# EDGAR Filing Document

**Accession Number:** 0001330967
**File Stem:** 0001752724-25-158185
**Filing Date:** 2025-6
**Character Count:** 124652
**Document Hash:** 161a5e648c6d9cbfa1d621dab486f4ba
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-158185.hdr.sgml**: 20250626

**ACCESSION NUMBER**: 0001752724-25-158185

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250430

**FILED AS OF DATE**: 20250626

**DATE AS OF CHANGE**: 20250626

**PERIOD START**: 20250430

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** MFS SERIES TRUST XII
- **CENTRAL INDEX KEY:** 0001330967

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0430

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-21780
- **FILM NUMBER:** 251077291

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

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02199

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

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

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

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

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

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

- **a. Date of fiscal year-end:** 2025-04-30

- **b. Date as of which information is reported:** 2025-04-30

**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:** $34033636.61

**Total Liabilities:** $2063080.06

**Net Assets:** $31970556.55

**Delayed Delivery Securities:** $1626583.01

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -25.57194080 | **1-Year:** -714.88854470 | **5-Year:** -2956.03412790 | **10-Year:** -2566.92832740 | **30-Year:** -446.22513270

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

- **3-Month:** -0.19196970 | **1-Year:** -5.82132230 | **5-Year:** -18.47608320 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000236393 | 2.14%                | -0.08%               | 0.13%                |
| Class ID C000236390 | 2.10%                | -0.12%               | 0.09%                |
| Class ID C000236392 | 2.00%                | -0.01%               | 0.09%                |
| Class ID C000236388 | 2.16%                | -0.05%               | 0.15%                |
| Class ID C000236387 | 2.18%                | -0.03%               | 0.28%                |
| Class ID C000236386 | 2.18%                | -0.03%               | 0.27%                |
| Class ID C000236389 | 2.16%                | -0.05%               | 0.25%                |
| Class ID C000236391 | 2.18%                | -0.03%               | 0.27%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $14347.85                | $482695.26                                 |
| Month 2  | $-21415.87               | $-109006.40                                |
| Month 3  | $-12506.96               | $-50656.88                                 |

