# EDGAR Filing Document

**Accession Number:** 0001506768
**File Stem:** 0000894189-26-004401
**Filing Date:** 2026-2
**Character Count:** 161316
**Document Hash:** e5920e50034434e2f5b97a3ad8e9dc6c
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000894189-26-004401.hdr.sgml**: 20260224

**ACCESSION NUMBER**: 0000894189-26-004401

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260224

**DATE AS OF CHANGE**: 20260224

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** LOCORR INVESTMENT TRUST
- **CENTRAL INDEX KEY:** 0001506768

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** OH
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22509
- **FILM NUMBER:** 26670803

**BUSINESS ADDRESS:**
- **STREET 1:** 687 EXCELSIOR BLVD
- **CITY:** EXCELSIOR
- **STATE:** MN
- **ZIP:** 55331
- **BUSINESS PHONE:** 952-767-6900

**MAIL ADDRESS:**
- **STREET 1:** 687 EXCELSIOR BLVD
- **CITY:** EXCELSIOR
- **STATE:** MN
- **ZIP:** 55331

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** LoCorr Investment Trust
- **DATE OF NAME CHANGE:** 20101201

## Series and Classes Contracts Data

### LoCorr Macro Strategies Fund (Series ID: S000031540)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000098137 | Class A      | LFMAX           |
| C000098138 | Class C      | LFMCX           |
| C000098139 | Class I      | LFMIX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** LoCorr Investment Trust

- **b. Investment Company Act file number:** 811-22509

- **c. CIK number of Registrant:** 0001506768

- **d. LEI of Registrant:** 54930075F5KEPQITLS33

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

  - **Street Address 1:** 687 Excelsior Blvd

  - **City:** Excelsior

  - **State:** MN

  - **Foreign country:** US

  - **Zip / Postal Code:** 55331

  - **Telephone number:** 952-767-2920

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

- **a. Name of Series:** LoCorr Macro Strategies Fund

- **b. EDGAR series identifier (if any):** S000031540

- **c. LEI of Series:** PVURTL42JCHIUFP5TI06

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

- **a. Date of fiscal year-end:** 2025-12-31

- **b. Date as of which information is reported:** 2025-12-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1490673734.28

**Total Liabilities:** $5965131.71

**Net Assets:** $1484708602.57

**Amount of Assets Invested in Other Investment Companies:** $18289457.89

**Cash Not Reported:** $106648960.26

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -382805.630000000000 | **1-Year:** 139548.320000000000 | **5-Year:** 186933.550000000000 | **10-Year:** 592.480000000000 | **30-Year:** 0.000000000000

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

- **3-Month:** 181.920000000000 | **1-Year:** 110.790000000000 | **5-Year:** 0.000000000000 | **10-Year:** 0.000000000000 | **30-Year:** 0.000000000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000098137 | 0.90%                | -0.26%               | 0.58%                |
| Class ID C000098138 | 0.97%                | -0.27%               | 0.49%                |
| Class ID C000098139 | 1.14%                | -0.38%               | 0.71%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $551444.88               | $-861402.91                                |
| Month 2  | $923808.48               | $2069752.84                                |
| Month 3  | $1322703.54              | $-2576343.88                               |

