# EDGAR Filing Document

**Accession Number:** 0001506768
**File Stem:** 0001145549-25-052110
**Filing Date:** 2025-8
**Character Count:** 99151
**Document Hash:** 66ef1ebf02919a7cb4358d2dda04830d
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-25-052110.hdr.sgml**: 20250820

**ACCESSION NUMBER**: 0001145549-25-052110

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250820

**DATE AS OF CHANGE**: 20250820

**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:** 251237457

**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 Market Trend Fund (Series ID: S000045488)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000141580 | Class A      | LOTAX           |
| C000141581 | Class C      | LOTCX           |
| C000141582 | Class I      | LOTIX           |

## 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 Market Trend Fund

- **b. EDGAR series identifier (if any):** S000045488

- **c. LEI of Series:** 549300697PUASVHG5W49

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

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

- **b. Date as of which information is reported:** 2025-06-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $274643743.52

**Total Liabilities:** $1019461.67

**Net Assets:** $273624281.85

**Amount of Assets Invested in Other Investment Companies:** $8788201.80

**Cash Not Reported:** $27844286.55

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 71744.770000000000 | **1-Year:** 33498.320000000000 | **5-Year:** 36161.730000000000 | **10-Year:** 410.150000000000 | **30-Year:** 0.000000000000

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

- **3-Month:** 0.000000000000 | **1-Year:** 0.000000000000 | **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 C000141580 | -5.23%               | -1.18%               | 1.60%                |
| Class ID C000141581 | -5.38%               | -1.16%               | 1.49%                |
| Class ID C000141582 | -5.23%               | -1.08%               | 1.49%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $194606.81               | $1189272.84                                |
| Month 2  | $553426.47               | $-1693652.13                               |
| Month 3  | $222862.91               | $773390.23                                 |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2022-R03                                    | CUSIP: 20753XAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2077820.00   | 0.76%             | 2042-03-25      | Floating      | 7.81%                 | 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        |   1150000 | PA      | $1184573.72   | 0.43%             | 2042-03-25      | Floating      | 7.41%                 | 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        |     35000 | PA      | $35937.20     | 0.01%             | 2042-04-25      | Floating      | 7.31%                 | No            |                  2 | On Loan: No      |
| HALEON US CAPITAL LLC          | Haleon US Capital LLC                                                           | CUSIP: 36264FAK7<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1182275.15   | 0.43%             | 2027-03-24      | Fixed         | 3.38%                 | 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        |   2280000 | PA      | $2298605.26   | 0.84%             | 2027-07-20      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| GM Financial Consumer Automobi | GM Financial Consumer Automobile Receivables Trust 2023-4                       | CUSIP: 379930AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1380000 | PA      | $1396045.40   | 0.51%             | 2028-08-16      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| GM Financial Consumer Automobi | GM Financial Consumer Automobile Receivables Trust 2024-2                       | CUSIP: 379931AD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    825000 | PA      | $832465.26    | 0.30%             | 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        |    365000 | PA      | $387148.94    | 0.14%             | 2029-10-24      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC        | Goldman Sachs Group Inc/The                                                     | CUSIP: 38145GAM2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1990000 | PA      | $1992749.15   | 0.73%             | 2026-08-10      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| NYC Trust                      | NYCT Trust 2024-3ELV                                                            | CUSIP: 62956HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1875000 | PA      | $1877316.75   | 0.69%             | 2029-08-15      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| NUTRIEN LTD                    | Nutrien Ltd                                                                     | CUSIP: 67077MBA5<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |    245000 | PA      | $248404.76    | 0.09%             | 2028-03-27      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| O'REILLY AUTOMOTIVE INC        | O'Reilly Automotive Inc                                                         | CUSIP: 67103HAJ6<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |    300000 | PA      | $296939.78    | 0.11%             | 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        |    675000 | PA      | $686890.60    | 0.25%             | 2026-11-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                    | Oracle Corp                                                                     | CUSIP: 68389XCY9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    445000 | PA      | $452251.90    | 0.17%             | 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        |    500000 | PA      | $504815.70    | 0.18%             | 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        |   1240000 | PA      | $1266646.48   | 0.46%             | 2029-04-15      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| PNC BANK NA                    | PNC Bank NA                                                                     | CUSIP: 69353RFY9<br>LEI: AD6GFRVSDT01YPT1CS68 | Long             | DBT              | CORP              | US        |   1095000 | PA      | $1095533.31   | 0.40%             | 2027-05-13      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| PKHL Commercial Mortgage Trust | PKHL Commercial Mortgage Trust 2021-MF                                          | CUSIP: 69356GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $944581.70    | 0.35%             | 2038-07-15      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                    | PepsiCo Inc                                                                     | CUSIP: 713448FW3<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |    590000 | PA      | $597374.48    | 0.22%             | 2026-11-10      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC         | Philip Morris International Inc                                                 | CUSIP: 718172DN6<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    550000 | PA      | $555041.61    | 0.20%             | 2029-11-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Planet