mo. + 2.25%), 1/15/2037 (n) | &nbsp;&nbsp;1527500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1476130 |
| Allegro CLO Ltd., 2014-1RA, "A2", FLR, 6.415% (LIBOR - 3mo. + 1.6%), 10/21/2028 (n) | &nbsp;&nbsp;&nbsp;&nbsp;252269 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;249295 |
| AmeriCredit Automobile Receivables Trust, 2020-1, "C", 1.59%, 10/20/2025 | &nbsp;&nbsp;&nbsp;&nbsp;678000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;657801 |
| AmeriCredit Automobile Receivables Trust, 2022-2, "A2A", 4.2%, 12/18/2025 | &nbsp;&nbsp;1544195 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1533569 |
| Arbor Realty Trust, Inc., CLO, 2021-FL1, "B", FLR, 5.923% (LIBOR - 1mo. + 1.5%), 12/15/2035 (n) | &nbsp;&nbsp;&nbsp;&nbsp;375500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;348773 |
| Arbor Realty Trust, Inc., CLO, 2021-FL1, "C", FLR, 6.423% (LIBOR - 1mo. + 2%), 12/15/2035 (n) | &nbsp;&nbsp;&nbsp;&nbsp;153500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;145366 |
| Arbor Realty Trust, Inc., CLO, 2021-FL3, "B", FLR, 6.054% (LIBOR - 1mo. + 1.6%), 8/15/2034 (n) | &nbsp;&nbsp;&nbsp;&nbsp;571500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;523415 |
| Arbor Realty Trust, Inc., CLO, 2021-FL3, "C", FLR, 6.304% (LIBOR - 1mo. + 1.85%), 8/15/2034 (n) | &nbsp;&nbsp;&nbsp;&nbsp;332000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;300360 |
| Arbor Realty Trust, Inc., CLO, 2021-FL4, "AS", FLR, 6.154% (LIBOR - 1mo. + 1.7%), 11/15/2036 (n) | &nbsp;&nbsp;1684000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1653596 |
| Arbor Realty Trust, Inc., CLO, 2021-FL4, "B", FLR, 6.454% (LIBOR - 1mo. + 2%), 11/15/2036 (n) | &nbsp;&nbsp;1684000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1634093 |
| Arbor Realty Trust, Inc., CLO, 2021-FL4, "C", FLR, 6.754% (LIBOR - 1mo. + 2.3%), 11/15/2036 (n) | &nbsp;&nbsp;1014000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;968956 |
| Arbor Realty Trust, Inc., CLO, 2022-FL1, "C", FLR, 6.578% (SOFR - 30 day + 2.3%), 1/15/2037 (n) | &nbsp;&nbsp;2695500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2542553 |
| AREIT 2019-CRE3 Trust, "AS", FLR, 5.897% (LIBOR - 1mo. + 1.3%), 9/14/2036 (n) | &nbsp;&nbsp;&nbsp;&nbsp;613500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;597828 |
| AREIT 2019-CRE3 Trust, "B", FLR, 6.147% (LIBOR - 1mo. + 1.55%), 9/14/2036 (n) | &nbsp;&nbsp;&nbsp;&nbsp;303000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;291591 |
| AREIT 2019-CRE3 Trust, "C", FLR, 6.497% (SOFR - 1mo. + 2.014%), 9/14/2036 (n) | &nbsp;&nbsp;&nbsp;&nbsp;250500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;237708 |
| AREIT 2022-CRE6 Trust, "C", FLR, 6.46% (SOFR - 30 day + 2.15%), 1/16/2037 (n) | &nbsp;&nbsp;&nbsp;&nbsp;894000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;832006 |
| AREIT 2022-CRE6 Trust, "D", FLR, 7.16% (SOFR - 30 day + 2.85%), 12/17/2024 (n) | &nbsp;&nbsp;&nbsp;&nbsp;795500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;736288 |
| AREIT 2022-CRE7 LLC, "B", FLR, 7.726% (SOFR - 1mo. + 3.244%), 6/17/2039 (n) | &nbsp;&nbsp;2563500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2506447 |
| Balboa Bay Loan Funding Ltd., 2020-1A, "BR", FLR, 6.457% (LIBOR - 3mo. + 1.65%), 1/20/2032 (n) | &nbsp;&nbsp;1606204 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1553117 |
| Balboa Bay Loan Funding Ltd., 2020-1A, "CR", FLR, 6.908% (LIBOR - 3mo. + 2.1%), 1/20/2032 (n) | &nbsp;&nbsp;&nbsp;&nbsp;870027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;822829 |
| Ballyrock CLO 2018-1A Ltd., "A2", FLR, 6.407% (LIBOR - 3mo. + 1.6%), 4/20/2031 (n) | &nbsp;&nbsp;1368365 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1338366 |
| Ballyrock CLO 2018-1A Ltd., "B", FLR, 6.707% (LIBOR - 3mo. + 1.9%), 4/20/2031 (n) | &nbsp;&nbsp;&nbsp;&nbsp;579877 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;556420 |
| BBCMS Mortgage Trust, 2018-C2, "XA", 0.757%, 12/15/2051 (i)(n) | 19326325 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;660746 |
| BBCMS Mortgage Trust, 2021-C10, "XA", 1.296%, 7/15/2054 (i) | &nbsp;&nbsp;7358592 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;534814 |
| BBCMS Mortgage Trust, 2021-C11, "XA", 1.382%, 9/15/2054 (i) | &nbsp;&nbsp;7472241 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;573808 |
| BBCMS Mortgage Trust, 2021-C9, "XA", 1.624%, 2/15/2054 (i) | 11367171 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1032686 |
| BDS 2021-FL10 Ltd., "B", FLR, 6.42% (LIBOR - 1mo. + 1.95%), 12/16/2036 (n) | &nbsp;&nbsp;&nbsp;&nbsp;793500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;765791 |
| BDS 2021-FL10 Ltd., "C", FLR, 6.639% (LIBOR - 1mo. + 2.3%), 12/16/2036 (n) | &nbsp;&nbsp;&nbsp;&nbsp;577000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;553969 |
| Benchmark 2021-B23 Mortgage Trust, "XA", 1.271%, 2/15/2054 (i) | 12559375 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;849088 |
| Benchmark 2021-B27 Mortgage Trust, "XA", 1.267%, 7/15/2054 (i) | 14525441 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1048639 |
| Benchmark 2021-B28 Mortgage Trust, "XA", 1.283%, 8/15/2054 (i) | 10244626 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;743015 |
| Benchmark 2021-B29 Mortgage Trust, "XA", 1.042%, 9/15/2054 (i) | 14864661 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;829365 |
| BSPRT 2021-FL6 Issuer Ltd., "C", FLR, 6.504% (LIBOR - 1mo. + 2.05%), 3/15/2036 (n) | &nbsp;&nbsp;&nbsp;&nbsp;485000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;444498 |
| BSPRT 2021-FL7 Issuer Ltd., "B", FLR, 6.504% (LIBOR - 1mo. + 2.05%), 12/15/2038 (n) | &nbsp;&nbsp;&nbsp;&nbsp;339000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;316601 |
| BSPRT 2021-FL7 Issuer Ltd., "C", FLR, 6.754% (LIBOR - 1mo. + 2.3%), 12/15/2038 (n) | &nbsp;&nbsp;&nbsp;&nbsp;408500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;378737 |
| BSPRT 2022-FL8 Issuer Ltd., "A", FLR, 5.778% (SOFR - 30 day + 1.5%), 2/15/2037 (n) | &nbsp;&nbsp;3217000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3144237 |
| BSPRT 2022-FL8 Issuer Ltd., "B", FLR, 6.329% (SOFR - 30 day + 2.05%), 2/15/2037 (n) | &nbsp;&nbsp;&nbsp;&nbsp;445500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;430415 |
| BSPRT 2022-FL8 Issuer Ltd., "C", FLR, 6.578% (SOFR - 30 day + 2.3%), 2/15/2037 (n) | &nbsp;&nbsp;&nbsp;&nbsp;719500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;684802 |
| Business Jet Securities LLC, 2020-1A, "A", 2.981%, 11/15/2035 (n) | &nbsp;&nbsp;&nbsp;&nbsp;194930 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;178854 |
| Business Jet Securities LLC, 2021-1A, "A", 2.162%, 4/15/2036 (n) | &nbsp;&nbsp;&nbsp;&nbsp;321201 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;288663 |
| Business Jet Securities LLC, 2021-1A, "B", 2.918%, 4/15/2036 (n) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;69750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;60767 |
| BXMT 2020-FL2 Ltd., "B", FLR, 5.997% (LIBOR - 1mo. + 1.4%), 2/15/2038 (n) | &nbsp;&nbsp;1492000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1410859 |
| BXMT 2020-FL2 Ltd., "A", FLR, 5.497% (LIBOR - 1mo. + 0.9%), 2/15/2038 (n) | &nbsp;&nbsp;1781654 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1755068 |
| BXMT 2021-FL4 Ltd., "AS", FLR, 5.759% (LIBOR - 1mo. + 1.3%), 5/15/2038 (n) | &nbsp;&nbsp;2601000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2493663 |

---

------

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 |
| Capital Automotive, 2020-1A, "A4", REIT, 3.19%, 2/15/2050 (n) | $&nbsp;&nbsp;&nbsp;&nbsp;564168 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$532952 |
| CD 2017-CD4 Mortgage Trust, "XA", 1.226%, 5/10/2050 (i) | &nbsp;&nbsp;9587193 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;374861 |
| CF Hippolyta Issuer LLC, 2020-1, "A1", 1.69%, 7/15/2060 (n) | &nbsp;&nbsp;&nbsp;&nbsp;359467 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;324841 |
| CF Hippolyta Issuer LLC, 2020-1, "B1", 2.28%, 7/15/2060 (n) | &nbsp;&nbsp;&nbsp;&nbsp;113779 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;101229 |
| Commercial Equipment Finance 2021-A, LLC, "A", 2.05%, 2/16/2027 (n) | &nbsp;&nbsp;&nbsp;&nbsp;646441 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;623433 |
| Commercial Mortgage Pass-Through Certificates, 2019-BN24, "XA", 0.64%, 11/15/2062 (i) | &nbsp;&nbsp;9027120 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;316902 |
| Commercial Mortgage Pass-Through Certificates, 2021-BN31, "XA", 1.324%, 2/15/2054 (i) | 11029579 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;831728 |
| Commercial Mortgage Pass-Through Certificates, 2021-BN32, "XA", 0.779%, 4/15/2054 (i) | 10552829 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;459217 |
| Commercial Mortgage Pass-Through Certificates, 2021-BN34, "XA", 0.976%, 6/15/2063 (i) | 11392189 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;634502 |
| Commercial Mortgage Pass-Through Certificates, 2021-BN35, "XA", 1.046%, 6/15/2064 (i) | &nbsp;&nbsp;6123299 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;366112 |
| Credit Acceptance Auto Loan Trust, 2021-4, "B", 1.74%, 12/16/2030 (n) | &nbsp;&nbsp;&nbsp;&nbsp;584000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;542781 |
| Credit Acceptance Auto Loan Trust, 2021-2A, "A", 0.96%, 2/15/2030 (n) | &nbsp;&nbsp;&nbsp;&nbsp;451000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;435513 |
| Credit Acceptance Auto Loan Trust, 2021-2A, "B", 1.26%, 4/15/2030 (n) | &nbsp;&nbsp;&nbsp;&nbsp;250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;230895 |
| Credit Acceptance Auto Loan Trust, 2021-3A, "B", 1.38%, 7/15/2030 (n) | &nbsp;&nbsp;&nbsp;&nbsp;312000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;289346 |
| Credit Acceptance Auto Loan Trust, 2021-3A, "C", 1.63%, 9/16/2030 (n) | &nbsp;&nbsp;&nbsp;&nbsp;250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;227413 |
| Credit Acceptance Auto Loan Trust, 2021-4, "A", 1.26%, 10/15/2030 (n) | &nbsp;&nbsp;&nbsp;&nbsp;318000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;300367 |
| Cutwater 2015-1A Ltd., "AR", FLR, 6.012% (LIBOR - 3mo. + 1.22%), 1/15/2029 (n) | &nbsp;&nbsp;&nbsp;&nbsp;639465 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;636598 |
| Dryden Senior Loan Fund, 2017-49A, "BR", CLO, FLR, 6.394% (LIBOR - 3mo. + 1.6%), 7/18/2030 (n) | &nbsp;&nbsp;1945990 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1901018 |
| Fortress CBO Investments Ltd., 2022-FL3, "A", FLR, 6.16% (SOFR - 30 day + 1.85%), 2/23/2039 (n) | &nbsp;&nbsp;1917000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1858501 |
| Fortress CBO Investments Ltd., 2022-FL3, "AS", FLR, 6.56% (SOFR - 30 day + 2.25%), 2/23/2039 (n) | &nbsp;&nbsp;1785500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1714971 |
| GLS Auto Receivables Trust, 2021-3A, "B", 0.78%, 11/17/2025 (n) | &nbsp;&nbsp;&nbsp;&nbsp;890384 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;869948 |
| GS Mortgage Securities Trust, 2017-GS6, "XA", 1.012%, 5/10/2050 (i) | 10567160 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;371139 |
| GS Mortgage Securities Trust, 2017-GS7, "XA", 1.082%, 8/10/2050 (i) | 10856672 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;383408 |
| GS Mortgage Securities Trust, 2020-GC47, "A5", 1.129%, 5/12/2053 (i) | &nbsp;&nbsp;8643796 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;540472 |
| Jamestown CLO Ltd., 2020-15A, "C", FLR, 7.242% (LIBOR - 3mo. + 2.45%), 4/15/2033 (n) | &nbsp;&nbsp;3069116 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2915083 |
| JPMorgan Chase Commercial Mortgage Securities Corp., 0.987%, 9/15/2050 (i) | 11671713 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;369264 |
| LAD Auto Receivables Trust, 2022-1A, "A", 5.21%, 6/15/2027 (n) | &nbsp;&nbsp;&nbsp;&nbsp;893830 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;882133 |
| LoanCore 2018-CRE1 Ltd., "AS", FLR, 5.959% (LIBOR - 1mo. + 1.5%), 5/15/2028 (n) | &nbsp;&nbsp;1025292 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1021379 |
| LoanCore 2018-CRE1 Ltd., "C", FLR, 7.009% (LIBOR - 1mo. + 2.55%), 5/15/2028 (n) | &nbsp;&nbsp;&nbsp;&nbsp;577000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;560869 |
| LoanCore 2019-CRE3 Ltd., "AS", FLR, 5.829% (LIBOR - 1mo. + 1.37%), 4/15/2034 (n) | &nbsp;&nbsp;1731657 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1739441 |
| LoanCore 2021-CRE5 Ltd., "AS", FLR, 6.204% (LIBOR - 1mo. + 1.75%), 7/15/2036 (n) | &nbsp;&nbsp;1752500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1661667 |
| LoanCore 2021-CRE5 Ltd., "B", FLR, 6.454% (LIBOR - 1mo. + 2%), 7/15/2036 (n) | &nbsp;&nbsp;&nbsp;&nbsp;741000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;699972 |
| Madison Park Funding Ltd., 2014-13A, "BR2", FLR, 6.297% (LIBOR - 3mo. + 1.5%), 4/19/2030 (n) | &nbsp;&nbsp;2174539 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2139692 |
| Magnetite CLO Ltd., 2015-16A, "BR", FLR, 5.995% (LIBOR - 3mo. + 1.2%), 1/18/2028 (n) | &nbsp;&nbsp;2590000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2554792 |
| MF1 2020-FL4 Ltd., "B", FLR, 7.347% (LIBOR - 1mo. + 2.75%), 11/15/2035 (n) | &nbsp;&nbsp;2437000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2433995 |
| MF1 2021-FL6 Ltd., "B", FLR, 6.12% (LIBOR - 1mo. + 1.65%), 7/16/2036 (n) | &nbsp;&nbsp;3089144 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2933165 |
| MF1 2022-FL8 Ltd., "C", FLR, 6.509% (SOFR - 30 day + 2.2%), 2/19/2037 (n) | &nbsp;&nbsp;&nbsp;&nbsp;941914 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;882701 |
| MF1 2022-FL9 Ltd., "B", FLR, 7.638% (SOFR - 1mo. + 3.15%), 6/19/2037 (n) | &nbsp;&nbsp;2988000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2924347 |
| Morgan Stanley Bank of America Merrill Lynch Trust, 2017-C33, "XA", 1.251%, 5/15/2050 (i) | &nbsp;&nbsp;9171078 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;354204 |
| Morgan Stanley Capital I Trust, 2017-H1, "XA", 1.324%, 6/15/2050 (i) | &nbsp;&nbsp;4090119 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;150190 |
| Morgan Stanley Capital I Trust, 2018-H4, "XA", 0.831%, 12/15/2051 (i) | 15831941 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;575375 |
| Morgan Stanley Capital I Trust, 2021-L5, "XA", 1.296%, 5/15/2054 (i) | &nbsp;&nbsp;9491325 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;656747 |
| Morgan Stanley Capital I Trust, 2021-L6, "XA", 1.227%, 6/15/2054 (i) | &nbsp;&nbsp;8761940 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;556097 |
| Navistar Financial Dealer Note Master Owner Trust, 2022-1, "A", FLR, 5.56% (SOFR - 30 day + 1.25%), 5/25/2027 (n) | &nbsp;&nbsp;2109000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2116043 |
| NextGear Floorplan Master Owner Trust, 2022-1A, "A1", FLR, 5.328% (SOFR - 30 day + 1.05%), 3/15/2027 (n) | &nbsp;&nbsp;1387000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1387318 |
| Oaktree CLO 2019-1A Ltd., "BR", FLR, 6.565% (LIBOR - 3mo. + 1.75%), 4/22/2030 (n) | &nbsp;&nbsp;1427638 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1385007 |
| Oaktree CLO 2019-1A Ltd., "CR", FLR, 7.165% (LIBOR - 3mo. + 2.35%), 4/22/2030 (n) | &nbsp;&nbsp;1427638 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1362269 |
| OCP CLO 2015-10A Ltd., "BR2", FLR, 6.471% (LIBOR - 3mo. + 1.65%), 1/26/2034 (n) | &nbsp;&nbsp;2250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2174038 |
| OneMain Financial Issuance Trust, 2020-1A, "A", 3.84%, 5/14/2032 (n) | &nbsp;&nbsp;&nbsp;&nbsp;689909 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;685537 |
| OneMain Financial Issuance Trust, 2020-2A, "A", 1.75%, 9/14/2035 (n) | &nbsp;&nbsp;1819000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1620885 |
| OneMain Financial Issuance Trust, 2022-S1, "A", 4.13%, 5/14/2035 (n) | &nbsp;&nbsp;1170000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1137721 |
| PFP III 2021-7 Ltd., "B", FLR, 5.854% (LIBOR - 1mo. + 1.4%), 4/14/2038 (n) | &nbsp;&nbsp;&nbsp;&nbsp;604470 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;565783 |
| PFP III 2021-7 Ltd., "C", FLR, 6.104% (LIBOR - 1mo. + 1.65%), 4/14/2038 (n) | &nbsp;&nbsp;&nbsp;&nbsp;191490 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;178198 |
| PFP III 2021-8 Ltd., "B", FLR, 5.954% (LIBOR - 1mo. + 1.5%), 8/09/2037 (n) | &nbsp;&nbsp;&nbsp;&nbsp;617500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;580478 |
| Progress Residential 2021-SFR1 Trust, "B", 1.303%, 4/17/2038 (n) | &nbsp;&nbsp;&nbsp;&nbsp;248000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;217680 |
| Progress Residential 2021-SFR1 Trust, "C", 1.555%, 4/17/2038 (n) | &nbsp;&nbsp;&nbsp;&nbsp;186000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;162640 |
| Securitized Term Auto Receivable Trust, 2019-CRTA, "B", 2.453%, 3/25/2026 (n) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;54294 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;54045 |
| Securitized Term Auto Receivable Trust, 2019-CRTA, "C", 2.849%, 3/25/2026 (n) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;69702 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;69413 |
| Shackleton 2013-4RA CLO Ltd., "B", FLR, 6.715% (LIBOR - 3mo. + 1.9%), 4/13/2031 (n) | &nbsp;&nbsp;&nbsp;&nbsp;722762 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;673076 |