**Designated Index Information**

- **Index Name:** N/A

- **Index Identifier:** N/A

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| KITE REALTY GROUP LP           | Kite Realty Group LP                                                        | CUSIP: 49803XAA1<br>LEI: 549300X6R2GYI8Y3OD81 | Long             | DBT              | CORP              | US        |   4950000 | PA      | $4942098.71   | 0.33%             | 2026-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO           | Kraft Heinz Foods Co                                                        | CUSIP: 50077LBC9<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |   3560000 | PA      | $3550922.64   | 0.24%             | 2027-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| KSL Resorts                    | KSL Commercial Mortgage Trust 2024-HT2                                      | CUSIP: 500937AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    728180 | PA      | $727954.16    | 0.05%             | 2039-12-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH INC              | L3Harris Technologies Inc                                                   | CUSIP: 502431AP4<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |   5335000 | PA      | $5412910.42   | 0.36%             | 2027-01-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                            | LME LEAD FUTURE   Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -8 | NC      | $6401.29      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME LEAD FUTURE   Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         6 | NC      | $-662.22      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME NICKEL FUTURE Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |       -13 | NC      | $-121639.88   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER FUTURE Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |       146 | NC      | $5449608.44   | 0.37%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS GROUP AG                   | UBS Group AG                                                                | CUSIP: 225401BC1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   3180000 | PA      | $3246466.48   | 0.22%             | 2027-12-22      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| TX Trust 24-HOU                | TX Trust 2024-HOU                                                           | CUSIP: 90216DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2001248.40   | 0.13%             | 2039-06-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC         | UnitedHealth Group Inc                                                      | CUSIP: 91324PEU2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   5540000 | PA      | $5584876.60   | 0.38%             | 2029-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| World Omni Automobile Lease Se | World Omni Automobile Lease Securitization Trust 2024-A                     | CUSIP: 981946AD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6720000 | PA      | $6769647.36   | 0.46%             | 2027-10-15      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| N/A                            | US 5YR NOTE (CBT) Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -579 | NC      | $-139436.78   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US 5YR NOTE (CBT) Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      1191 | NC      | $-295387.97   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US LONG BOND(CBT) Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -134 | NC      | $-99212.15    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                            | CUSIP: 91282CHM6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    140000 | PA      | $140718.05    | 0.01%             | 2026-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                            | FTSE/MIB IDX FUT  Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | IT        |        36 | NC      | $93479.54     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | FTSE Taiwan Index Jan26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | SG        |        25 | NC      | $25002.50     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | GASOLINE RBOB FUT Feb26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        -9 | NC      | $6102.17      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | GASOLINE RBOB FUT Feb26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        16 | NC      | $-14892.76    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | GASOLINE RBOB FUT Apr26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         8 | NC      | $-8884.88     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | FTSE CHINA A50    Jan26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | SG        |        47 | NC      | $-5171.44     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| AT&T INC                       | AT&T Inc                                                                    | CUSIP: 00206RJX1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   4080000 | PA      | $3987276.21   | 0.27%             | 2027-06-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                      | Amgen Inc                                                                   | CUSIP: 031162DP2<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   3970000 | PA      | $4064239.15   | 0.27%             | 2028-03-02      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust       | Angel Oak Mortgage Trust 2020-5                                             | CUSIP: 03464WAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     46069 | PA      | $44758.97     | 0.00%             | 2065-05-25      | Variable      | 2.04%                 | No            |                  2 | On Loan: No      |
| ARES Commercial Mortgage Trust | ARES Commercial Mortgage Trust 2024-IND                                     | CUSIP: 03990DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1420000 | PA      | $1421766.91   | 0.10%             | 2041-07-15      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| ARDN 2025-ARCP Mortgage Trust  | ARDN 2025-ARCP Mortgage Trust                                               | CUSIP: 039961AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10000000 | PA      | $10015556.00  | 0.67%             | 2035-06-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.         | Argent Securities Inc Asset-Backed Pass-Through Certificates Series 2003-W6 | CUSIP: 040104CU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    521424 | PA      | $563267.53    | 0.04%             | 2034-01-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Commercial Mortgage Trust 2021-XL2                                       | CUSIP: 05609KAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3850000 | PA      | $3846420.66   | 0.26%             | 2038-10-15      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Commercial Mortgage Trust 2022-AHP                                       | CUSIP: 05610FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    965000 | PA      | $964413.47    | 0.06%             | 2039-01-17      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Commercial Mortgage Trust 2024-XL5                                       | CUSIP: 05612GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2355548 | PA      | $2356998.21   | 0.16%             | 2041-03-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP           | Bank of America Corp                                                        | CUSIP: 06051GKP3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   9470000 | PA      | $9508769.90   | 0.64%             | 2028-04-27      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP           | Bank of America Corp                                                        | CUSIP: 06051GML0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  13365000 | PA      | $13808086.37  | 0.93%             | 2031-01-24      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| BOEING CO                      | Boeing Co/The                                                               | CUSIP: 097023DB8<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   6065000 | PA      | $5962688.42   | 0.40%             | 2028-02-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BofA Auto Trust                | BofA Auto Trust 2024-1                                                      | CUSIP: 09709AAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4388500 | PA      | $4426095.75   | 0.30%             | 2028-11-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PART         | Brixmor Operating Partnership LP                                            | CUSIP: 11120VAC7<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |   1910000 | PA      | $1908866.09   | 0.13%             | 2026-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                   | Broadcom Inc                                                                | CUSIP: 11135FCK5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   2395000 | PA      | $2435240.69   | 0.16%             | 2030-07-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC              | Brown & Brown Inc                                                           | CUSIP: 115236AH4<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |   2430000 | PA      | $2442241.13   | 0.16%             | 2026-12-23      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Commercial Mortgage Trust 2021-CIP                                       | CUSIP: 12434FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1913228 | PA      | $1913500.48   | 0.13%             | 2038-12-15      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust   | Hilton Grand Vacations Trust 2024-2                                         | CUSIP: 43283JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2454677 | PA      | $2507498.78   | 0.17%             | 2038-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Honda Auto Receivables Owner T | Honda Auto Receivables 2024-1 Owner Trust                                   | CUSIP: 437918AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2781407 | PA      | $2806050.10   | 0.19%             | 2028-08-15      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| HONEYWELL INTERNATIONAL        | Honeywell International Inc                                                 | CUSIP: 438516CQ7<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |   1570000 | PA      | $1613773.78   | 0.11%             | 2029-09-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| AMCOR GROUP FINANCE            | Amcor Group Finance PLC                                                     | CUSIP: 02344BAA4<br>LEI: 2549008XHB8M1L64J275 | Long             | DBT              | CORP              | GB        |   3125000 | PA      | $3232316.75   | 0.22%             | 2029-05-23      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| American Express Credit Accoun | American Express Credit Account Master Trust                                | CUSIP: 02582JKH2<br>LEI: 549300Y4SA5G3GIJTP18 | Long             | ABS-O            | CORP              | US        |   9350000 | PA      | $9527286.29   | 0.64%             | 2029-04-15      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| American Express Credit Accoun | American Express Credit Account Master Trust                                | CUSIP: 02582JKP4<br>LEI: 549300Y4SA5G3GIJTP18 | Long             | ABS-O            | CORP              | US        |    570000 | PA      | $576614.45    | 0.04%             | 2030-04-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT          | American Homes 4 Rent LP                                                    | CUSIP: 02666TAB3<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |   1640000 | PA      | $1668459.35   | 0.11%             | 2029-02-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                | MVW 2021-1W LLC                                                             | CUSIP: 55389TAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    592234 | PA      | $572623.85    | 0.04%             | 2041-01-22      | Fixed         | 1.14%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                | MVW 2019-2 LLC                                                              | CUSIP: 55400DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    240107 | PA      | $239808.22    | 0.02%             | 2038-10-20      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PVT BANK        | Morgan Stanley Private Bank NA                                              | CUSIP: 61776NZU0<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |   7400000 | PA      | $7424549.13   | 0.50%             | 2028-11-17      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| N/A                            | 3MO EURO EURIBOR  Dec26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |      -113 | NC      | $-1923.26     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 3MO EURO EURIBOR  Dec27                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |       -62 | NC      | $-3931.10     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ZINC   ($)                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         1 | NC      | $469.13       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NIKKEI 225  (SGX) Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | SG        |        -2 | NC      | $604.34       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                            | CUSIP: 91282CJR3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4675000 | PA      | $4703305.68   | 0.32%             | 2028-12-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                            | CUSIP: 91282CKA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  29790000 | PA      | $29986660.47  | 2.02%             | 2027-02-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PVT BANK        | Morgan Stanley Private Bank NA                                              | CUSIP: 61776NZW6<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |  15905000 | PA      | $15954798.56  | 1.07%             | 2031-11-19      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                | MVW 2025-1 LLC                                                              | CUSIP: 627924AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4036215 | PA      | $4093591.15   | 0.28%             | 2042-09-22      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                | MVW 2024-1 LLC                                                              | CUSIP: 62847RAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2990500 | PA      | $3051832.50   | 0.21%             | 2043-02-20      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| PROLOGIS TARGETED US           | Prologis Targeted US Logistics Fund LP                                      | CUSIP: 74350LAA2<br>LEI: 5493004DTBWUQ9F2VJ87 | Long             | DBT              | CORP              | US        |   3710000 | PA      | $3821954.26   | 0.26%             | 2029-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                            | CUSIP: 91282CKD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 115885000 | PA      | $118279654.59 | 7.97%             | 2029-02-28      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                            | CUSIP: 91282CKP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 145460000 | PA      | $150227224.58 | 10.12%            | 2029-04-30      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| ROPER TECHNOLOGIES INC         | Roper Technologies Inc                                                      | CUSIP: 776696AK2<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |   2730000 | PA      | $2740816.70   | 0.18%             | 2028-09-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| SCG Hotel Issuer Inc           | SCG Trust 2025-SNIP                                                         | CUSIP: 78398JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4750000 | PA      | $4757418.08   | 0.32%             | 2042-09-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| SMR 2022-IND Mortgage Trust    | SMR 2022-IND Mortgage Trust                                                 | CUSIP: 78458MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1922922 | PA      | $1922592.41   | 0.13%             | 2039-02-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co  | Sierra Timeshare 2023-2 Receivables Funding LLC                             | CUSIP: 82650BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    348093 | PA      | $357598.51    | 0.02%             | 2040-04-20      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                            | CUSIP: 91282CNK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  19500000 | PA      | $19663007.91  | 1.32%             | 2030-06-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                            | CUSIP: 91282CPA3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  65335000 | PA      | $65141036.72  | 4.39%             | 2030-09-30      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS         | Verizon Communications Inc                                                  | CUSIP: 92343VGH1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   4540000 | PA      | $4360046.29   | 0.29%             | 2028-03-22      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| VIRGINIA POWER FUEL SEC        | Virginia Power Fuel Securitization LLC                                      | CUSIP: 92808VAA0<br>LEI: 254900BELJ95ONW6U791 | Long             | DBT              | CORP              | US        |   1361169 | PA      | $1370139.14   | 0.09%             | 2027-05-01      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| SOUTH BOW USA INFRA HLDS       | South Bow USA Infrastructure Holdings LLC                                   | CUSIP: 83007CAB8<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |   1880000 | PA      | $1897489.13   | 0.13%             | 2027-09-01      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr | SoFi Professional Loan Program 2021-B Trust                                 | CUSIP: 83405NAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1003586 | PA      | $879641.43    | 0.06%             | 2047-02-15      | Fixed         | 1.14%                 | No            |                  2 | On Loan: No      |
| Volkswagen Auto Lease Trust    | Volkswagen Auto Lease Trust 2024-A                                          | CUSIP: 92866EAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4750000 | PA      | $4781926.18   | 0.32%             | 2027-06-21      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| WALMART INC                    | Walmart Inc                                                                 | CUSIP: 931142FN8<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1017165.64   | 0.07%             | 2030-04-28      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON            | Southern California Edison Co                                               | CUSIP: 842400GV9<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    995000 | PA      | $991396.37    | 0.07%             | 2026-02-01      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORP              | State Street Corp                                                           | CUSIP: 857477CU5<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |   2960000 | PA      | $3006069.00   | 0.20%             | 2028-02-28      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| Synchrony Card Issuance Trust  | Synchrony Card Funding LLC                                                  | CUSIP: 87166PAM3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1300000 | PA      | $1318261.88   | 0.09%             | 2030-03-15      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| SYSCO CORPORATION              | Sysco Corp                                                                  | CUSIP: 871829BF3<br>LEI: 5RGWIFLMGH3YS7KWI652 | Long             | DBT              | CORP              | US        |   2680000 | PA      | $2653774.67   | 0.18%             | 2027-07-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Taco Bell Funding, LLC         | Taco Bell Funding LLC                                                       | CUSIP: 87342RAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5767275 | PA      | $5618745.18   | 0.38%             | 2051-08-25      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Tesla Auto Lease Trust         | Tesla Auto Lease Trust 2024-A                                               | CUSIP: 88166VAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2002374 | PA      | $2009508.51   | 0.14%             | 2027-06-21      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Tesla Auto Lease Trust         | Tesla Auto Lease Trust 2024-B                                               | CUSIP: 881934AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3730000 | PA      | $3748133.02   | 0.25%             | 2027-10-20      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| RTX CORP                       | RTX Corp                                                                    | CUSIP: 913017CY3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |   2560000 | PA      | $2569434.80   | 0.17%             | 2028-11-16      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                            | AUD/USD FWD 20260318                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $19334.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | 10YR MINI JGB FUT Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | SG        |       -11 | NC      | $6988.51      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | EURO-SCHATZ FUT   Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |     -4059 | NC      | $210474.32    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | JPY/USD FWD 20260218                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $7312.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | NIKKEI 225  (OSE) Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | JP        |        92 | NC      | $-99886.49    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NOK/USD FWD 20260121                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-22785.83    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | NEW ZEALAND $ FUT Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         6 | NC      | $-3886.94     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 3 MONTH SOFR FUT  Sep27                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -11 | NC      | $-1393.48     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | JPY/USD FWD 20260318                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-51521.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | JPY/USD FWD 20260318                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $343222.30    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | 3 MONTH SOFR FUT  Mar27                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -34 | NC      | $-5057.12     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 3 MONTH SOFR FUT  Mar28                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -10 | NC      | $-754.30      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 3 MONTH SOFR FUT  Jun27                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -12 | NC      | $-1782.66     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 3 MONTH SOFR FUT  Jun27                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      1101 | NC      | $149363.58    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 3 MONTH SOFR FUT  Jun28                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        94 | NC      | $-9803.73     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 3 MONTH SOFR FUT  Sep26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -22 | NC      | $-3874.46     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 3 MONTH SOFR FUT  Dec26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -32 | NC      | $-4216.26     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 3 MONTH SOFR FUT  Dec27                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -23 | NC      | $-2401.14     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | FTSE 100 IDX FUT  Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | GB        |       402 | NC      | $889763.99    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2023-R04                                | CUSIP: 20754QAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5302000 | PA      | $5557125.88   | 0.37%             | 2043-05-25      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2023-R02                                | CUSIP: 20755AAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $5182263.00   | 0.35%             | 2043-01-25      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2023-R05                                | CUSIP: 207942AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1875000 | PA      | $1944455.25   | 0.13%             | 2043-06-25      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| N/A                            | CHF/USD FWD 20260105                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-25445.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CHF/USD FWD 20260105                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $4876.