Fitness Master Issuer L | Planet Fitness Master Issuer LLC                                                | CUSIP: 72703PAD5<br>LEI: 549300NX9W3U2DO53T22 | Long             | ABS-O            | CORP              | US        |    774000 | PA      | $757676.96    | 0.28%             | 2051-12-05      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL LFE GLB FND II       | Principal Life Global Funding II                                                | CUSIP: 74256LEK1<br>LEI: 635400WSLKBQWSOIIT41 | Long             | DBT              | CORP              | US        |    420000 | PA      | $412136.71    | 0.15%             | 2026-01-12      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| PROLOGIS TARGETED US           | Prologis Targeted US Logistics Fund LP                                          | CUSIP: 74350LAA2<br>LEI: 5493004DTBWUQ9F2VJ87 | Long             | DBT              | CORP              | US        |    645000 | PA      | $662488.85    | 0.24%             | 2029-04-01      | Fixed         | 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        |   1144596 | PA      | $1146577.84   | 0.42%             | 2039-02-15      | Floating      | 5.96%                 | 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        |    111140 | PA      | $113553.84    | 0.04%             | 2040-04-20      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                            | KC HRW WHEAT FUT  Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |      -136 | NC      | $285214.34    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME PRI ALUM FUTR Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |       -85 | NC      | $-229017.00   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME PRI ALUM FUTR Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        28 | NC      | $45149.95     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER FUTURE Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -6 | NC      | $-37093.04    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER FUTURE Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        55 | NC      | $458942.45    | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| BX Trust                       | BX Trust 2022-VAMF                                                              | CUSIP: 05609TAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $249531.25    | 0.09%             | 2039-01-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Trust 2023-DELC                                                              | CUSIP: 05610DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    330000 | PA      | $332058.08    | 0.12%             | 2038-05-15      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Commercial Mortgage Trust 2024-XL5                                           | CUSIP: 05612GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1165622 | PA      | $1166714.57   | 0.43%             | 2041-03-15      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| BOEING CO                      | Boeing Co/The                                                                   | CUSIP: 097023DB8<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1085000 | PA      | $1052238.34   | 0.38%             | 2028-02-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PART         | Brixmor Operating Partnership LP                                                | CUSIP: 11120VAC7<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    345000 | PA      | $343651.23    | 0.13%             | 2026-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC              | Brown & Brown Inc                                                               | CUSIP: 115236AH4<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |    435000 | PA      | $437024.46    | 0.16%             | 2026-12-23      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK         | Canadian Imperial Bank of Commerce                                              | CUSIP: 13607HR61<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |    395000 | PA      | $389951.05    | 0.14%             | 2027-04-07      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust        | Carmax Auto Owner Trust 2021-4                                                  | CUSIP: 14317JAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14055 | PA      | $14031.69     | 0.01%             | 2026-09-15      | Fixed         | 0.56%                 | 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        |   1050000 | PA      | $1119375.18   | 0.41%             | 2042-06-25      | Floating      | 8.96%                 | 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        |    605000 | PA      | $632592.05    | 0.23%             | 2042-05-25      | Floating      | 8.16%                 | 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        |   1930000 | PA      | $2012935.00   | 0.74%             | 2042-07-25      | Floating      | 7.91%                 | 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        |    745000 | PA      | $775731.25    | 0.28%             | 2043-03-25      | Floating      | 7.41%                 | No            |                  2 | On Loan: No      |
| GENERAL MILLS INC              | General Mills Inc                                                               | CUSIP: 370334DA9<br>LEI: 2TGYMUGI08PO8X8L6150 | Long             | DBT              | CORP              | US        |    690000 | PA      | $701262.12    | 0.26%             | 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        |    875000 | PA      | $885375.72    | 0.32%             | 2030-01-07      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO               | Georgia Power Co                                                                | CUSIP: 373334KV2<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |    785000 | PA      | $796062.46    | 0.29%             | 2027-02-23      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UBS AG STAMFORD CT             | UBS AG/Stamford CT                                                              | CUSIP: 22550L2K6<br>LEI: 254900R882POXXVAK772 | Long             | DBT              | CORP              | CH        |    425000 | PA      | $431502.94    | 0.16%             | 2027-07-09      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TRANE TECH FIN LTD             | Trane Technologies Financing Ltd                                                | CUSIP: 456873AE8<br>LEI: 549300A5OEF3CJI2CO89 | Long             | DBT              | CORP              | IE        |    335000 | PA      | $332769.47    | 0.12%             | 2026-03-21      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SOUTH BOW USA INFRA HLDS       | South Bow USA Infrastructure Holdings LLC                                       | CUSIP: 83007CAA0<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |    315000 | PA      | $316970.39    | 0.12%             | 2027-09-01      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON            | Southern California Edison Co                                                   | CUSIP: 842400GV9<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    185000 | PA      | $180323.95    | 0.07%             | 2026-02-01      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                    | SREIT Trust 2021-MFP2                                                           | CUSIP: 85236WCE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1499062.50   | 0.55%             | 2036-11-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORP              | State Street Corp                                                               | CUSIP: 857477CU5<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    540000 | PA      | $546087.78    | 0.20%             | 2028-02-28      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| SYSCO CORPORATION              | Sysco Corp                                                                      | CUSIP: 871829BF3<br>LEI: 5RGWIFLMGH3YS7KWI652 | Long             | DBT              | CORP              | US        |    490000 | PA      | $480438.10    | 0.18%             | 2027-07-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC               | T-Mobile USA Inc                                                                | CUSIP: 87264ADA0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    470000 | PA      | $476159.73    | 0.17%             | 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        |    940000 | PA      | $952932.60    | 0.35%             | 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        |    610000 | PA      | $614715.30    | 0.22%             | 2029-09-20      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Taco Bell Funding, LLC         | Taco Bell Funding LLC                                                           | CUSIP: 87342RAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1007062 | PA      | $959760.57    | 0.35%             | 2051-08-25      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| TAPESTRY INC                   | Tapestry Inc                                                                    | CUSIP: 876030AK3<br>LEI: 549300LJNVY5SW3VTN33 | Long             | DBT              | CORP              | US        |    265000 | PA      | $268260.36    | 0.10%             | 2030-03-11      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| TEXAS INSTRUMENTS INC          | Texas Instruments Inc                                                           | CUSIP: 882508CE2<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |    380000 | PA      | $383423.88    | 0.14%             | 2027-02-08      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORP       | Toyota Motor Credit Corp                                                        | CUSIP: 89236TMJ1<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |    230000 | PA      | $230784.18    | 0.08%             | 2026-08-07      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                | CVS Health Corp                                                                 | CUSIP: 126650CU2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   1170000 | PA      | $1152027.64   | 0.42%             | 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        |    200000 | PA      | $202995.25    | 0.07%             | 2029-01-30      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP       | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175AY0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    201000 | PA      | $200985.24    | 0.07%             | 2025-07-23      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                    | Citibank NA                                                                     | CUSIP: 17325FBN7<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1105931.11   | 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        |   1000000 | PA      | $997231.60    | 0.36%             | 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        |    250000 | PA      | $254578.51    | 0.09%             | 2031-05-27      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| DB Master Finance LLC          | DB Master Finance LLC                                                           | CUSIP: 233046AN1<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-O            | CORP              | US        |    627250 | PA      | $603814.75    | 0.22%             | 2051-11-20      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| DTE ELECTRIC CO                | DTE Electric Co                                                                 | CUSIP: 23338VAW6<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |    180000 | PA      | $180271.17    | 0.07%             | 2027-05-14      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY               | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526CX5<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    185000 | PA      | $186359.03    | 0.07%             | 2030-09-11      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS          | Duke Energy Carolinas LLC                                                       | CUSIP: 26442CBP8<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |    330000 | PA      | $337274.63    | 0.12%             | 2030-03-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| ELP 2021-ELP                   | ELP Commercial Mortgage Trust 2021-ELP                                          | CUSIP: 26863LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1445318 | PA      | $1443511.04   | 0.53%             | 2038-11-15      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| ELP 2021-ELP                   | ELP Commercial Mortgage Trust 2021-ELP                                          | CUSIP: 26863LAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    948896 | PA      | $947709.39    | 0.35%             | 2038-11-15      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                   | Enbridge Inc                                                                    | CUSIP: 29250NBX2<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    525000 | PA      | $551054.31    | 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        |   1130000 | PA      | $1153517.35   | 0.42%             | 2026-12-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| EQUITABLE FINANCIAL LIFE       | Equitable Financial Life Global Funding                                         | CUSIP: 29449WAA5<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |    410000 | PA      | $409776.10    | 0.15%             | 2025-07-07      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| ESSEX PORTFOLIO LP             | Essex Portfolio LP                                                              | CUSIP: 29717PAY3<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |    295000 | PA      | $275009.07    | 0.10%             | 2028-03-01      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                     | Federal National Mortgage Association                                           | CUSIP: 3135G05Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |   3825000 | PA      | $3578090.05   | 1.31%             | 2027-10-08      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| HCA INC                        | HCA Inc                                                                         | CUSIP: 