---

------

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 |
| Shelter Growth CRE 2021-FL3 Ltd., "C", FLR, 6.604% (LIBOR - 1mo. + 2.15%), 9/15/2036 (n) | $2649500 | &nbsp;&nbsp;&nbsp;&nbsp;$2497693 |
| Southwick Park CLO, Ltd., 2019-4A, "B1R", FLR, 6.307% (LIBOR - 3mo. + 1.5%), 7/20/2032 (n) | &nbsp;&nbsp;&nbsp;645000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;627710 |
| Southwick Park CLO, Ltd., 2019-4A, "B2R", 2.46%, 7/20/2032 (n) | 1123000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;958506 |
| Southwick Park CLO, Ltd., 2019-4A, "CR", FLR, 6.757% (LIBOR - 3mo. + 1.95%), 7/20/2032 (n) | 1528000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1460736 |
| Starwood Commercial Mortgage, 2021-FL2, "B", FLR, 6.27% (LIBOR - 1mo. + 1.8%), 4/18/2038 (n) | 2295000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2173423 |
| TICP CLO 2018-3R Ltd., "B", FLR, 6.157% (LIBOR - 3mo. + 1.35%), 4/20/2028 (n) | &nbsp;&nbsp;&nbsp;681356 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;676578 |
| TICP CLO 2018-3R Ltd., "C", FLR, 6.607% (LIBOR - 3mo. + 1.8%), 4/20/2028 (n) | 1195706 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1178507 |
| TPG Real Estate Finance, 2021-FL4, "AS", FLR, 5.864% (LIBOR - 1mo. + 1.4%), 3/15/2038 (n) | 1305000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1240088 |
| TPG Real Estate Finance, 2021-FL4, "B", FLR, 6.314% (LIBOR - 1mo. + 1.85%), 3/15/2038 (n) | 2749000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2611204 |
| UBS Commercial Mortgage Trust, 2017-C1, "XA", 1.014%, 11/15/2050 (i) | 6101092 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;215827 |
| UBS Commercial Mortgage Trust, 2018-C14, "XA", 0.91%, 12/15/2051 (i) | 6589853 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;262240 |
| Wells Fargo Commercial Mortgage Trust, 2021-C61, "XA", 1.368%, 11/15/2054 (i) | 6125005 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;460838 |
| Westlake Automobile Receivable Trust, 2023-1A, "A2B", FLR, 5.25% (SOFR - 1mo. + 0.85%), 6/15/2026 (n) | &nbsp;&nbsp;&nbsp;588000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;587997 |
| World Omni Auto Receivables Trust, 3.67%, 6/15/2027 | &nbsp;&nbsp;&nbsp;678000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;661629 |
|  |  | $116837905 |
| Automotive – 2.2% | Automotive – 2.2% | Automotive – 2.2% |
| Daimler Trucks Finance North America LLC, 1.625%, 12/13/2024 (n) | $2671000 | &nbsp;&nbsp;&nbsp;&nbsp;$2509667 |
| Daimler Trucks Finance North America LLC, 5.2%, 1/17/2025 (n) | &nbsp;&nbsp;&nbsp;457000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;459361 |
| General Motors Financial Co., 1.7%, 8/18/2023 | 2207000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2164904 |
| Hyundai Capital America, 2.375%, 2/10/2023 (n) | &nbsp;&nbsp;&nbsp;649000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;648496 |
| Hyundai Capital America, 5.75%, 4/06/2023 (n) | 2068000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2069013 |
| Hyundai Capital America, 0.8%, 1/08/2024 (n) | &nbsp;&nbsp;&nbsp;249000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;238925 |
| Hyundai Capital America, 5.875%, 4/07/2025 (n) | 2077000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2098188 |
| Mercedes-Benz Finance North America LLC, 0.75%, 3/01/2024 (n) | 1496000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1429636 |
| Stellantis Finance US, Inc., 1.711%, 1/29/2027 (n) | 1625000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1432796 |
| Volkswagen Group of America Finance LLC, 3.125%, 5/12/2023 (n) | &nbsp;&nbsp;&nbsp;251000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;249744 |
| Volkswagen Group of America Finance LLC, 2.85%, 9/26/2024 (n) | &nbsp;&nbsp;&nbsp;878000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;846605 |
| Volkswagen Group of America Finance LLC, 3.35%, 5/13/2025 (n) | 2014000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1939643 |
| Volkswagen Group of America Finance LLC, 1.25%, 11/24/2025 (n) | 1359000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1228461 |
|  |  | &nbsp;&nbsp;&nbsp;$17315439 |
| Broadcasting – 0.7% | Broadcasting – 0.7% | Broadcasting – 0.7% |
| Warnermedia Holdings, Inc., 3.788%, 3/15/2025 (n) | $4233000 | &nbsp;&nbsp;&nbsp;&nbsp;$4089293 |
| Warnermedia Holdings, Inc., 3.755%, 3/15/2027 (n) | 1062000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;995324 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$5084617 |
| Brokerage & Asset Managers – 1.0% | Brokerage & Asset Managers – 1.0% | Brokerage & Asset Managers – 1.0% |
| Brookfield Finance, Inc., 3.9%, 1/25/2028 | $4053000 | &nbsp;&nbsp;&nbsp;&nbsp;$3871759 |
| Charles Schwab Corp., 0.75%, 3/18/2024 | 1742000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1665191 |
| National Securities Clearing Corp., 1.2%, 4/23/2023 (n) | &nbsp;&nbsp;&nbsp;600000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;595345 |
| National Securities Clearing Corp., 0.4%, 12/07/2023 (n) | 1724000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1661622 |
| National Securities Clearing Corp., 1.5%, 4/23/2025 (n) | &nbsp;&nbsp;&nbsp;250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;233352 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$8027269 |
| Business Services – 0.6% | Business Services – 0.6% | Business Services – 0.6% |
| Equinix, Inc., 1.25%, 7/15/2025 | $&nbsp;&nbsp;&nbsp;972000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$889871 |
| Global Payments, Inc., 1.2%, 3/01/2026 | 2281000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2028166 |
| Tencent Holdings Ltd., 1.81%, 1/26/2026 (n) | 1551000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1424431 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$4342468 |
| Cable TV – 0.3% | Cable TV – 0.3% | Cable TV – 0.3% |
| SES S.A., 3.6%, 4/04/2023 (n) | $2158000 | &nbsp;&nbsp;&nbsp;&nbsp;$2144614 |
| Computer Software – 0.2% | Computer Software – 0.2% | Computer Software – 0.2% |
| Dell International LLC/EMC Corp., 4%, 7/15/2024 | $1151000 | &nbsp;&nbsp;&nbsp;&nbsp;$1135207 |
| Dell International LLC/EMC Corp., 5.85%, 7/15/2025 | &nbsp;&nbsp;&nbsp;425000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;433054 |
| Infor, Inc., 1.45%, 7/15/2023 (n) | &nbsp;&nbsp;&nbsp;250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;244673 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$1812934 |

---

------

Portfolio of Investments (unaudited) – continued

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | &nbsp;&nbsp;&nbsp;**Value ($)** |
| Bonds – continued | Bonds – continued | Bonds – continued |
| Computer Software - Systems – 0.3% | Computer Software - Systems – 0.3% | Computer Software - Systems – 0.3% |
| VMware, Inc., 1%, 8/15/2024 | $1476000 | &nbsp;&nbsp;&nbsp;&nbsp;$1387777 |
| VMware, Inc., 1.4%, 8/15/2026 | 1143000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1012142 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$2399919 |
| Conglomerates – 0.8% | Conglomerates – 0.8% | Conglomerates – 0.8% |
| Carrier Global Corp., 2.242%, 2/15/2025 | $&nbsp;&nbsp;&nbsp;289000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$274357 |
| Regal Rexnord Corp., 6.05%, 2/15/2026 (n) | 2249000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2285488 |
| Regal Rexnord Corp., 6.05%, 4/15/2028 (n) | 1366000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1386785 |
| Westinghouse Air Brake Technologies Corp., 4.4%, 3/15/2024 | 2070000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2043720 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$5990350 |
| Consumer Products – 0.5% | Consumer Products – 0.5% | Consumer Products – 0.5% |
| GSK Consumer Healthcare Capital UK PLC, 3.125%, 3/24/2025 | $2654000 | &nbsp;&nbsp;&nbsp;&nbsp;$2552817 |
| GSK Consumer Healthcare Capital UK PLC, 3.375%, 3/24/2027 | 1154000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1092349 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$3645166 |
| Containers – 0.6% | Containers – 0.6% | Containers – 0.6% |
| Berry Global, Inc., 1.57%, 1/15/2026 | $2361000 | &nbsp;&nbsp;&nbsp;&nbsp;$2134281 |
| Berry Global, Inc., 1.65%, 1/15/2027 | 2847000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2490585 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$4624866 |
| Electronics – 1.1% | Electronics – 1.1% | Electronics – 1.1% |
| Microchip Technology, Inc., 0.983%, 9/01/2024 | $3485000 | &nbsp;&nbsp;&nbsp;&nbsp;$3263701 |
| Qorvo, Inc., 1.75%, 12/15/2024 (n) | &nbsp;&nbsp;&nbsp;909000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;850533 |
| SK Hynix, Inc., 6.25%, 1/17/2026 (n) | 2977000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3008467 |
| Skyworks Solutions, Inc., 0.9%, 6/01/2023 | 1081000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1064306 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$8187007 |
| Emerging Market Quasi-Sovereign – 0.4% | Emerging Market Quasi-Sovereign – 0.4% | Emerging Market Quasi-Sovereign – 0.4% |
| DAE Funding LLC (United Arab Emirates), 1.55%, 8/01/2024 (n) | $&nbsp;&nbsp;&nbsp;796000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$751708 |
| DAE Funding LLC (United Arab Emirates), 2.625%, 3/20/2025 (n) | 1375000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1297079 |
| Indian Oil Corp. Ltd., 5.75%, 8/01/2023 | &nbsp;&nbsp;&nbsp;858000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;859990 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$2908777 |
| Emerging Market Sovereign – 0.2% | Emerging Market Sovereign – 0.2% | Emerging Market Sovereign – 0.2% |
| Emirate of Abu Dhabi, 0.75%, 9/02/2023 (n) | $1671000 | &nbsp;&nbsp;&nbsp;&nbsp;$1629225 |
| Energy - Independent – 0.2% | Energy - Independent – 0.2% | Energy - Independent – 0.2% |
| EQT Corp., 5.678%, 10/01/2025 | $&nbsp;&nbsp;&nbsp;779000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$780017 |
| EQT Corp., 5.7%, 4/01/2028 | &nbsp;&nbsp;&nbsp;778000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;787188 |
| Pioneer Natural Resources Co., 0.55%, 5/15/2023 | &nbsp;&nbsp;&nbsp;379000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;374342 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$1941547 |
| Energy - Integrated – 0.3% | Energy - Integrated – 0.3% | Energy - Integrated – 0.3% |
| Eni S.p.A., 4%, 9/12/2023 (n) | $1523000 | &nbsp;&nbsp;&nbsp;&nbsp;$1512188 |
| Exxon Mobil Corp., 1.571%, 4/15/2023 | &nbsp;&nbsp;&nbsp;882000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;876220 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$2388408 |
| Financial Institutions – 1.9% | Financial Institutions – 1.9% | Financial Institutions – 1.9% |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.875%, 1/16/2024 | $1755000 | &nbsp;&nbsp;&nbsp;&nbsp;$1745039 |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.15%, 2/15/2024 | 1243000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1211657 |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 1.75%, 10/29/2024 | 1571000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1465099 |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 6.5%, 7/15/2025 | 1285000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1308516 |
| Air Lease Corp., 2.2%, 1/15/2027 | 1590000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1425620 |
| Avolon Holdings Funding Ltd., 3.95%, 7/01/2024 (n) | 1013000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;981611 |
| Avolon Holdings Funding Ltd., 5.5%, 1/15/2026 (n) | &nbsp;&nbsp;&nbsp;892000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;876812 |
| Avolon Holdings Funding Ltd., 2.125%, 2/21/2026 (n) | 2500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2236390 |
| Avolon Holdings Funding Ltd., 4.25%, 4/15/2026 (n) | &nbsp;&nbsp;&nbsp;769000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;730272 |
| Avolon Holdings Funding Ltd., 2.528%, 11/18/2027 (n) | 1715000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1480049 |

---

------

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., 2.75%, 2/21/2028 (n) | $1313000 | &nbsp;&nbsp;&nbsp;&nbsp;$1131195 |
|  |  | &nbsp;&nbsp;&nbsp;$14592260 |
| Food & Beverages – 1.0% | Food & Beverages – 1.0% | Food & Beverages – 1.0% |
| General Mills, Inc., 5.241%, 11/18/2025 | $1962000 | &nbsp;&nbsp;&nbsp;&nbsp;$1972277 |
| JBS USA Lux S.A./JBS USA Food Co./JBS USA Finance, Inc., 3%, 2/02/2029 (n) | 2313000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1985364 |
| JDE Peet's N.V., 0.8%, 9/24/2024 (n) | 2980000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2752752 |
| JDE Peet's N.V., 1.375%, 1/15/2027 (n) | 1050000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;910973 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$7621366 |
| Food & Drug Stores – 0.3% | Food & Drug Stores – 0.3% | Food & Drug Stores – 0.3% |
| 7-Eleven, Inc., 0.8%, 2/10/2024 (n) | $2125000 | &nbsp;&nbsp;&nbsp;&nbsp;$2031707 |
| Forest & Paper Products – 0.2% | Forest & Paper Products – 0.2% | Forest & Paper Products – 0.2% |
| Fibria Overseas Finance Ltd., 5.5%, 1/17/2027 | $1286000 | &nbsp;&nbsp;&nbsp;&nbsp;$1292312 |
| Gaming & Lodging – 1.4% | Gaming & Lodging – 1.4% | Gaming & Lodging – 1.4% |
| GLP Capital LP/GLP Financing II, Inc., 5.375%, 11/01/2023 | $1128000 | &nbsp;&nbsp;&nbsp;&nbsp;$1128564 |
| GLP Capital LP/GLP Financing II, Inc., 5.25%, 6/01/2025 | 2186000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2169780 |
| GLP Capital LP/GLP Financing II, Inc., 5.375%, 4/15/2026 | &nbsp;&nbsp;&nbsp;405000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;404587 |
| Hyatt Hotels Corp., 1.3%, 10/01/2023 | 2305000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2243459 |
| Hyatt Hotels Corp., 1.8%, 10/01/2024 | 1976000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1874853 |
| Las Vegas Sands Corp., 3.2%, 8/08/2024 | 1270000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1222224 |
| Marriott International, Inc., 3.75%, 10/01/2025 | &nbsp;&nbsp;&nbsp;459000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;445783 |
| Sands China Ltd., 4.3%, 1/08/2026 | 1030000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;977004 |
|  |  | &nbsp;&nbsp;&nbsp;$10466254 |
| Industrial – 0.0% | Industrial – 0.0% | Industrial – 0.0% |
| Howard University, Washington D.C., AGM, 2.416%, 10/01/2024 | $&nbsp;&nbsp;&nbsp;123000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$116771 |
| Howard University, Washington D.C., AGM, 2.516%, 10/01/2025 | &nbsp;&nbsp;&nbsp;152000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;143346 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$260117 |
| Insurance – 1.0% | Insurance – 1.0% | Insurance – 1.0% |
| AIG Global Funding, 0.8%, 7/07/2023 (n) | $1362000 | &nbsp;&nbsp;&nbsp;&nbsp;$1337778 |
| Corebridge Financial, Inc., 3.5%, 4/04/2025 (n) | 1146000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1107547 |
| Corebridge Financial, Inc., 3.65%, 4/05/2027 (n) | 1613000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1541680 |
| Equitable Financial Life Insurance Co., 1.4%, 7/07/2025 (n) | 1485000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1362804 |
| Metropolitan Life Global Funding I, 0.4%, 1/07/2024 (n) | 2146000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2057549 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$7407358 |
| Internet – 0.3% | Internet – 0.3% | Internet – 0.3% |
| Baidu, Inc., 3.875%, 9/29/2023 | $2225000 | &nbsp;&nbsp;&nbsp;&nbsp;$2203284 |
| Machinery & Tools – 0.4% | Machinery & Tools – 0.4% | Machinery & Tools – 0.4% |
| CNH Industrial Capital LLC, 4.2%, 1/15/2024 | $1726000 | &nbsp;&nbsp;&nbsp;&nbsp;$1710656 |
| CNH Industrial Capital LLC, 1.875%, 1/15/2026 | &nbsp;&nbsp;&nbsp;448000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;414729 |
| CNH Industrial N.V., 4.5%, 8/15/2023 | &nbsp;&nbsp;&nbsp;962000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;958313 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$3083698 |
| Major Banks – 10.0% | Major Banks – 10.0% | Major Banks – 10.0% |
| Barclays PLC, 1.007% to 12/10/2023, FLR (CMT - 1yr. + 0.8%) to 12/10/2024 | $&nbsp;&nbsp;&nbsp;781000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$751498 |
| Barclays PLC, 2.852% to 5/07/2025, FLR (LIBOR - 3mo. + 2.452%) to 5/07/2026 | &nbsp;&nbsp;&nbsp;759000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;717926 |
| Barclays PLC, 2.279% to 11/24/2026, FLR (CMT - 1yr. + 1.05%) to 11/24/2027 | 2856000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2560151 |
| BNP Paribas S.A., 2.591% to 1/20/2027, FLR (SOFR - 1 day + 1.228%) to 1/20/2028 (n) | 3494000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3168696 |
| Capital One Financial Corp., 4.166% to 5/09/2024, FLR (SOFR - 1 day + 1.37%) to 5/09/2025 | 2319000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2281213 |
| Capital One Financial Corp., 2.636% to 3/03/2025, FLR (SOFR - 1 day + 1.29%) to 3/03/2026 | 1712000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1621234 |
| Deutsche Bank AG, 0.898%, 5/28/2024 | &nbsp;&nbsp;&nbsp;694000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;655898 |
| Deutsche Bank AG, 1.447% to 4/01/2024, FLR (SOFR - 1 day + 1.131%) to 4/01/2025 | 3247000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3066831 |
| Deutsche Bank AG, 2.311% to 11/16/2026, FLR (SOFR - 1 day + 1.219%) to 11/16/2027 | &nbsp;&nbsp;&nbsp;849000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;750364 |

---

------

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 |
| Deutsche Bank AG, 6.72% to 1/18/2028, FLR (SOFR - 1 day + 3.18%) to 1/18/2029 | $&nbsp;&nbsp;&nbsp;169000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$177828 |
| Goldman Sachs Group, Inc., 1.093% to 12/09/2025, FLR (SOFR - 1 day + 0.789%) to 12/09/2026 | 1268000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1133460 |
| HSBC Holdings PLC, 2.099% to 6/04/2025, FLR (SOFR - 1 day + 1.929%) to 6/04/2026 | &nbsp;&nbsp;&nbsp;728000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;674722 |
| HSBC Holdings PLC, 7.336% to 11/03/2025, FLR (SOFR - 1 day + 3.03%) to 11/03/2026 | &nbsp;&nbsp;&nbsp;646000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;681853 |
| HSBC Holdings PLC, 1.589% to 5/24/2026, FLR (SOFR - 1 day + 1.29%) to 5/24/2027 | &nbsp;&nbsp;&nbsp;860000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;761938 |
| HSBC Holdings PLC, 2.251% to 11/22/2026, FLR (SOFR - 1 day + 1.1%) to 11/22/2027 | 2840000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2549154 |
| Huntington Bancshares, Inc., 4.008% to 5/16/2024, FLR (SOFR - 1 day + 1.205%) to 5/16/2025 | 1196000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1177612 |
| Huntington Bancshares, Inc., 5.699% to 11/18/2024, FLR (SOFR - 1 day + 1.215%) to 11/18/2025 | 1500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1517013 |
| JPMorgan Chase & Co., 3.375%, 5/01/2023 | 1071000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1067299 |
| JPMorgan Chase & Co., 3.797% to 7/23/2023, FLR (LIBOR - 3mo. + 0.89%) to 7/23/2024 | 1347000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1338002 |
| JPMorgan Chase & Co., 1.04% to 2/04/2026, FLR (SOFR - 1 day + 0.695%) to 2/04/2027 | 1700000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1513811 |
| Lloyds Banking Group PLC, 3.511% to 3/18/2025, FLR (CMT - 1yr. + 1.6%) to 3/18/2026 | 2402000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2311264 |
| Mitsubishi UFJ Financial Group, Inc., 0.848% to 9/15/2023, FLR (CMT - 1yr. + 0.68%) to 9/15/2024 | 2789000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2705775 |
| Mitsubishi UFJ Financial Group, Inc., 0.953% to 7/19/2024, FLR (CMT - 1yr. + 0.55%) to 7/19/2025 | 1997000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1871707 |
| Mitsubishi UFJ Financial Group, Inc., 0.962% to 10/11/2024, FLR (CMT - 1yr. + 0.45%) to 10/11/2025 | 1264000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1173019 |
| Mizuho Financial Group, 0.849% to 9/08/2023, FLR (LIBOR - 3mo. + 0.61%) to 9/08/2024 | 2411000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2341742 |
| Nationwide Building Society, 2.972% to 2/16/2027, FLR (SOFR - 1 day + 1.29%) to 2/16/2028 (n) | 2445000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2223502 |
| NatWest Group PLC, 2.359% to 5/22/2023, FLR (CMT - 1yr. + 2.15%) to 5/22/2024 | 2219000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2195065 |
| NatWest Group PLC, 4.269% to 3/22/2024, FLR (LIBOR - 3mo. + 1.762%) to 3/22/2025 | 2276000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2246636 |
| NatWest Markets PLC, 3.479%, 3/22/2025 (n) | 2257000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2179100 |
| PNC Bank N.A., 2.5%, 8/27/2024 | 1122000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1083746 |
| PNC Financial Services Group, Inc., 5.354% to 12/02/2027, FLR (SOFR - 1 day + 1.62%) to 12/02/2028 | 3959000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4075545 |
| Royal Bank of Canada, 0.5%, 10/26/2023 | 3123000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3023580 |
| Standard Chartered PLC, 0.991% to 1/12/2024, FLR (CMT - 1yr. + 0.78%) to 1/12/2025 (n) | 1408000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1347115 |
| Standard Chartered PLC, 1.214% to 3/23/2024, FLR (CMT - 1yr. + 0.88%) to 3/23/2025 (n) | &nbsp;&nbsp;&nbsp;812000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;771639 |
| Standard Chartered PLC, 1.822% to 11/23/2024, FLR (CMT - 1yr. + 0.95%) to 11/23/2025 (n) | &nbsp;&nbsp;&nbsp;806000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;749066 |
| Standard Chartered PLC, 3.971% to 3/30/2025, FLR (CMT - 1yr. + 1.65%) to 3/30/2026 (n) | 1077000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1041254 |
| Sumitomo Mitsui Financial Group, Inc., 0.508%, 1/12/2024 | &nbsp;&nbsp;&nbsp;801000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;767211 |
| Sumitomo Mitsui Financial Group, Inc., 1.474%, 7/08/2025 | 1675000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1538725 |
| Sumitomo Mitsui Financial Group, Inc., 2.174%, 1/14/2027 | 2295000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2068503 |
| Sumitomo Mitsui Trust Bank Ltd., 0.85%, 3/25/2024 (n) | 1334000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1270444 |
| UBS Group AG, 1.008% to 7/30/2023, FLR (CMT - 1yr. + 0.83%) to 7/30/2024 (n) | 1270000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1243415 |
| UBS Group AG, 5.711%, 1/12/2027 (n) | 1513000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1532441 |
| UBS Group AG, 4.703% to 8/05/2026, FLR (CMT - 1yr. + 2.05%) to 8/05/2027 (n) | 1000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;987025 |
| UniCredit S.p.A., 2.569% to 9/22/2025, FLR (CMT - 1yr. + 2.3%) to 9/22/2026 (n) | 2522000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2287979 |
| Wells Fargo & Co., 2.164% to 2/11/2025, FLR (LIBOR - 3mo. + 0.75%) to 2/11/2026 | 2599000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2452421 |
| Wells Fargo & Co., 3.526% to 3/24/2027, FLR (SOFR - 1 day + 1.51%) to 3/24/2028 | 3868000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3678479 |
|  |  | &nbsp;&nbsp;&nbsp;$77332901 |
| Medical & Health Technology & Services – 0.6% | Medical & Health Technology & Services – 0.6% | Medical & Health Technology & Services – 0.6% |
| HCA, Inc., 3.125%, 3/15/2027 (n) | $1186000 | &nbsp;&nbsp;&nbsp;&nbsp;$1102569 |
| Thermo Fisher Scientific, Inc., 1.215%, 10/18/2024 | 4014000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3791009 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$4893578 |
| Metals & Mining – 0.8% | Metals & Mining – 0.8% | Metals & Mining – 0.8% |
| Anglo American Capital PLC, 4.75%, 4/10/2027 (n) | $&nbsp;&nbsp;&nbsp;911000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$906817 |
| Glencore Funding LLC, 4.125%, 3/12/2024 (n) | 1146000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1132502 |
| Glencore Funding LLC, 1.625%, 9/01/2025 (n) | 2677000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2454164 |
| Glencore Funding LLC, 1.625%, 4/27/2026 (n) | 1675000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1508022 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$6001505 |
| Midstream – 0.9% | Midstream – 0.9% | Midstream – 0.9% |
| DCP Midstream Operating, LP, 5.625%, 7/15/2027 | $&nbsp;&nbsp;&nbsp;896000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$909365 |
| Enbridge, Inc., 2.5%, 2/14/2025 | 1542000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1467245 |
| Energy Transfer LP, 2.9%, 5/15/2025 | &nbsp;&nbsp;&nbsp;846000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;807104 |
| Energy Transfer LP, 5.55%, 2/15/2028 | &nbsp;&nbsp;&nbsp;755000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;767254 |
| Gray Oak Pipeline LLC, 2%, 9/15/2023 (n) | 1453000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1419655 |
| Plains All American Pipeline LP, 3.85%, 10/15/2023 | &nbsp;&nbsp;&nbsp;673000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;666242 |

