# EDGAR Filing Document

**Accession Number:** 0001506768
**File Stem:** 0001145549-23-009176
**Filing Date:** 2023-2
**Character Count:** 196179
**Document Hash:** f2e09889b61e75e80c6f507e79ba3ca2
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-23-009176.hdr.sgml**: 20230224

**ACCESSION NUMBER**: 0001145549-23-009176

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230224

**DATE AS OF CHANGE**: 20230224

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** LoCorr Investment Trust
- **CENTRAL INDEX KEY:** 0001506768
- **IRS NUMBER:** 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:** 23663154

**BUSINESS ADDRESS:**
- **STREET 1:** 687 EXCELSIOR BLVD
- **CITY:** EXCELSIOR
- **STATE:** MN
- **ZIP:** 55331
- **BUSINESS PHONE:** 952-767-2920

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Excelsior

  - **State:** MN

  - **Foreign country:** US

  - **Zip / Postal Code:** 55331

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

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

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

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

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

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

- **a. Date of fiscal year-end:** 2022-12-31

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $2377503720.53

**Total Liabilities:** $10327262.36

**Net Assets:** $2367176458.17

**Amount of Assets Invested in Other Investment Companies:** $33122982.06

**Cash Not Reported:** $199988807.37

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -1339887.500000000000 | **1-Year:** 59607.290000000000 | **5-Year:** 57690.940000000000 | **10-Year:** 447.510000000000 | **30-Year:** 1.560000000000