404119CY3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    380000 | PA      | $385598.60    | 0.14%             | 2028-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK          | Toronto-Dominion Bank/The                                                       | CUSIP: 89114TZG0<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    930000 | PA      | $897362.66    | 0.33%             | 2026-09-10      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORP       | Toyota Motor Credit Corp                                                        | CUSIP: 89236TKZ7<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |    300000 | PA      | $300632.45    | 0.11%             | 2025-09-11      | Fixed         | 5.60%                 | 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        |   2850000 | PA      | $2890188.14   | 1.06%             | 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        |    303639 | PA      | $305011.67    | 0.11%             | 2027-04-20      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                     | AbbVie Inc                                                                      | CUSIP: 00287YDS5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    290000 | PA      | $295620.47    | 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        |   1225000 | PA      | $1252085.30   | 0.46%             | 2027-01-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC            | NatWest Markets PLC                                                             | CUSIP: 63906YAJ7<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |    555000 | PA      | $573229.99    | 0.21%             | 2029-05-17      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| NSTAR ELECTRIC CO              | NSTAR Electric Co                                                               | CUSIP: 67021CAM9<br>LEI: 54930080R72Y2Z31UR68 | Long             | DBT              | CORP              | US        |    585000 | PA      | $575170.40    | 0.21%             | 2027-05-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| NRTH PARK Mortgage Trust       | NRTH 2024-PARK Mortgage Trust                                                   | CUSIP: 67021HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1400000 | PA      | $1400872.62   | 0.51%             | 2039-03-15      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| RTX CORP                       | RTX Corp                                                                        | CUSIP: 913017CY3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    300000 | PA      | $298758.00    | 0.11%             | 2028-11-16      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                            | SOYBEAN OIL FUTR  Dec25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        95 | NC      | $-105441.50   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | WTI CRUDE FUTURE  Aug25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        98 | NC      | $-772846.61   | -0.28%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | S&P500 EMINI FUT  Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        60 | NC      | $439024.20    | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US 5YR NOTE (CBT) Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       213 | NC      | $55262.18     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LONG GILT FUTURE  Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |       -79 | NC      | $-195788.65   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NY Harb ULSD Fut  Aug25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       142 | NC      | $-121377.50   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ZINC FUTURE   Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |       -52 | NC      | $-41720.20    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ZINC FUTURE   Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         8 | NC      | $10684.20     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | MXN/USD FWD 20250917                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-15328.60    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | MXN/USD FWD 20250917                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $254841.26    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | NATURAL GAS FUTR  Aug25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        35 | NC      | $-167770.70   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NIKKEI 225  (OSE) Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | JP        |        41 | NC      | $533985.59    | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NASDAQ 100 E-MINI Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        46 | NC      | $594482.45    | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NZD/USD FWD 20250701                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-116.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | NZD/USD FWD 20250701                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $157.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | NZD/USD FWD 20250917                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-15258.32    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | NZD/USD FWD 20250917                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $105009.30    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | Low Su Gasoil G   Aug25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |       174 | NC      | $-999414.02   | -0.37%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | SOYBEAN FUTURE    Nov25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |      -169 | NC      | $336229.86    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | SUGAR #11 (WORLD) Oct25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |      -226 | NC      | $171594.59    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | SILVER FUTURE     Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        65 | NC      | $-60712.65    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | SOYBEAN MEAL FUTR Dec25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |      -109 | NC      | $99790.96     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | TOPIX INDX FUTR   Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | JP        |        76 | NC      | $358929.64    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US 2YR NOTE (CBT) Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       371 | NC      | $164363.95    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US 10YR NOTE (CBT)Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        63 | NC      | $28094.39     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US LONG BOND(CBT) Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -63 | NC      | $-190385.33   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | WHEAT FUTURE(CBT) Dec25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |      -191 | NC      | $323686.04    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| JOHN DEERE CAPITAL CORP        | John Deere Capital Corp                                                         | CUSIP: 24422EXB0<br>LEI: E0KSF7PFQ210NWI8Z391 | Long             | DBT              | CORP              | US        |    310000 | PA      | $317539.11    | 0.12%             | 2028-07-14      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC              | HSBC Holdings PLC                                                               | CUSIP: 404280DU0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    485000 | PA      | $504255.34    | 0.18%             | 2029-03-09      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| HP ENTERPRISE CO               | Hewlett Packard Enterprise Co                                                   | CUSIP: 42824CBT5<br>LEI: 549300BX44RGX6ANDV88 | Long             | DBT              | CORP              | US        |    645000 | PA      | $641383.05    | 0.23%             | 2029-10-15      | Fixed         | 4.55%                 | 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        |    940000 | PA      | $948287.70    | 0.35%             | 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        |    265000 | PA      | $271216.21    | 0.10%             | 2029-09-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| HONEYWELL INTERNATIONAL        | Honeywell International Inc                                                     | CUSIP: 438516CX2<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |    745000 | PA      | $752751.58    | 0.28%             | 2027-07-30      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu | JPMBB Commercial Mortgage Securities Trust 2014-C22                             | CUSIP: 46642NBH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    406242 | PA      | $394055.18    | 0.14%             | 2047-09-15      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO            | JPMorgan Chase & Co                                                             | CUSIP: 46647PEY8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2170000 | PA      | $2223178.09   | 0.81%             | 2031-04-22      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| KITE REALTY GROUP LP           | Kite Realty Group LP                                                            | CUSIP: 49803XAA1<br>LEI: 549300X6R2GYI8Y3OD81 | Long             | DBT              | CORP              | US        |    880000 | PA      | $872160.14    | 0.32%             | 2026-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KSL Commercial Mortgage Trust  | KSL Commercial Mortgage Trust 2024-HT2                                          | CUSIP: 500937AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2130000 | PA      | $2124671.38   | 0.78%             | 2039-12-15      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| N/A                            | CORN FUTURE       Dec25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |      -444 | NC      | $297400.98    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | CAD/USD FWD 20250917                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $15875.26     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| L3HARRIS TECH INC              | L3Harris Technologies Inc                                                       | CUSIP: 502431AP4<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |    645000 | PA      | $655640.86    | 0.24%             | 2027-01-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| LINEAGE OP LP                  | Lineage OP LP                                                                   | CUSIP: 53567YAA7<br>LEI: 254900CSRDL1G4SRQE89 | Long             | DBT              | CORP              | US        |    575000 | PA      | $578061.25    | 0.21%             | 2030-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                            | CHF/USD FWD 20250701                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-881.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CHF/USD FWD 20250701                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $1032.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CHF/USD FWD 20250917                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-69363.27    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CHF/USD FWD 20250917                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $1216131.03   | 0.44%             |  |  |  | No            |                  2 | On Loan: No      |
| MARS INC                       | Mars Inc                                                                        | CUSIP: 571676AX3<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   2615000 | PA      | $2635829.44   | 0.96%             | 2028-03-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| MARS INC                       | Mars Inc                                                                        | CUSIP: 571676AY1<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   2445000 | PA      | $2476399.11   | 0.91%             | 2030-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| N/A                            | CAN 10YR BOND FUT Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |        22 | NC      | $8649.30      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | COTTON NO.2 FUTR  Dec25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       -68 | NC      | $-12448.84    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MET LIFE GLOB FUNDING I        | Metropolitan Life Global Funding I                                              | CUSIP: 592179KF1<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |    295000 | PA      | $300962.48    | 0.11%             | 2028-01-06      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK NA         | Morgan Stanley Bank NA                                                          | CUSIP: 61690U8A1<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |   1770000 | PA      | $1784130.14   | 0.65%             | 2028-01-14      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                 | Morgan Stanley                                                                  | CUSIP: 61747YFZ3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1125000 | PA      | $1153088.82   | 0.42%             | 2031-04-17      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| MTN Commercial Mortgage Trust  | MTN Commercial Mortgage Trust 2022-LPFL                                         | CUSIP: 62475WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1499062.50   | 0.55%             | 2039-03-15      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| N/A                            | COFFEE 'C' FUTURE Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        19 | NC      | $-383360.28   | -0.14%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | COCOA FUTURE - IC Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         8 | NC      | $-63920.38    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| MVW Owner Trust                | MVW 2024-1 LLC                                                                  | CUSIP: 62847RAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2046084 | PA      | $2080195.24   | 0.76%             | 2043-02-20      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| AT&T INC                       | AT&T