---

------

Portfolio of Investments (unaudited) – continued

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | &nbsp;&nbsp;&nbsp;**Value ($)** |
| Bonds – continued | Bonds – continued | Bonds – continued |
| Midstream – continued | Midstream – continued | Midstream – continued |
| Western Midstream Operating LP, 3.35%, 2/01/2025 | $1082000 | &nbsp;&nbsp;&nbsp;&nbsp;$1033310 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$7070175 |
| Mortgage-Backed – 0.5% | Mortgage-Backed – 0.5% |  |
| Fannie Mae, 4.5%, 4/01/2024 - 5/01/2025 | $&nbsp;&nbsp;&nbsp;&nbsp;19695 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$19912 |
| Fannie Mae, 3%, 12/01/2031 | &nbsp;&nbsp;&nbsp;266680 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;259708 |
| Fannie Mae, 2%, 5/25/2044 | &nbsp;&nbsp;&nbsp;158831 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;153056 |
| Freddie Mac, 0.903%, 4/25/2024 (i) | &nbsp;&nbsp;&nbsp;&nbsp;84130 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;729 |
| Freddie Mac, 4%, 7/01/2025 | &nbsp;&nbsp;&nbsp;&nbsp;33536 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;33584 |
| Freddie Mac, 1.583%, 4/25/2030 (i) | 6386343 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;558218 |
| Freddie Mac, 3%, 4/15/2033 - 6/15/2045 | 2736887 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2586938 |
| Freddie Mac, 2%, 7/15/2042 | &nbsp;&nbsp;&nbsp;423959 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;392285 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$4004430 |
| Municipals – 1.2% | Municipals – 1.2% | Municipals – 1.2% |
| California Earthquake Authority Rev., Taxable, "B", 1.477%, 7/01/2023 | $&nbsp;&nbsp;&nbsp;555000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$546711 |
| California Municipal Finance Authority Rev., Taxable (Century Housing Corp.), 1.605%, 11/01/2023 | &nbsp;&nbsp;&nbsp;305000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;296494 |
| Illinois Sales Tax Securitization Corp., Second Lien, Taxable, "B", BAM, 2.225%, 1/01/2024 | 1030000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1005935 |
| Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, "A", 1.904%, 7/01/2023 | &nbsp;&nbsp;&nbsp;115000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;113563 |
| Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, "A", 2.156%, 7/01/2024 | &nbsp;&nbsp;&nbsp;320000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;307579 |
| Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, "A", 2.306%, 7/01/2025 | &nbsp;&nbsp;&nbsp;250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;235103 |
| Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, "A", 2.562%, 7/01/2026 | &nbsp;&nbsp;&nbsp;315000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;293779 |
| Michigan Finance Authority Tobacco Settlement Asset-Backed Rev., Taxable (2006 Sold Tobacco Receipts), "A-1", 2.326%, 6/01/2030 | &nbsp;&nbsp;&nbsp;657077 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;629033 |
| New Jersey Economic Development Authority State Pension Funding Rev., Capital Appreciation, Taxable, "B", AGM, 0%, 2/15/2023 | 3058000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3052593 |
| New Jersey Transportation Trust Fund Authority, Transportation System, Taxable, "B", 2.551%, 6/15/2023 | &nbsp;&nbsp;&nbsp;475000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;470444 |
| New Jersey Transportation Trust Fund Authority, Transportation System, Taxable, "B", 2.631%, 6/15/2024 | &nbsp;&nbsp;&nbsp;450000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;434729 |
| Port Authority of NY & NJ, Taxable, "AAA", 1.086%, 7/01/2023 | 1635000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1610211 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$8996174 |
| Natural Gas - Distribution – 0.6% | Natural Gas - Distribution – 0.6% | Natural Gas - Distribution – 0.6% |
| Atmos Energy Corp., 0.625%, 3/09/2023 | $2625000 | &nbsp;&nbsp;&nbsp;&nbsp;$2614151 |
| CenterPoint Energy Resources Corp., 0.7%, 3/02/2023 | 2225000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2218064 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$4832215 |
| Natural Gas - Pipeline – 0.5% | Natural Gas - Pipeline – 0.5% | Natural Gas - Pipeline – 0.5% |
| APA Infrastructure Ltd., 4.2%, 3/23/2025 (n) | $3842000 | &nbsp;&nbsp;&nbsp;&nbsp;$3750711 |
| Network & Telecom – 0.5% | Network & Telecom – 0.5% | Network & Telecom – 0.5% |
| AT&T, Inc., 0.9%, 3/25/2024 | $4229000 | &nbsp;&nbsp;&nbsp;&nbsp;$4045638 |
| Oils – 0.1% | Oils – 0.1% | Oils – 0.1% |
| Valero Energy Corp., 1.2%, 3/15/2024 | $1252000 | &nbsp;&nbsp;&nbsp;&nbsp;$1200204 |
| Other Banks & Diversified Financials – 1.3% | Other Banks & Diversified Financials – 1.3% | Other Banks & Diversified Financials – 1.3% |
| American Express Co., 2.25%, 3/04/2025 | $&nbsp;&nbsp;&nbsp;859000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$817245 |
| Banque Federative du Credit Mutuel S.A., 0.65%, 2/27/2024 (n) | 2782000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2656949 |
| Groupe BPCE S.A., 4%, 9/12/2023 (n) | &nbsp;&nbsp;&nbsp;943000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;933759 |
| Groupe BPCE S.A., FLR, 5.975% (LIBOR - 3mo. + 1.24%), 9/12/2023 (n) | &nbsp;&nbsp;&nbsp;943000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;944411 |
| Macquarie Group Ltd., 1.201% to 10/14/2024, FLR (SOFR - 1 day + 0.694%) to 10/14/2025 (n) | 2251000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2085037 |
| Macquarie Group Ltd., 1.34% to 1/12/2026, FLR (SOFR - 1 day + 1.069%) to 1/12/2027 (n) | 1904000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1692218 |
| National Bank of Canada, 0.55% to 11/15/2023, FLR (CMT - 1yr. + 0.4%) to 11/15/2024 | 1312000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1264484 |
|  |  | &nbsp;&nbsp;&nbsp;$10394103 |
| Pharmaceuticals – 0.3% | Pharmaceuticals – 0.3% | Pharmaceuticals – 0.3% |
| Royalty Pharma PLC, 0.75%, 9/02/2023 | $2204000 | &nbsp;&nbsp;&nbsp;&nbsp;$2148306 |

---

------

Portfolio of Investments (unaudited) – continued

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | &nbsp;&nbsp;&nbsp;**Value ($)** |
| Bonds – continued | Bonds – continued | Bonds – continued |
| Real Estate - Office – 0.3% | Real Estate - Office – 0.3% | Real Estate - Office – 0.3% |
| Corporate Office Property LP, REIT, 2.25%, 3/15/2026 | $&nbsp;&nbsp;2617000 | &nbsp;&nbsp;&nbsp;&nbsp;$2368402 |
| Retailers – 0.7% | Retailers – 0.7% | Retailers – 0.7% |
| Alibaba Group Holding Ltd., 2.8%, 6/06/2023 | $&nbsp;&nbsp;1506000 | &nbsp;&nbsp;&nbsp;&nbsp;$1494058 |
| Kohl's Corp., 9.5%, 5/15/2025 | &nbsp;&nbsp;2655000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2828406 |
| Nordstrom, Inc., 2.3%, 4/08/2024 | &nbsp;&nbsp;&nbsp;&nbsp;832000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;789668 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$5112132 |
| Specialty Stores – 0.3% | Specialty Stores – 0.3% | Specialty Stores – 0.3% |
| Genuine Parts Co., 1.75%, 2/01/2025 | $&nbsp;&nbsp;1302000 | &nbsp;&nbsp;&nbsp;&nbsp;$1224063 |
| Ross Stores, Inc., 0.875%, 4/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp;926000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;823561 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$2047624 |
| Telecommunications - Wireless – 0.9% | Telecommunications - Wireless – 0.9% | Telecommunications - Wireless – 0.9% |
| Crown Castle, Inc., REIT, 3.15%, 7/15/2023 | $&nbsp;&nbsp;&nbsp;&nbsp;611000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$606356 |
| Crown Castle, Inc., REIT, 1.35%, 7/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp;492000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;452001 |
| Crown Castle, Inc., REIT, 2.9%, 3/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp;448000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;416575 |
| Rogers Communications, Inc., 3.2%, 3/15/2027 (n) | &nbsp;&nbsp;3568000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3355530 |
| T-Mobile USA, Inc., 3.5%, 4/15/2025 | &nbsp;&nbsp;2527000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2453830 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$7284292 |
| Tobacco – 0.6% | Tobacco – 0.6% | Tobacco – 0.6% |
| B.A.T. Capital Corp., 3.222%, 8/15/2024 | $&nbsp;&nbsp;1459000 | &nbsp;&nbsp;&nbsp;&nbsp;$1419186 |
| Philip Morris International, Inc., 1.125%, 5/01/2023 | &nbsp;&nbsp;&nbsp;&nbsp;722000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;715098 |
| Philip Morris International, Inc., 5.125%, 11/15/2024 | &nbsp;&nbsp;1300000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1309097 |
| Philip Morris International, Inc., 5%, 11/17/2025 | &nbsp;&nbsp;&nbsp;&nbsp;591000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;598888 |
| Philip Morris International, Inc., 5.125%, 11/17/2027 | &nbsp;&nbsp;&nbsp;&nbsp;526000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;537589 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$4579858 |
| Transportation - Services – 1.1% | Transportation - Services – 1.1% | Transportation - Services – 1.1% |
| Element Fleet Management Corp., 1.6%, 4/06/2024 (n) | $&nbsp;&nbsp;6310000 | &nbsp;&nbsp;&nbsp;&nbsp;$6017402 |
| ERAC USA Finance LLC, 2.7%, 11/01/2023 (n) | &nbsp;&nbsp;&nbsp;&nbsp;974000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;954417 |
| ERAC USA Finance LLC, 3.85%, 11/15/2024 (n) | &nbsp;&nbsp;&nbsp;&nbsp;684000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;666420 |
| ERAC USA Finance LLC, 3.8%, 11/01/2025 (n) | &nbsp;&nbsp;&nbsp;&nbsp;684000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;659852 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$8298091 |
| U.S. Treasury Obligations – 23.6% | U.S. Treasury Obligations – 23.6% | U.S. Treasury Obligations – 23.6% |
| U.S. Treasury Notes, 0.125%, 5/31/2023 (f)(s) | $25000000 | &nbsp;&nbsp;&nbsp;$24628906 |
| U.S. Treasury Notes, 0.125%, 8/31/2023 (f)(s) | 12453000 | &nbsp;&nbsp;&nbsp;&nbsp;12126595 |
| U.S. Treasury Notes, 0.5%, 11/30/2023 (f)(s) | 12515000 | &nbsp;&nbsp;&nbsp;&nbsp;12082352 |
| U.S. Treasury Notes, 0.875%, 1/31/2024 (f)(s) | 25867000 | &nbsp;&nbsp;&nbsp;&nbsp;24892946 |
| U.S. Treasury Notes, 0.75%, 11/15/2024 | 41755000 | &nbsp;&nbsp;&nbsp;&nbsp;39208924 |
| U.S. Treasury Notes, 2.75%, 5/15/2025 | 21100000 | &nbsp;&nbsp;&nbsp;&nbsp;20494199 |
| U.S. Treasury Notes, 2.25%, 11/15/2025 (f) | 50922000 | &nbsp;&nbsp;&nbsp;&nbsp;48712065 |
|  |  | $182145987 |
| Utilities - Electric Power – 3.2% | Utilities - Electric Power – 3.2% | Utilities - Electric Power – 3.2% |
| Edison International, 4.7%, 8/15/2025 | $&nbsp;&nbsp;1686000 | &nbsp;&nbsp;&nbsp;&nbsp;$1661048 |
| Emera US Finance LP, 0.833%, 6/15/2024 | &nbsp;&nbsp;1057000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;993592 |
| Enel Finance International N.V., 6.8%, 10/14/2025 (n) | &nbsp;&nbsp;&nbsp;&nbsp;889000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;921208 |
| ENGIE Energía Chile S.A., 4.5%, 1/29/2025 (n) | &nbsp;&nbsp;3214000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3133650 |
| Entergy Louisiana LLC, 0.95%, 10/01/2024 | &nbsp;&nbsp;5399000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5075051 |
| FirstEnergy Corp., 2.05%, 3/01/2025 | &nbsp;&nbsp;1202000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1126428 |
| FirstEnergy Corp., 1.6%, 1/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp;734000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;658845 |
| NextEra Energy Capital Holdings, Inc., 0.65%, 3/01/2023 | &nbsp;&nbsp;1743000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1737692 |
| Pacific Gas & Electric Co., 1.7%, 11/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp;854000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;831817 |
| Pacific Gas & Electric Co., 3.25%, 2/16/2024 | &nbsp;&nbsp;3496000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3431475 |
| Vistra Operations Co. LLC, 4.875%, 5/13/2024 (n) | &nbsp;&nbsp;3851000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3800706 |

---

------

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 |
| WEC Energy Group, Inc., 0.8%, 3/15/2024 | &nbsp;&nbsp;1019000 | &nbsp;&nbsp;&nbsp;$972320 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$24343832 |
| **Total Bonds** |  | &nbsp;&nbsp;**$618190528** |
| Investment Companies (h) – 10.3% | Investment Companies (h) – 10.3% | Investment Companies (h) – 10.3% |
| Money Market Funds – 10.3% | Money Market Funds – 10.3% |  |
| MFS Institutional Money Market Portfolio, 4.29% (v) | 79723035 | &nbsp;&nbsp;&nbsp;$79731007 |
| Short-Term Obligations (s)(y) – 3.9% |  |  |
| Freddie Mac, 4.11%, due 2/01/2023 | 29736000 | &nbsp;&nbsp;&nbsp;$29736000 |
| Other Assets, Less Liabilities – 5.6% |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;43492193 |
| **Net Assets – 100.0%** | **Net Assets – 100.0%** | &nbsp;&nbsp;&nbsp;**$771149728** |

---

(f) All or a portion of the security has been segregated as collateral for cleared and uncleared swap agreements.

(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 $79,731,007 and $647,926,528, 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 $220,048,418, representing 28.5% of net assets.

(s) All or a portion of security is held by a wholly-owned subsidiary. See Principles of Consolidation in the notes for details of the wholly-owned subsidiary.

(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.

(y) The rate quoted is the annualized one-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: |
| AGM | Assured Guaranty Municipal |
| BAM | Build America Mutual |
| BCOMALTR | Bloomberg Aluminum Subindex Total Return, this index is composed of futures contracts on aluminum. It is quoted in USD. |
| BCOMBOTR | Bloomberg Soybean Oil Subindex Total Return, this index is composed of futures contracts on soybean oil. It is quoted in USD. |
| BCOMCNTR | Bloomberg Corn Subindex Total Return, this index is composed of futures contracts on corn. It reflects the return on fully collateralized futures positions. It is quoted in USD. |
| BCOMCOT | Bloomberg Brent Crude Subindex Total Return, this index is composed of futures contracts on brent crude. It is quoted in USD. |
| BCOMF3T | Bloomberg Commodity Index 3 Month Forward Total Return, this index is composed of longer-dated futures contracts on 19 physical commodities. It is quoted in USD. |
| BCOMFCT | Bloomberg Feeder Cattle Subindex Total Return, this index is comprised of futures contracts on feeder cattle. It is quoted in USD. |
| BCOMGCTR | Bloomberg Gold Subindex Total Return, this index is composed of futures contracts on gold. It is quoted in USD. |
| BCOMHGTR | Bloomberg Copper Subindex Total Return, this index is composed of futures contracts on copper. It is quoted in USD. |
| BCOMHOTR | Bloomberg Heating Oil Subindex Total Return, this index is composed of futures contracts on heating oil. It reflects the return on fully collateralized futures positions. It is quoted in USD. |
| BCOMKCTR | Bloomberg Coffee Subindex Total Return, this index is composed of futures contracts on coffee. It reflects the return on fully collateralized futures positions. It is quoted in USD. |
| BCOMLCTR | Bloomberg Live Cattle Subindex Total Return, this index is composed of futures contracts on live cattle. It is quoted in USD. |
| BCOMNGTR | Bloomberg Natural Gas Subindex Total Return, this index is composed of futures contracts on natural gas. It reflects the return on fully collateralized futures positions. It is quoted in USD. |
| BCOMNITR | Bloomberg Nickel Subindex Total Return, this index is a single commodity subindex of the Bloomberg CI composed of futures contracts on Nickel. It reflects the return of underlying commodity futures price movements only. It is quoted in USD. |
| BCOMPLTR | Bloomberg Platinum Subindex Total Return, this index is composed of futures contracts on platinum. It is quoted in USD. |
| BCOMRBTR | Bloomberg Unleaded Gasoline Subindex Total Return, this index is composed of futures contracts on unleaded gasoline. It reflects the return on fully collateralized futures positions. It is quoted in USD. |
| BCOMSITR | Bloomberg Silver Subindex Total Return, this index is composed of futures contracts on silver. It is quoted in USD. |
| BCOMSMT | Bloomberg Soybean Meal Subindex Total Return, this index is composed of futures contracts on soybean meal. It is quoted in USD. |
| BCOMSYTR | Bloomberg Soybeans Subindex Total Return, this index is composed of futures contracts on soybeans. It is quoted in USD. |
| BCOMTR | Bloomberg Commodity Index Total Return |

---

------

Portfolio of Investments (unaudited) – continued

---

| | |
|:---|:---|
| BCOMWHTR | Bloomberg Wheat Subindex Total Return, this index is composed of futures contracts on wheat. It reflects the return on fully collateralized futures positions. It is quoted in USD. |
| CLO | Collateralized Loan Obligation |
| CMT | Constant Maturity Treasury |
| FLR | Floating Rate. Interest rate resets periodically based on the parenthetically disclosed reference rate plus a spread (if any). The period-end rate reported may not be the current rate. All reference rates are USD unless otherwise noted. |
| LIBOR | London Interbank Offered Rate |
| MLCILPRT | Merrill Lynch International Bloomberg Commodity Index Total Return |
| REIT | Real Estate Investment Trust |
| SOFR | Secured Overnight Financing Rate |

---

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Derivative Contracts at 1/31/23** | **Derivative Contracts at 1/31/23** | **Derivative Contracts at 1/31/23** | **Derivative Contracts at 1/31/23** | **Derivative Contracts at 1/31/23** | **Derivative Contracts at 1/31/23** | **Derivative Contracts at 1/31/23** | **Derivative Contracts at 1/31/23** | **Derivative Contracts at 1/31/23** |
| **Cleared Swap Agreements** | **Cleared Swap Agreements** | **Cleared Swap Agreements** | **Cleared Swap Agreements** | **Cleared Swap Agreements** | **Cleared Swap Agreements** | **Cleared Swap Agreements** | **Cleared Swap Agreements** | **Cleared Swap Agreements** |
| **Maturity<br> Date** | **Maturity<br> Date** | **Notional<br> Amount** | &nbsp;&nbsp;**Counterparty** | &nbsp;&nbsp;**Cash Flows<br> to Receive/<br> Frequency** | &nbsp;&nbsp;**Cash Flows<br> to Pay/<br> Frequency** | &nbsp;&nbsp;**Unrealized<br> Appreciation<br> (Depreciation)** | &nbsp;&nbsp;**Net Unamortized<br> Upfront Payments<br> (Receipts)** | &nbsp;&nbsp;**Value** |
| **Asset Derivatives** | **Asset Derivatives** | **Asset Derivatives** | **Asset Derivatives** | **Asset Derivatives** | **Asset Derivatives** |  |  |  |
| ***Interest Rate Swaps*** | ***Interest Rate Swaps*** | ***Interest Rate Swaps*** | ***Interest Rate Swaps*** | ***Interest Rate Swaps*** | ***Interest Rate Swaps*** |  |  |  |
| 10/17/25 | USD | &nbsp;&nbsp;13600000 | &nbsp;&nbsp;centrally cleared | &nbsp;&nbsp;4.20%/Annually | &nbsp;&nbsp;SOFR - 1 day/Annually | &nbsp;&nbsp;$125540 | &nbsp;&nbsp;$— | &nbsp;&nbsp;$125540 |
| **Liability Derivatives** | **Liability Derivatives** | **Liability Derivatives** | **Liability Derivatives** | **Liability Derivatives** | **Liability Derivatives** |  |  |  |
| ***Interest Rate Swaps*** | ***Interest Rate Swaps*** | ***Interest Rate Swaps*** | ***Interest Rate Swaps*** | ***Interest Rate Swaps*** | ***Interest Rate Swaps*** |  |  |  |
| 12/06/25 | USD | &nbsp;&nbsp;45300000 | &nbsp;&nbsp;centrally cleared | &nbsp;&nbsp;3.82%/Annually | &nbsp;&nbsp;SOFR - 1 day/Annually | &nbsp;&nbsp;$(49867) | &nbsp;&nbsp;$— | &nbsp;&nbsp;$(49867) |