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TRANE TECH FIN LTD             | Trane Technologies Financing Ltd                                            | CUSIP: 456873AE8<br>LEI: 549300A5OEF3CJI2CO89 | Long             | DBT              | CORP              | IE        |   1655000 | PA      | $1652857.40   | 0.11%             | 2026-03-21      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | BBCMS Trust 2015-VFM                                                        | CUSIP: 05546JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     61209 | PA      | $60982.31     | 0.00%             | 2036-03-10      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | BBCMS Mortgage Trust 2023-C19                                               | CUSIP: 05553RAZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7135000 | PA      | $7236400.48   | 0.49%             | 2056-04-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BLP Commercial Mortgage Trust  | BLP Commercial Mortgage Trust 2025-IND2                                     | CUSIP: 05556WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $5003115.00   | 0.34%             | 2042-12-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| BLP Commercial Mortgage Trust  | BLP Commercial Mortgage Trust 2024-IND2                                     | CUSIP: 05625AAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2942613 | PA      | $2944423.68   | 0.20%             | 2041-03-15      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| N/A                            | CHF/USD FWD 20260121                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-33644.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CHF/USD FWD 20260121                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $230151.26    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | IFSC NIFTY 50 FUT Jan26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | IN        |       -26 | NC      | $62.08        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | SOYBEAN FUTURE    Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       -70 | NC      | $114736.10    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | SOYBEAN FUTURE    Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        94 | NC      | $-407089.44   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | SGD/USD FWD 20260121                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $160769.76    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CME Bitcoin Fut   Jan26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         2 | NC      | $-23781.49    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | SILVER FUTURE     Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        38 | NC      | $1314093.74   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | CORN FUTURE       Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |      -474 | NC      | $178331.70    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | COCOA FUTURE      Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        -3 | NC      | $-197.29      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | CHF/USD FWD 20260318                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $66034.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CLP/USD FWD 20260121                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-41451.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CLP/USD FWD 20260121                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $94295.96     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CNH/USD FWD 20260105                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-4014.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CNH/USD FWD 20260105                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $3806.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CNH/USD FWD 20260121                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-214205.44   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CNH/USD FWD 20260121                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $634403.37    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | COTTON NO.2 FUTR  Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |      -157 | NC      | $123321.06    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | DJIA MINI e-CBOT  Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |       160 | NC      | $-366667.08   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | DOLLAR INDEX      Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         4 | NC      | $1354.52      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Natixis Commercial Mortgage Se | Natixis Commercial Mortgage Securities Trust 2019-LVL                       | CUSIP: 63874TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3700000 | PA      | $3605607.08   | 0.24%             | 2038-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC               | T-Mobile USA Inc                                                            | CUSIP: 87264ADA0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   2685000 | PA      | $2734389.82   | 0.18%             | 2028-07-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC               | T-Mobile USA Inc                                                            | CUSIP: 87264ADE2<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   5320000 | PA      | $5437458.84   | 0.37%             | 2029-01-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| T-Mobile US Trust              | T-Mobile US Trust 2024-1                                                    | CUSIP: 87267RAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2140000 | PA      | $2153144.09   | 0.15%             | 2029-09-20      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner  | Toyota Auto Receivables 2022-C Owner Trust                                  | CUSIP: 89231CAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    446264 | PA      | $446180.08    | 0.03%             | 2027-04-15      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner  | Toyota Auto Receivables 2024-B Owner Trust                                  | CUSIP: 89237NAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11580218 | PA      | $11705704.38  | 0.79%             | 2029-01-16      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| Toyota Lease Owner Trust       | Toyota Lease Owner Trust 2024-A                                             | CUSIP: 89238GAD3<br>LEI: 254900MVSB4M6HOIRE71 | Long             | ABS-O            | CORP              | US        |   2686923 | PA      | $2696242.17   | 0.18%             | 2027-04-20      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                            | WTI CRUDE FUTURE  Feb26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |      -185 | NC      | $-196445.95   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | WTI CRUDE FUTURE  Feb26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       275 | NC      | $78450.25     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | WTI CRUDE FUTURE  Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        52 | NC      | $-22578.28    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | WTI CRUDE FUTURE  Apr26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         5 | NC      | $-2219.45     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | WTI CRUDE FUTURE  May26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        -1 | NC      | $678.11       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | WTI CRUDE FUTURE  Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        -1 | NC      | $848.11       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | USD/ZAR FWD 20260121                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-97726.49    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | USD/ZAR FWD 20260121                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $593065.23    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | US LONG BOND(CBT) Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       231 | NC      | $-50052.45    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | WHEAT FUTURE(CBT) Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |      -366 | NC      | $535959.90    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US ULTRA BOND CBT Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -105 | NC      | $-2693.15     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | EUR/USD FWD 20260102                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $855.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | EUR/USD FWD 20260102                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $2629.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | EUR/USD FWD 20260121                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-414781.59   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | EUR/USD FWD 20260121                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $294506.92    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | DAX INDEX FUTURE  Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | DE        |        66 | NC      | $471289.12    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | COPPER FUTURE     Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        12 | NC      | $34465.34     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | COFFEE 'C' FUTURE Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        63 | NC      | $-415956.90   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | ECX EMISSION      Dec26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               |  | NL        |        19 | NC      | $-2764.82     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | COCOA FUTURE - IC Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |       -30 | NC      | $-19244.62    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | E-Mini Russ 2000  Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |       274 | NC      | $-759138.32   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| CVS HEALTH CORP                | CVS Health Corp                                                             | CUSIP: 126650CU2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   6560000 | PA      | $6526876.99   | 0.44%             | 2026-06-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                | CVS Health Corp                                                             | CUSIP: 126650DW7<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   3835000 | PA      | $3918667.62   | 0.26%             | 2029-01-30      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2022-R03                                | CUSIP: 20753XAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4790000 | PA      | $4919184.38   | 0.33%             | 2042-03-25      | Floating      | 7.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2022-R04                                | CUSIP: 20753YCK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3350000 | PA      | $3431138.34   | 0.23%             | 2042-03-25      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2022-R05                                | CUSIP: 20754DAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    380000 | PA      | $388391.46    | 0.03%             | 2042-04-25      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2022-R07                                | CUSIP: 20754MCB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4255706 | PA      | $4471872.88   | 0.30%             | 2042-06-25      | Floating      | 8.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2022-R06                                | CUSIP: 20754NAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1675000 | PA      | $1735537.52   | 0.12%             | 2042-05-25      | Floating      | 7.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2022-R08                                | CUSIP: 20755DAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6105000 | PA      | $6310699.43   | 0.43%             | 2042-07-25      | Floating      | 7.