Inc                                                                        | CUSIP: 00206RJX1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    720000 | PA      | $694087.57    | 0.25%             | 2027-06-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                 | Air Lease Corp                                                                  | CUSIP: 00914AAT9<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    670000 | PA      | $692864.09    | 0.25%             | 2027-12-15      | Fixed         | 5.85%                 | 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        |    600000 | PA      | $574500.00    | 0.21%             | 2034-04-15      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| AMCOR GROUP FINANCE            | Amcor Group Finance PLC                                                         | CUSIP: 02344BAA4<br>LEI: 2549008XHB8M1L64J275 | Long             | DBT              | CORP              | GB        |    290000 | PA      | $298117.09    | 0.11%             | 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        |   1870000 | PA      | $1907943.05   | 0.70%             | 2029-04-15      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT          | American Homes 4 Rent LP                                                        | CUSIP: 02666TAB3<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |    290000 | PA      | $293217.63    | 0.11%             | 2029-02-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                      | Amgen Inc                                                                       | CUSIP: 031162DP2<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    735000 | PA      | $750899.46    | 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        |      9331 | PA      | $9004.48      | 0.00%             | 2065-05-25      | Variable      | 2.04%                 | 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        |   1000000 | PA      | $1000436.70   | 0.37%             | 2035-06-15      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| ASTRAZENECA FINANCE LLC        | Astrazeneca Finance LLC                                                         | CUSIP: 04636NAK9<br>LEI: 549300C3HATU4Q460S18 | Long             | DBT              | CORP              | US        |    270000 | PA      | $272964.05    | 0.10%             | 2027-02-26      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377RGJ7<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $201466.20    | 0.07%             | 2027-10-20      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch  | BAMLL Commercial Mortgage Securities Trust 2022-DKLX                            | CUSIP: 05530SAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1133633 | PA      | $1130089.98   | 0.41%             | 2039-01-15      | Floating      | 5.46%                 | 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        |    502879 | PA      | $503507.11    | 0.18%             | 2041-03-15      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP           | Bank of America Corp                                                            | CUSIP: 06051GKP3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1705000 | PA      | $1704428.04   | 0.62%             | 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        |   1865000 | PA      | $1910884.33   | 0.70%             | 2031-01-24      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| BANK OF NEW YORK MELLON        | Bank of New York Mellon/The                                                     | CUSIP: 06405LAF8<br>LEI: HPFHU0OQ28E4N0NFVK49 | Long             | DBT              | CORP              | US        |   1900000 | PA      | $1904346.17   | 0.70%             | 2027-04-20      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA NA             | Bank of America NA                                                              | CUSIP: 06428CAA2<br>LEI: B4TYDEB6GKMZO031MB27 | Long             | DBT              | CORP              | US        |   2080000 | PA      | $2109457.96   | 0.77%             | 2026-08-18      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2022-BNK39                                                                 | CUSIP: 06539VAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    235553 | PA      | $229816.02    | 0.08%             | 2055-02-15      | Fixed         | 1.74%                 | No            |                  2 | On Loan: No      |
| HAWAII ST                      | State of Hawaii                                                                 | CUSIP: 419792F92<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    720000 | PA      | $717976.01    | 0.26%             | 2025-08-01      | Fixed         | 1.03%                 | 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        |    334478 | PA      | $338128.94    | 0.12%             | 2038-03-25      | Fixed         | 5.50%                 | 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        |    129787 | PA      | $127541.34    | 0.05%             | 2033-07-25      | Fixed         | 2.34%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust   | Hilton Grand Vacations Trust 2023-1                                             | CUSIP: 432917AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     66505 | PA      | $67864.49     | 0.02%             | 2038-01-25      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                 | Home Depot Inc/The                                                              | CUSIP: 437076DB5<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    465000 | PA      | $472245.70    | 0.17%             | 2027-06-25      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                | MVW 2025-1 LLC                                                                  | CUSIP: 627924AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    554867 | PA      | $560741.58    | 0.20%             | 2042-09-22      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC         | Williams Cos Inc/The                                                            | CUSIP: 88339WAB2<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    380000 | PA      | $385170.50    | 0.14%             | 2029-03-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2020-1                                               | CUSIP: 92536PAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35311 | PA      | $34636.18     | 0.01%             | 2060-01-25      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA       | Volkswagen Group of America Finance LLC                                         | CUSIP: 928668BL5<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    405000 | PA      | $399482.43    | 0.15%             | 2025-11-24      | Fixed         | 1.25%                 | 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        |   1300000 | PA      | $1311068.59   | 0.48%             | 2027-06-21      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| WALMART INC                    | Walmart Inc                                                                     | CUSIP: 931142FN8<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |    180000 | PA      | $181993.04    | 