---

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Uncleared Swap Agreements** | **Uncleared Swap Agreements** | **Uncleared Swap Agreements** | **Uncleared Swap Agreements** | **Uncleared Swap Agreements** | **Uncleared Swap Agreements** | **Uncleared Swap Agreements** | **Uncleared Swap Agreements** | **Uncleared Swap Agreements** |
| **Maturity<br> Date** | **Maturity<br> Date** | **Notional<br> Amount** | &nbsp;&nbsp;**Counterparty** | &nbsp;&nbsp;**Cash Flows<br> to Receive<br> (Monthly)** | &nbsp;&nbsp;**Cash Flows<br> to Pay<br> (Monthly)** | &nbsp;&nbsp;**Unrealized<br> Appreciation<br> (Depreciation)** | &nbsp;&nbsp;**Net Unamortized<br> Upfront Payments<br> (Receipts)** | &nbsp;&nbsp;**Value** |
| **Asset Derivatives** | **Asset Derivatives** | **Asset Derivatives** | **Asset Derivatives** | **Asset Derivatives** | **Asset Derivatives** |  |  |  |
| ***Total Return Swaps*** | ***Total Return Swaps*** | ***Total Return Swaps*** | ***Total Return Swaps*** | ***Total Return Swaps*** | ***Total Return Swaps*** |  |  |  |
| 3/15/23 | USD | &nbsp;&nbsp;12,263,866 (Short) | &nbsp;&nbsp;Morgan Stanley | &nbsp;&nbsp;3 month T-Bill - 0.08% | &nbsp;&nbsp;BCOMPLTR (floating rate) | &nbsp;&nbsp;&nbsp;&nbsp;$51094 | &nbsp;&nbsp;$— | &nbsp;&nbsp;&nbsp;&nbsp;$51094 |
| 4/11/23 | USD | &nbsp;&nbsp;13,183,911 (Short) | &nbsp;&nbsp;Morgan Stanley | &nbsp;&nbsp;3 month T-Bill + 0.00% | &nbsp;&nbsp;BCOMFCT (floating rate) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;52167 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;52167 |
| 4/28/23 | USD | &nbsp;&nbsp;11,207,883 (Short) | &nbsp;&nbsp;Merrill Lynch International | &nbsp;&nbsp;3 month T-Bill - 0.08% | &nbsp;&nbsp;BCOMHGTR (floating rate) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;39703 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;39703 |
| 5/15/23 | USD | &nbsp;&nbsp;2,658,249 (Short) | &nbsp;&nbsp;JPMorgan Chase Bank N.A. | &nbsp;&nbsp;3 month T-Bill - 0.05% | &nbsp;&nbsp;BCOMWHTR (floating rate) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10939 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10939 |
| 5/15/23 | USD | &nbsp;&nbsp;3,675,306 (Short) | &nbsp;&nbsp;Goldman Sachs International | &nbsp;&nbsp;3 month T-Bill + 0.05% | &nbsp;&nbsp;BCOMNITR (floating rate) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14441 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14441 |
| 9/29/23 | USD | &nbsp;&nbsp;6,729,537 (Short) | &nbsp;&nbsp;Morgan Stanley | &nbsp;&nbsp;3 month T-Bill - 0.03% | &nbsp;&nbsp;BCOMSITR (floating rate) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;26963 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;26963 |
| 10/16/23 | USD | &nbsp;&nbsp;12,759,286 (Short) | &nbsp;&nbsp;Morgan Stanley | &nbsp;&nbsp;3 month T-Bill - 0.03% | &nbsp;&nbsp;BCOMALTR (floating rate) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;45747 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;45747 |
| 12/29/23 | USD | &nbsp;&nbsp;8,832,801 (Short) | &nbsp;&nbsp;Morgan Stanley | &nbsp;&nbsp;3 month T-Bill - 0.02% | &nbsp;&nbsp;BCOMGCTR (floating rate) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;33307 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;33307 |
| 2/12/24 | USD | &nbsp;&nbsp;9,142,204 (Short) | &nbsp;&nbsp;Morgan Stanley | &nbsp;&nbsp;3 month T-Bill - 0.03% | &nbsp;&nbsp;BCOMLCTR (floating rate) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;21562 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;21562 |
| 2/26/24 | USD | &nbsp;&nbsp;4,715,640 (Short) | &nbsp;&nbsp;Morgan Stanley | &nbsp;&nbsp;3 month T-Bill - 0.02% | &nbsp;&nbsp;BCOMNGTR (floating rate) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3169 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3169 |
|  |  |  |  |  |  | &nbsp;&nbsp;&nbsp;$299092 | &nbsp;&nbsp;$— | &nbsp;&nbsp;&nbsp;$299092 |
| **Liability Derivatives** | **Liability Derivatives** | **Liability Derivatives** | **Liability Derivatives** | **Liability Derivatives** | **Liability Derivatives** |  |  |  |
| ***Total Return Swaps*** | ***Total Return Swaps*** | ***Total Return Swaps*** | ***Total Return Swaps*** | ***Total Return Swaps*** | ***Total Return Swaps*** |  |  |  |
| 2/28/23 | USD | &nbsp;&nbsp;21,692,726 (Long) | &nbsp;&nbsp;Goldman Sachs International | &nbsp;&nbsp;BCOMTR (floating rate) | &nbsp;&nbsp;3 month T-Bill + 0.08% | &nbsp;&nbsp;&nbsp;&nbsp;$(89091) | &nbsp;&nbsp;$— | &nbsp;&nbsp;&nbsp;&nbsp;$(89091) |
| 4/11/23 | USD | &nbsp;&nbsp;24,334,606 (Long) | &nbsp;&nbsp;JPMorgan Chase Bank N.A. | &nbsp;&nbsp;BCOMF3T (floating rate) | &nbsp;&nbsp;3 month T-Bill + 0.00% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(99485) | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(99485) |

---

------

Portfolio of Investments (unaudited) – continued

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Uncleared Swap Agreements - continued** | **Uncleared Swap Agreements - continued** | **Uncleared Swap Agreements - continued** | **Uncleared Swap Agreements - continued** | **Uncleared Swap Agreements - continued** | **Uncleared Swap Agreements - continued** | **Uncleared Swap Agreements - continued** | **Uncleared Swap Agreements - continued** | **Uncleared Swap Agreements - continued** |
| **Maturity<br> Date** | **Maturity<br> Date** | **Notional<br> Amount** | &nbsp;&nbsp;**Counterparty** | &nbsp;&nbsp;**Cash Flows<br> to Receive<br> (Monthly)** | &nbsp;&nbsp;**Cash Flows<br> to Pay<br> (Monthly)** | &nbsp;&nbsp;**Unrealized<br> Appreciation<br> (Depreciation)** | &nbsp;&nbsp;**Net Unamortized<br> Upfront Payments<br> (Receipts)** | &nbsp;&nbsp;**Value** |
| **Liability Derivatives - continued** | **Liability Derivatives - continued** | **Liability Derivatives - continued** | **Liability Derivatives - continued** | **Liability Derivatives - continued** | **Liability Derivatives - continued** |  |  |  |
| ***Total Return Swaps - continued*** | ***Total Return Swaps - continued*** | ***Total Return Swaps - continued*** | ***Total Return Swaps - continued*** | ***Total Return Swaps - continued*** | ***Total Return Swaps - continued*** |  |  |  |
| 4/11/23 | USD | &nbsp;&nbsp;24,334,606 (Long) | &nbsp;&nbsp;Merrill Lynch International | &nbsp;&nbsp;BCOMF3T (floating rate) | &nbsp;&nbsp;3 month T-Bill + 0.00% | &nbsp;&nbsp;&nbsp;&nbsp;$(99269) | &nbsp;&nbsp;$— | &nbsp;&nbsp;&nbsp;&nbsp;$(99269) |
| 5/26/23 | USD | &nbsp;&nbsp;38,348,265 (Long) | &nbsp;&nbsp;Merrill Lynch International | &nbsp;&nbsp;BCOMTR (floating rate) | &nbsp;&nbsp;3 month T-Bill + 0.07% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(157150) | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(157150) |
| 6/20/23 | USD | &nbsp;&nbsp;97,620,021 (Long) | &nbsp;&nbsp;Merrill Lynch International | &nbsp;&nbsp;BCOMF3T (floating rate) | &nbsp;&nbsp;3 month T-Bill + 0.09% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(398237) | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(398237) |
| 7/17/23 | USD | &nbsp;&nbsp;35,917,270 (Long) | &nbsp;&nbsp;JPMorgan Chase Bank N.A. | &nbsp;&nbsp;BCOMF3T (floating rate) | &nbsp;&nbsp;3 month T-Bill + 0.10% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(146843) | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(146843) |
| 7/17/23 | USD | &nbsp;&nbsp;36,838,226 (Long) | &nbsp;&nbsp;Goldman Sachs International | &nbsp;&nbsp;BCOMF3T (floating rate) | &nbsp;&nbsp;3 month T-Bill + 0.10% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(150608) | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(150608) |
| 7/17/23 | USD | &nbsp;&nbsp;35,917,270 (Long) | &nbsp;&nbsp;Merrill Lynch International | &nbsp;&nbsp;BCOMF3T (floating rate) | &nbsp;&nbsp;3 month T-Bill + 0.10% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(146843) | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(146843) |
| 8/07/23 | USD | &nbsp;&nbsp;7,465,285 (Long) | &nbsp;&nbsp;Merrill Lynch International | &nbsp;&nbsp;BCOMCOT (floating rate) | &nbsp;&nbsp;3 month T-Bill + 0.06% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(30556) | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(30556) |
| 8/08/23 | USD | &nbsp;&nbsp;4,991,637 (Long) | &nbsp;&nbsp;Merrill Lynch International | &nbsp;&nbsp;BCOMGO (floating rate) | &nbsp;&nbsp;3 month T-Bill + 0.06% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(19843) | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(19843) |
| 9/25/23 | USD | &nbsp;&nbsp;13,743,628 (Long) | &nbsp;&nbsp;JPMorgan Chase Bank N.A. | &nbsp;&nbsp;BCOMTR (floating rate) | &nbsp;&nbsp;3 month T-Bill + 0.07% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(56322) | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(56322) |
| 9/25/23 | USD | &nbsp;&nbsp;119,742,701 (Long) | &nbsp;&nbsp;Merrill Lynch International | &nbsp;&nbsp;MLCILPRT (a) (floating rate) | &nbsp;&nbsp;3 month T-Bill + 0.14% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(496737) | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(496737) |
| 9/29/23 | USD | &nbsp;&nbsp;11,241,743 (Long) | &nbsp;&nbsp;Morgan Stanley | &nbsp;&nbsp;BCOMCNTR (floating rate) | &nbsp;&nbsp;3 month T-Bill + 0.14% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(46270) | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(46270) |
| 10/16/23 | USD | &nbsp;&nbsp;5,982,412 (Long) | &nbsp;&nbsp;Merrill Lynch International | &nbsp;&nbsp;BCOMBOTR (floating rate) | &nbsp;&nbsp;3 month T-Bill + 0.10% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(25139) | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(25139) |
| 11/17/23 | USD | &nbsp;&nbsp;127,641,463 (Long) | &nbsp;&nbsp;Merrill Lynch International | &nbsp;&nbsp;MLCILPRT (a) (floating rate) | &nbsp;&nbsp;3 month T-Bill + 0.13% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(528366) | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(528366) |
| 11/20/23 | USD | &nbsp;&nbsp;21,263,926 (Long) | &nbsp;&nbsp;JPMorgan Chase Bank N.A. | &nbsp;&nbsp;BCOMTR (floating rate) | &nbsp;&nbsp;3 month T-Bill + 0.07% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(87139) | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(87139) |
| 12/15/23 | USD | &nbsp;&nbsp;5,553,154 (Long) | &nbsp;&nbsp;JPMorgan Chase Bank N.A. | &nbsp;&nbsp;BCOMHOTR (floating rate) | &nbsp;&nbsp;3 month T-Bill + 0.07% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(22800) | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(22800) |
| 12/15/23 | USD | &nbsp;&nbsp;9,241,187 (Long) | &nbsp;&nbsp;JPMorgan Chase Bank N.A. | &nbsp;&nbsp;BCOMKCTR (floating rate) | &nbsp;&nbsp;3 month T-Bill + 0.12% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(34926) | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(34926) |
| 12/15/23 | USD | &nbsp;&nbsp;4,905,638 (Long) | &nbsp;&nbsp;JPMorgan Chase Bank N.A. | &nbsp;&nbsp;BCOMTR (floating rate) | &nbsp;&nbsp;3 month T-Bill + 0.07% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(20103) | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(20103) |
| 12/29/23 | USD | &nbsp;&nbsp;106,778,463 (Long) | &nbsp;&nbsp;JPMorgan Chase Bank N.A. | &nbsp;&nbsp;BCOMTR (floating rate) | &nbsp;&nbsp;3 month T-Bill + 0.07% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(437579) | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(437579) |
| 12/29/23 | USD | &nbsp;&nbsp;51,447,805 (Long) | &nbsp;&nbsp;Goldman Sachs International | &nbsp;&nbsp;BCOMTR (floating rate) | &nbsp;&nbsp;3 month T-Bill + 0.09% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(211752) | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(211752) |
| 12/29/23 | USD | &nbsp;&nbsp;14,560,699 (Long) | &nbsp;&nbsp;Citibank N.A. | &nbsp;&nbsp;BCOMTR (floating rate) | &nbsp;&nbsp;3 month T-Bill + 0.14% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(60581) | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(60581) |
| 1/16/24 | USD | &nbsp;&nbsp;10,475,691 (Long) | &nbsp;&nbsp;Goldman Sachs International | &nbsp;&nbsp;BCOMSYTR (floating rate) | &nbsp;&nbsp;3 month T-Bill + 0.14% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(42803) | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(42803) |
| 2/26/24 | USD | &nbsp;&nbsp;8,124,169 (Long) | &nbsp;&nbsp;Morgan Stanley | &nbsp;&nbsp;BCOMSMT (floating rate) | &nbsp;&nbsp;3 month T-Bill + 0.09% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1119) | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1119) |
| 2/26/24 | USD | &nbsp;&nbsp;5,889,640 (Long) | &nbsp;&nbsp;JPMorgan Chase Bank N.A. | &nbsp;&nbsp;BCOMRBTR (floating rate) | &nbsp;&nbsp;3 month T-Bill + 0.08% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(3888) | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(3888) |
|  |  |  |  |  |  | &nbsp;&nbsp;$(3413449) | &nbsp;&nbsp;$— | &nbsp;&nbsp;$(3413449) |

---

At January 31, 2023, the fund had cash collateral of $45,129,000 and other liquid securities with an aggregate value of $50,067,324 to cover any collateral or margin obligations for certain derivative contracts.

(a) The Merrill Lynch MLCILPRT Commodity Index, the components of which are not publicly available, seeks to provide exposure to a diversified group of commodities. Through its investment in the swap, the fund has indirect exposure to the following positions that compose the MLCILPRT:

------

Portfolio of Investments (unaudited) – continued

---

| | | | |
|:---|:---|:---|:---|
| **Referenced Commodity Futures Contracts** | &nbsp;&nbsp;&nbsp;&nbsp;**% of Notional** | &nbsp;&nbsp;&nbsp;&nbsp;**Notional<br> Amount: $119,742,701\*** | &nbsp;&nbsp;&nbsp;&nbsp;**Notional<br> Amount: $127,641,463\*** |
| Long Futures Contracts | Long Futures Contracts |  |  |
| Soybean Oil - March 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.9% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1077684 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1148773 |
| Soybean Oil - May 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.3% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2754082 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2935754 |
| Corn - March 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.6% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1915883 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2042263 |
| Corn - May 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.0% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4789708 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5105659 |
| WTI - March 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.0% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2394854 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2552829 |
| WTI - May 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.9% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7064819 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7530846 |
| Brent - May 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.4% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8860960 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9445468 |
| Cotton - March 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.3% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;359228 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;382924 |
| Cotton - May 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.1% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1317170 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1404056 |
| Gold - April 2023 | &nbsp;&nbsp;&nbsp;&nbsp;15.2% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18200891 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19401502 |
| Copper Comex - March 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.3% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1556655 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1659339 |
| Copper Comex - May 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.0% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4789708 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5105659 |
| Heating Oil - March 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.7% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;838199 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;893490 |
| Heating Oil - May 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.5% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1796141 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1914622 |
| Coffee - March 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.5% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;598714 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;638207 |
| Coffee - May 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.3% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2754082 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2935754 |
| Kansas Wheat - March 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.5% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;598714 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;638207 |
| Kansas Wheat - May 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.3% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1556655 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1659339 |
| Aluminum - March 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.0% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1197427 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1276415 |
| Aluminum - May 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.3% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3951509 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4212168 |
| Live Cattle - April 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.5% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4190995 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4467451 |
| Lean Hogs - April 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.8% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2155369 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2297546 |
| Lead - May 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.6% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;718456 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;765849 |
| Nickel - March 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.0% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1197427 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1276415 |
| Nickel - May 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.1% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2514597 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2680471 |
| Zinc - March 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.8% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;957942 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1021132 |
| Zinc - May 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.3% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2754082 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2935754 |
| Natural Gas - March 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.5% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1796141 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1914622 |
| Natural Gas - May 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.7% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5627907 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5999149 |
| Gasoil - March 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.9% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1077684 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1148773 |
| Gasoil - May 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.9% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2275111 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2425188 |
| Soybeans - March 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.6% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1915883 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2042263 |
| Soybeans - May 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.2% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5029193 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5360941 |
| Sugar - March 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.9% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1077684 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1148773 |
| Sugar - May 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.9% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2275111 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2425188 |
| Silver - March 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.3% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1556655 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1659339 |
| Silver - May 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.2% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3831766 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4084527 |
| Soybean Meal - March 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.1% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1317170 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1404056 |
| Soybean Meal - May 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.4% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2873825 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3063395 |
| Wheat - March 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.7% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;838199 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;893490 |
| Wheat - May 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.0% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2394854 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2552829 |
| Gasoline RBOB - March 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.6% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;718456 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;765849 |
| Gasoline RBOB - May 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.9% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2275111 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2425189 |
|  | &nbsp;&nbsp;&nbsp;100.0% | &nbsp;&nbsp;&nbsp;$119742701 | &nbsp;&nbsp;&nbsp;$127641463 |
| \* The notional amount is indicative of the quantity and proportionate value of each commodity futures contract. | \* The notional amount is indicative of the quantity and proportionate value of each commodity futures contract. | \* The notional amount is indicative of the quantity and proportionate value of each commodity futures contract. | \* The notional amount is indicative of the quantity and proportionate value of each commodity futures contract. |

---

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

------

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

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

**Principles of Consolidation — The fund gains exposure to the commodities markets by investing a portion of the fund's assets in the MFS Commodity Strategy Portfolio, a wholly-owned and controlled subsidiary organized in the Cayman Islands ("Subsidiary"). The fund will not invest directly in commodities. The fund may invest up to 25% of its assets (at the time of purchase) in the Subsidiary. The Subsidiary has the same objective, strategies, and restrictions as the fund, except that the Subsidiary gains exposure to the commodities market by investing directly in commodity-linked futures, options, and swaps. The fund also invests directly in debt securities, and the Subsidiary may also invest in debt securities. As of January 31, 2023, the Subsidiary's net assets were $142,902,872, which represented 18.5% of the fund's net assets. The fund's financial statements have been consolidated and include the accounts of the fund and the Subsidiary. All inter-fund balances and transactions have been eliminated in consolidation.**

(1) Investment Valuations

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

Under the fund's valuation policy and procedures, debt instruments and floating rate loans, including restricted debt instruments, are generally valued at an evaluated or composite bid as provided by a third-party pricing service. Short-term instruments with a maturity at issuance of 60 days or less may be valued at amortized cost, which approximates market value. Exchange-traded options are generally valued at the last sale or official closing price on their primary exchange as provided by a third-party pricing service. Exchange-traded options for which there were no sales reported that day are generally valued at the last daily bid quotation on their primary exchange as provided by a third-party pricing service. For put options, the position may be valued at the last daily ask quotation if there are no trades reported during the day. Options not traded on an exchange are generally valued at a broker/dealer bid quotation. Foreign currency options are generally valued at valuations provided by a third-party pricing service. Swap agreements are generally valued using valuations provided by a third-party pricing service, which for cleared swaps includes an evaluation of any trading activity at the clearinghouses. 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, including commodity-linked structured notes, generally valued on the basis of information from a third-party pricing service may also be valued at a broker/dealer bid quotation. In determining values, third-party pricing services can utilize both transaction data and market information such as yield, quality, coupon rate, maturity, type of issue, trading characteristics, spreads and other market data. An investment may also be valued at fair value if the adviser determines that the investment's value has been materially affected by events occurring after the close of the exchange or market on which the investment is principally traded (such as foreign exchange or market) and prior to the determination of the fund's net asset value, or after the halt of trading of a specific security where trading does not resume prior to the close of the exchange or market on which the security is principally traded. The adviser generally relies on third-party pricing services or other information (such as the correlation with price movements of similar securities in the same or other markets; the type, cost and investment characteristics of the security; the business and financial condition of the issuer; and trading and other market data) to assist in determining whether to fair value and at what value to fair value an investment. The value of an investment for purposes of calculating the fund's net asset value can differ depending on the source and method used to determine value. When fair valuation is used, the value of an investment used to determine the fund's net asset value may differ from quoted or published prices for the same investment. There can be no assurance that the fund could obtain the fair value assigned to an investment if it were to sell the investment at the same time at which the fund determines its net asset value per share.

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

------

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 swap agreements. The following is a summary of the levels used as of January 31, 2023 in valuing the fund's assets and liabilities:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Financial Instruments** | &nbsp;&nbsp;&nbsp;**Level 1** | &nbsp;&nbsp;&nbsp;**Level 2** | &nbsp;&nbsp;&nbsp;**Level 3** | &nbsp;&nbsp;&nbsp;**Total** |
| U.S. Treasury Bonds & U.S. Government Agencies & Equivalents | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$— | &nbsp;&nbsp;&nbsp;$182145987 | &nbsp;&nbsp;&nbsp;$— | &nbsp;&nbsp;&nbsp;$182145987 |
| 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;4538002 | &nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4538002 |
| 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;8996174 | &nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8996174 |
| U.S. Corporate Bonds | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;166258165 | &nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;166258165 |
| 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;4384750 | &nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4384750 |
| 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;38225920 | &nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;38225920 |
| 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;78231665 | &nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;78231665 |
| Foreign Bonds | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;135409865 | &nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;135409865 |
| Short-Term Securities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;29736000 | &nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;29736000 |
| Mutual Funds | &nbsp;&nbsp;&nbsp;&nbsp;79731007 | &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;79731007 |
| Total | &nbsp;&nbsp;&nbsp;$79731007 | &nbsp;&nbsp;&nbsp;$647926528 | &nbsp;&nbsp;&nbsp;$— | &nbsp;&nbsp;&nbsp;$727657535 |
| **Other Financial Instruments** |  |  |  |  |
| Swap Agreements – Assets | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$424632 | &nbsp;&nbsp;&nbsp;$— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$424632 |
| Swap Agreements – Liabilities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(3463316) | &nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(3463316) |

---

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

**Swap Agreements — The fund entered into swap agreements which generally involve a periodic exchange of cash payments on a net basis, at specified intervals or upon the occurrence of specified events, between the fund and a counterparty. Certain swap agreements may be entered into as a bilateral contract ("uncleared swaps") while others are required to be centrally cleared ("cleared swaps").**

Both cleared and uncleared swap agreements are marked to market daily. The value of uncleared swap agreements is reported in the Consolidated Statement of Assets and Liabilities as "Uncleared swaps, at value" which includes any related interest accruals to be paid or received by the fund. For cleared swaps, payments (variation margin) are made or received by the fund each day, depending on the daily fluctuations in the value of the cleared swap, such that only the current day net receivable or payable for variation margin is reported in the Consolidated Statement of Assets and Liabilities.

For both cleared and uncleared swaps, premiums paid or received at the inception of the agreements are amortized over the term of the agreement as realized gain or loss on swap agreements in the Statement of Operations. The periodic exchange of net cash payments, as well as any liquidation payment received or made upon early termination, are recorded as a realized gain or loss on swap agreements in the Consolidated Statement of Operations. The change in unrealized appreciation or depreciation on swap agreements in the Consolidated Statement of Operations reflects the aggregate change over the reporting period in the value of swaps net of any unamortized premiums paid or received.

Risks related to swap agreements include the possible lack of a liquid market, unfavorable market and interest rate movements of the underlying instrument and the failure of the counterparty to perform under the terms of the agreements. The fund's maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from/paid to the counterparty over the contract's remaining life, to the extent that the amount is positive. To address counterparty risk, uncleared swap agreements are limited to only highly-rated counterparties. Risk is further reduced by having an ISDA Master Agreement ("ISDA") between the fund and the counterparty and, where applicable, by the posting of collateral by the counterparty to the fund to cover the fund's exposure to the counterparty under such ISDA. The fund's counterparty risk due to cleared swaps is mitigated by the fact that the clearinghouse is the true counterparty to the transaction and the regulatory requirement safeguards in the event of a clearing broker bankruptcy.