**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 C000098137 | 1.03%                | -5.39%               | 0.54%                |
| Class ID C000098138 | 0.87%                | -5.39%               | 0.50%                |
| Class ID C000098139 | 1.01%                | -5.39%               | 0.67%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-1744417.25             | $-3106241.10                               |
| Month 2  | $-365274.48              | $7045529.86                                |
| Month 3  | $-5345469.26             | $7453520.39                                |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| UBS GROUP AG                   | UBS Group AG                                                     | CUSIP: 902613AB4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     750000 | PA      | $729373.95     | 0.03%             | 2024-07-30      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                   | UBS Group AG                                                     | CUSIP: 902613AM0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    1100000 | PA      | $1075912.07    | 0.05%             | 2026-05-12      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| UBS AG LONDON                  | UBS AG/London                                                    | CUSIP: 902674YF1<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | DBT              | CORP              | CH        |    1390000 | PA      | $1362192.37    | 0.06%             | 2023-06-01      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| UBS AG LONDON                  | UBS AG/London                                                    | CUSIP: 902674YK0<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | DBT              | CORP              | CH        |    1880000 | PA      | $1752587.87    | 0.07%             | 2024-08-09      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| UBS-Barclays Commercial Mortga | UBS-Barclays Commercial Mortgage Trust 2013-C5                   | CUSIP: 90270YAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     265000 | PA      | $264040.14     | 0.01%             | 2046-03-10      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| UBS-Barclays Commercial Mortga | UBS-Barclays Commercial Mortgage Trust 2013-C6                   | CUSIP: 90349GAN5<br>LEI: 549300G1IXWLFE766Q13 | Long             | ABS-MBS          | CORP              | US        |     700000 | PA      | $687213.59     | 0.03%             | 2046-04-10      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                  | United States Treasury Bill                                      | CUSIP: 912796X53<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   16110000 | PA      | $15785241.73   | 0.67%             | 2023-06-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                  | United States Treasury Bill                                      | CUSIP: 912796YJ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   31275000 | PA      | $30218317.52   | 1.28%             | 2023-10-05      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                 | CUSIP: 912810ET1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1500000 | PA      | $1596328.13    | 0.07%             | 2025-02-15      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                 | CUSIP: 9128286Z8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   21495000 | PA      | $20605812.25   | 0.87%             | 2024-06-30      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                 | CUSIP: 912828ZT0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   95730000 | PA      | $86975940.47   | 3.67%             | 2025-05-31      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                 | CUSIP: 91282CEH0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   38430000 | PA      | $37012893.75   | 1.56%             | 2025-04-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                 | CUSIP: 91282CEU1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12605000 | PA      | $12192383.14   | 0.52%             | 2025-06-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                 | CUSIP: 91282CEY3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   61425000 | PA      | $59541460.11   | 2.52%             | 2025-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                 | CUSIP: 91282CFK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   61560000 | PA      | $60379298.28   | 2.55%             | 2025-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                 | CUSIP: 91282CFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   14160000 | PA      | $14105793.82   | 0.60%             | 2027-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS         | Verizon Communications Inc                                       | CUSIP: 92343VFS8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    3445000 | PA      | $3077353.49    | 0.13%             | 2025-11-20      | Fixed         | 0.85%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS         | Verizon Communications Inc                                       | CUSIP: 92343VGG3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    1410000 | PA      | $1267116.37    | 0.05%             | 2026-03-20      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Verizon Owner Trust            | Verizon Owner Trust 2019-C                                       | CUSIP: 92348AAA3<br>LEI: 549300WANFF5OIMC3D47 | Long             | ABS-O            | CORP              | US        |      24611 | PA      | $24568.09      | 0.00%             | 2024-04-22      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2020-1                                | CUSIP: 92536PAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     432082 | PA      | $406956.53     | 0.02%             | 2060-01-25      | Variable      | 2.42%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2020-1                                | CUSIP: 92536PAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1105694 | PA      | $1037859.03    | 0.04%             | 2060-01-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| VMWARE INC                     | VMware Inc                                                       | CUSIP: 928563AH8<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |    1770000 | PA      | $1647700.86    | 0.07%             | 2024-08-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA       | Volkswagen Group of America Finance LLC                          | CUSIP: 928668BJ0<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    1440000 | PA      | $1385044.89    | 0.06%             | 2023-11-22      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA       | Volkswagen Group of America Finance LLC                          | CUSIP: 928668BL5<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    1390000 | PA      | $1240296.19    | 0.05%             | 2025-11-24      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Volkswagen Auto Loan Enhanced  | Volkswagen Auto Loan Enhanced Trust 2021-1                       | CUSIP: 92868KAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5570000 | PA      | $5293798.74    | 0.22%             | 2026-06-22      | Fixed         | 1.02%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRU | WFRBS Commercial Mortgage Trust 2014-C22                         | CUSIP: 92890KBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     350000 | PA      | $327526.54     | 0.01%             | 2057-09-15      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRU | WFRBS Commercial Mortgage Trust 2013-C14                         | CUSIP: 92890PAE4<br>LEI: 549300GADFYEKC4OLM57 | Long             | ABS-MBS          | CORP              | US        |     727218 | PA      | $719096.50     | 0.03%             | 2046-06-15      | Fixed         | 3.34%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRU | WFRBS Commercial Mortgage Trust 2013-C13                         | CUSIP: 92937UAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     650000 | PA      | $643123.46     | 0.03%             | 2045-05-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRU | WFRBS Commercial Mortgage Trust 2014-C24                         | CUSIP: 92939KAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $962889.10     | 0.04%             | 2047-11-15      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| WALMART INC                    | Walmart Inc                                                      | CUSIP: 931142EW9<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |    2260000 | PA      | $2225687.30    | 0.09%             | 2025-09-09      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| N/A                            | AUDUSD Crncy Fut  Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         -8 | NC      | $-7101.16      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | AUDUSD Crncy Fut  Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |        484 | NC      | $248036.01     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | FTSE/JSE TOP 40   Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | ZA        |         28 | NC      | $-384.58       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | AUD/USD FWD 20230118                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $-90461.