0.07%             | 2030-04-28      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY          | Wells Fargo & Co                                                                | CUSIP: 95000U3W1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1445000 | PA      | $1479447.93   | 0.54%             | 2031-04-23      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                            | 10YR MINI JGB FUT Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | SG        |        -9 | NC      | $159.12       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 3MO EURO EURIBOR  Dec26                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |       908 | NC      | $-66515.62    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 3 MONTH SOFR FUT  Dec26                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       837 | NC      | $509189.31    | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS GROUP AG                   | UBS Group AG                                                                    | CUSIP: 225401BC1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    665000 | PA      | $682763.47    | 0.25%             | 2027-12-22      | Variable      | 6.33%                 | 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        |  19703212 | NS      | $19703212.46  | 7.20%             |  |  |  | No            |                  1 | On Loan: No      |
| UNILEVER CAPITAL CORP          | Unilever Capital Corp                                                           | CUSIP: 904764BU0<br>LEI: MYF1DAS6G5WY7PRWCU78 | Long             | DBT              | CORP              | US        |    715000 | PA      | $718108.82    | 0.26%             | 2027-08-12      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                | CUSIP: 91282CDF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2465000 | PA      | $2285228.31   | 0.84%             | 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        |  17505000 | PA      | $17182935.31  | 6.28%             | 2029-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                | CUSIP: 91282CGQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18010000 | PA      | $18182361.28  | 6.65%             | 2030-02-28      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                | CUSIP: 91282CHM6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2170000 | PA      | $2181316.20   | 0.80%             | 2026-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                | CUSIP: 91282CKD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14750000 | PA      | $15007548.87  | 5.48%             | 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        |  23205000 | PA      | $23927436.86  | 8.74%             | 2029-04-30      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC         | UnitedHealth Group Inc                                                          | CUSIP: 91324PEU2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    960000 | PA      | $957711.28    | 0.35%             | 2029-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC         | UnitedHealth Group Inc                                                          | CUSIP: 91324PFN7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    345000 | PA      | $346657.90    | 0.13%             | 2028-06-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS         | Verizon Communications Inc                                                      | CUSIP: 92343VGH1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    780000 | PA      | $738933.79    | 0.27%             | 2028-03-22      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| N/A                            | AUD/USD FWD 20250701                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-1652.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | AUD/USD FWD 20250701                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $2846.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | AUD/USD FWD 20250917                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-88099.36    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | AUD/USD FWD 20250917                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $126621.60    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | EURO-SCHATZ FUT   Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |      1352 | NC      | $-259231.31   | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | EUR/USD FWD 20250701                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-6096.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | EUR/USD FWD 20250701                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $6513.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | EUR/USD FWD 20250917                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-146832.65   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | EUR/USD FWD 20250917                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $988628.68    | 0.36%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | GBP/USD FWD 20250701                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $1.02         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | GBP/USD FWD 20250701                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $1.95         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | GBP/USD FWD 20250917                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-71225.28    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | GBP/USD FWD 20250917                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $955098.18    | 0.35%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | GOLD 100 OZ FUTR  Aug25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        65 | NC      | $-288084.85   | -0.11%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | HANG SENG IDX FUT Jul25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | HK        |       114 | NC      | $-234661.51   | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | JPN 10Y BOND(OSE) Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | JP        |       -31 | NC      | $-100922.85   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | JPY/USD FWD 20250701                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-1270.