(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;$107271416 | &nbsp;&nbsp;$83312382 | &nbsp;&nbsp;$110865223 | &nbsp;&nbsp;$4363 | &nbsp;&nbsp;$8069 | &nbsp;&nbsp;$79731007 |

---

---

| | | |
|:---|:---|:---|
| **Affiliated Issuers** | &nbsp;&nbsp;**Dividend<br> Income** | &nbsp;&nbsp;**Capital Gain<br> Distributions** |
| MFS Institutional Money Market Portfolio | &nbsp;&nbsp;$889326 | &nbsp;&nbsp;$— |

---

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** MFS SERIES TRUST XV

- **b. Investment Company Act file number:** 811-04253

- **c. CIK number of Registrant:** 0000764719

- **d. LEI of Registrant:** 549300YI4S4U2N712160

- **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 Commodity Strategy Fund

- **b. EDGAR series identifier (if any):** S000028958

- **c. LEI of Series:** T0OEQ8I3F6DXUJCOV412

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

- **a. Date of fiscal year-end:** 2023-10-31

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $776824639.87

**Total Liabilities:** $6049234.61

**Net Assets:** $770775405.26

**Amount of Assets Invested in Other Investment Companies:** $142897971.58

**Cash Not Reported:** $44584507.30

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -2032.81000000 | **1-Year:** -34394.70000000 | **5-Year:** -34918.41000000 | **10-Year:** -1770.96000000 | **30-Year:** 0.00000000

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

- **3-Month:** -20.75000000 | **1-Year:** -1508.61000000 | **5-Year:** -1374.61000000 | **10-Year:** -16.99000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000088953 | 3.17%                | -2.52%               | 0.00%                |
| Class ID C000088955 | 3.14%                | -2.69%               | 0.26%                |
| Class ID C000119775 | 3.11%                | -2.52%               | 0.26%                |
| Class ID C000088958 | 3.32%                | -2.62%               | 0.26%                |
| Class ID C000088954 | 3.31%                | -2.58%               | 0.26%                |
| Class ID C000088956 | 3.12%                | -2.50%               | 0.26%                |
| Class ID C000088957 | 3.33%                | -2.69%               | 0.26%                |
| Class ID C000088952 | 3.14%                | -2.63%               | 0.00%                |
| Class ID C000088951 | 3.33%                | -2.62%               | 0.26%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-1685641.12             | $7538573.40                                |
| Month 2  | $3478.63                 | $81888.95                                  |
| Month 3  | $1794.01                 | $5968509.29                                |