**Designated Index Information**

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

- **Index Identifier:** LBSTRUU

### Schedule of Portfolio Investments

| Name                                           | Title                                                                         | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FNMA                                           | UMBS                                                                          | CUSIP: 3140QNDF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43691 | PA      | $34789.80     | 0.11%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                          | CUSIP: 36179XVS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63427 | PA      | $62445.63     | 0.20%             | 2053-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                              | Wells Fargo & Co.                                                             | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    162000 | PA      | $145455.85    | 0.45%             | 2033-03-02      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                          | CUSIP: 36179Y2N3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     47058 | PA      | $48168.57     | 0.15%             | 2054-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Duke Energy Carolinas LLC                      | Duke Energy Carolinas LLC                                                     | CUSIP: 26442CBJ2<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |    118000 | PA      | $118682.40    | 0.37%             | 2033-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Consumers 2023 Securitization Funding LLC      | Consumers 2023 Securitization Funding LLC, Series A1                          | CUSIP: 21071BAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     26518 | PA      | $26907.07     | 0.08%             | 2028-03-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                          | CUSIP: 3138ELN41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37267 | PA      | $34901.19     | 0.11%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2025-R02, Class 1A1               | CUSIP: 20754TAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28184 | PA      | $28052.46     | 0.09%             | 2045-02-25      | Floating      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| Bain Capital Credit CLO Ltd.                   | Bain Capital Credit CLO Ltd., Series 2020-3A, Class BRR                       | CUSIP: 05684CAY1<br>LEI: 2549002RK7W6TK0Q0E16 | Long             | ABS-CBDO         | CORP              | KY        |    200000 | PA      | $196785.40    | 0.62%             | 2034-10-23      | Floating      | 5.88%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                          | CUSIP: 36179XTD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    115103 | PA      | $115464.40    | 0.36%             | 2053-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                           | JPMorgan Chase & Co.                                                          | CUSIP: 46647PCD6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    152000 | PA      | $113433.14    | 0.35%             | 2042-04-22      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                          | CUSIP: 3140QCQ82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32141 | PA      | $28015.35     | 0.09%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Bonds                                                           | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    383000 | PA      | $339718.01    | 1.06%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Adventist Health System                        | Adventist Health System                                                       | CUSIP: 007944AH4<br>LEI: 5493008YM33UCY5QPW83 | Long             | DBT              | CORP              | US        |     75000 | PA      | $75516.03     | 0.24%             | 2032-03-01      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| Philip Morris International, Inc.              | Philip Morris International, Inc.                                             | CUSIP: 718172CW7<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     11000 | PA      | $11528.68     | 0.04%             | 2029-11-17      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| GLP Capital LP                                 | GLP Capital LP                                                                | CUSIP: 361841AL3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     64000 | PA      | $63937.73     | 0.20%             | 2029-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                               | Deutsche Bank AG                                                              | CUSIP: 251526CP2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    150000 | PA      | $144432.50    | 0.45%             | 2027-11-16      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| Business Jet Securities LLC                    | Business Jet Securities LLC, Series 2024-1A, Class A                          | CUSIP: 12327CAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     85093 | PA      | $86188.65     | 0.27%             | 2039-05-15      | Fixed         | 6.20%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                           | JPMorgan Chase & Co.                                                          | CUSIP: 46647PBM7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    102000 | PA      | $77212.32     | 0.24%             | 2041-04-22      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| Westinghouse Air Brake Technologies Corp.      | Westinghouse Air Brake Technologies Corp.                                     | CUSIP: 960386AQ3<br>LEI: 06BTX5UWZD0GQ5N5Y745 | Long             | DBT              | CORP              | US        |    129000 | PA      | $128706.05    | 0.40%             | 2025-06-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Metropolitan Life Global Funding I             | Metropolitan Life Global Funding I                                            | CUSIP: 59217GEZ8<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |    150000 | PA      | $144224.11    | 0.45%             | 2029-03-21      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| Vodafone Group plc                             | Vodafone Group plc                                                            | CUSIP: 92857WBY5<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |     22000 | PA      | $20405.83     | 0.06%             | 2053-02-10      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                   | Avolon Holdings Funding Ltd.                                                  | CUSIP: 05401AAJ0<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     78000 | PA      | $75513.25     | 0.24%             | 2027-02-15      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Crown Castle, Inc.                             | Crown Castle, Inc.                                                            | CUSIP: 22822VAH4<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |     79000 | PA      | $77258.58     | 0.24%             | 2027-09-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                          | CUSIP: 36179W7L6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    196462 | PA      | $178873.99    | 0.56%             | 2052-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Macquarie Group Ltd.                           | Macquarie Group Ltd.                                                          | CUSIP: 55608JBE7<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |    148000 | PA      | $139454.77    | 0.44%             | 2033-06-21      | Variable      | 4.44%                 | Yes           |                  2 | On Loan: No      |
| Virginia Power Fuel Securitization LLC         | Virginia Power Fuel Securitization LLC, Series A-1                            | CUSIP: 92808VAA0<br>LEI: 254900BELJ95ONW6U791 | Long             | DBT              | CORP              | US        |     38324 | PA      | $38644.06     | 0.12%             | 2027-05-01      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                          | CUSIP: 36179WXH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    189470 | PA      | $154597.86    | 0.48%             | 2052-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                          | CUSIP: 3132D6CT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     90776 | PA      | $86184.25     | 0.27%             | 2037-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                          | CUSIP: 3132DWLU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67715 | PA      | $68699.44     | 0.21%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                          | CUSIP: 36179V4W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18687 | PA      | $16576.77     | 0.05%             | 2051-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                | Goldman Sachs Group, Inc. (The)                                               | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     98000 | PA      | $84415.20     | 0.26%             | 2032-07-21      | Variable      | 2.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                          | CUSIP: 3140KAJX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48231 | PA      | $43996.33     | 0.14%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Alimentation Couche-Tard, Inc.                 | Alimentation Couche-Tard, Inc.                                                | CUSIP: 01626PAM8<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |     62000 | PA      | $57308.34     | 0.18%             | 2030-01-25      | Fixed         | 2.95%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                          | CUSIP: 3133B2X95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43052 | PA      | $36019.00     | 0.11%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                          | CUSIP: 36179YHS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66423 | PA      | $66523.32     | 0.21%             | 2053-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                   | Oracle Corp.                                                                  | CUSIP: 68389XCP8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     22000 | PA      | $21627.27     | 0.07%             | 2033-02-06      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| MFS Institutional Money Market Portfolio       | MFS Institutional Money Market Portfolio, Class A                             | CUSIP: 55291X109<br>LEI: 5L2W638H85N8T1136O07 | Long             | STIV             | RF                | US        |   1282264 | NS      | $1282264.49   | 4.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Commercial Mortgage Trust                      | Commercial Mortgage Trust, Series 2015-PC1, Class A5                          | CUSIP: 12593GAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32702 | PA      | $32656.16     | 0.10%             | 2050-07-10      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.           | Mitsubishi UFJ Financial Group, Inc.                                          | CUSIP: 606822DL5<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    200000 | PA      | $204315.90    | 0.64%             | 2036-04-24      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                          | CUSIP: 3132DWDR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22705 | PA      | $18910.69     | 0.06%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                               | Deutsche Bank AG                                                              | CUSIP: 251526CS6<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    150000 | PA      | $157286.82    | 0.49%             | 2029-01-18      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                          | CUSIP: 3132DWDZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23682 | PA      | $20574.43     | 0.06%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Mars, Inc.                                     | Mars, Inc.                                                                    | CUSIP: 571676BA2<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     81000 | PA      | $81317.83     | 0.25%             | 2035-03-01      | Fixed         | 5.20%                 | Yes           |                  2 | On Loan: No      |