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | EURO-BOBL FUTURE  Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |       406 | NC      | $-202411.61   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | EURO-BUND FUTURE  Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |        -8 | NC      | $7721.91      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | ICE 3MTH SONIA FU Dec26                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |       136 | NC      | $95092.79     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | EURO STOXX 50     Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | DE        |       229 | NC      | $20157.86     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | GASOLINE RBOB FUT Aug25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        98 | NC      | $-605658.06   | -0.22%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | FTSE 100 IDX FUT  Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | GB        |       112 | NC      | $-85130.72    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Carvana Auto Receivables Trust | Carvana Auto Receivables Trust 2024-P4                                          | CUSIP: 14076LAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $400395.44    | 0.15%             | 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        |   2450000 | PA      | $2466118.31   | 0.90%             | 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        |    770873 | PA      | $770573.76    | 0.28%             | 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        |   2050000 | PA      | $2115989.50   | 0.77%             | 2043-07-25      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2023-R04                                    | CUSIP: 20754QAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $633270.06    | 0.23%             | 2043-05-25      | Floating      | 7.86%                 | 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        |   1445000 | PA      | $1506590.24   | 0.55%             | 2043-01-25      | Floating      | 7.66%                 | 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        |    380000 | PA      | $390626.02    | 0.14%             | 2043-10-25      | Floating      | 6.81%                 | 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        |    865000 | PA      | $912239.73    | 0.33%             | 2042-12-25      | Floating      | 8.06%                 | 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        |    550000 | PA      | $573835.63    | 0.21%             | 2043-06-25      | Floating      | 7.41%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK         | Federal Home Loan Banks                                                         | CUSIP: 3130AKXQ4<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   1990000 | PA      | $1946295.46   | 0.71%             | 2026-02-12      | Fixed         | 0.60%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK         | Federal Home Loan Banks                                                         | CUSIP: 3130ALBC7<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   2365000 | PA      | $2203721.24   | 0.81%             | 2028-02-25      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK         | Federal Home Loan Banks                                                         | CUSIP: 3130ALGJ7<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   1950000 | PA      | $1905347.96   | 0.70%             | 2026-03-23      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK         | Federal Home Loan Banks                                                         | CUSIP: 3130AQYF4<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   2145000 | PA      | $2136954.23   | 0.78%             | 2025-08-28      | Fixed         | 2.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK         | Federal Home Loan Banks                                                         | CUSIP: 3130B5K64<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   1500000 | PA      | $1505516.55   | 0.55%             | 2027-03-10      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FED CAISSES DESJARDINS         | Federation des Caisses Desjardins du Quebec                                     | CUSIP: 31429KAK9<br>LEI: 549300B2Q47IR0CR5B54 | Long             | DBT              | CORP              | CA        |    590000 | PA      | $610426.57    | 0.22%             | 2028-03-14      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO       | Florida Power & Light Co                                                        | CUSIP: 341081GK7<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |    715000 | PA      | $732284.82    | 0.27%             | 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        |    895000 | PA      | $901611.62    | 0.33%             | 2028-05-15      | Fixed         | 4.40%                 | 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        |   2450000 | PA      | $2442672.79   | 0.89%             | 2029-07-15      | Fixed         | 4.07%                 | 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        |   1175000 | PA      | $1185961.34   | 0.43%             | 2028-12-15      | Fixed         | 5.09%                 | 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        |    750000 | PA      | $755760.45    | 0.28%             | 2029-08-15      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC       | Ford Motor Credit Co LLC                                                        | CUSIP: 345397E74<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   1025000 | PA      | $1032707.54   | 0.38%             | 2027-05-17      | Fixed         | 5.85%                 | 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        |   1605000 | PA      | $1681661.38   | 0.61%             | 2043-04-25      | Floating      | 7.56%                 | 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        |    890000 | PA      | $940020.67    | 0.34%             | 2043-05-25      | Floating      | 7.81%                 | No            |                  2 | On Loan: No      |
| N/A                            | DJIA MINI e-CBOT  Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        38 | NC      | $320463.84    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | DOLLAR INDEX      Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |       -33 | NC      | $61953.94     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | DAX INDEX FUTURE  Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | DE        |        30 | NC      | $371177.23    | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | JPY/USD FWD 20250701                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $3230.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | JPY/USD FWD 20250917                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-17716.17    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | JPY/USD FWD 20250917                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-1654.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | E-Mini Russ 2000  Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |       -46 | NC      | $-143971.30   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | CAD/USD FWD 20250917                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-45130.27    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CAC40 10 EURO FUT Jul25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | FR        |       153 | NC      | $2340.66      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | BRENT CRUDE FUTR  Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |       101 | NC      | $-812584.63   | -0.30%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | AUST 10Y BOND FUT Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | AU        |       412 | NC      | $130884.29    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2025-08-20

**Name of Applicant:** LoCorr Investment Trust

**Signature:** Jon Essen

**Name of Signer:** Jon Essen

**Title:** Treasurer