**Designated Index Information**

- **Index Name:** Bloomberg Commodity Index

- **Index Identifier:** BCOM

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| ELEMENT FLEET MANAGEMENT                         | Element Fleet Management Corp                                                                                     | CUSIP: 286181AF9<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |   6310000 | PA      | $6017401.58   | 0.78%             | 2024-04-06      | Fixed         | 1.60%                 | Yes           |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                           | NextEra Energy Capital Holdings Inc                                                                               | CUSIP: 65339KBU3<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   1743000 | PA      | $1737691.87   | 0.23%             | 2023-03-01      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                | NatWest Group PLC                                                                                                 | CUSIP: 780097BK6<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   2276000 | PA      | $2246635.84   | 0.29%             | 2025-03-22      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| Shelter Growth CRE                               | Shelter Growth CRE Issuer Ltd                                                                                     | CUSIP: 822866AG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2649500 | PA      | $2497693.45   | 0.32%             | 2036-09-15      | Floating      | 6.60%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                       | Progress Residential 2021-SFR1                                                                                    | CUSIP: 74331FAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    248000 | PA      | $217679.82    | 0.03%             | 2038-04-17      | Fixed         | 1.30%                 | Yes           |                  2 | On Loan: No      |
| CARRIER GLOBAL CORP                              | Carrier Global Corp                                                                                               | CUSIP: 14448CAN4<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |    289000 | PA      | $274357.12    | 0.04%             | 2025-02-15      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                       | GLS Auto Receivables Issuer Trust 2021-3                                                                          | CUSIP: 36263LAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    890384 | PA      | $869947.82    | 0.11%             | 2025-11-17      | Fixed         | 0.78%                 | Yes           |                  2 | On Loan: No      |
| ACREC 2021-FL1 Ltd                               | ACREC 2021-FL1 Ltd                                                                                                | CUSIP: 00500RAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1812000 | PA      | $1736357.52   | 0.23%             | 2036-10-16      | Floating      | 5.97%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                     | GS Mortgage Securities Trust 2020-GC47                                                                            | CUSIP: 36258RBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8643796 | PA      | $540472.38    | 0.07%             | 2053-05-12      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                             | Glencore Funding LLC                                                                                              | CUSIP: 378272BD9<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |   1675000 | PA      | $1508022.08   | 0.20%             | 2026-04-27      | Fixed         | 1.63%                 | Yes           |                  2 | On Loan: No      |
| Massachusetts Educational Financing Authority    | MASSACHUSETTS ST EDUCTNL FING AUTH                                                                                | CUSIP: 57563RQY8<br>LEI: 5493007K5OP7V6CL0Y88 | Long             | DBT              | MUN               | US        |    250000 | PA      | $235102.80    | 0.03%             | 2025-07-01      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| HYATT HOTELS CORP                                | Hyatt Hotels Corp                                                                                                 | CUSIP: 448579AN2<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |   1976000 | PA      | $1874853.24   | 0.24%             | 2024-10-01      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| CNH INDUSTRIAL CAP LLC                           | CNH Industrial Capital LLC                                                                                        | CUSIP: 12592BAL8<br>LEI: 549300PNSJ5B81UMVO28 | Long             | DBT              | CORP              | US        |    448000 | PA      | $414729.15    | 0.05%             | 2026-01-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| REGAL REXNORD CORP                               | Regal Rexnord Corp                                                                                                | CUSIP: 758750AD5<br>LEI: QH78R09VCJGQKPBPYU33 | Long             | DBT              | CORP              | US        |   1366000 | PA      | $1386784.45   | 0.18%             | 2028-04-15      | Fixed         | 6.05%                 | Yes           |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                           | Mitsubishi UFJ Financial Group Inc                                                                                | CUSIP: 606822CA0<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   1264000 | PA      | $1173018.72   | 0.15%             | 2025-10-11      | Fixed         | 0.96%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                            | Wells Fargo & Co                                                                                                  | CUSIP: 95000U2V4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   3868000 | PA      | $3678479.33   | 0.48%             | 2028-03-24      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch & Co., Inc.                        | Long: TR11247   TRS USD R E TR11247R/BCOMF3T / Short: TR11247   TRS USD P V 03MTBILL USB3MTA +10 BPS/TR11247P     | CUSIP: 000000000<br>LEI: DWW559HN8WVTCCS4VJ94 | N/A              | DCO              |  | US        |  35774747 | OU      | $142520.29    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                | Credit Acceptance Auto Loan Trust 2021-4                                                                          | CUSIP: 22535BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    318000 | PA      | $300366.74    | 0.04%             | 2030-10-15      | Fixed         | 1.26%                 | Yes           |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                          | Hyundai Capital America                                                                                           | CUSIP: 44891ABR7<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    249000 | PA      | $238925.28    | 0.03%             | 2024-01-08      | Fixed         | 0.80%                 | Yes           |                  2 | On Loan: No      |
| TPG Real Estate Finance                          | TRTX 2021-FL4 Issuer Ltd                                                                                          | CUSIP: 87276WAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2749000 | PA      | $2611203.63   | 0.34%             | 2038-03-15      | Floating      | 6.31%                 | Yes           |                  2 | On Loan: No      |
| AREIT CRE Trust                                  | AREIT 2019-CRE3 Trust                                                                                             | CUSIP: 00217LAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    303000 | PA      | $291591.14    | 0.04%             | 2036-09-14      | Floating      | 6.15%                 | Yes           |                  2 | On Loan: No      |
| New Jersey Transportation Trust Fund Authority   | NEW JERSEY ST TRANSPRTN TRUST FUND AUTH                                                                           | CUSIP: 6461366Q9<br>LEI: 549300YUVD5TEXR6L889 | Long             | DBT              | MUN               | US        |    450000 | PA      | $434729.30    | 0.06%             | 2024-06-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                | NatWest Group PLC                                                                                                 | CUSIP: 780097BN0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   2219000 | PA      | $2195065.20   | 0.28%             | 2024-05-22      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| JBS USA/FOOD/FINANCE                             | JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc                                                            | CUSIP: 46590XAF3<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |   2313000 | PA      | $1985363.55   | 0.26%             | 2029-02-02      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                           | Standard Chartered PLC                                                                                            | CUSIP: 853254BY5<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   1408000 | PA      | $1347115.07   | 0.17%             | 2025-01-12      | Fixed         | 0.99%                 | Yes           |                  2 | On Loan: No      |
| BDS Ltd                                          | BDS 2021-FL10 Ltd                                                                                                 | CUSIP: 07335YAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    793500 | PA      | $765790.58    | 0.10%             | 2036-12-16      | Floating      | 6.42%                 | Yes           |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA                         | Volkswagen Group of America Finance LLC                                                                           | CUSIP: 928668BE1<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |   2014000 | PA      | $1939642.64   | 0.25%             | 2025-05-13      | Fixed         | 3.35%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | Long: TR11174   TRS USD R V 03MTBILL USB3MTA +5 BPS/TR11174R / Short: TR11174   TRS USD P E TR11174P/BCOMNITR     | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCO              |  | US        |   3636199 | OU      | $-39106.96    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC      | BBCMS Trust 2021-C10                                                                                              | CUSIP: 05551VBK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7358592 | PA      | $534814.38    | 0.07%             | 2054-07-15      | Variable      | 1.30%                 | No            |                  2 | On Loan: No      |
| TICP CLO Ltd                                     | TICP CLO III-2 Ltd                                                                                                | CUSIP: 87249FAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1195706 | PA      | $1178506.96   | 0.15%             | 2028-04-20      | Floating      | 6.61%                 | Yes           |                  2 | On Loan: No      |
| STELLANTIS FIN US INC                            | Stellantis Finance US Inc                                                                                         | CUSIP: 85855CAA8<br>LEI: 549300QZ0AI8Q7LNON33 | Long             | DBT              | CORP              | US        |   1625000 | PA      | $1432796.15   | 0.19%             | 2027-01-29      | Fixed         | 1.71%                 | Yes           |                  2 | On Loan: No      |
| SUMITOMO MITSUI TR BK LT                         | Sumitomo Mitsui Trust Bank Ltd                                                                                    | CUSIP: 86563VAU3<br>LEI: 5493006GGLR4BTEL8O61 | Long             | DBT              | CORP              | JP        |   1334000 | PA      | $1270444.57   | 0.16%             | 2024-03-25      | Fixed         | 0.85%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | Long: TR11283   TRS USD R V 03MTBILL USBEMTA +2 BPS / Short: TR11283   TRS USD P E P E                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              |  | US        |   8331233 | OU      | $-501568.18   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Commerical Equipment Finance 2021-A, LLC         | Commercial Equipment Finance 2021-A LLC                                                                           | CUSIP: 20166QAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    646441 | PA      | $623432.56    | 0.08%             | 2027-02-16      | Fixed         | 2.05%                 | Yes           |                  2 | On Loan: No      |
| DAE FUNDING LLC                                  | DAE Funding LLC                                                                                                   | CUSIP: 23371DAJ3<br>LEI: 635400SZTPQL3Y1P2C76 | Long             | DBT              | CORP              | US        |    796000 | PA      | $751708.68    | 0.10%             | 2024-08-01      | Fixed         | 1.55%                 | Yes           |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                 | OneMain Financial Issuance Trust 2022-S1                                                                          | CUSIP: 68267HAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1170000 | PA      | $1137721.46   | 0.15%             | 2035-05-14      | Fixed         | 4.13%                 | Yes           |                  2 | On Loan: No      |
| NORDSTROM INC                                    | Nordstrom Inc                                                                                                     | CUSIP: 655664AX8<br>LEI: 549300S3IZB5P35KNV16 | Long             | DBT              | CORP              | US        |    832000 | PA      | $789667.84    | 0.10%             | 2024-04-08      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                             | Glencore Funding LLC                                                                                              | CUSIP: 378272AX6<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |   2677000 | PA      | $2454163.79   | 0.32%             | 2025-09-01      | Fixed         | 1.63%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Securities LLC                          | Long: TR11136   TRS USD R E TR11136R / Short: TR11136   TRS USD P V 03MTBILL USB3MTA+0.00 BPS/TR11136P            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              |  | US        |  24238042 | OU      | $96564.27     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                     | Barclays PLC                                                                                                      | CUSIP: 06738EBL8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    759000 | PA      | $717925.96    | 0.09%             | 2026-05-07      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                | HSBC Holdings PLC                                                                                                 | CUSIP: 404280CM9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    860000 | PA      | $761937.62    | 0.10%             | 2027-05-24      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| Massachusetts Educational Financing Authority    | MASSACHUSETTS ST EDUCTNL FING AUTH                                                                                | CUSIP: 57563RQX0<br>LEI: 5493007K5OP7V6CL0Y88 | Long             | DBT              | MUN               | US        |    320000 | PA      | $307578.78    | 0.04%             | 2024-07-01      | Fixed         | 2.16%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA                         | Volkswagen Group of America Finance LLC                                                                           | CUSIP: 928668BA9<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    878000 | PA      | $846604.88    | 0.11%             | 2024-09-26      | Fixed         | 2.85%                 | Yes           |                  2 | On Loan: No      |
| LoanCore 2018-CRE1 Issuer, Ltd.                  | LoanCore 2018-CRE1 Issuer Ltd                                                                                     | CUSIP: 53946MAG2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    577000 | PA      | $560868.81    | 0.07%             | 2028-05-15      | Floating      | 7.01%                 | Yes           |                  2 | On Loan: No      |
| Ballyrock Ltd                                    | Ballyrock CLO 2018-1 Ltd                                                                                          | CUSIP: 05875HAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    579877 | PA      | $556419.89    | 0.07%             | 2031-04-20      | Floating      | 6.71%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Securities LLC                          | Long: TR11279   TRS USD R E R E / Short: TR11279   TRS USD P V 03MTBILL USB3MTA +7BPS                             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              |  | US        |   5591167 | OU      | $-38013.21    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PFP III                                          | PFP 2021-7 Ltd                                                                                                    | CUSIP: 69290LAG2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    191490 | PA      | $178197.94    | 0.02%             | 2038-04-14      | Floating      | 6.10%                 | Yes           |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                             | Royal Bank of Canada                                                                                              | CUSIP: 78015K7J7<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |   3123000 | PA      | $3023580.26   | 0.39%             | 2023-10-26      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd  | Arbor Realty Commercial Real Estate Notes 2021-FL4 Ltd                                                            | CUSIP: 03880RAG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1014000 | PA      | $968956.29    | 0.13%             | 2036-11-15      | Floating      | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Michigan Finance Authority                       | MICHIGAN ST FIN AUTH REVENUE                                                                                      | CUSIP: 59447TH89<br>LEI: 54930022O46HOX5J1D14 | Long             | DBT              | MUN               | US        |    657077 | PA      | $629033.30    | 0.08%             | 2030-06-01      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                                      | Equinix Inc                                                                                                       | CUSIP: 29444UBF2<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |    972000 | PA      | $889870.51    | 0.12%             | 2025-07-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                         | Sumitomo Mitsui Financial Group Inc                                                                               | CUSIP: 86562MCA6<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   1675000 | PA      | $1538725.10   | 0.20%             | 2025-07-08      | Fixed         | 1.47%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                           | Mitsubishi UFJ Financial Group Inc                                                                                | CUSIP: 606822BV5<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   2789000 | PA      | $2705775.15   | 0.35%             | 2024-09-15      | Fixed         | 0.85%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust      | MF1 2022-FL8 Ltd                                                                                                  | CUSIP: 55284JAG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    941914 | PA      | $882701.05    | 0.11%             | 2037-02-19      | Floating      | 6.51%                 | Yes           |                  2 | On Loan: No      |
| Baidu Inc                                        | Baidu Inc                                                                                                         | CUSIP: 056752AK4<br>LEI: 254900AL64IANZYI1E02 | Long             | DBT              | CORP              | KY        |   2225000 | PA      | $2203284.00   | 0.29%             | 2023-09-29      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd  | Arbor Realty Commercial Real Estate Notes 2022-FL1 Ltd                                                            | CUSIP: 03880XAG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2695500 | PA      | $2542552.75   | 0.33%             | 2037-01-15      | Floating      | 6.58%                 | Yes           |                  2 | On Loan: No      |
| VALERO ENERGY CORP                               | Valero Energy Corp                                                                                                | CUSIP: 91913YBA7<br>LEI: 549300XTO5VR8SKV1V74 | Long             | DBT              | CORP              | US        |   1252000 | PA      | $1200204.23   | 0.16%             | 2024-03-15      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust         | AmeriCredit Automobile Receivables Trust 2022-2                                                                   | CUSIP: 03065WAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1544195 | PA      | $1533568.69   | 0.20%             | 2025-12-18      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                           | Pacific Gas and Electric Co                                                                                       | CUSIP: 694308JY4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    854000 | PA      | $831817.44    | 0.11%             | 2023-11-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                  | CUSIP: 91282CCD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25000000 | PA      | $24628906.25  | 3.20%             | 2023-05-31      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| ABU DHABI GOVT INT'L                             | Abu Dhabi Government International Bond                                                                           | CUSIP: 29135LAL4<br>LEI: 213800FER4348CINTA77 | Long             | DBT              | NUSS              | AE        |   1671000 | PA      | $1629225.00   | 0.21%             | 2023-09-02      | Fixed         | 0.75%                 | Yes           |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC      | BBCMS Mortgage Trust 2021-C9                                                                                      | CUSIP: 05493EAZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11367171 | PA      | $1032685.88   | 0.13%             | 2054-02-15      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | Long: TR11297   TRS USD R E R E / Short: TR11297   TRS USD P V 03MTBILL USB3MTA +14BPS                            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCO              |  | US        |  10338537 | OU      | $137153.91    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| NextGear Floorplan Master Owner Trust            | NextGear Floorplan Master Owner Trust                                                                             | CUSIP: 65341KBS4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1387000 | PA      | $1387317.76   | 0.18%             | 2027-03-15      | Floating      | 5.33%                 | Yes           |                  2 | On Loan: No      |
| Magnetite CLO Ltd                                | Magnetite XVI Ltd                                                                                                 | CUSIP: 55953RAN1<br>LEI: 549300Z3WHVYABE20I45 | Long             | ABS-CBDO         | CORP              | KY        |   2590000 | PA      | $2554791.54   | 0.33%             | 2028-01-18      | Floating      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| Massachusetts Educational Financing Authority    | MASSACHUSETTS ST EDUCTNL FING AUTH                                                                                | CUSIP: 57563RQZ5<br>LEI: 5493007K5OP7V6CL0Y88 | Long             | DBT              | MUN               | US        |    315000 | PA      | $293778.48    | 0.04%             | 2026-07-01      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                 | FirstEnergy Corp                                                                                                  | CUSIP: 337932AN7<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |    734000 | PA      | $658845.07    | 0.09%             | 2026-01-15      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON NATIONAL BANK                         | Huntington National Bank/The                                                                                      | CUSIP: 44644MAD3<br>LEI: 2WHM8VNJH63UN14OL754 | Long             | DBT              | CORP              | US        |   1196000 | PA      | $1177612.01   | 0.15%             | 2025-05-16      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp                                 | BAT Capital Corp                                                                                                  | CUSIP: 05526DAZ8<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   1459000 | PA      | $1419186.53   | 0.18%             | 2024-08-15      | Fixed         | 3.22%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd  | Arbor Realty Commercial Real Estate Notes 2021-FL1 Ltd                                                            | CUSIP: 03881CAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    375500 | PA      | $348773.04    | 0.05%             | 2035-12-15      | Floating      | 5.92%                 | Yes           |                  2 | On Loan: No      |
| Securitized Term Auto Receivables Trust          | Securitized Term Auto Loan Receivables Trust 2019-CRT                                                             | CUSIP: 81379MAC8<br>LEI: 549300DC604TIE09UO03 | Long             | ABS-O            | CORP              | CA        |     69702 | PA      | $69413.51     | 0.01%             | 2026-03-25      | Fixed         | 2.85%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Securities LLC                          | Long: TR11264   TRS USD R E R E / Short: TR11264   TRS USD P V 03MTBILL USB3MTA+7 BPS                             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              |  | US        |  13811300 | OU      | $-67673.13    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                         | Rogers Communications Inc                                                                                         | CUSIP: 775109CB5<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |   3568000 | PA      | $3355529.70   | 0.44%             | 2027-03-15      | Fixed         | 3.20%                 | Yes           |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                         | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                                         | CUSIP: 00774MAK1<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1755000 | PA      | $1745039.32   | 0.23%             | 2024-01-16      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BSPRT Issuer, Ltd.                               | BSPRT 2022-FL8 Issuer Ltd                                                                                         | CUSIP: 055983AG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    719500 | PA      | $684801.68    | 0.09%             | 2037-02-15      | Floating      | 6.58%                 | Yes           |                  2 | On Loan: No      |
| ACREC 2021-FL1 Ltd                               | ACREC 2021-FL1 Ltd                                                                                                | CUSIP: 00500RAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1406000 | PA      | $1347273.63   | 0.17%             | 2036-10-16      | Floating      | 6.27%                 | Yes           |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                          | GLP Capital LP / GLP Financing II Inc                                                                             | CUSIP: 361841AH2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    405000 | PA      | $404586.90    | 0.05%             | 2026-04-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                         | AT&T Inc                                                                                                          | CUSIP: 00206RMJ8<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   4229000 | PA      | $4045637.92   | 0.52%             | 2024-03-25      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| 7-ELEVEN INC                                     | 7-Eleven Inc                                                                                                      | CUSIP: 817826AB6<br>LEI: 549300K23JPL0SS3LB18 | Long             | DBT              | CORP              | US        |   2125000 | PA      | $2031706.98   | 0.26%             | 2024-02-10      | Fixed         | 0.80%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                | Credit Acceptance Auto Loan Trust 2021-4                                                                          | CUSIP: 22535BAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    584000 | PA      | $542781.40    | 0.07%             | 2030-12-16      | Fixed         | 1.74%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Securities LLC                          | Long: TR11287   TRS USD R E R E / Short: TR11287   TRS USD P V 03MTBILL USB3MTA +7 BPS                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              |  | US        | 107304228 | OU      | $-525766.83   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Brookfield Finance Inc                           | Brookfield Finance Inc                                                                                            | CUSIP: 11271LAC6<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |   4053000 | PA      | $3871759.16   | 0.50%             | 2028-01-25      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| JDE PEET'S NV                                    | JDE Peet's NV                                                                                                     | CUSIP: 47216QAA1<br>LEI: 724500EHG519SE5ZRT89 | Long             | DBT              | CORP              | NL        |   2980000 | PA      | $2752752.20   | 0.36%             | 2024-09-24      | Fixed         | 0.80%                 | Yes           |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                               | Royalty Pharma PLC                                                                                                | CUSIP: 78081BAG8<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |   2204000 | PA      | $2148305.56   | 0.28%             | 2023-09-02      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Balboa Bay Loan Funding Ltd                      | Balboa Bay Loan Funding 2020-1 Ltd                                                                                | CUSIP: 05766BAL2<br>LEI: 549300MALKZHG9DP8554 | Long             | ABS-CBDO         | CORP              | KY        |   1606204 | PA      | $1553117.35   | 0.20%             | 2032-01-20      | Floating      | 6.46%                 | Yes           |                  2 | On Loan: No      |
| Jamestown CLO Ltd                                | Jamestown CLO XV Ltd                                                                                              | CUSIP: 47050EAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3069116 | PA      | $2915083.21   | 0.38%             | 2033-04-15      | Floating      | 7.24%                 | Yes           |                  2 | On Loan: No      |
| CORPORATE OFFICE PROP LP                         | Corporate Office Properties LP                                                                                    | CUSIP: 22003BAL0<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |   2617000 | PA      | $2368401.75   | 0.31%             | 2026-03-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                          | Dell International LLC / EMC Corp                                                                                 | CUSIP: 24703TAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1151000 | PA      | $1135207.14   | 0.15%             | 2024-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                 | OneMain Financial Issuance Trust 2020-2                                                                           | CUSIP: 682696AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1819000 | PA      | $1620885.43   | 0.21%             | 2035-09-14      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| ENBRIDGE INC                                     | Enbridge Inc                                                                                                      | CUSIP: 29250NBL8<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |   1542000 | PA      | $1467244.70   | 0.19%             | 2025-02-14      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bank                                             | BANK 2019-BNK24                                                                                                   | CUSIP: 06540VBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9027120 | PA      | $316902.46    | 0.04%             | 2062-11-15      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| LoanCore 2018-CRE1 Issuer, Ltd.                  | LoanCore 2019-CRE3 Issuer Ltd                                                                                     | CUSIP: 53947DAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1731657 | PA      | $1739440.52   | 0.23%             | 2034-04-15      | Floating      | 5.83%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                | Credit Acceptance Auto Loan Trust 2021-3                                                                          | CUSIP: 22535GAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $227413.10    | 0.03%             | 2030-09-16      | Fixed         | 1.63%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Securities LLC                          | Long: TR11312   TRS USD R E R E / Short: TR11312   TRS USD P V 03MTBILL USB3MTA+ 8 BPS                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              |  | US        |   6000000 | OU      | $-110361.83   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                           | Mizuho Financial Group Inc                                                                                        | CUSIP: 60687YBJ7<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   2411000 | PA      | $2341742.39   | 0.30%             | 2024-09-08      | Fixed         | 0.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                   | CUSIP: 3138ERQU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90135 | PA      | $87780.86     | 0.01%             | 2031-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                                    | UniCredit SpA                                                                                                     | CUSIP: 904678AU3<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |   2522000 | PA      | $2287978.63   | 0.30%             | 2026-09-22      | Fixed         | 2.57%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | Long: TR11134   TRS USD R V 03MTBILL USB3MTA +0.00 BPS/TR11134R / Short: TR11134   TRS USD P E TR11134P           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              |  | US        |  13136127 | OU      | $-47783.72    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SK HYNIX INC                                     | SK Hynix Inc                                                                                                      | CUSIP: 78392BAD9<br>LEI: 988400XAIK6XISWQV045 | Long             | DBT              | CORP              | KR        |   2977000 | PA      | $3008466.92   | 0.39%             | 2026-01-17      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                   | CUSIP: 31416CC61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5243 | PA      | $5289.81      | 0.00%             | 2024-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                      | BNP Paribas SA                                                                                                    | CUSIP: 09659W2T0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   3494000 | PA      | $3168695.71   | 0.41%             | 2028-01-20      | Fixed         | 2.59%                 | Yes           |                  2 | On Loan: No      |
| EQUITABLE FINANCIAL LIFE                         | Equitable Financial Life Global Funding                                                                           | CUSIP: 29449WAA5<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |   1485000 | PA      | $1362803.94   | 0.18%             | 2025-07-07      | Fixed         | 1.40%                 | Yes           |                  2 | On Loan: No      |
| Oaktree CLO Ltd                                  | Oaktree CLO 2019-1 Ltd                                                                                            | CUSIP: 67401XAN1<br>LEI: 549300BJ8TRWJ20BLC43 | Long             | ABS-CBDO         | CORP              | KY        |   1427638 | PA      | $1362269.31   | 0.18%             | 2030-04-22      | Floating      | 7.17%                 | Yes           |                  2 | On Loan: No      |
| Southwick Park CLO, Ltd.                         | Southwick Park CLO LLC                                                                                            | CUSIP: 846031AS1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1528000 | PA      | $1460735.91   | 0.19%             | 2032-07-20      | Floating      | 6.76%                 | Yes           |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                          | Dell International LLC / EMC Corp                                                                                 | CUSIP: 24703TAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    425000 | PA      | $433053.99    | 0.06%             | 2025-07-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| SES SA                                           | SES SA                                                                                                            | CUSIP: 78413HAA7<br>LEI: 5493008JPA4HYMH1HX51 | Long             | DBT              | CORP              | LU        |   2158000 | PA      | $2144613.60   | 0.28%             | 2023-04-04      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| BOEING CO                                        | Boeing Co/The                                                                                                     | CUSIP: 097023DD4<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1759000 | PA      | $1758703.22   | 0.23%             | 2023-02-04      | Fixed         | 1.17%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                          | Hyundai Capital America                                                                                           | CUSIP: 44891ABE6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    649000 | PA      | $648496.27    | 0.08%             | 2023-02-10      | Fixed         | 2.38%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | Long: TR11313   TRS USD R V 03MTBILL USB3MTA -2BPS / Short: TR11313   TRS USD P E PE                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              |  | US        |   5000000 | OU      | $284360.19    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Southwick Park CLO, Ltd.                         | Southwick Park CLO LLC                                                                                            | CUSIP: 846031AR3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1123000 | PA      | $958506.33    | 0.12%             | 2032-07-20      | Fixed         | 2.46%                 | Yes           |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd  | Arbor Realty Commercial Real Estate Notes 2021-FL1 Ltd                                                            | CUSIP: 03881CAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    153500 | PA      | $145365.88    | 0.02%             | 2035-12-15      | Floating      | 6.42%                 | Yes           |                  2 | On Loan: No      |
| Balboa Bay Loan Funding Ltd                      | Balboa Bay Loan Funding 2020-1 Ltd                                                                                | CUSIP: 05766BAN8<br>LEI: 549300MALKZHG9DP8554 | Long             | ABS-CBDO         | CORP              | KY        |    870027 | PA      | $822828.91    | 0.11%             | 2032-01-20      | Floating      | 6.91%                 | Yes           |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                          | Goldman Sachs Group Inc/The                                                                                       | CUSIP: 38141GXM1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1268000 | PA      | $1133460.03   | 0.15%             | 2026-12-09      | Fixed         | 1.09%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                                                                | CUSIP: 3137BNPS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    476748 | PA      | $450883.45    | 0.06%             | 2045-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                         | Avolon Holdings Funding Ltd                                                                                       | CUSIP: 05401AAP6<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   1313000 | PA      | $1131194.96   | 0.15%             | 2028-02-21      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| TICP CLO Ltd                                     | TICP CLO III-2 Ltd                                                                                                | CUSIP: 87249FAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    681356 | PA      | $676577.65    | 0.09%             | 2028-04-20      | Floating      | 6.16%                 | Yes           |                  2 | On Loan: No      |
| Business Jet Securities, LLC                     | Business Jet Securities 2021-1 LLC                                                                                | CUSIP: 12327BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    321201 | PA      | $288663.46    | 0.04%             | 2036-04-15      | Fixed         | 2.16%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                             | CUSIP: 3128PRZ51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10010 | PA      | $10045.62     | 0.00%             | 2025-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| QORVO INC                                        | Qorvo Inc                                                                                                         | CUSIP: 74739DAA2<br>LEI: 254900YAUJV2EUEVBR11 | Long             | DBT              | CORP              | US        |    909000 | PA      | $850533.12    | 0.11%             | 2024-12-15      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| Bank                                             | BANK 2021-BNK31                                                                                                   | CUSIP: 06541ABM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11029579 | PA      | $831728.40    | 0.11%             | 2054-02-15      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| PFP III                                          | PFP 2021-8 Ltd                                                                                                    | CUSIP: 69357XAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    617500 | PA      | $580478.41    | 0.08%             | 2037-08-09      | Floating      | 5.95%                 | Yes           |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                         | Benchmark 2021-B23 Mortgage Trust                                                                                 | CUSIP: 08162RAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12559375 | PA      | $849087.83    | 0.11%             | 2054-02-15      | Variable      | 1.27%                 | No            |                  2 | On Loan: No      |
| BANQUE FED CRED MUTUEL                           | Banque Federative du Credit Mutuel SA                                                                             | CUSIP: 06675FAV9<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |   2782000 | PA      | $2656948.96   | 0.34%             | 2024-02-27      | Fixed         | 0.65%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Securities LLC                          | Long: TR11280   TRS USD R E R E / Short: TR11280   TRS USD P V 03MTBILL USB3MTA +12 BPS                           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              |  | US        |   8472339 | OU      | $768848.17    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Securitized Term Auto Receivables Trust          | Securitized Term Auto Loan Receivables Trust 2019-CRT                                                             | CUSIP: 81379MAB0<br>LEI: 549300DC604TIE09UO03 | Long             | ABS-O            | CORP              | CA        |     54294 | PA      | $54045.46     | 0.01%             | 2026-03-25      | Fixed         | 2.45%                 | Yes           |                  2 | On Loan: No      |
| SANDS CHINA LTD                                  | Sands China Ltd                                                                                                   | CUSIP: 80007RAK1<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |   1030000 | PA      | $977004.34    | 0.13%             | 2026-01-08      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd  | Arbor Realty Commercial Real Estate Notes 2021-FL4 Ltd                                                            | CUSIP: 03880RAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1684000 | PA      | $1653595.72   | 0.21%             | 2036-11-15      | Floating      | 6.15%                 | Yes           |                  2 | On Loan: No      |