| Genuine Parts Co.                              | Genuine Parts Co.                                                             | CUSIP: 372460AC9<br>LEI: 549300D46DQVEU651W04 | Long             | DBT              | CORP              | US        |    115000 | PA      | $98626.21     | 0.31%             | 2032-02-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, 15 Year, Single Family                                                  | CUSIP: 01F022451<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     50000 | PA      | $46449.85     | 0.15%             | 2040-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd.                | Palmer Square Loan Funding Ltd., Series 2024-3A, Class A2                     | CUSIP: 69690EAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $249437.25    | 0.78%             | 2032-08-08      | Floating      | 5.95%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                          | CUSIP: 36179XFF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43806 | PA      | $39804.15     | 0.12%             | 2052-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                          | CUSIP: 36179XNE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     64163 | PA      | $61736.35     | 0.19%             | 2052-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Alcon Finance Corp.                            | Alcon Finance Corp.                                                           | CUSIP: 01400EAD5<br>LEI: 549300CUZUI9VU7XNK42 | Long             | DBT              | CORP              | US        |    200000 | PA      | $180070.58    | 0.56%             | 2030-05-27      | Fixed         | 2.60%                 | Yes           |                  2 | On Loan: No      |
| OBX Trust                                      | OBX Trust, Series 2024-NQM15, Class A1                                        | CUSIP: 67449DAA7<br>LEI: 254900YXEB756F6RCA13 | Long             | ABS-MBS          | CORP              | US        |     90414 | PA      | $90325.67     | 0.28%             | 2064-10-25      | Variable      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, 30 Year, Single Family                                                  | CUSIP: 01F022659<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    275000 | PA      | $228571.96    | 0.71%             | 2055-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                          | CUSIP: 31418DKQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48505 | PA      | $40843.71     | 0.13%             | 2050-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Nissan Master Owner Trust Receivables          | Nissan Master Owner Trust Receivables, Series 2024-A, Class A                 | CUSIP: 65479VAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $100119.03    | 0.31%             | 2028-02-15      | Floating      | 5.01%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, 30 Year                                                              | CUSIP: 36179XQW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20587 | PA      | $20249.45     | 0.06%             | 2053-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Lease Securitization Trust        | Hyundai Auto Lease Securitization Trust, Series 2025-B, Class A2A             | CUSIP: 44935DAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $100074.36    | 0.31%             | 2027-09-15      | Fixed         | 4.58%                 | Yes           |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                | Intercontinental Exchange, Inc.                                               | CUSIP: 45866FAK0<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |    103000 | PA      | $91989.30     | 0.29%             | 2030-06-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Notes                                                           | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    200000 | PA      | $201968.75    | 0.63%             | 2032-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                          | CUSIP: 36179XFH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    144267 | PA      | $138945.38    | 0.43%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                          | CUSIP: 36179W2V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46814 | PA      | $41450.31     | 0.13%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                          | CUSIP: 3140QBR67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27377 | PA      | $24275.06     | 0.08%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                   | Pacific Gas and Electric Co.                                                  | CUSIP: 694308JW8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    108000 | PA      | $102222.31    | 0.32%             | 2028-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                          | CUSIP: 36179WXJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    144418 | PA      | $123097.16    | 0.39%             | 2052-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                          | CUSIP: 3140XGEC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    171951 | PA      | $149272.98    | 0.47%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                | Goldman Sachs Group, Inc. (The)                                               | CUSIP: 38141GXG4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    172000 | PA      | $157095.49    | 0.49%             | 2030-02-07      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Empire District Bondco LLC                     | Empire District Bondco LLC, Series A-1                                        | CUSIP: 291918AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     37379 | PA      | $37743.87     | 0.12%             | 2033-01-01      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K057, Class A2 | CUSIP: 3137BRQJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74909 | PA      | $73552.25     | 0.23%             | 2026-07-25      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| Corebridge Financial, Inc.                     | Corebridge Financial, Inc.                                                    | CUSIP: 21871XAH2<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |     82000 | PA      | $75498.28     | 0.24%             | 2032-04-05      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                     | AerCap Ireland Capital DAC                                                    | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    150000 | PA      | $145103.40    | 0.45%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Bonds                                                           | CUSIP: 912810TZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    580000 | PA      | $566746.10    | 1.77%             | 2044-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Marriott International, Inc.                   | Marriott International, Inc., Series FF                                       | CUSIP: 571903BE2<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |    108000 | PA      | $107342.61    | 0.34%             | 2030-06-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Diageo Capital plc                             | Diageo Capital plc                                                            | CUSIP: 25243YBB4<br>LEI: 213800L23DJLALFC4O95 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $184204.44    | 0.58%             | 2029-10-24      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                          | CUSIP: 21H052652<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50000 | PA      | $49973.24     | 0.16%             | 2055-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                          | CUSIP: 3131XV5V3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22628 | PA      | $20832.60     | 0.07%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                          | CUSIP: 3140QEWL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25884 | PA      | $21884.98     | 0.07%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                          | CUSIP: 3140QK3Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82025 | PA      | $61993.48     | 0.19%             | 2051-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                          | CUSIP: 31418D4X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43752 | PA      | $34761.51     | 0.11%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                          | CUSIP: 36179W7H5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     91434 | PA      | $74614.56     | 0.23%             | 2052-06-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Notes                                                           | CUSIP: 91282CKX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1115000 | PA      | $1139477.73   | 3.56%             | 2029-06-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                       | Angel Oak Mortgage Trust, Series 2024-9, Class A1                             | CUSIP: 03466JAA7<br>LEI: 254900O3R79X1AD55F36 | Long             | ABS-MBS          | CORP              | US        |     56609 | PA      | $56297.10     | 0.18%             | 2069-09-25      | Variable      | 5.14%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                          | CUSIP: 36179XFG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41893 | PA      | $39158.81     | 0.12%             | 2052-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust         | Santander Drive Auto Receivables Trust, Series 2025-1, Class A2               | CUSIP: 80288DAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    116886 | PA      | $116889.07    | 0.37%             | 2027-08-16      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Notes                                                           | CUSIP: 91282CKJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1170000 | PA      | $1189332.42   | 3.72%             | 2027-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                          | CUSIP: 3618N5EV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49751 | PA      | $49762.65     | 0.16%             | 2055-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Philip Morris International, Inc.              | Philip Morris International, Inc.                                             | CUSIP: 718172CX5<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     48000 | PA      | $50356.09     | 0.16%             | 2032-11-17      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                          | CUSIP: 3140QM5E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    250000 | PA      | $208016.07    | 0.65%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BANK                                           | BANK, Series 2023-BNK46, Class A4                                             | CUSIP: 06541DBH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    145414 | PA      | $151632.79    | 0.47%             | 2056-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                          | CUSIP: 3138WGUF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26007 | PA      | $23983.94     | 0.08%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Waste Management, Inc.                         | Waste Management, Inc.                                                        | CUSIP: 94106LBW8<br>LEI: 549300YX8JIID70NFS41 | Long             | DBT              | CORP              | US        |    179000 | PA      | $179786.98    | 0.56%             | 2034-02-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Bonds                                                           | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    900000 | PA      | $556453.13    | 1.74%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                          | CUSIP: 36179XHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     61896 | PA      | $57856.07     | 0.18%             | 2052-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LPL Holdings, Inc.                             | LPL Holdings, Inc.                                                            | CUSIP: 50212YAC8<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |     43000 | PA      | $42801.20     | 0.13%             | 2027-11-15      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                 | Morgan Stanley                                                                | CUSIP: 61747YEL5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    127000 | PA      | $111553.83    | 0.35%             | 2033-01-21      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Notes                                                           | CUSIP: 91282CKA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    810000 | PA      | $816454.69    | 2.55%             | 2027-02-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                     | Verus Securitization Trust, Series 2024-8, Class A1                           | CUSIP: 92540PAA6<br>LEI: 213800RZ8QGNZ38DSP77 | Long             | ABS-MBS          | CORP              | US        |     92473 | PA      | $92347.41     | 0.29%             | 2069-10-25      | Variable      | 5.36%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                          | CUSIP: 36179W7K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    104838 | PA      | $92827.16     | 0.29%             | 2052-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                          | CUSIP: 3140X7DN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6794 | PA      | $6817.58      | 0.02%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, 30 Year, Single Family                                                  | CUSIP: 01F062663<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $205774.22    | 0.64%             | 2055-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Aon Corp.                                      | Aon Corp.                                                                     | CUSIP: 037389BB8<br>LEI: LTS3U8DGK38SETRUWX71 | Long             | DBT              | CORP              | US        |     61000 | PA      | $61282.83     | 0.19%             | 2028-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                          | CUSIP: 3132A5G25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32071 | PA      | $29466.57     | 0.09%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Arrow Electronics, Inc.                        | Arrow Electronics, Inc.                                                       | CUSIP: 04273WAC5<br>LEI: 549300YNNLBXT8N8R512 | Long             | DBT              | CORP              | US        |    147000 | PA      | $126023.92    | 0.39%             | 2032-02-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                          | CUSIP: 3131WRFV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24020 | PA      | $22496.38     | 0.07%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fairfax Financial Holdings Ltd.                | Fairfax Financial Holdings Ltd.                                               | CUSIP: 303901BL5<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |     85000 | PA      | $86382.41     | 0.27%             | 2032-08-16      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)       | PNC Financial Services Group, Inc. (The)                                      | CUSIP: 693475BW4<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    147000 | PA      | $149828.06    | 0.47%             | 2035-01-22      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC                 | Enterprise Fleet Financing LLC, Series 2023-1, Class A2                       | CUSIP: 29375CAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     21402 | PA      | $21465.63     | 0.07%             | 2029-01-22      | Fixed         | 5.51%                 | Yes           |                  2 | On Loan: No      |
| Duke Energy Progress LLC                       | Duke Energy Progress LLC                                                      | CUSIP: 26442UAH7<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    118000 | PA      | $114476.18    | 0.36%             | 2029-03-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| KREF Ltd.                                      | KREF Ltd., Series 2021-FL2, Class A                                           | CUSIP: 48275RAA5<br>LEI: 54930083ELM2GCMVTQ91 | Long             | ABS-CBDO         | CORP              | KY        |     97832 | PA      | $97324.86     | 0.30%             | 2039-02-15      | Floating      | 5.51%                 | Yes           |                  2 | On Loan: No      |
| MF1                                            | MF1, Series 2024-FL16, Class A                                                | CUSIP: 55287EAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    154790 | PA      | $154596.45    | 0.48%             | 2039-11-18      | Floating      | 5.86%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                          | CUSIP: 3140QKNN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86229 | PA      | $71749.44     | 0.22%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC                 | Enterprise Fleet Financing LLC, Series 2024-4, Class A2                       | CUSIP: 29374MAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     50000 | PA      | $50123.89     | 0.16%             | 2027-07-20      | Fixed         | 4.69%                 | Yes           |                  2 | On Loan: No      |
| ELM Trust                                      | ELM Trust, Series 2024-ELM, Class B10                                         | CUSIP: 26860XBA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $101092.79    | 0.32%             | 2039-06-10      | Variable      | 6.20%                 | Yes           |                  2 | On Loan: No      |
| Glencore Funding LLC                           | Glencore Funding LLC                                                          | CUSIP: 378272AY4<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     87000 | PA      | $77071.59     | 0.24%             | 2030-09-01      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Philip Morris International, Inc.              | Philip Morris International, Inc.                                             | CUSIP: 718172CV9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     25000 | PA      | $25532.64     | 0.08%             | 2027-11-17      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                          | CUSIP: 31418ECQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64502 | PA      | $53775.13     | 0.17%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Dryden 68 CLO Ltd.                             | Dryden 68 CLO Ltd., Series 2019-68A, Class BRR                                | CUSIP: 26252QAU6<br>LEI: 254900MX6QAMC9XBAB53 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $245646.25    | 0.77%             | 2035-07-15      | Floating      | 5.81%                 | Yes           |                  2 | On Loan: No      |