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2023-R01                                | CUSIP: 207932AB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4400000 | PA      | $4595615.64   | 0.31%             | 2042-12-25      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| DB Master Finance LLC          | DB Master Finance LLC                                                       | CUSIP: 233046AN1<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-O            | CORP              | US        |   3936000 | PA      | $3860924.74   | 0.26%             | 2051-11-20      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY               | Deutsche Bank AG/New York NY                                                | CUSIP: 251526CX5<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   1460000 | PA      | $1483216.76   | 0.10%             | 2030-09-11      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK         | Federal Home Loan Banks                                                     | CUSIP: 3130ALBC7<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |  11160000 | PA      | $10558104.26  | 0.71%             | 2028-02-25      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO       | Florida Power & Light Co                                                    | CUSIP: 341081GK7<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |   4100000 | PA      | $4205039.66   | 0.28%             | 2028-04-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO       | Florida Power & Light Co                                                    | CUSIP: 341081GN1<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |   5195000 | PA      | $5261480.36   | 0.35%             | 2028-05-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust   | Ford Credit Auto Owner Trust 2024-A                                         | CUSIP: 34535EAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3597560 | PA      | $3630489.87   | 0.24%             | 2028-12-15      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| HALEON US CAPITAL LLC          | Haleon US Capital LLC                                                       | CUSIP: 36264FAK7<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |   6050000 | PA      | $6006742.56   | 0.40%             | 2027-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| HCA INC                        | HCA Inc                                                                     | CUSIP: 404119CY3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   2160000 | PA      | $2200870.31   | 0.15%             | 2028-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LINEAGE OP LP                  | Lineage OP LP                                                               | CUSIP: 53567YAA7<br>LEI: 254900CSRDL1G4SRQE89 | Long             | DBT              | CORP              | US        |   3240000 | PA      | $3271081.45   | 0.22%             | 2030-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust             | MCR 2024-HTL Mortgage Trust                                                 | CUSIP: 55286PAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    946688 | PA      | $946942.69    | 0.06%             | 2037-02-15      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| MARS INC                       | Mars Inc                                                                    | CUSIP: 571676AX3<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |  14680000 | PA      | $14885020.88  | 1.00%             | 2028-03-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| MARS INC                       | Mars Inc                                                                    | CUSIP: 571676AY1<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |  13800000 | PA      | $14111715.37  | 0.95%             | 2030-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE RLTY HLDGS LP       | Healthcare Realty Holdings LP                                               | CUSIP: 42225UAF1<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |   9345000 | PA      | $9281696.04   | 0.63%             | 2027-07-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust   | Hilton Grand Vacations Trust 2019-A                                         | CUSIP: 43284HAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    348714 | PA      | $347718.19    | 0.02%             | 2033-07-25      | Fixed         | 2.34%                 | No            |                  2 | On Loan: No      |
| N/A                            | SET50 FUTURES     Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | TH        |        94 | NC      | $-4016.79     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | BP CURRENCY FUT   Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |        -2 | NC      | $558.44       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Mercedes-Benz Auto Lease Trust | Mercedes-Benz Auto Lease Trust 2025-B                                       | CUSIP: 58770XAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6900000 | PA      | $6902212.83   | 0.46%             | 2029-04-16      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| MET LIFE GLOB FUNDING I        | Metropolitan Life Global Funding I                                          | CUSIP: 592179KF1<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |   1430000 | PA      | $1459525.71   | 0.10%             | 2028-01-06      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| MILE Trust                     | MILE Trust 2025-STNE                                                        | CUSIP: 59918AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3100000 | PA      | $3101935.95   | 0.21%             | 2042-07-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                            | BP CURRENCY FUT   Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |       118 | NC      | $-36583.52    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | BOVESPA INDEX FUT Feb26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | BR        |      -120 | NC      | $-30110.13    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRU | WFRBS Commercial Mortgage Trust 2014-C22                                    | CUSIP: 92890KBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    302070 | PA      | $286976.03    | 0.02%             | 2057-09-15      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| N/A                            | EURO FX CURR FUT  Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |        -8 | NC      | $5252.75      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | EURO FX CURR FUT  Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |       415 | NC      | $-193961.18   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | S&P500 EMINI FUT  Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |       243 | NC      | $-123889.04   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | EUR/USD FWD 20260318                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $43242.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | EUR/USD FWD 20260318                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $195763.24    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | Euro-BTP Future   Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |       -11 | NC      | $139.48       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | Euro-BTP Future   Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |        97 | NC      | $-38340.62    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | ILS/USD FWD 20260121                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $24616.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | INR/USD FWD 20260121                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $9750.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | INR/USD FWD 20260121                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $12627.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | JPN 10Y BOND(OSE) Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | JP        |      -106 | NC      | $610180.10    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | JPN 10Y BOND(OSE) Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | JP        |         7 | NC      | $-211.76      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | JPY/USD FWD 20260105                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-98430.86    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | JPY/USD FWD 20260105                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $67793.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | JPY/USD FWD 20260106                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-19329.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | JPY/USD FWD 20260106                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $44151.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | JPY/USD FWD 20260121                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-499920.46   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | JPY/USD FWD 20260121                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $341513.83    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | JPN YEN CURR FUT  Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |      -219 | NC      | $57322.24     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | Euro-OAT Future   Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |       -72 | NC      | $-5903.18     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | Euro-OAT Future   Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |        39 | NC      | $-9380.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | EURO-BOBL FUTURE  Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |     -1973 | NC      | $48217.76     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | EURO-BUND FUTURE  Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |     -1480 | NC      | $80384.61     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | SEK/USD FWD 20260105                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-4963.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | SEK/USD FWD 20260105                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $3202.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | SEK/USD FWD 20260121                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-22814.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | SEK/USD FWD 20260121                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $585462.71    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | SGD/USD FWD 20260121                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-21006.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | EURO-BUXL 30Y BND Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |      -104 | NC      | $-38297.82    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | EURO STOXX 50     Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | DE        |      1023 | NC      | $829272.57    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | AUST 3YR BOND FUT Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | AU        |        32 | NC      | $-91.34       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| PKHL Commercial Mortgage Trust | PKHL Commercial Mortgage Trust 2021-MF                                      | CUSIP: 69356GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5750000 | PA      | $5420686.00   | 0.37%             | 2038-07-15      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Porsche Financial Auto Securit | Porsche Financial Auto Securitization Trust 2024-1                          | CUSIP: 73328EAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1506145.80   | 0.10%             | 2030-01-22      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL LFE GLB FND II       | Principal Life Global Funding II                                            | CUSIP: 74256LEK1<br>LEI: 635400WSLKBQWSOIIT41 | Long             | DBT              | CORP              | US        |   2530000 | PA      | $2527620.59   | 0.17%             | 2026-01-12      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| US BANK MMDA - USBGFS 9        | US BANK MMDA - USBGFS 9                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | RF                | US        |  58810581 | NS      | $58810581.01  | 3.96%             |  |  |  | No            |                  1 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                            | CUSIP: 91282CDF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3240000 | PA      | $3053446.89   | 0.21%             | 2028-10-31      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                            | CUSIP: 91282CEV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  90490000 | PA      | $89503800.16  | 6.03%             | 2029-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                            | SOYBEAN OIL FUTR  Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       -81 | NC      | $15715.50     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                            | CUSIP: 91282CGQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  94525000 | PA      | $95798871.83  | 6.45%             | 2030-02-28      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC         | UnitedHealth Group Inc                                                      | CUSIP: 91324PFN7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   1940000 | PA      | $1962501.40   | 0.13%             | 2028-06-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| N/A                            | LIVE CATTLE FUTR  Feb26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         2 | NC      | $935.20       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LEAN HOGS FUTURE  Feb26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       -22 | NC      | $-16952.82    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ALUMINUM                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -1 | NC      | $-6247.19     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | SOYBEAN OIL FUTR  Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        48 | NC      | $-17340.96    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | CAD/USD FWD 20260121                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-1232953.70  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CAD/USD FWD 20260121                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $229726.28    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CAD/USD FWD 20260318                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-543445.00   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CAD/USD FWD 20260318                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $108183.47    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CAC40 10 EURO FUT Jan26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | FR        |       205 | NC      | $113120.67    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | CHF/USD FWD 20260318                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-18299.