| BXMT Ltd                                         | BXMT 2020-FL2 LTD                                                                                                 | CUSIP: 12434LAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1781654 | PA      | $1755067.85   | 0.23%             | 2038-02-15      | Floating      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| UBS GROUP AG                                     | UBS Group AG                                                                                                      | CUSIP: 902613AS7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1000000 | PA      | $987024.86    | 0.13%             | 2027-08-05      | Fixed         | 4.70%                 | Yes           |                  2 | On Loan: No      |
| AREIT CRE Trust                                  | AREIT 2022-CRE6 Trust                                                                                             | CUSIP: 04002VAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    795500 | PA      | $736287.75    | 0.10%             | 2037-01-16      | Floating      | 7.16%                 | Yes           |                  2 | On Loan: No      |
| BARCLAYS PLC                                     | Barclays PLC                                                                                                      | CUSIP: 06738EBU8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   2856000 | PA      | $2560150.73   | 0.33%             | 2027-11-24      | Fixed         | 2.28%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                   | Air Lease Corp                                                                                                    | CUSIP: 00914AAR3<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   1590000 | PA      | $1425619.90   | 0.18%             | 2027-01-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| INFOR INC                                        | Infor Inc                                                                                                         | CUSIP: 45674CAB9<br>LEI: 549300Q3IIYBYI4RHD64 | Long             | DBT              | CORP              | US        |    250000 | PA      | $244673.04    | 0.03%             | 2023-07-15      | Fixed         | 1.45%                 | Yes           |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                         | Corebridge Financial Inc                                                                                          | CUSIP: 21871XAA7<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |   1146000 | PA      | $1107547.20   | 0.14%             | 2025-04-04      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| OCP CLO Ltd                                      | OCP CLO 2015-10 Ltd                                                                                               | CUSIP: 67092DAV1<br>LEI: 254900FZYL5HDKV64882 | Long             | ABS-CBDO         | CORP              | KY        |   2250000 | PA      | $2174037.75   | 0.28%             | 2034-01-26      | Floating      | 6.47%                 | Yes           |                  2 | On Loan: No      |
| AREIT CRE Trust                                  | AREIT 2019-CRE3 Trust                                                                                             | CUSIP: 00217LAG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250500 | PA      | $237707.97    | 0.03%             | 2036-09-14      | Floating      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| HUNTINGTON INGALLS INDUS                         | Huntington Ingalls Industries Inc                                                                                 | CUSIP: 446413AS5<br>LEI: 5TZLZ6WJTBVJ0QWBG121 | Long             | DBT              | CORP              | US        |   1273000 | PA      | $1234719.76   | 0.16%             | 2025-05-01      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| Fortress CBO Investments Ltd                     | FORT CRE 2022-FL3 Issuer LLC                                                                                      | CUSIP: 34706CAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1917000 | PA      | $1858500.83   | 0.24%             | 2039-02-23      | Floating      | 6.16%                 | Yes           |                  2 | On Loan: No      |
| Port Authority of New York & New Jersey          | PORT AUTH OF NEW YORK & NEW JERSEY NY                                                                             | CUSIP: 73358W4V3<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |   1635000 | PA      | $1610211.11   | 0.21%             | 2023-07-01      | Fixed         | 1.09%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                 | Deutsche Bank AG/New York NY                                                                                      | CUSIP: 251526CP2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    849000 | PA      | $750364.07    | 0.10%             | 2027-11-16      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                 | Deutsche Bank AG/New York NY                                                                                      | CUSIP: 251526CJ6<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    694000 | PA      | $655897.90    | 0.09%             | 2024-05-28      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | Long: TR11266   TRS USD R V 03MTBILL USB3MTA +3 BPS / Short: TR11266   TRS USD P E P E                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              |  | US        |   6759771 | OU      | $30234.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK 2021-BN35                                   | BANK 2021-BNK35                                                                                                   | CUSIP: 06540CBL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6123299 | PA      | $366112.05    | 0.05%             | 2064-06-15      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                   | Morgan Stanley Capital I Trust 2017-H1                                                                            | CUSIP: 61691JAW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4090119 | PA      | $150189.99    | 0.02%             | 2050-06-15      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| ATMOS ENERGY CORP                                | Atmos Energy Corp                                                                                                 | CUSIP: 049560AU9<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |   2625000 | PA      | $2614150.38   | 0.34%             | 2023-03-09      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| GSK CONSUMER HEALTHCARE                          | GSK Consumer Healthcare Capital US LLC                                                                            | CUSIP: 36264FAK7<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |   1154000 | PA      | $1092349.10   | 0.14%             | 2027-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                      | Long: SM11274   IRS USD R F  4.20070 SM11274_FIX CCPOIS / Short: SM11274   IRS USD P V 12MSOFR SM11274_FLO CCPOIS | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  13600000 | OU      | $111658.99    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Merrill Lynch & Co., Inc.                        | Long: TR11135   TRS USD R E TR11135R / Short: TR11135   TRS USD P V 03MTBILL USB3MTA+0.00 BPS/TR11135P            | CUSIP: 000000000<br>LEI: DWW559HN8WVTCCS4VJ94 | N/A              | DCO              |  | US        |  24238042 | OU      | $96564.27     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                              | Global Payments Inc                                                                                               | CUSIP: 37940XAE2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   2281000 | PA      | $2028166.50   | 0.26%             | 2026-03-01      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| GENERAL MILLS INC                                | General Mills Inc                                                                                                 | CUSIP: 370334CS1<br>LEI: 2TGYMUGI08PO8X8L6150 | Long             | DBT              | CORP              | US        |   1962000 | PA      | $1972277.21   | 0.26%             | 2025-11-18      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                             | Las Vegas Sands Corp                                                                                              | CUSIP: 517834AG2<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |   1270000 | PA      | $1222224.40   | 0.16%             | 2024-08-08      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                | HSBC Holdings PLC                                                                                                 | CUSIP: 404280DQ9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    646000 | PA      | $681852.94    | 0.09%             | 2026-11-03      | Fixed         | 7.34%                 | No            |                  2 | On Loan: No      |
| ERAC USA Finance LLC                             | ERAC USA Finance LLC                                                                                              | CUSIP: 26884TAT9<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |    974000 | PA      | $954417.27    | 0.12%             | 2023-11-01      | Fixed         | 2.70%                 | Yes           |                  2 | On Loan: No      |
| LoanCore 2021-CRE5 Issuer, Ltd                   | LoanCore 2021-CRE5 Issuer Ltd                                                                                     | CUSIP: 53947XAG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    741000 | PA      | $699972.24    | 0.09%             | 2036-07-15      | Floating      | 6.45%                 | Yes           |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                           | Marriott International Inc/MD                                                                                     | CUSIP: 571903AP8<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |    459000 | PA      | $445783.05    | 0.06%             | 2025-10-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| DAE FUNDING LLC                                  | DAE Funding LLC                                                                                                   | CUSIP: 23371DAF1<br>LEI: 635400SZTPQL3Y1P2C76 | Long             | DBT              | CORP              | US        |   1375000 | PA      | $1297078.75   | 0.17%             | 2025-03-20      | Fixed         | 2.63%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137BYPS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     84130 | PA      | $729.34       | 0.00%             | 2024-04-25      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                        | Boeing Co/The                                                                                                     | CUSIP: 097023DE2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   3511000 | PA      | $3383831.58   | 0.44%             | 2024-02-04      | Fixed         | 1.43%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ FIN NA                             | Mercedes-Benz Finance North America LLC                                                                           | CUSIP: 233851EB6<br>LEI: 549300423Z16BB673J12 | Long             | DBT              | CORP              | US        |   1496000 | PA      | $1429635.91   | 0.19%             | 2024-03-01      | Fixed         | 0.75%                 | Yes           |                  2 | On Loan: No      |
| Massachusetts Educational Financing Authority    | MASSACHUSETTS ST EDUCTNL FING AUTH                                                                                | CUSIP: 57563RQW2<br>LEI: 5493007K5OP7V6CL0Y88 | Long             | DBT              | MUN               | US        |    115000 | PA      | $113562.73    | 0.01%             | 2023-07-01      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                          | Hyundai Capital America                                                                                           | CUSIP: 44891ABK2<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   2077000 | PA      | $2098187.68   | 0.27%             | 2025-04-07      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| MACQUARIE GROUP LTD                              | Macquarie Group Ltd                                                                                               | CUSIP: 55608JBA5<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |   2251000 | PA      | $2085037.24   | 0.27%             | 2025-10-14      | Fixed         | 1.20%                 | Yes           |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                         | Benchmark 2021-B28 Mortgage Trust                                                                                 | CUSIP: 08163GAZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10244626 | PA      | $743015.07    | 0.10%             | 2054-08-15      | Variable      | 1.28%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                         | Avolon Holdings Funding Ltd                                                                                       | CUSIP: 05401AAL5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    769000 | PA      | $730272.28    | 0.09%             | 2026-04-15      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| LCH Limited                                      | Long: SM11291   IRS USD R F  3.82100 SM11291_FIX CCPOIS / Short: SM11291   IRS USD P V 12MSOFR SM11291_FLO CCPOIS | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  45300000 | OU      | $-16801.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fortress CBO Investments Ltd                     | FORT CRE 2022-FL3 Issuer LLC                                                                                      | CUSIP: 34706CAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1785500 | PA      | $1714970.96   | 0.22%             | 2039-02-23      | Floating      | 6.56%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase & Co                              | JPMorgan Chase & Co                                                                                               | CUSIP: 46647PAU0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1347000 | PA      | $1338001.66   | 0.17%             | 2024-07-23      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| BXMT Ltd                                         | BXMT 2020-FL2 LTD                                                                                                 | CUSIP: 12434LAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1492000 | PA      | $1410859.07   | 0.18%             | 2038-02-15      | Floating      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| BXMT Ltd                                         | BXMT 2021-FL4 Ltd                                                                                                 | CUSIP: 05609GAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2601000 | PA      | $2493662.97   | 0.32%             | 2038-05-15      | Floating      | 5.76%                 | Yes           |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                           | Standard Chartered PLC                                                                                            | CUSIP: 853254CB4<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    812000 | PA      | $771639.27    | 0.10%             | 2025-03-23      | Fixed         | 1.21%                 | Yes           |                  2 | On Loan: No      |
| Sales Tax Securitization Corp                    | SALES TAX SECURITIZATION CORP IL                                                                                  | CUSIP: 79467BDC6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1030000 | PA      | $1005934.67   | 0.13%             | 2024-01-01      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCE                         | Pioneer Natural Resources Co                                                                                      | CUSIP: 723787AU1<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |    379000 | PA      | $374342.06    | 0.05%             | 2023-05-15      | Fixed         | 0.55%                 | No            |                  2 | On Loan: No      |
| ACREC 2021-FL1 Ltd                               | ACREC 2021-FL1 Ltd                                                                                                | CUSIP: 00500RAG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1129000 | PA      | $1077543.79   | 0.14%             | 2036-10-16      | Floating      | 6.62%                 | Yes           |                  2 | On Loan: No      |
| UBS GROUP AG                                     | UBS Group AG                                                                                                      | CUSIP: 902613AB4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1270000 | PA      | $1243414.99   | 0.16%             | 2024-07-30      | Fixed         | 1.01%                 | Yes           |                  2 | On Loan: No      |
| BSPRT Issuer, Ltd.                               | BSPRT 2021-FL7 Issuer Ltd                                                                                         | CUSIP: 05602CAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    408500 | PA      | $378736.69    | 0.05%             | 2038-12-15      | Floating      | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Business Jet Securities, LLC                     | Business Jet Securities 2021-1 LLC                                                                                | CUSIP: 12327BAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     69750 | PA      | $60767.18     | 0.01%             | 2036-04-15      | Fixed         | 2.92%                 | Yes           |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                         | Avolon Holdings Funding Ltd                                                                                       | CUSIP: 05401AAF8<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   1013000 | PA      | $981610.67    | 0.13%             | 2024-07-01      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| BSPRT Issuer, Ltd.                               | BSPRT 2022-FL8 Issuer Ltd                                                                                         | CUSIP: 055983AE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    445500 | PA      | $430415.37    | 0.06%             | 2037-02-15      | Floating      | 6.33%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | Long: TR11248   TRS USD R E TR11248R/BCOMF3T / Short: TR11248   TRS USD P V 03MTBILL TR11248P/USB3MTA+10BPS       | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCO              |  | US        |  36692048 | OU      | $146175.01    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| NATIONAL SECS CLEARING                           | National Securities Clearing Corp                                                                                 | CUSIP: 637639AC9<br>LEI: 549300RYC9NELN2ICA34 | Long             | DBT              | CORP              | US        |   1724000 | PA      | $1661622.42   | 0.22%             | 2023-12-07      | Fixed         | 0.40%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                  | CUSIP: 91282CDV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25867000 | PA      | $24892945.78  | 3.23%             | 2024-01-31      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| MICROCHIP TECHNOLOGY INC                         | Microchip Technology Inc                                                                                          | CUSIP: 595017BC7<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |   3485000 | PA      | $3263701.28   | 0.42%             | 2024-09-01      | Fixed         | 0.98%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                 | Crown Castle Inc                                                                                                  | CUSIP: 22822VAS0<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    492000 | PA      | $452001.26    | 0.06%             | 2025-07-15      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                         | Corebridge Financial Inc                                                                                          | CUSIP: 21871XAC3<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |   1613000 | PA      | $1541679.53   | 0.20%             | 2027-04-05      | Fixed         | 3.65%                 | Yes           |                  2 | On Loan: No      |
| California Earthquake Authority                  | CALIFORNIA ST EARTHQUAKE AUTH                                                                                     | CUSIP: 13017HAK2<br>LEI: 254900P2MGLOUH3QS859 | Long             | DBT              | MUN               | US        |    555000 | PA      | $546711.35    | 0.07%             | 2023-07-01      | Fixed         | 1.48%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                           | General Motors Financial Co Inc                                                                                   | CUSIP: 37045XCZ7<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   2207000 | PA      | $2164904.06   | 0.28%             | 2023-08-18      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch & Co., Inc.                        | Long: TR11265   TRS USD R E RE / Short: TR11265   TRS USD P V 03MTBILL USB3MTA+14 BPS                             | CUSIP: 000000000<br>LEI: DWW559HN8WVTCCS4VJ94 | N/A              | DCO              |  | US        | 119980607 | OU      | $-237905.82   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                           | PNC Financial Services Group Inc/The                                                                              | CUSIP: 693475BK0<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   3959000 | PA      | $4075544.92   | 0.53%             | 2028-12-02      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING                          | DCP Midstream Operating LP                                                                                        | CUSIP: 23311VAJ6<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |    896000 | PA      | $909365.10    | 0.12%             | 2027-07-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA                         | Volkswagen Group of America Finance LLC                                                                           | CUSIP: 928668BD3<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    251000 | PA      | $249743.86    | 0.03%             | 2023-05-12      | Fixed         | 3.13%                 | Yes           |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                               | Energy Transfer LP                                                                                                | CUSIP: 29278NAP8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    846000 | PA      | $807104.35    | 0.10%             | 2025-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                        | Boeing Co/The                                                                                                     | CUSIP: 097023DG7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   2850000 | PA      | $2634904.77   | 0.34%             | 2026-02-04      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| DAIMLER TRUCK FINAN NA                           | Daimler Truck Finance North America LLC                                                                           | CUSIP: 233853AN0<br>LEI: 5493003HSDTSCZRXBA58 | Long             | DBT              | CORP              | US        |    457000 | PA      | $459360.77    | 0.06%             | 2025-01-17      | Fixed         | 5.20%                 | Yes           |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                         | Avolon Holdings Funding Ltd                                                                                       | CUSIP: 05401AAM3<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   2500000 | PA      | $2236390.00   | 0.29%             | 2026-02-21      | Fixed         | 2.13%                 | Yes           |                  2 | On Loan: No      |
| Engie Energia Chile SA                           | Engie Energia Chile SA                                                                                            | CUSIP: 268270AD7<br>LEI: 5493000FIKCC3ZDWTO77 | Long             | DBT              | CORP              | CL        |   3214000 | PA      | $3133650.00   | 0.41%             | 2025-01-29      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Merrill Lynch & Co., Inc.                        | Long: TR11254   TRS USD R E R E/UNDERLYING ISIN XX9488ZX9 / Short: TR11254   TRS USD P V 03MTBILL USB3MTA +6 BPS  | CUSIP: 000000000<br>LEI: DWW559HN8WVTCCS4VJ94 | N/A              | DCO              |  | US        |   7508142 | OU      | $-42862.53    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                             | CUSIP: 3128PRZ69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6371 | PA      | $6393.22      | 0.00%             | 2025-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Shackleton CLO LTD                               | Shackleton 2013-IV-R CLO Ltd                                                                                      | CUSIP: 81882HAE5<br>LEI: 5493000LHXWSIZGUY418 | Long             | ABS-CBDO         | CORP              | KY        |    722762 | PA      | $673075.73    | 0.09%             | 2031-04-13      | Floating      | 6.72%                 | Yes           |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                         | Avolon Holdings Funding Ltd                                                                                       | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   1715000 | PA      | $1480049.41   | 0.19%             | 2027-11-18      | Fixed         | 2.53%                 | Yes           |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust      | MF1 2020-FL4 Ltd                                                                                                  | CUSIP: 58003UAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2437000 | PA      | $2433995.18   | 0.32%             | 2035-11-15      | Floating      | 7.35%                 | Yes           |                  2 | On Loan: No      |
| COREBRIDGE GLOB FUNDING                          | Corebridge Global Funding                                                                                         | CUSIP: 00138CAM0<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |   1362000 | PA      | $1337778.00   | 0.17%             | 2023-07-07      | Fixed         | 0.80%                 | Yes           |                  2 | On Loan: No      |
| AREIT CRE Trust                                  | AREIT 2019-CRE3 Trust                                                                                             | CUSIP: 00217LAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    613500 | PA      | $597827.53    | 0.08%             | 2036-09-14      | Floating      | 5.90%                 | Yes           |                  2 | On Loan: No      |
| HCA INC                                          | HCA Inc                                                                                                           | CUSIP: 404119CD9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1186000 | PA      | $1102569.35   | 0.14%             | 2027-03-15      | Fixed         | 3.13%                 | Yes           |                  2 | On Loan: No      |
| KOHL'S CORPORATION                               | Kohl's Corp                                                                                                       | CUSIP: 500255AW4<br>LEI: 549300JF6LPRTRJ0FH50 | Long             | DBT              | CORP              | US        |   2655000 | PA      | $2828406.49   | 0.37%             | 2025-05-15      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                           | Philip Morris International Inc                                                                                   | CUSIP: 718172CV9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    526000 | PA      | $537589.46    | 0.07%             | 2027-11-17      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| VMWARE INC                                       | VMware Inc                                                                                                        | CUSIP: 928563AJ4<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |   1143000 | PA      | $1012141.82   | 0.13%             | 2026-08-15      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                               | Energy Transfer LP                                                                                                | CUSIP: 29273VAP5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    755000 | PA      | $767253.65    | 0.10%             | 2028-02-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| NATIONAL SECS CLEARING                           | National Securities Clearing Corp                                                                                 | CUSIP: 637639AB1<br>LEI: 549300RYC9NELN2ICA34 | Long             | DBT              | CORP              | US        |    250000 | PA      | $233352.03    | 0.03%             | 2025-04-23      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                  | CUSIP: 91282CDM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12515000 | PA      | $12082352.57  | 1.57%             | 2023-11-30      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch & Co., Inc.                        | Long: TR11153   TRS USD R V 03MTBILL USB3MTA +8 BPS / Short: TR11153   TRS USD P E P E                            | CUSIP: 000000000<br>LEI: DWW559HN8WVTCCS4VJ94 | N/A              | DCO              |  | US        |  10065414 | OU      | $-1142468.72  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust      | MF1 2021-FL6 Ltd                                                                                                  | CUSIP: 55283TAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3089144 | PA      | $2933165.09   | 0.38%             | 2036-07-16      | Floating      | 6.12%                 | Yes           |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                           | Standard Chartered PLC                                                                                            | CUSIP: 853254CJ7<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   1077000 | PA      | $1041254.05   | 0.14%             | 2026-03-30      | Fixed         | 3.97%                 | Yes           |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                 | Berry Global Inc                                                                                                  | CUSIP: 08576PAH4<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |   2361000 | PA      | $2134281.20   | 0.28%             | 2026-01-15      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                    | Long: TR11290   TRS USD R E R E / Short: TR11290   TRS USD P V 03MTBILL USB3MTA +14 BPS                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCO              |  | US        |  14632395 | OU      | $-71695.92    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust            | Wells Fargo Commercial Mortgage Trust 2021-C61                                                                    | CUSIP: 95003QBC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6125005 | PA      | $460838.06    | 0.06%             | 2054-11-15      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                           | Mitsubishi UFJ Financial Group Inc                                                                                | CUSIP: 606822BW3<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   1997000 | PA      | $1871707.36   | 0.24%             | 2025-07-19      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                         | Capital One Financial Corp                                                                                        | CUSIP: 14040HCM5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   1712000 | PA      | $1621233.83   | 0.21%             | 2026-03-03      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| GSK CONSUMER HEALTHCARE                          | GSK Consumer Healthcare Capital UK PLC                                                                            | CUSIP: 36264NAB0<br>LEI: 5493004B26DRJNN0OV17 | Long             | DBT              | CORP              | GB        |   2654000 | PA      | $2552816.78   | 0.33%             | 2025-03-24      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                 | Berry Global Inc                                                                                                  | CUSIP: 08576PAF8<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |   2847000 | PA      | $2490584.41   | 0.32%             | 2027-01-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                | HSBC Holdings PLC                                                                                                 | CUSIP: 404280CG2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    728000 | PA      | $674722.04    | 0.09%             | 2026-06-04      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                           | Philip Morris International Inc                                                                                   | CUSIP: 718172CQ0<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    722000 | PA      | $715097.68    | 0.09%             | 2023-05-01      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA LLC                            | Entergy Louisiana LLC                                                                                             | CUSIP: 29364WBK3<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |   5399000 | PA      | $5075050.98   | 0.66%             | 2024-10-01      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                  | CUSIP: 91282CDH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  41755000 | PA      | $39208923.74  | 5.09%             | 2024-11-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                              | NatWest Markets PLC                                                                                               | CUSIP: 63906YAG3<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |   2257000 | PA      | $2179100.43   | 0.28%             | 2025-03-22      | Fixed         | 3.48%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | Long: TR11288   TRS USD R E R E / Short: TR11288   TRS USD P V 03MTBILL USB3MTA +9 BPS                            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCO              |  | US        |  51701128 | OU      | $-253323.79   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                         | Lloyds Banking Group PLC                                                                                          | CUSIP: 53944YAR4<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   2402000 | PA      | $2311263.71   | 0.30%             | 2026-03-18      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                          | Long: TR11171   TRS USD R V 03MTBILL USB3MTA+5BPS/TR11171R / Short: TR11171   TRS USD P E TR11171P/BCOMWHTR       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              |  | US        |   2754441 | OU      | $96191.36     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| 3650R Commercial Mortgage Trust                  | 3650R 2021-PF1 Commercial Mortgage Trust                                                                          | CUSIP: 88581EAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  19907066 | PA      | $1128770.48   | 0.15%             | 2054-11-15      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                          | Exxon Mobil Corp                                                                                                  | CUSIP: 30231GBL5<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |    882000 | PA      | $876220.16    | 0.11%             | 2023-04-15      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| MET LIFE GLOB FUNDING I                          | Metropolitan Life Global Funding I                                                                                | CUSIP: 59217GGV5<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |   2146000 | PA      | $2057548.85   | 0.27%             | 2024-01-07      | Fixed         | 0.40%                 | Yes           |                  2 | On Loan: No      |
| MFS Institutional Money Market Portfolio         | MFS Institutional Money Market Portfolio                                                                          | CUSIP: 55291X109<br>LEI: 5L2W638H85N8T1136O07 | Long             | STIV             | RF                | US        |  79459055 | NS      | $79467000.81  | 10.31%            |  |  |  | No            |                  1 | On Loan: No      |
| Westlake Automobile Receivables Trust            | Westlake Automobile Receivables Trust 2023-1                                                                      | CUSIP: 96042XAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    588000 | PA      | $587997.30    | 0.08%             | 2026-06-15      | Floating      | 5.16%                 | Yes           |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                         | Sumitomo Mitsui Financial Group Inc                                                                               | CUSIP: 86562MCC2<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    801000 | PA      | $767210.70    | 0.10%             | 2024-01-12      | Fixed         | 0.51%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                          | GLP Capital LP / GLP Financing II Inc                                                                             | CUSIP: 361841AJ8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2186000 | PA      | $2169779.88   | 0.28%             | 2025-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                          | GLP Capital LP / GLP Financing II Inc                                                                             | CUSIP: 361841AF6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1128000 | PA      | $1128564.00   | 0.15%             | 2023-11-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                          | CF Hippolyta Issuer LLC                                                                                           | CUSIP: 12530MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    359467 | PA      | $324841.05    | 0.04%             | 2060-07-15      | Fixed         | 1.69%                 | Yes           |                  2 | On Loan: No      |
| ERAC USA Finance LLC                             | ERAC USA Finance LLC                                                                                              | CUSIP: 26884TAL6<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |    684000 | PA      | $666420.26    | 0.09%             | 2024-11-15      | Fixed         | 3.85%                 | Yes           |                  2 | On Loan: No      |
| JDE PEET'S NV                                    | JDE Peet's NV                                                                                                     | CUSIP: 47216QAB9<br>LEI: 724500EHG519SE5ZRT89 | Long             | DBT              | CORP              | NL        |   1050000 | PA      | $910972.99    | 0.12%             | 2027-01-15      | Fixed         | 1.38%                 | Yes           |                  2 | On Loan: No      |
| California Municipal Finance Authority           | CALIFORNIA ST MUNI FIN AUTH REVENUE                                                                               | CUSIP: 13048VQB7<br>LEI: 5493000UQOV6R4ZWS346 | Long             | DBT              | MUN               | US        |    305000 | PA      | $296493.55    | 0.04%             | 2023-11-01      | Fixed         | 1.61%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                    | CCUBS Commercial Mortgage Trust 2017-C1                                                                           | CUSIP: 12508GAV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6101092 | PA      | $215826.75    | 0.03%             | 2050-11-15      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| DAIMLER TRUCK FINAN NA                           | Daimler Truck Finance North America LLC                                                                           | CUSIP: 233853AD2<br>LEI: 5493003HSDTSCZRXBA58 | Long             | DBT              | CORP              | US        |   2671000 | PA      | $2509667.59   | 0.33%             | 2024-12-13      | Fixed         | 1.63%                 | Yes           |                  2 | On Loan: No      |
| PLAINS ALL AMER PIPELINE                         | Plains All American Pipeline LP / PAA Finance Corp                                                                | CUSIP: 72650RBD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    673000 | PA      | $666242.07    | 0.09%             | 2023-10-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch & Co., Inc.                        | Long: TR11275   TRS USD R E R E / Short: TR11275   TRS USD P V 03MTBILL USB3MTA+13 BPS                            | CUSIP: 000000000<br>LEI: DWW559HN8WVTCCS4VJ94 | N/A              | DCO              |  | US        | 127895061 | OU      | $-253598.08   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| BSPRT Issuer, Ltd.                               | BSPRT 2021-FL7 Issuer Ltd                                                                                         | CUSIP: 05602CAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    339000 | PA      | $316600.58    | 0.04%             | 2038-12-15      | Floating      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                          | BPCE SA                                                                                                           | CUSIP: 05583JAD4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    943000 | PA      | $944410.73    | 0.12%             | 2023-09-12      | Floating      | 5.98%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                  | CUSIP: 91282CCU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12453000 | PA      | $12126595.16  | 1.57%             | 2023-08-31      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| LAD Auto Receivables Trust                       | LAD Auto Receivables Trust 2022-1                                                                                 | CUSIP: 501687AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    893830 | PA      | $882133.50    | 0.11%             | 2027-06-15      | Fixed         | 5.21%                 | Yes           |                  2 | On Loan: No      |
| HOWARD UNIVERSITY                                | Howard University                                                                                                 | CUSIP: 442851AG6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    152000 | PA      | $143346.13    | 0.02%             | 2025-10-01      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                     | CD 2017-CD4 Mortgage Trust                                                                                        | CUSIP: 12515DAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9587193 | PA      | $374861.17    | 0.05%             | 2050-05-10      | Variable      | 1.23%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA                         | Volkswagen Group of America Finance LLC                                                                           | CUSIP: 928668BL5<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |   1359000 | PA      | $1228461.05   | 0.16%             | 2025-11-24      | Fixed         | 1.25%                 | Yes           |                  2 | On Loan: No      |
| REGAL REXNORD CORP                               | Regal Rexnord Corp                                                                                                | CUSIP: 758750AC7<br>LEI: QH78R09VCJGQKPBPYU33 | Long             | DBT              | CORP              | US        |   2249000 | PA      | $2285488.34   | 0.30%             | 2026-02-15      | Fixed         | 6.05%                 | Yes           |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                             | Enel Finance International NV                                                                                     | CUSIP: 29278GAZ1<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    889000 | PA      | $921208.27    | 0.12%             | 2025-10-14      | Fixed         | 6.80%                 | Yes           |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                         | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                                         | CUSIP: 00774MAN5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1285000 | PA      | $1308515.82   | 0.17%             | 2025-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MACQUARIE GROUP LTD                              | Macquarie Group Ltd                                                                                               | CUSIP: 55608JAR9<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |   1904000 | PA      | $1692218.08   | 0.22%             | 2027-01-12      | Fixed         | 1.34%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                             | CUSIP: 3128PR3G2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7361 | PA      | $7316.45      | 0.00%             | 2025-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                                                                | CUSIP: 3137B2BP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2260140 | PA      | $2136055.18   | 0.28%             | 2033-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                         | Capital One Financial Corp                                                                                        | CUSIP: 14040HCQ6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   2319000 | PA      | $2281212.98   | 0.30%             | 2025-05-09      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                     | GS Mortgage Securities Trust 2017-GS7                                                                             | CUSIP: 36254CAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10856672 | PA      | $383407.71    | 0.05%             | 2050-08-10      | Variable      | 1.08%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | Long: TR11123   TRS USD R E TR11123R/BCOMTR / Short: TR11123   TRS USD P V 03MTBILL TR11123P/USB3MTA+8BPS         | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCO              |  | US        |  21799538 | OU      | $-106812.79   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                         | Madison Park Funding XIII Ltd                                                                                     | CUSIP: 55818MBC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2174539 | PA      | $2139692.01   | 0.28%             | 2030-04-19      | Floating      | 6.30%                 | Yes           |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd  | Arbor Realty Commercial Real Estate Notes 2021-FL3 Ltd                                                            | CUSIP: 03880KAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    332000 | PA      | $300359.74    | 0.04%             | 2034-08-15      | Floating      | 6.30%                 | Yes           |                  2 | On Loan: No      |