| CNH Industrial Capital LLC                     | CNH Industrial Capital LLC                                                    | CUSIP: 12592BAL8<br>LEI: 549300PNSJ5B81UMVO28 | Long             | DBT              | CORP              | US        |     79000 | PA      | $77400.14     | 0.24%             | 2026-01-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                 | Morgan Stanley                                                                | CUSIP: 61747YEC5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    131000 | PA      | $126475.33    | 0.40%             | 2027-07-20      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| MF1 Ltd.                                       | MF1 Ltd., Series 2022-FL8, Class B                                            | CUSIP: 55284JAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    100000 | PA      | $97610.77     | 0.31%             | 2037-02-19      | Floating      | 6.27%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                          | CUSIP: 3140NGC65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42565 | PA      | $41755.81     | 0.13%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                          | CUSIP: 3140QMQ56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60123 | PA      | $50323.18     | 0.16%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                   | UBS Group AG                                                                  | CUSIP: 902613AE8<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    200000 | PA      | $170875.91    | 0.53%             | 2032-02-11      | Variable      | 2.10%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                          | CUSIP: 3140X54P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24733 | PA      | $20851.86     | 0.07%             | 2050-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fiserv, Inc.                                   | Fiserv, Inc.                                                                  | CUSIP: 337738BC1<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |     88000 | PA      | $79489.25     | 0.25%             | 2030-06-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                          | CUSIP: 31418D7E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26781 | PA      | $21295.87     | 0.07%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Marathon Petroleum Corp.                       | Marathon Petroleum Corp.                                                      | CUSIP: 56585AAH5<br>LEI: 3BNYRYQHD39K4LCKQF12 | Long             | DBT              | CORP              | US        |     83000 | PA      | $66592.88     | 0.21%             | 2044-09-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust       | AmeriCredit Automobile Receivables Trust, Series 2024-1, Class A2A            | CUSIP: 023947AB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     18274 | PA      | $18321.42     | 0.06%             | 2028-02-18      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                          | CUSIP: 36179W2T4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48411 | PA      | $39501.14     | 0.12%             | 2052-04-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                          | Global Payments, Inc.                                                         | CUSIP: 37940XAE2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     87000 | PA      | $84266.78     | 0.26%             | 2026-03-01      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K066, Class A2 | CUSIP: 3137F2LJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $98170.34     | 0.31%             | 2027-06-25      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| ERAC USA Finance LLC                           | ERAC USA Finance LLC                                                          | CUSIP: 26882PBE1<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |     36000 | PA      | $41051.09     | 0.13%             | 2037-10-15      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                          | CUSIP: 36179XLD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    143939 | PA      | $127489.36    | 0.40%             | 2052-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Walt Disney Co. (The)                          | Walt Disney Co. (The)                                                         | CUSIP: 254687FY7<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |     68000 | PA      | $55097.20     | 0.17%             | 2040-05-13      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable Enterprises LLC              | Time Warner Cable Enterprises LLC                                             | CUSIP: 88731EAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     58000 | PA      | $66019.71     | 0.21%             | 2033-07-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                          | CUSIP: 3133KLHG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36578 | PA      | $27717.67     | 0.09%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                          | CUSIP: 31418EAN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22133 | PA      | $18474.37     | 0.06%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Booking Holdings, Inc.                         | Booking Holdings, Inc.                                                        | CUSIP: 09857LAR9<br>LEI: FXM8FAOHMYDIPD38UZ17 | Long             | DBT              | CORP              | US        |    138000 | PA      | $139087.45    | 0.44%             | 2030-04-13      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                          | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18581 | PA      | $14766.76     | 0.05%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Las Vegas Sands Corp.                          | Las Vegas Sands Corp.                                                         | CUSIP: 517834AF4<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |     65000 | PA      | $60352.68     | 0.19%             | 2029-08-08      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC           | Charter Communications Operating LLC                                          | CUSIP: 161175BL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     98000 | PA      | $79510.73     | 0.25%             | 2047-05-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                             | T-Mobile USA, Inc.                                                            | CUSIP: 87264AAZ8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     83000 | PA      | $67334.25     | 0.21%             | 2050-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                          | CUSIP: 3140X87M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8755 | PA      | $8275.22      | 0.03%             | 2050-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Boston Properties LP                           | Boston Properties LP                                                          | CUSIP: 10112RBJ2<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |    105000 | PA      | $103553.04    | 0.32%             | 2035-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                          | CUSIP: 3140QDT38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26778 | PA      | $22584.20     | 0.07%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                 | Morgan Stanley                                                                | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     97000 | PA      | $88600.88     | 0.28%             | 2031-01-22      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust              | GLS Auto Select Receivables Trust, Series 2023-1A, Class A2                   | CUSIP: 36267FAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9505 | PA      | $9527.42      | 0.03%             | 2027-08-16      | Fixed         | 6.27%                 | Yes           |                  2 | On Loan: No      |
| Bank of America Corp.                          | Bank of America Corp.                                                         | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    302000 | PA      | $262446.92    | 0.82%             | 2032-10-20      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                          | CUSIP: 3140MF4H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41802 | PA      | $40047.42     | 0.13%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                          | CUSIP: 3133KRJP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65720 | PA      | $66031.01     | 0.21%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                          | CUSIP: 3133CA7G9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24670 | PA      | $25479.77     | 0.08%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                   | Verizon Communications, Inc.                                                  | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     57000 | PA      | $50752.25     | 0.16%             | 2031-03-21      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Philip Morris International, Inc.              | Philip Morris International, Inc.                                             | CUSIP: 718172DA4<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     52000 | PA      | $53341.04     | 0.17%             | 2030-02-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust          | Wells Fargo Commercial Mortgage Trust, Series 2017-RB1, Class A5              | CUSIP: 95000TBS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    175000 | PA      | $168601.76    | 0.53%             | 2050-03-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Ashtead Capital, Inc.                          | Ashtead Capital, Inc.                                                         | CUSIP: 04505AAA7<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |    200000 | PA      | $198319.89    | 0.62%             | 2032-08-11      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| OBX Trust                                      | OBX Trust, Series 2024-NQM10, Class A2                                        | CUSIP: 67119MAB4<br>LEI: 25490010LUJWFEUCIH44 | Long             | ABS-MBS          | CORP              | US        |     82134 | PA      | $82866.63     | 0.26%             | 2064-05-25      | Variable      | 6.33%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                          | CUSIP: 31418DJR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13897 | PA      | $12176.98     | 0.04%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Masco Corp.                                    | Masco Corp.                                                                   | CUSIP: 574599BQ8<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | DBT              | CORP              | US        |    117000 | PA      | $99148.00     | 0.31%             | 2031-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Kubota Credit Owner Trust                      | Kubota Credit Owner Trust, Series 2023-2A, Class A2                           | CUSIP: 500945AB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     23236 | PA      | $23269.24     | 0.07%             | 2026-07-15      | Fixed         | 5.61%                 | Yes           |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                             | T-Mobile USA, Inc.                                                            | CUSIP: 87264ACA1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     69000 | PA      | $64884.08     | 0.20%             | 2028-02-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                          | CUSIP: 3140QMAL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45781 | PA      | $39743.85     | 0.12%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Bonds                                                           | CUSIP: 912810TV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     80000 | PA      | $80446.88     | 0.25%             | 2053-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Stellantis Finance US, Inc.                    | Stellantis Finance US, Inc.                                                   | CUSIP: 85855CAB6<br>LEI: 549300QZ0AI8Q7LNON33 | Long             | DBT              | CORP              | US        |    200000 | PA      | $164925.04    | 0.52%             | 2031-09-15      | Fixed         | 2.69%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                          | CUSIP: 31418EDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70258 | PA      | $58587.45     | 0.18%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                          | CUSIP: 3140MULM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20892 | PA      | $20001.85     | 0.06%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Bonds                                                           | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1548000 | PA      | $1134937.96   | 3.55%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Kenvue, Inc.                                   | Kenvue, Inc.                                                                  | CUSIP: 49177JAK8<br>LEI: 5493008HSF8L4M2LIJ82 | Long             | DBT              | CORP              | US        |     60000 | PA      | $60727.51     | 0.19%             | 2033-03-22      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| American Electric Power Co., Inc.              | American Electric Power Co., Inc.                                             | CUSIP: 025537AW1<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |     43000 | PA      | $44912.19     | 0.14%             | 2032-11-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                          | CUSIP: 3138WHVM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27687 | PA      | $24643.98     | 0.08%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                          | CUSIP: 3132DWDS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    294865 | PA      | $256167.69    | 0.80%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                          | CUSIP: 21H060663<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    125000 | PA      | $126318.36    | 0.40%             | 2055-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Rhode Island Student Loan Authority            | Rhode Island Student Loan Authority                                           | CUSIP: 762323CU5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     85000 | PA      | $86633.14     | 0.27%             | 2042-12-01      | Fixed         | 6.08%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                    | Capital One Financial Corp.                                                   | CUSIP: 14040HCN3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    160000 | PA      | $150779.23    | 0.47%             | 2030-03-01      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Bonds                                                           | CUSIP: 912810TX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    420000 | PA      | $388910.16    | 1.22%             | 2054-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| MF1 LLC                                        | MF1 LLC, Series 2022-FL10, Class AS                                           | CUSIP: 55285BAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $249752.58    | 0.78%             | 2037-09-17      | Floating      | 7.51%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                          | CUSIP: 36179XX50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    149764 | PA      | $147553.86    | 0.46%             | 2053-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                          | CUSIP: 36179X2J4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45751 | PA      | $43978.40     | 0.14%             | 2053-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                          | CUSIP: 3132DQDZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20531 | PA      | $20723.76     | 0.06%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Roper Technologies, Inc.                       | Roper Technologies, Inc.                                                      | CUSIP: 776743AJ5<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |     89000 | PA      | $77877.92     | 0.24%             | 2030-06-30      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                          | CUSIP: 3140ABY90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31973 | PA      | $32462.94     | 0.10%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                           | JPMorgan Chase & Co.                                                          | CUSIP: 46647PBP0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     72000 | PA      | $65806.76     | 0.21%             | 2031-05-13      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| BAT International Finance plc                  | BAT International Finance plc                                                 | CUSIP: 05530QAP5<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |    158000 | PA      | $158181.88    | 0.49%             | 2028-03-16      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                          | CUSIP: 31418FJK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99999 | PA      | $90268.87     | 0.28%             | 2055-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                          | CUSIP: 31418EE89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    252275 | PA      | $215374.46    | 0.67%             | 2042-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                          | CUSIP: 31418EKS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97023 | PA      | $90555.79     | 0.28%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Alimentation Couche-Tard, Inc.                 | Alimentation Couche-Tard, Inc.                                                | CUSIP: 01626PAP1<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |    117000 | PA      | $85959.73     | 0.27%             | 2041-05-13      | Fixed         | 3.44%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, 30 Year, Single Family                                                  | CUSIP: 01F040651<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    125000 | PA      | $116480.49    | 0.36%             | 2055-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                          | CUSIP: 3140N83H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61686 | PA      | $62841.90     | 0.20%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Anglo American Capital plc                     | Anglo American Capital plc                                                    | CUSIP: 034863AW0<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $205061.55    | 0.64%             | 2030-04-01      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Broadcom, Inc.                                 | Broadcom, Inc.                                                                | CUSIP: 11135FAS0<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     63000 | PA      | $60212.13     | 0.19%             | 2032-11-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Anheuser-Busch InBev Worldwide, Inc.           | Anheuser-Busch InBev Worldwide, Inc.                                          | CUSIP: 03523TBJ6<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    123000 | PA      | $154241.91    | 0.48%             | 2039-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                 | Broadcom, Inc.                                                                | CUSIP: 11135FBV2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    108000 | PA      | $103436.54    | 0.32%             | 2037-05-15      | Fixed         | 4.93%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, 30 Year, Single Family                                                  | CUSIP: 01F020653<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    425000 | PA      | $337007.68    | 1.05%             | 2055-05-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                          | CUSIP: 3132DWDY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18418 | PA      | $15318.84     | 0.05%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                           | JPMorgan Chase & Co.                                                          | CUSIP: 46647PDA1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     74000 | PA      | $73904.39     | 0.23%             | 2028-04-26      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| Targa Resources Corp.                          | Targa Resources Corp.                                                         | CUSIP: 87612GAC5<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    138000 | PA      | $142012.28    | 0.44%             | 2033-03-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                          | CUSIP: 3140M83M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65766 | PA      | $52188.79     | 0.16%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2023-40, Class FX                                                | CUSIP: 38383WQB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25170 | PA      | $24499.65     | 0.08%             | 2041-09-20      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Cox Communications, Inc.                       | Cox Communications, Inc.                                                      | CUSIP: 224044CL9<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |     88000 | PA      | $75094.03     | 0.23%             | 2030-10-01      | Fixed         | 1.80%                 | Yes           |                  2 | On Loan: No      |
| LPL Holdings, Inc.                             | LPL Holdings, Inc.                                                            | CUSIP: 50212YAH7<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |     11000 | PA      | $11692.96     | 0.04%             | 2028-11-17      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Eni SpA                                        | Eni SpA                                                                       | CUSIP: 26874RAN8<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |    208000 | PA      | $206146.12    | 0.64%             | 2034-05-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Global Payments, Inc.                          | Global Payments, Inc.                                                         | CUSIP: 37940XAH5<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     77000 | PA      | $66818.27     | 0.21%             | 2031-11-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                          | CUSIP: 3140XCZD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21868 | PA      | $17663.46     | 0.06%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                       | Angel Oak Mortgage Trust, Series 2024-10, Class A1                            | CUSIP: 034933AA9<br>LEI: 254900QN92XYN8GJBJ44 | Long             | ABS-MBS          | CORP              | US        |     97734 | PA      | $97511.97     | 0.31%             | 2069-10-25      | Variable      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| ARI Fleet Lease Trust                          | ARI Fleet Lease Trust, Series 2023-B, Class A2                                | CUSIP: 04033GAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     60775 | PA      | $61252.09     | 0.19%             | 2032-07-15      | Fixed         | 6.05%                 | Yes           |                  2 | On Loan: No      |