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CAN 10YR BOND FUT Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |       310 | NC      | $-365879.74   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ALUMINUM                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         1 | NC      | $5924.56      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ALUMINUM                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -2 | NC      | $-4858.88     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ALUMINUM                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         2 | NC      | $5598.62      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | SUGAR #11 (WORLD) Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |      -425 | NC      | $348486.55    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | CHF CURRENCY FUT  Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |       160 | NC      | $-143013.21   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | SOYBEAN MEAL FUTR Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |      -107 | NC      | $47920.18     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | TOPIX INDX FUTR   Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | JP        |       256 | NC      | $296841.17    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US 2YR NOTE (CBT) Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -125 | NC      | $-26455.43    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US 2YR NOTE (CBT) Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       566 | NC      | $-63214.57    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US 10YR NOTE (CBT)Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -198 | NC      | $670.37       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US 10YR NOTE (CBT)Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       681 | NC      | $-480462.98   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | TTF NAT GAS F     Feb26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | NL        |       -15 | NC      | $-1517.62     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US 10yr Ultra Fut Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         9 | NC      | $-2369.91     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | SPI 200 FUTURES   Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | AU        |       -11 | NC      | $10315.16     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ABBVIE INC                     | AbbVie Inc                                                                  | CUSIP: 00287YDS5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1640467.38   | 0.11%             | 2029-03-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA       | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                   | CUSIP: 00774MBD6<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   6720000 | PA      | $6847533.37   | 0.46%             | 2027-01-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| ALEN 2021-ACEN Mortgage Trust  | Alen 2021-ACEN Mortgage Trust                                               | CUSIP: 01449NAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3150000 | PA      | $2999403.86   | 0.20%             | 2034-04-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust   | CD 2017-CD6 Mortgage Trust                                                  | CUSIP: 125039AF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2300000 | PA      | $2271605.81   | 0.15%             | 2050-11-13      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                  | Citigroup Inc                                                               | CUSIP: 172967QF1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   3545000 | PA      | $3560363.14   | 0.24%             | 2031-09-11      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                    | Citibank NA                                                                 | CUSIP: 17325FBN7<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |   5880000 | PA      | $5940654.38   | 0.40%             | 2027-05-29      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| CNH Equipment Trust            | CNH Equipment Trust 2024-C                                                  | CUSIP: 18978GAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2775000 | PA      | $2785739.81   | 0.19%             | 2030-01-15      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA             | Credit Agricole SA                                                          | CUSIP: 22535WAR8<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   1305000 | PA      | $1340923.57   | 0.09%             | 2031-05-27      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| N/A                            | BRL/USD FWD 20260121                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-757041.56   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | BRL/USD FWD 20260121                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-171810.58   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | C$ CURRENCY FUT   Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |       -48 | NC      | $-17334.40    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | C$ CURRENCY FUT   Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |       208 | NC      | $29622.57     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | BRENT CRUDE FUTR  Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |      -136 | NC      | $-90836.16    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | BRENT CRUDE FUTR  Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |       322 | NC      | $-132098.94   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | BRENT CRUDE FUTR  Apr26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        80 | NC      | $-57921.60    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | BRENT CRUDE FUTR  May26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        17 | NC      | $-15221.59    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | BRENT CRUDE FUTR  Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        10 | NC      | $-8462.70     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | BRENT CRUDE FUTR  Jul26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         5 | NC      | $-4146.35     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | BRENT CRUDE FUTR  Aug26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         2 | NC      | $-712.54      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LONG GILT FUTURE  Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |       304 | NC      | $87076.68     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ZINC FUTURE   Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |       -19 | NC      | $-26695.99    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ZINC FUTURE   Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |       109 | NC      | $190357.25    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NY Harb ULSD Fut  Feb26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        48 | NC      | $-51490.06    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NY Harb ULSD Fut  Apr26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         2 | NC      | $-2305.22     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NOK/USD FWD 20260121                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-9191.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | ICE 3MTH SONIA FU Mar27                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        81 | NC      | $16498.82     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | ICE 3MTH SONIA FU Jun27                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |       313 | NC      | $90790.42     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | ICE 3MTH SONIA FU Dec26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        76 | NC      | $16486.97     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | ICE 3MTH SONIA FU Dec27                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        37 | NC      | $8320.33      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC HOLDINGS PLC              | HSBC Holdings PLC                                                           | CUSIP: 404280DU0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   3420000 | PA      | $3561764.61   | 0.24%             | 2029-03-09      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO            | JPMorgan Chase & Co                                                         | CUSIP: 46647PEY8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  16120000 | PA      | $16657901.67  | 1.12%             | 2031-04-22      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| Ladder Capital Commercial Mort | Ladder Capital Commercial Mortgage 2013-GCP Mortgage Trust                  | CUSIP: 50184BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    822471 | PA      | $801286.77    | 0.05%             | 2036-02-15      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| N/A                            | S&P MID 400 EMINI Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        -6 | NC      | $44419.44     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NY Harb ULSD Fut  Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        10 | NC      | $-10673.50    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NY Harb ULSD Fut  May26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         1 | NC      | $-1274.41     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NZD/USD FWD 20260105                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-84056.44    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | NZD/USD FWD 20260105                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $74574.24     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | NZD/USD FWD 20260121                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-141412.19   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | NZD/USD FWD 20260121                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $149777.15    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | NZD/USD FWD 20260318                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-61323.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | NZD/USD FWD 20260318                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $93875.47     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | PLATINUM FUTURE   Apr26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        -1 | NC      | $4392.98      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | PLN/USD FWD 20260121                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-3151.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | PLN/USD FWD 20260121                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $107583.37    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | S&P/TSX 60 IX FUT Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | CA        |        -2 | NC      | $4033.30      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | MSCI EmgMkt       Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         9 | NC      | $-1789.19     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | MSCI EAFE         Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        12 | NC      | $-5669.44     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | MXN/USD FWD 20260121                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $16074.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | MXN/USD FWD 20260121                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $640252.12    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | MXN/USD FWD 20260318                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-471.