| HUNTINGTON NATIONAL BANK                         | Huntington National Bank/The                                                                                      | CUSIP: 44644MAH4<br>LEI: 2WHM8VNJH63UN14OL754 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1517012.78   | 0.20%             | 2025-11-18      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                           | Philip Morris International Inc                                                                                   | CUSIP: 718172CT4<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1309097.17   | 0.17%             | 2024-11-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| THERMO FISHER SCIENTIFIC                         | Thermo Fisher Scientific Inc                                                                                      | CUSIP: 883556CS9<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |   4014000 | PA      | $3791008.49   | 0.49%             | 2024-10-18      | Fixed         | 1.22%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                 | Crown Castle Inc                                                                                                  | CUSIP: 22822VAJ0<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    611000 | PA      | $606356.06    | 0.08%             | 2023-07-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| TENCENT HOLDINGS LTD                             | Tencent Holdings Ltd                                                                                              | CUSIP: 88032WAT3<br>LEI: 254900N4SLUMW4XUYY11 | Long             | DBT              | CORP              | KY        |   1551000 | PA      | $1424431.33   | 0.18%             | 2026-01-26      | Fixed         | 1.81%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                       | Progress Residential 2021-SFR1                                                                                    | CUSIP: 74331FAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    186000 | PA      | $162639.81    | 0.02%             | 2038-04-17      | Fixed         | 1.56%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | Long: TR11308   TRS USD R V 03MTBILL USB3MTA -3 BPS / Short: TR11308   TRS USD P E P E                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              |  | US        |   9000000 | OU      | $-142203.60   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Merrill Lynch & Co., Inc.                        | Long: TR11185   TRS USD R E TR11185R/BCOMTR / Short: TR11185   TRS USD P V 03MTBILL USB3MTA+7 BPS/TR11185P        | CUSIP: 000000000<br>LEI: DWW559HN8WVTCCS4VJ94 | N/A              | DCO              |  | US        |  38537087 | OU      | $-188821.70   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                | Credit Acceptance Auto Loan Trust 2021-2                                                                          | CUSIP: 22537CAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    451000 | PA      | $435512.57    | 0.06%             | 2030-02-15      | Fixed         | 0.96%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                                                 | CUSIP: 3136APK43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158831 | PA      | $153055.57    | 0.02%             | 2044-05-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                         | Vistra Operations Co LLC                                                                                          | CUSIP: 92840VAK8<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |   3851000 | PA      | $3800705.94   | 0.49%             | 2024-05-13      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                           | Philip Morris International Inc                                                                                   | CUSIP: 718172CU1<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    591000 | PA      | $598887.58    | 0.08%             | 2025-11-17      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                             | Edison International                                                                                              | CUSIP: 281020AU1<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |   1686000 | PA      | $1661048.53   | 0.22%             | 2025-08-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | Long: TR11314   TRS USD R E R E / Short: TR11314   TRS USD P V 03MTBILL USB3MTA + 9 BPS                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              |  | US        |   8000000 | OU      | $124165.62    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LoanCore 2018-CRE1 Issuer, Ltd.                  | LoanCore 2018-CRE1 Issuer Ltd                                                                                     | CUSIP: 53946MAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1025292 | PA      | $1021378.64   | 0.13%             | 2028-05-15      | Floating      | 5.96%                 | Yes           |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                    | UBS Commercial Mortgage Trust 2018-C14                                                                            | CUSIP: 90278KBB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6589853 | PA      | $262239.90    | 0.03%             | 2051-12-15      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                          | CF Hippolyta Issuer LLC                                                                                           | CUSIP: 12530MAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    113779 | PA      | $101228.87    | 0.01%             | 2060-07-15      | Fixed         | 2.28%                 | Yes           |                  2 | On Loan: No      |
| AREIT CRE Trust                                  | AREIT 2022-CRE7 LLC                                                                                               | CUSIP: 00217VAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2563500 | PA      | $2506446.74   | 0.33%             | 2039-06-17      | Floating      | 7.73%                 | Yes           |                  2 | On Loan: No      |
| Navistar Financial Dealer Note Master Trust      | Navistar Financial Dealer Note Master Owner Trust II                                                              | CUSIP: 63938PBR9<br>LEI: 549300S28N49H5RT4J50 | Long             | ABS-O            | CORP              | US        |   2109000 | PA      | $2116043.22   | 0.27%             | 2027-05-25      | Floating      | 5.56%                 | Yes           |                  2 | On Loan: No      |
| WESTINGHOUSE AIR BRAKE                           | Westinghouse Air Brake Technologies Corp                                                                          | CUSIP: 960386AN0<br>LEI: 06BTX5UWZD0GQ5N5Y745 | Long             | DBT              | CORP              | US        |   2070000 | PA      | $2043719.74   | 0.27%             | 2024-03-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                   | Morgan Stanley Capital I Trust 2021-L6                                                                            | CUSIP: 61692CBK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8761940 | PA      | $556096.69    | 0.07%             | 2054-06-15      | Variable      | 1.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                             | CUSIP: 3128PR3E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9795 | PA      | $9829.24      | 0.00%             | 2025-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ERAC USA Finance LLC                             | ERAC USA Finance LLC                                                                                              | CUSIP: 26884TAP7<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |    684000 | PA      | $659851.82    | 0.09%             | 2025-11-01      | Fixed         | 3.80%                 | Yes           |                  2 | On Loan: No      |
| Allegro CLO Ltd                                  | Allegro CLO II-S Ltd                                                                                              | CUSIP: 01751EAE8<br>LEI: 635400R1GOVCHJ4SNX58 | Long             | ABS-CBDO         | CORP              | KY        |    252269 | PA      | $249295.00    | 0.03%             | 2028-10-21      | Floating      | 6.42%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                   | CUSIP: 3138ERQS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    176545 | PA      | $171927.23    | 0.02%             | 2031-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                   | Morgan Stanley Capital I Trust 2021-L5                                                                            | CUSIP: 61691YAP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9491325 | PA      | $656747.49    | 0.09%             | 2054-05-15      | Variable      | 1.30%                 | No            |                  2 | On Loan: No      |
| PFP III                                          | PFP 2021-7 Ltd                                                                                                    | CUSIP: 69290LAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    604470 | PA      | $565783.17    | 0.07%             | 2038-04-14      | Floating      | 5.85%                 | Yes           |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                 | Deutsche Bank AG/New York NY                                                                                      | CUSIP: 251526CG2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   3247000 | PA      | $3066830.82   | 0.40%             | 2025-04-01      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                              | JPMorgan Chase & Co                                                                                               | CUSIP: 46647PBW5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1513810.93   | 0.20%             | 2027-02-04      | Fixed         | 1.04%                 | No            |                  2 | On Loan: No      |
| Indian Oil Corp Ltd                              | Indian Oil Corp Ltd                                                                                               | CUSIP: 000000000<br>LEI: 335800J8OBWE4VFUDG88 | Long             | DBT              | CORP              | IN        |    858000 | PA      | $859990.07    | 0.11%             | 2023-08-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                         | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                                         | CUSIP: 00774MBB0<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1571000 | PA      | $1465098.94   | 0.19%             | 2024-10-29      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| BDS Ltd                                          | BDS 2021-FL10 Ltd                                                                                                 | CUSIP: 07335YAG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    577000 | PA      | $553969.33    | 0.07%             | 2036-12-16      | Floating      | 6.77%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust    | JPMCC Commercial Mortgage Securities Trust 2017-JP7                                                               | CUSIP: 465968AG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11671713 | PA      | $369263.81    | 0.05%             | 2050-09-15      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                 | FirstEnergy Corp                                                                                                  | CUSIP: 337932AK3<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |   1202000 | PA      | $1126427.54   | 0.15%             | 2025-03-01      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| PNC BANK NA                                      | PNC Bank NA                                                                                                       | CUSIP: 05552JAA7<br>LEI: AD6GFRVSDT01YPT1CS68 | Long             | DBT              | CORP              | US        |   1122000 | PA      | $1083745.66   | 0.14%             | 2024-08-27      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NATIONAL SECS CLEARING                           | National Securities Clearing Corp                                                                                 | CUSIP: 637639AA3<br>LEI: 549300RYC9NELN2ICA34 | Long             | DBT              | CORP              | US        |    600000 | PA      | $595344.54    | 0.08%             | 2023-04-23      | Fixed         | 1.20%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                | Credit Acceptance Auto Loan Trust 2021-2                                                                          | CUSIP: 22537CAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $230894.90    | 0.03%             | 2030-04-15      | Fixed         | 1.26%                 | Yes           |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                          | Dryden 49 Senior Loan Fund                                                                                        | CUSIP: 26244QAQ6<br>LEI: 549300VCB8LYR1RGV869 | Long             | ABS-CBDO         | CORP              | KY        |   1945990 | PA      | $1901018.17   | 0.25%             | 2030-07-18      | Floating      | 6.39%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                | Credit Acceptance Auto Loan Trust 2021-3                                                                          | CUSIP: 22535GAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    312000 | PA      | $289346.24    | 0.04%             | 2030-07-15      | Fixed         | 1.38%                 | Yes           |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                          | Hyundai Capital America                                                                                           | CUSIP: 44891ABJ5<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   2068000 | PA      | $2069013.32   | 0.27%             | 2023-04-06      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| LoanCore 2021-CRE5 Issuer, Ltd                   | LoanCore 2021-CRE5 Issuer Ltd                                                                                     | CUSIP: 53947XAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1752500 | PA      | $1661666.52   | 0.22%             | 2036-07-15      | Floating      | 6.20%                 | Yes           |                  2 | On Loan: No      |
| Acres PLC                                        | ACRES Commercial Realty 2021-FL2 Ltd                                                                              | CUSIP: 00500JAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1527500 | PA      | $1476130.48   | 0.19%             | 2037-01-15      | Floating      | 6.71%                 | Yes           |                  2 | On Loan: No      |
| Bank                                             | BANK 2021-BNK34                                                                                                   | CUSIP: 06541JAR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11392189 | PA      | $634501.63    | 0.08%             | 2063-06-15      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | Long: TR11132   TRS USD R V 03MTBILL USB3MTA+ 8 BPS/TR11132R / Short: TR11132   TRS USD P E TR11132P              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              |  | US        |  12953620 | OU      | $689753.91    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| NATIONAL BANK OF CANADA                          | National Bank of Canada                                                                                           | CUSIP: 63307A2M6<br>LEI: BSGEFEIOM18Y80CKCV46 | Long             | DBT              | CORP              | CA        |   1312000 | PA      | $1264483.93   | 0.16%             | 2024-11-15      | Fixed         | 0.55%                 | No            |                  2 | On Loan: No      |
| SKYWORKS SOLUTIONS INC                           | Skyworks Solutions Inc                                                                                            | CUSIP: 83088MAJ1<br>LEI: 549300WZ3ORQ2BVKBD96 | Long             | DBT              | CORP              | US        |   1081000 | PA      | $1064305.52   | 0.14%             | 2023-06-01      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| Cutwater Ltd                                     | Cutwater 2015-I Ltd                                                                                               | CUSIP: 23222LAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    639465 | PA      | $636597.80    | 0.08%             | 2029-01-15      | Floating      | 6.01%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                   | Morgan Stanley Capital I Trust 2018-H4                                                                            | CUSIP: 61691RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15831941 | PA      | $575375.47    | 0.07%             | 2051-12-15      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                          | Long: TR11278   TRS USD R E R E / Short: TR11278   TRS USD P V 03MTBILL USB3MTA +7 BPS                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              |  | US        |   4929793 | OU      | $-24154.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BSPRT Issuer, Ltd.                               | BSPRT 2021-FL6 Issuer Ltd                                                                                         | CUSIP: 05601HAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    485000 | PA      | $444497.65    | 0.06%             | 2036-03-15      | Floating      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                 | Deutsche Bank AG/New York NY                                                                                      | CUSIP: 251526CS6<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    169000 | PA      | $177827.59    | 0.02%             | 2029-01-18      | Fixed         | 6.72%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                 | T-Mobile USA Inc                                                                                                  | CUSIP: 87264ABB0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   2527000 | PA      | $2453829.58   | 0.32%             | 2025-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GENUINE PARTS CO                                 | Genuine Parts Co                                                                                                  | CUSIP: 372460AB1<br>LEI: 549300D46DQVEU651W04 | Long             | DBT              | CORP              | US        |   1302000 | PA      | $1224062.68   | 0.16%             | 2025-02-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                | HSBC Holdings PLC                                                                                                 | CUSIP: 404280CX5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   2840000 | PA      | $2549153.92   | 0.33%             | 2027-11-22      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                              | Charles Schwab Corp/The                                                                                           | CUSIP: 808513BN4<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |   1742000 | PA      | $1665191.35   | 0.22%             | 2024-03-18      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                              | American Express Co                                                                                               | CUSIP: 025816CQ0<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    859000 | PA      | $817245.31    | 0.11%             | 2025-03-04      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                            | Wells Fargo & Co                                                                                                  | CUSIP: 95000U2K8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   2599000 | PA      | $2452421.21   | 0.32%             | 2026-02-11      | Fixed         | 2.16%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                             | Glencore Funding LLC                                                                                              | CUSIP: 378272AT5<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |   1146000 | PA      | $1132501.97   | 0.15%             | 2024-03-12      | Fixed         | 4.13%                 | Yes           |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                         | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                                         | CUSIP: 00774MAQ8<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1243000 | PA      | $1211656.69   | 0.16%             | 2024-02-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                          | Long: TR11246   TRS USD R E TR11246R/BCOMF3T / Short: TR11246   TRS USD P V 03MTBILL USB3MTA +10 BPS/TR11246P     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              |  | US        |  35774747 | OU      | $142520.29    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                  | CUSIP: 912828M56<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  50922000 | PA      | $48712064.64  | 6.32%             | 2025-11-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | Long: TR11271   TRS USD R V 03MTBILL SOFRRATE +3 BPS / Short: TR11271   TRS USD P E P E                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              |  | US        |  11468113 | OU      | $-1291172.37  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| EQT CORP                                         | EQT Corp                                                                                                          | CUSIP: 26884LAQ2<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    778000 | PA      | $787188.18    | 0.10%             | 2028-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Eni SpA                                          | Eni SpA                                                                                                           | CUSIP: 26874RAG3<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |   1523000 | PA      | $1512187.35   | 0.20%             | 2023-09-12      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Securities LLC                          | Long: TR11276   TRS USD R E R E / Short: TR11276   TRS USD P V 03MTBILL USB3MTA +7 BPS                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              |  | US        |  21368627 | OU      | $-104701.32   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                                  | AREIT 2022-CRE6 Trust                                                                                             | CUSIP: 04002VAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    894000 | PA      | $832006.46    | 0.11%             | 2037-01-16      | Floating      | 6.46%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                                                                | CUSIP: 3137AV5K9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    423959 | PA      | $392284.61    | 0.05%             | 2042-07-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| TPG Real Estate Finance                          | TRTX 2021-FL4 Issuer Ltd                                                                                          | CUSIP: 87276WAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1305000 | PA      | $1240088.00   | 0.16%             | 2038-03-15      | Floating      | 5.86%                 | Yes           |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                           | Standard Chartered PLC                                                                                            | CUSIP: 853254CE8<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    806000 | PA      | $749066.57    | 0.10%             | 2025-11-23      | Fixed         | 1.82%                 | Yes           |                  2 | On Loan: No      |
| Business Jet Securities, LLC                     | Business Jet Securities 2020-1 LLC                                                                                | CUSIP: 12327FAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    194930 | PA      | $178854.29    | 0.02%             | 2035-11-15      | Fixed         | 2.98%                 | Yes           |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                 | OneMain Financial Issuance Trust 2020-A                                                                           | CUSIP: 68269LAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    689909 | PA      | $685537.07    | 0.09%             | 2032-05-14      | Fixed         | 3.84%                 | Yes           |                  2 | On Loan: No      |
| HYATT HOTELS CORP                                | Hyatt Hotels Corp                                                                                                 | CUSIP: 448579AL6<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |   2305000 | PA      | $2243458.69   | 0.29%             | 2023-10-01      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch & Co., Inc.                        | Long: TR11221   TRS USD R E R E / Short: TR11221   TRS USD P V 03MTBILL USB3MTA+9 BPS                             | CUSIP: 000000000<br>LEI: DWW559HN8WVTCCS4VJ94 | N/A              | DCO              |  | US        |  97232656 | OU      | $387363.34    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Southwick Park CLO, Ltd.                         | Southwick Park CLO LLC                                                                                            | CUSIP: 846031AQ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    645000 | PA      | $627710.13    | 0.08%             | 2032-07-20      | Floating      | 6.31%                 | Yes           |                  2 | On Loan: No      |
| EQT CORP                                         | EQT Corp                                                                                                          | CUSIP: 26884LAP4<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    779000 | PA      | $780016.60    | 0.10%             | 2025-10-01      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                  | CUSIP: 91282CEQ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  21100000 | PA      | $20494199.17  | 2.66%             | 2025-05-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Capital Automotive Reit                          | CARS-DB4 LP                                                                                                       | CUSIP: 12510HAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    564168 | PA      | $532952.14    | 0.07%             | 2050-02-15      | Fixed         | 3.19%                 | Yes           |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC      | BBCMS Mortgage Trust 2021-C11                                                                                     | CUSIP: 05493MAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7472241 | PA      | $573808.34    | 0.07%             | 2054-09-15      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                 | Crown Castle Inc                                                                                                  | CUSIP: 22822VAZ4<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    448000 | PA      | $416574.93    | 0.05%             | 2027-03-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                   | CUSIP: 31418TKF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14452 | PA      | $14622.01     | 0.00%             | 2025-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BSPRT Issuer, Ltd.                               | BSPRT 2022-FL8 Issuer Ltd                                                                                         | CUSIP: 055983AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   3217000 | PA      | $3144236.93   | 0.41%             | 2037-02-15      | Floating      | 5.78%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137FTG27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6386343 | PA      | $558217.48    | 0.07%             | 2030-04-25      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| World Omni Automobile Lease Securitization Trust | World Omni Automobile Lease Securitization Trust 2022-A                                                           | CUSIP: 98163NAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    678000 | PA      | $661628.94    | 0.09%             | 2027-06-15      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust      | MF1 2022-FL9 LLC                                                                                                  | CUSIP: 55285AAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2988000 | PA      | $2924346.64   | 0.38%             | 2037-06-19      | Floating      | 7.64%                 | Yes           |                  2 | On Loan: No      |
| FREDDIE MAC DISCOUNT NT                          | Freddie Mac Discount Notes                                                                                        | CUSIP: 313396BH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | STIV             | USGSE             | US        |  29736000 | PA      | $29736000.00  | 3.86%             | 2023-02-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY RES                           | CenterPoint Energy Resources Corp                                                                                 | CUSIP: 15189WAM2<br>LEI: 2JADVB0458J06WCD4N56 | Long             | DBT              | CORP              | US        |   2225000 | PA      | $2218064.32   | 0.29%             | 2023-03-02      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                           | Pacific Gas and Electric Co                                                                                       | CUSIP: 694308KA4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   3496000 | PA      | $3431474.75   | 0.45%             | 2024-02-16      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | Long: TR11268   TRS USD R E R E / Short: TR11268   TRS USD P V 03MTBILL USB3MTA+14 BPS                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              |  | US        |  11175867 | OU      | $65875.14     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                     | Barclays PLC                                                                                                      | CUSIP: 06738EBQ7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    781000 | PA      | $751498.44    | 0.10%             | 2024-12-10      | Fixed         | 1.01%                 | No            |                  2 | On Loan: No      |
| APA INFRASTRUCTURE LTD                           | APA Infrastructure Ltd                                                                                            | CUSIP: 00205GAB3<br>LEI: 261700SS8OEHDOCOUJ33 | Long             | DBT              | CORP              | AU        |   3842000 | PA      | $3750711.51   | 0.49%             | 2025-03-23      | Fixed         | 4.20%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase & Co                              | JPMorgan Chase & Co                                                                                               | CUSIP: 46625HJJ0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1071000 | PA      | $1067299.38   | 0.14%             | 2023-05-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                         | Sumitomo Mitsui Financial Group Inc                                                                               | CUSIP: 86562MCM0<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   2295000 | PA      | $2068503.28   | 0.27%             | 2027-01-14      | Fixed         | 2.17%                 | No            |                  2 | On Loan: No      |
| Oaktree CLO Ltd                                  | Oaktree CLO 2019-1 Ltd                                                                                            | CUSIP: 67401XAL5<br>LEI: 549300BJ8TRWJ20BLC43 | Long             | ABS-CBDO         | CORP              | KY        |   1427638 | PA      | $1385007.30   | 0.18%             | 2030-04-22      | Floating      | 6.57%                 | Yes           |                  2 | On Loan: No      |
| Starwood Commercial Mortgage Trust               | STWD 2021-FL2 Ltd                                                                                                 | CUSIP: 78486BAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2295000 | PA      | $2173422.83   | 0.28%             | 2038-04-18      | Floating      | 6.27%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                     | GS Mortgage Securities Trust 2017-GS6                                                                             | CUSIP: 36253PAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10567160 | PA      | $371138.73    | 0.05%             | 2050-05-10      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                         | Benchmark 2021-B29 Mortgage Trust                                                                                 | CUSIP: 08163JAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14864661 | PA      | $829364.83    | 0.11%             | 2054-09-15      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| RAYTHEON TECH CORP                               | Raytheon Technologies Corp                                                                                        | CUSIP: 913017DB2<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     90000 | PA      | $89343.49     | 0.01%             | 2023-08-16      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| New Jersey Transportation Trust Fund Authority   | NEW JERSEY ST TRANSPRTN TRUST FUND AUTH                                                                           | CUSIP: 6461366P1<br>LEI: 549300YUVD5TEXR6L889 | Long             | DBT              | MUN               | US        |    475000 | PA      | $470444.42    | 0.06%             | 2023-06-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| WEC ENERGY GROUP INC                             | WEC Energy Group Inc                                                                                              | CUSIP: 92939UAF3<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |   1019000 | PA      | $972320.13    | 0.13%             | 2024-03-15      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                           | Anglo American Capital PLC                                                                                        | CUSIP: 034863AR1<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |    911000 | PA      | $906817.44    | 0.12%             | 2027-04-10      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| New Jersey Economic Development Authority        | NEW JERSEY ST ECON DEV AUTH LEASE REVENUE                                                                         | CUSIP: 645913BB9<br>LEI: 5493006JS6QWDVU4R678 | Long             | DBT              | MUN               | US        |   3058000 | PA      | $3052593.46   | 0.40%             | 2023-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FIBRIA OVERSEAS FINANCE                          | Fibria Overseas Finance Ltd                                                                                       | CUSIP: 31572UAF3<br>LEI: 549300WABWKSHESAMG92 | Long             | DBT              | CORP              | KY        |   1286000 | PA      | $1292311.98   | 0.17%             | 2027-01-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bank                                             | BANK 2021-BNK32                                                                                                   | CUSIP: 06542BBN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10552829 | PA      | $459216.93    | 0.06%             | 2054-04-15      | Variable      | 0.78%                 | No            |                  2 | On Loan: No      |
| EMERA US FINANCE LP                              | Emera US Finance LP                                                                                               | CUSIP: 29103DAS5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1057000 | PA      | $993591.57    | 0.13%             | 2024-06-15      | Fixed         | 0.83%                 | No            |                  2 | On Loan: No      |
| GRAY OAK PIPELINE LLC                            | Gray Oak Pipeline LLC                                                                                             | CUSIP: 38937LAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1453000 | PA      | $1419655.13   | 0.18%             | 2023-09-15      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                        | Morgan Stanley Bank of America Merrill Lynch Trust 2017-C33                                                       | CUSIP: 61767CAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9171078 | PA      | $354203.55    | 0.05%             | 2050-05-15      | Variable      | 1.25%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch & Co., Inc.                        | Long: TR11272   TRS USD R E R E / Short: TR11272   TRS USD P V 03MTBILL SOFRRATE +10 BPS                          | CUSIP: 000000000<br>LEI: DWW559HN8WVTCCS4VJ94 | N/A              | DCO              |  | US        |   6124671 | OU      | $-142259.22   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CNH Industrial NV                                | CNH Industrial NV                                                                                                 | CUSIP: 12594KAA0<br>LEI: 549300WGC2HZ5J67V817 | Long             | DBT              | CORP              | NL        |    962000 | PA      | $958312.69    | 0.12%             | 2023-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd  | Arbor Realty Commercial Real Estate Notes 2021-FL3 Ltd                                                            | CUSIP: 03880KAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    571500 | PA      | $523415.13    | 0.07%             | 2034-08-15      | Floating      | 6.05%                 | Yes           |                  2 | On Loan: No      |
| ALIBABA GROUP HOLDING                            | Alibaba Group Holding Ltd                                                                                         | CUSIP: 01609WAS1<br>LEI: 5493001NTNQJDH60PM02 | Long             | DBT              | CORP              | KY        |   1506000 | PA      | $1494057.71   | 0.19%             | 2023-06-06      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                         | Warnermedia Holdings Inc                                                                                          | CUSIP: 55903VAU7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   4233000 | PA      | $4089292.82   | 0.53%             | 2025-03-15      | Fixed         | 3.79%                 | Yes           |                  2 | On Loan: No      |
| NATIONWIDE BLDG SOCIETY                          | Nationwide Building Society                                                                                       | CUSIP: 63861VAF4<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |   2445000 | PA      | $2223501.85   | 0.29%             | 2028-02-16      | Fixed         | 2.97%                 | Yes           |                  2 | On Loan: No      |
| Ballyrock Ltd                                    | Ballyrock CLO 2018-1 Ltd                                                                                          | CUSIP: 05875HAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1368365 | PA      | $1338366.47   | 0.17%             | 2031-04-20      | Floating      | 6.41%                 | Yes           |                  2 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust         | AmeriCredit Automobile Receivables Trust 2020-1                                                                   | CUSIP: 03067DAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    678000 | PA      | $657801.36    | 0.09%             | 2025-10-20      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                          | BPCE SA                                                                                                           | CUSIP: 05583JAF9<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    943000 | PA      | $933758.60    | 0.12%             | 2023-09-12      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                         | Benchmark 2021-B27 Mortgage Trust                                                                                 | CUSIP: 08163HAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14525441 | PA      | $1048639.51   | 0.14%             | 2054-07-15      | Variable      | 1.27%                 | No            |                  2 | On Loan: No      |
| VMWARE INC                                       | VMware Inc                                                                                                        | CUSIP: 928563AH8<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |   1476000 | PA      | $1387777.02   | 0.18%             | 2024-08-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                         | Avolon Holdings Funding Ltd                                                                                       | CUSIP: 05401AAK7<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    892000 | PA      | $876811.93    | 0.11%             | 2026-01-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC      | BBCMS Mortgage Trust 2018-C2                                                                                      | CUSIP: 05491UBE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  19326325 | PA      | $660745.79    | 0.09%             | 2051-12-15      | Variable      | 0.76%                 | Yes           |                  2 | On Loan: No      |
| CNH INDUSTRIAL CAP LLC                           | CNH Industrial Capital LLC                                                                                        | CUSIP: 12592BAJ3<br>LEI: 549300PNSJ5B81UMVO28 | Long             | DBT              | CORP              | US        |   1726000 | PA      | $1710655.86   | 0.22%             | 2024-01-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                         | Warnermedia Holdings Inc                                                                                          | CUSIP: 55903VAG8<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   1062000 | PA      | $995324.45    | 0.13%             | 2027-03-15      | Fixed         | 3.76%                 | Yes           |                  2 | On Loan: No      |
| HOWARD UNIVERSITY                                | Howard University                                                                                                 | CUSIP: 442851AF8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    123000 | PA      | $116771.31    | 0.02%             | 2024-10-01      | Fixed         | 2.42%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd  | Arbor Realty Commercial Real Estate Notes 2021-FL4 Ltd                                                            | CUSIP: 03880RAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1684000 | PA      | $1634092.81   | 0.21%             | 2036-11-15      | Floating      | 6.45%                 | Yes           |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                         | Western Midstream Operating LP                                                                                    | CUSIP: 958667AB3<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |   1082000 | PA      | $1033310.00   | 0.13%             | 2025-02-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch & Co., Inc.                        | Long: TR11255   TRS USD R E R E/ISIN-99BCOMGO9999 / Short: TR11255   TRS USD P V 03MTBILL USB3MTA +6 BPS          | CUSIP: 000000000<br>LEI: DWW559HN8WVTCCS4VJ94 | N/A              | DCO              |  | US        |   4876213 | OU      | $115422.09    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                     | UBS Group AG                                                                                                      | CUSIP: 902613AU2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1513000 | PA      | $1532440.66   | 0.20%             | 2027-01-12      | Fixed         | 5.71%                 | Yes           |                  2 | On Loan: No      |
| ROSS STORES INC                                  | Ross Stores Inc                                                                                                   | CUSIP: 778296AF0<br>LEI: 549300ENZFLPGRDFZQ60 | Long             | DBT              | CORP              | US        |    926000 | PA      | $823561.29    | 0.11%             | 2026-04-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-22

**Name of Applicant:** MFS SERIES TRUST XV

**Signature:** Kasey Phillips

**Name of Signer:** Kasey Phillips

**Title:** Assistant Treasurer