| Ready Capital Mortgage Financing LLC           | Ready Capital Mortgage Financing LLC, Series 2022-FL9, Class AS               | CUSIP: 75574EAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $249999.95    | 0.78%             | 2037-06-25      | Floating      | 7.44%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                          | CUSIP: 31418CBZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40150 | PA      | $38062.70     | 0.12%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                          | CUSIP: 3140XHHS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44920 | PA      | $35746.56     | 0.11%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MF1                                            | MF1, Series 2024-FL15, Class AS                                               | CUSIP: 58003MAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    100000 | PA      | $99749.84     | 0.31%             | 2041-08-18      | Floating      | 6.36%                 | Yes           |                  2 | On Loan: No      |
| N/A                                            | U.S. Treasury Ultra Bond                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         6 | NC      | $-14319.98    | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Corebridge Financial, Inc.                     | Corebridge Financial, Inc.                                                    | CUSIP: 21871XAS8<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |     42000 | PA      | $42807.94     | 0.13%             | 2034-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Charles Schwab Corp. (The)                     | Charles Schwab Corp. (The)                                                    | CUSIP: 808513CE3<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |    198000 | PA      | $206879.47    | 0.65%             | 2034-05-19      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                          | CUSIP: 3132DWDT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47913 | PA      | $43311.97     | 0.14%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Notes                                                           | CUSIP: 91282CJT9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1150000 | PA      | $1156289.06   | 3.62%             | 2027-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Equinix, Inc.                                  | Equinix, Inc.                                                                 | CUSIP: 29444UBS4<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |     69000 | PA      | $60416.43     | 0.19%             | 2031-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                       | COLT Mortgage Loan Trust, Series 2024-5, Class A1                             | CUSIP: 19685AAA7<br>LEI: 213800AWBXHFGYDU9Q16 | Long             | ABS-MBS          | CORP              | US        |     91049 | PA      | $90549.84     | 0.28%             | 2069-08-25      | Variable      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                          | CUSIP: 3140N5MY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39207 | PA      | $39274.66     | 0.12%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                          | CUSIP: 3132DWKW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67053 | PA      | $68034.77     | 0.21%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust               | OneMain Financial Issuance Trust, Series 2022-3A, Class A                     | CUSIP: 68269PAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     66261 | PA      | $66584.24     | 0.21%             | 2034-05-15      | Fixed         | 5.94%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                          | CUSIP: 3132DWE66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    126193 | PA      | $120909.54    | 0.38%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC           | Charter Communications Operating LLC                                          | CUSIP: 161175AZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     69000 | PA      | $69844.86     | 0.22%             | 2035-10-23      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Bonds                                                           | CUSIP: 912810TW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000 | PA      | $101031.25    | 0.32%             | 2043-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                           | JPMorgan Chase & Co.                                                          | CUSIP: 46647PCU8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     69000 | PA      | $61162.80     | 0.19%             | 2033-01-25      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| Venture 43 CLO Ltd.                            | Venture 43 CLO Ltd., Series 2021-43A, Class BR                                | CUSIP: 92290CAV1<br>LEI: 549300OLN5VHTMLSN650 | Long             | ABS-CBDO         | CORP              | KY        |    150000 | PA      | $147657.30    | 0.46%             | 2034-04-15      | Floating      | 6.11%                 | Yes           |                  2 | On Loan: No      |
| SBNA Auto Lease Trust                          | SBNA Auto Lease Trust, Series 2024-C, Class A2                                | CUSIP: 78398DAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6614 | PA      | $6617.06      | 0.02%             | 2026-11-20      | Fixed         | 4.94%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                          | CUSIP: 3140N24Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18374 | PA      | $17697.74     | 0.06%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Verisk Analytics, Inc.                         | Verisk Analytics, Inc.                                                        | CUSIP: 92345YAH9<br>LEI: 549300I1YSWNIRKBWP67 | Long             | DBT              | CORP              | US        |     70000 | PA      | $72475.58     | 0.23%             | 2033-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Equinix, Inc.                                  | Equinix, Inc.                                                                 | CUSIP: 29444UBG0<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |     83000 | PA      | $78514.92     | 0.25%             | 2027-07-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                          | CUSIP: 3140MN3E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18873 | PA      | $18073.53     | 0.06%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                          | CUSIP: 3140XHKX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39774 | PA      | $33437.42     | 0.10%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Plains All American Pipeline LP                | Plains All American Pipeline LP                                               | CUSIP: 72650RBN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    174000 | PA      | $163999.32    | 0.51%             | 2030-09-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                          | CUSIP: 3140X9AL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24718 | PA      | $19658.93     | 0.06%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| East Ohio Gas Co. (The)                        | East Ohio Gas Co. (The)                                                       | CUSIP: 27409LAC7<br>LEI: BC95Y6MXLT75BGO7UM71 | Long             | DBT              | CORP              | US        |    176000 | PA      | $154680.99    | 0.48%             | 2030-06-15      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| PFP Ltd.                                       | PFP Ltd., Series 2024-11, Class A                                             | CUSIP: 69291WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    160977 | PA      | $160496.35    | 0.50%             | 2039-09-17      | Floating      | 6.13%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                   | Avolon Holdings Funding Ltd.                                                  | CUSIP: 05401AAG6<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     79000 | PA      | $78402.51     | 0.25%             | 2026-05-01      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Sabine Pass Liquefaction LLC                   | Sabine Pass Liquefaction LLC                                                  | CUSIP: 785592AX4<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |     75000 | PA      | $73968.67     | 0.23%             | 2030-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Rogers Communications, Inc.                    | Rogers Communications, Inc.                                                   | CUSIP: 775109CH2<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |    146000 | PA      | $133434.87    | 0.42%             | 2032-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| BSPRT Issuer Ltd.                              | BSPRT Issuer Ltd., Series 2021-FL6, Class C                                   | CUSIP: 05601HAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    100000 | PA      | $98762.60     | 0.31%             | 2036-03-15      | Floating      | 6.49%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                          | CUSIP: 36179XBT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22470 | PA      | $21003.23     | 0.07%             | 2052-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                          | CUSIP: 3133GG2J1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     80976 | PA      | $73584.81     | 0.23%             | 2037-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                          | CUSIP: 3140QNQ21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20861 | PA      | $18154.47     | 0.06%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                          | CUSIP: 36179XLG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63250 | PA      | $60877.93     | 0.19%             | 2052-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Notes                                                           | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     60000 | PA      | $60459.38     | 0.19%             | 2034-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                          | CUSIP: 3140QNE73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79448 | PA      | $66989.53     | 0.21%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                          | CUSIP: 31418EE97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82029 | PA      | $72310.95     | 0.23%             | 2042-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                               | CVS Health Corp.                                                              | CUSIP: 126650DY3<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     85000 | PA      | $84419.43     | 0.26%             | 2033-06-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                          | CUSIP: 3133AWL77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22511 | PA      | $18102.71     | 0.06%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                          | CUSIP: 3140A5RZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69428 | PA      | $70449.52     | 0.22%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                          | CUSIP: 3133BFN48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    190610 | PA      | $178142.97    | 0.56%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Anheuser-Busch InBev Worldwide, Inc.           | Anheuser-Busch InBev Worldwide, Inc.                                          | CUSIP: 035240AM2<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    163000 | PA      | $148970.10    | 0.47%             | 2038-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                          | CUSIP: 3132DWJQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     92780 | PA      | $90997.18     | 0.28%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                          | CUSIP: 3132ACS27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30042 | PA      | $27662.19     | 0.09%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Brown & Brown, Inc.                            | Brown & Brown, Inc.                                                           | CUSIP: 115236AE1<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |     84000 | PA      | $78231.36     | 0.24%             | 2032-03-17      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                          | CUSIP: 36179W2U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    164343 | PA      | $140080.65    | 0.44%             | 2052-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                       | Angel Oak Mortgage Trust, Series 2024-12, Class A1                            | CUSIP: 034932AA1<br>LEI: 254900S8TF74AZOT0548 | Long             | ABS-MBS          | CORP              | US        |     93044 | PA      | $93278.80     | 0.29%             | 2069-10-25      | Variable      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                          | CUSIP: 36179WY93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    144108 | PA      | $122833.23    | 0.38%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LPL Holdings, Inc.                             | LPL Holdings, Inc.                                                            | CUSIP: 50212YAF1<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |    178000 | PA      | $169602.15    | 0.53%             | 2031-05-15      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| LoanCore Issuer Ltd.                           | LoanCore Issuer Ltd., Series 2021-CRE5, Class B                               | CUSIP: 53947XAG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    100000 | PA      | $99540.87     | 0.31%             | 2036-07-15      | Floating      | 6.44%                 | Yes           |                  2 | On Loan: No      |
| MF1 Ltd.                                       | MF1 Ltd., Series 2021-FL7, Class AS                                           | CUSIP: 55284AAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $248035.75    | 0.78%             | 2036-10-16      | Floating      | 5.88%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                          | CUSIP: 3140XJXH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19188 | PA      | $19500.43     | 0.06%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Commercial Real Estate Notes Ltd. | Arbor Realty Commercial Real Estate Notes Ltd., Series 2021-FL3, Class B      | CUSIP: 03880KAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    200000 | PA      | $197830.80    | 0.62%             | 2034-08-15      | Floating      | 6.04%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                          | CUSIP: 3140XL4T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47153 | PA      | $42568.63     | 0.13%             | 2053-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                            | U.S. Treasury 2 Year Note                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         7 | NC      | $13509.63     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                           | UMBS                                                                          | CUSIP: 3140A3YP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49136 | PA      | $49163.43     | 0.15%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DCP Midstream Operating LP                     | DCP Midstream Operating LP                                                    | CUSIP: 23311VAK3<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |    167000 | PA      | $143476.60    | 0.45%             | 2032-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                          | CUSIP: 3140XFTF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40403 | PA      | $33992.14     | 0.11%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                          | CUSIP: 3132AEP42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17144 | PA      | $15844.69     | 0.05%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MSWF Commercial Mortgage Trust                 | MSWF Commercial Mortgage Trust, Series 2023-2, Class A5                       | CUSIP: 55361AAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     69165 | PA      | $73834.23     | 0.23%             | 2056-12-15      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Bonds                                                           | CUSIP: 912810TU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    150000 | PA      | $144632.81    | 0.45%             | 2043-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| NiSource, Inc.                                 | NiSource, Inc.                                                                | CUSIP: 65473QBD4<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |     73000 | PA      | $69918.27     | 0.22%             | 2045-02-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                          | CUSIP: 31418ELX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107250 | PA      | $105427.45    | 0.33%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, 30 Year, Single Family                                                  | CUSIP: 01F030652<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    250000 | PA      | $216925.55    | 0.68%             | 2055-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Massachusetts Educational Financing Authority  | Massachusetts Educational Financing Authority, Series 2024A                   | CUSIP: 57563RTX7<br>LEI: 5493007K5OP7V6CL0Y88 | Long             | DBT              | MUN               | US        |     95000 | PA      | $95289.30     | 0.30%             | 2049-07-01      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                          | CUSIP: 31418EGG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43696 | PA      | $37960.62     | 0.12%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Dryden 113 CLO Ltd.                            | Dryden 113 CLO Ltd., Series 2022-113A, Class AR2                              | CUSIP: 26253EAZ1<br>LEI: 254900XN9Y85HJGYJ219 | Long             | ABS-CBDO         | CORP              | JE        |    250000 | PA      | $248601.25    | 0.78%             | 2037-10-15      | Floating      | 5.51%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, 30 Year, Single Family                                                  | CUSIP: 01F050650<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $97881.62     | 0.31%             | 2055-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Notes                                                           | CUSIP: 91282CEF4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    850000 | PA      | $832601.56    | 2.60%             | 2027-03-31      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                       | Benchmark Mortgage Trust, Series 2023-V3, Class A3                            | CUSIP: 08163VAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10878 | PA      | $11412.49     | 0.04%             | 2056-07-15      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| Humana, Inc.                                   | Humana, Inc.                                                                  | CUSIP: 444859BV3<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |     38000 | PA      | $38914.59     | 0.12%             | 2033-03-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                          | CUSIP: 31418ES43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47150 | PA      | $46257.45     | 0.14%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                          | CUSIP: 31418EB90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    361731 | PA      | $301613.85    | 0.94%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                   | Pacific Gas and Electric Co.                                                  | CUSIP: 694308JF5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     82000 | PA      | $77222.84     | 0.24%             | 2027-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                          | CUSIP: 3132DQSY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    135264 | PA      | $135606.61    | 0.42%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                          | CUSIP: 31417GLV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6112 | PA      | $5565.33      | 0.02%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                            | U.S. Treasury 5 Year Note                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        12 | NC      | $29207.52     | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Chesapeake Funding II LLC                      | Chesapeake Funding II LLC, Series 2023-1A, Class A1                           | CUSIP: 165183CU6<br>LEI: 5493000HT7H4OFOD6Z12 | Long             | ABS-O            | CORP              | US        |     45553 | PA      | $45815.96     | 0.14%             | 2035-05-15      | Fixed         | 5.65%                 | Yes           |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-05-30

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

**Signature:** James Byrne

**Name of Signer:** James Byrne

**Title:** Assistant Treasurer