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | MXN/USD FWD 20260318                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $348551.86    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | NATURAL GAS FUTR  Feb26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |      -153 | NC      | $47745.13     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NATURAL GAS FUTR  Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       -10 | NC      | $17970.10     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NATURAL GAS FUTR  Apr26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        -8 | NC      | $15174.08     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NATURAL GAS FUTR  May26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        -2 | NC      | $2866.02      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NATURAL GAS FUTR  Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         1 | NC      | $-1541.99     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NASDAQ 100 E-MINI Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |       132 | NC      | $-218973.18   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | MEXICAN PESO FUT  Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |       471 | NC      | $2268.79      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | Low Su Gasoil G   Feb26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |       110 | NC      | $55763.50     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | Low Su Gasoil G   Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        28 | NC      | $1239.44      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | Low Su Gasoil G   Apr26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         8 | NC      | $689.84       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BX Trust                       | BX Trust 2025-DELC                                                          | CUSIP: 05594MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2002491.40   | 0.13%             | 2042-12-15      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Trust 2021-VIEW                                                          | CUSIP: 05606GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1997570.80   | 0.13%             | 2036-06-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Trust 2022-VAMF                                                          | CUSIP: 05609TAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1748935.83   | 0.12%             | 2039-01-15      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Commercial Mortgage Trust 2025-BCAT                                      | CUSIP: 12433HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1724913 | PA      | $1727061.43   | 0.12%             | 2042-08-15      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust | Carvana Auto Receivables Trust 2024-P4                                      | CUSIP: 14076LAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    265000 | PA      | $266624.45    | 0.02%             | 2030-01-10      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust        | CarMax Auto Owner Trust 2024-4                                              | CUSIP: 14290DAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11090000 | PA      | $11206736.67  | 0.75%             | 2029-10-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust | Carvana Auto Receivables Trust 2022-P3                                      | CUSIP: 14686MAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    789934 | PA      | $790616.33    | 0.05%             | 2027-11-10      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2023-R06                                | CUSIP: 20754EAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3060000 | PA      | $3144760.16   | 0.21%             | 2043-07-25      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2024-R02                                | CUSIP: 20754GAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    530000 | PA      | $532809.74    | 0.04%             | 2044-02-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2023-R08                                | CUSIP: 20755CAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    740000 | PA      | $752254.40    | 0.05%             | 2043-10-25      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS          | Duke Energy Carolinas LLC                                                   | CUSIP: 26442CBP8<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |   3405000 | PA      | $3508032.17   | 0.24%             | 2030-03-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| ELARA HGV TIMESHARE ISSUER     | Elara HGV Timeshare Issuer 2021-A LLC                                       | CUSIP: 28416LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    663050 | PA      | $635244.46    | 0.04%             | 2035-08-27      | Fixed         | 1.36%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                   | Enbridge Inc                                                                | CUSIP: 29250NBX2<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |   2875000 | PA      | $3022140.83   | 0.20%             | 2028-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP             | Energy Transfer LP                                                          | CUSIP: 29273VAR1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   6370000 | PA      | $6472710.71   | 0.44%             | 2026-12-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| ESSEX PORTFOLIO LP             | Essex Portfolio LP                                                          | CUSIP: 29717PAY3<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |   1635000 | PA      | $1553553.72   | 0.10%             | 2028-03-01      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| FRESB Multifamily Mortgage Pas | FRESB 2016-SB23 Mortgage Trust                                              | CUSIP: 30295LAE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    798189 | PA      | $790980.24    | 0.05%             | 2026-09-25      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK         | Federal Home Loan Banks                                                     | CUSIP: 3130AKXQ4<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   7100000 | PA      | $7075161.01   | 0.48%             | 2026-02-12      | Fixed         | 0.60%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK       | Federal Farm Credit Banks Funding Corp                                      | CUSIP: 3133EP4K8<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |  13745000 | PA      | $13769565.48  | 0.93%             | 2026-03-05      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK       | Federal Farm Credit Banks Funding Corp                                      | CUSIP: 3133EPSW6<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |  11900000 | PA      | $11965312.08  | 0.81%             | 2026-08-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK       | Federal Farm Credit Banks Funding Corp                                      | CUSIP: 3133ERHH7<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |   3725000 | PA      | $3765114.00   | 0.25%             | 2026-12-14      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                     | Federal National Mortgage Association                                       | CUSIP: 3135G05Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |  34505000 | PA      | $32898874.03  | 2.22%             | 2027-10-08      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                     | Federal National Mortgage Association                                       | CUSIP: 3135G0Q22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |  26835000 | PA      | $26506043.69  | 1.79%             | 2026-09-24      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FED CAISSES DESJARDINS         | Federation des Caisses Desjardins du Quebec                                 | CUSIP: 31429KAK9<br>LEI: 549300B2Q47IR0CR5B54 | Long             | DBT              | CORP              | CA        |   3550000 | PA      | $3670735.50   | 0.25%             | 2028-03-14      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust   | Ford Credit Auto Owner Trust 2024-C                                         | CUSIP: 34532UAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8075000 | PA      | $8102908.01   | 0.55%             | 2029-07-15      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust   | Ford Credit Auto Owner Trust 2024-D                                         | CUSIP: 34535VAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3400000 | PA      | $3440903.70   | 0.23%             | 2029-08-15      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR REMIC Trust 2022-DNA6                                     | CUSIP: 35564KH44<br>LEI: 5493000IS30HKV5IAS29 | Long             | ABS-MBS          | CORP              | US        |   3010000 | PA      | $3139821.30   | 0.21%             | 2042-09-25      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR REMIC Trust 2023-DNA1                                     | CUSIP: 35564KP45<br>LEI: 5493000IRILHAKSCHN59 | Long             | ABS-MBS          | CORP              | US        |   2085000 | PA      | $2160307.07   | 0.15%             | 2043-03-25      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR REMIC Trust 2023-DNA2                                     | CUSIP: 35564KT66<br>LEI: 5493000IRI80KQJUNK40 | Long             | ABS-MBS          | CORP              | US        |   5210000 | PA      | $5420443.36   | 0.37%             | 2043-04-25      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR REMIC Trust 2023-HQA1                                     | CUSIP: 35564KX87<br>LEI: 5493000IRHY5YZIPQD14 | Long             | ABS-MBS          | CORP              | US        |  10230000 | PA      | $10714995.09  | 0.72%             | 2043-05-25      | Floating      | 7.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR REMIC Trust 2022-DNA5                                     | CUSIP: 35564KYP8<br>LEI: 5493000IS349P4O9HR58 | Long             | ABS-MBS          | CORP              | US        |   7820000 | PA      | $8225881.46   | 0.55%             | 2042-06-25      | Floating      | 8.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR REMIC Trust 2023-HQA3                                     | CUSIP: 35564NAA1<br>LEI: 529900ZTXRUUVE8G8W08 | Long             | ABS-MBS          | CORP              | US        |   4150000 | PA      | $4341862.80   | 0.29%             | 2043-11-25      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust   | GS Mortgage Securities Trust 2017-GS6                                       | CUSIP: 36253PAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1977684.20   | 0.13%             | 2050-05-10      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Corp Trust 2021-NQM1                          | CUSIP: 36262EAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    828874 | PA      | $761286.09    | 0.05%             | 2061-07-25      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| GM Financial Automobile Leasin | GM Financial Automobile Leasing Trust 2024-2                                | CUSIP: 36269WAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11711806 | PA      | $11763177.55  | 0.79%             | 2027-07-20      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| GSAT Trust 2025-BMF            | GSAT Trust 2025-BMF                                                         | CUSIP: 36271XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2900000 | PA      | $2903624.13   | 0.20%             | 2040-07-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| GENERAL MILLS INC              | General Mills Inc                                                           | CUSIP: 370334DA9<br>LEI: 2TGYMUGI08PO8X8L6150 | Long             | DBT              | CORP              | US        |   3865000 | PA      | $3955720.40   | 0.27%             | 2030-01-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO         | General Motors Financial Co Inc                                             | CUSIP: 37045XFB7<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   4875000 | PA      | $5037838.80   | 0.34%             | 2030-01-07      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC            | Global Payments Inc                                                         | CUSIP: 37940XAW2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   2195000 | PA      | $2199841.05   | 0.15%             | 2030-11-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| GM Financial Securitized Term  | GM Financial Consumer Automobile Receivables Trust 2024-2                   | CUSIP: 379931AD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4734785 | PA      | $4775336.85   | 0.32%             | 2029-03-16      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC        | Goldman Sachs Group Inc/The                                                 | CUSIP: 38141GA46<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2025000 | PA      | $2148258.94   | 0.14%             | 2029-10-24      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC        | Goldman Sachs Group Inc/The                                                 | CUSIP: 38141GC93<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2445000 | PA      | $2527033.12   | 0.17%             | 2031-04-23      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| NYC Trust                      | NYCT Trust 2024-3ELV                                                        | CUSIP: 62956HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5650000 | PA      | $5657050.64   | 0.38%             | 2029-08-15      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC            | NatWest Markets PLC                                                         | CUSIP: 63906YAJ7<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |   3615000 | PA      | $3752183.79   | 0.25%             | 2029-05-17      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust     | Navient Private Education Refi Loan Trust 2021-A                            | CUSIP: 63942BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1008116 | PA      | $926474.40    | 0.06%             | 2069-05-15      | Fixed         | 0.84%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan  | New Residential Mortgage Loan Trust 2016-1                                  | CUSIP: 64829FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    428163 | PA      | $414361.91    | 0.03%             | 2056-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan  | New Residential Mortgage Loan Trust 2017-2                                  | CUSIP: 64829KBV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    650602 | PA      | $633946.94    | 0.04%             | 2057-03-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| NRTH PARK Mortgage Trust       | NRTH Commercial Mortgage Trust 2025-PARK                                    | CUSIP: 669985AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6070000 | PA      | $6075696.09   | 0.41%             | 2040-10-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| O'REILLY AUTOMOTIVE INC        | O'Reilly Automotive Inc                                                     | CUSIP: 67103HAJ6<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |   1795000 | PA      | $1791382.63   | 0.12%             | 2030-04-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| O'REILLY AUTOMOTIVE INC        | O'Reilly Automotive Inc                                                     | CUSIP: 67103HAM9<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |   3915000 | PA      | $3967918.90   | 0.27%             | 2026-11-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ONNI Commercial Mortgage Trust | ONNI Commerical Mortgage Trust 2024-APT                                     | CUSIP: 682939AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1600000 | PA      | $1630349.76   | 0.11%             | 2039-07-15      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                    | Oracle Corp                                                                 | CUSIP: 68389XCY9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   2655000 | PA      | $2669252.25   | 0.18%             | 2028-08-03      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| PFS Financing Corp.            | PFS Financing Corp                                                          | CUSIP: 69335PFE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4041771.20   | 0.27%             | 2029-02-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| PFS Financing Corp.            | PFS Financing Corp                                                          | CUSIP: 69335PFJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4440000 | PA      | $4512879.05   | 0.30%             | 2029-04-15      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                    | PepsiCo Inc                                                                 | CUSIP: 713448GL6<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |   3275000 | PA      | $3294488.94   | 0.22%             | 2029-01-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC         | Philip Morris International Inc                                             | CUSIP: 718172DN6<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   3150000 | PA      | $3206079.45   | 0.22%             | 2029-11-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2024-SVEN                             | CUSIP: 949937AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1039259.30   | 0.07%             | 2037-06-10      | Fixed         | 6.01%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY          | Wells Fargo & Co                                                            | CUSIP: 95000U3W1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   8090000 | PA      | $8357819.94   | 0.56%             | 2031-04-23      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2025-B33RP                            | CUSIP: 95004RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5250000 | PA      | $5247676.35   | 0.35%             | 2042-08-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| N/A                            | AUDUSD Crncy Fut  Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |       -16 | NC      | $1588.08      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | AUDUSD Crncy Fut  Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |       204 | NC      | $-42862.44    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | AUD/USD FWD 20260102                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-8456.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | AUD/USD FWD 20260102                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $11028.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | AUD/USD FWD 20260121                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-323766.31   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | AUD/USD FWD 20260121                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $269016.19    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | AUD/USD FWD 20260318                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $160330.21    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | 3MO EURO EURIBOR  Mar27                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |      -103 | NC      | $-3403.15     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 3MO EURO EURIBOR  Mar28                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |       -58 | NC      | $-6985.10     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 3MO EURO EURIBOR  Jun27                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     -1312 | NC      | $-65885.28    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 3MO EURO EURIBOR  Sep26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |      -119 | NC      | $16657.31     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 3MO EURO EURIBOR  Sep27                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |       -75 | NC      | $-4244.53     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | GBP/USD FWD 20260102                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $3473.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | GBP/USD FWD 20260102                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $6638.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | GBP/USD FWD 20260121                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-411969.21   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | GBP/USD FWD 20260121                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $967981.01    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | GBP/USD FWD 20260218                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-4331.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | GBP/USD FWD 20260318                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $5020.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | GBP/USD FWD 20260318                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $547208.95    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | GOLD 100 OZ FUTR  Feb26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        95 | NC      | $744619.11    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | HSCEI Futures     Jan26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | HK        |       158 | NC      | $-90610.40    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | HANG SENG IDX FUT Jan26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | HK        |       150 | NC      | $-249613.86   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | IBEX 35 INDX FUTR Jan26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | ES        |         1 | NC      | $3993.28      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | KOSPI2 INX FUT    Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | KR        |       152 | NC      | $499200.31    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | KRW/USD FWD 20260121                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-61188.93    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | KRW/USD FWD 20260121                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $126778.69    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | KC HRW WHEAT FUT  Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |      -271 | NC      | $187276.09    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME PRI ALUM FUTR Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |       -41 | NC      | $-112367.06   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME PRI ALUM FUTR Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |       186 | NC      | $543498.55    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ALUMINUM                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -1 | NC      | $-4841.27     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ALUMINUM                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         1 | NC      | $4517.98      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ALUMINUM                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -1 | NC      | $-3749.52     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ALUMINUM                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         1 | NC      | $2976.73      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ALUMINUM                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -1 | NC      | $-3188.77     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ALUMINUM                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         1 | NC      | $2313.48      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -1 | NC      | $-45465.19    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         1 | NC      | $44772.31     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -1 | NC      | $-36065.52    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         1 | NC      | $31811.23     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -1 | NC      | $-23591.02    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         1 | NC      | $28188.98     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -1 | NC      | $-25506.77    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         1 | NC      | $24611.48     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ZINC   ($)                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -1 | NC      | $-3797.69     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ZINC   ($)                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         1 | NC      | $3340.06      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ZINC   ($)                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -1 | NC      | $-1030.62     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ZINC   ($)                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         1 | NC      | $981.38       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ZINC   ($)                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -1 | NC      | $-1605.37     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME NICKEL FUTURE Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        10 | NC      | $94128.38     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER FUTURE Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |       -53 | NC      | $-688598.07   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | ICE 3MTH SONIA FU Mar28                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        22 | NC      | $4139.82      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | ICE 3MTH SONIA FU Sep26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        58 | NC      | $10152.72     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | ICE 3MTH SONIA FU Sep27                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        44 | NC      | $9425.41      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | GASOLINE RBOB FUT Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        20 | NC      | $-25164.80    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | GASOLINE RBOB FUT May26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         6 | NC      | $-6424.26     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | AUST 10Y BOND FUT Mar26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | AU        |      -823 | NC      | $142577.27    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2026-02-24

**Name of Applicant:** LoCorr Investment Trust

**Signature:** Jon Essen

**Name of Signer:** Jon Essen

**Title:** Treasurer