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | AUD/USD FWD 20230118                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $717536.05     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | AUD/USD FWD 20230317                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $241958.22     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | AUD/USD FWD 20230317                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $650348.22     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | SET50 FUTURES     Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | TH        |        845 | NC      | $86347.85      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | WTI CRUDE FUTURE  Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         41 | NC      | $79199.64      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | WTI CRUDE FUTURE  Apr23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         19 | NC      | $47402.76      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | WTI CRUDE FUTURE  May23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         13 | NC      | $28734.52      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | WTI CRUDE FUTURE  Jun23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |          9 | NC      | $27592.36      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | WTI CRUDE FUTURE  Jul23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |          6 | NC      | $22078.24      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | CLP/USD FWD 20230118                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $-33692.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CLP/USD FWD 20230118                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $136815.51     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CAN 10YR BOND FUT Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |       -243 | NC      | $209205.44     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | CAN 10YR BOND FUT Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |       1315 | NC      | $-4018915.99   | -0.17%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | BRENT CRUDE FUTR  Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -52 | NC      | $-245930.84    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | BRENT CRUDE FUTR  Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        295 | NC      | $1528148.30    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | BRENT CRUDE FUTR  Apr23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         90 | NC      | $451786.60     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | BRENT CRUDE FUTR  May23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         28 | NC      | $144644.72     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | BRENT CRUDE FUTR  Jun23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         17 | NC      | $62438.58      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | BRENT CRUDE FUTR  Jul23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         10 | NC      | $45107.40      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | BRENT CRUDE FUTR  Aug23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          6 | NC      | $24642.44      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | COTTON NO.2 FUTR  Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       -210 | NC      | $191818.17     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | DJIA MINI e-CBOT  Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        -56 | NC      | $-7502.92      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | DJIA MINI e-CBOT  Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        451 | NC      | $-1602444.61   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | EURO-SCHATZ FUT   Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |      -5165 | NC      | $5754558.26    | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | DOLLAR INDEX      Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |        185 | NC      | $-38642.76     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | EURO FX CURR FUT  Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |       1075 | NC      | $802363.99     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 90DAY EURO$ FUTR  Mar24                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         48 | NC      | $-22988.82     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 90DAY EURO$ FUTR  Mar25                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        153 | NC      | $-121993.27    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 90DAY EURO$ FUTR  Jun24                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         33 | NC      | $-26164.97     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 90DAY EURO$ FUTR  Jun25                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -310 | NC      | $4544.19       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 90DAY EURO$ FUTR  Sep23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $-539.09       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 90DAY EURO$ FUTR  Sep24                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         74 | NC      | $-65392.66     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 90DAY EURO$ FUTR  Dec23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -42 | NC      | $15520.72      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 90DAY EURO$ FUTR  Dec24                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        157 | NC      | $-135449.63    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | AMSTERDAM IDX FUT Jan23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | NL        |         17 | NC      | $-38985.55     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BSREP Commercial Mortgage Trus | BSREP Commercial Mortgage Trust 2021-DC                          | CUSIP: 05591UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4330000 | PA      | $4064479.64    | 0.17%             | 2038-08-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust 2 | BX Commercial Mortgage Trust 2019-XL                             | CUSIP: 056054AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2257978 | PA      | $2230138.84    | 0.09%             | 2036-10-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Trust 2022-PSB                                                | CUSIP: 05606DAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1087419 | PA      | $1079333.56    | 0.05%             | 2039-08-15      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Commercial Mortgage Trust 2021-21M                            | CUSIP: 05609CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1743327 | PA      | $1675006.01    | 0.07%             | 2036-10-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Commercial Mortgage Trust 2021-XL2                            | CUSIP: 05609KAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5096933 | PA      | $4854046.65    | 0.21%             | 2038-10-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA             | Banco Santander SA                                               | CUSIP: 05964HAE5<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    2225000 | PA      | $2218477.37    | 0.09%             | 2023-02-23      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA             | Banco Santander SA                                               | CUSIP: 05964HAP0<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    1175000 | PA      | $1132268.61    | 0.05%             | 2025-03-24      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA             | Banco Santander SA                                               | CUSIP: 05971KAE9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     815000 | PA      | $762792.12     | 0.03%             | 2025-05-28      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP           | Bank of America Corp                                             | CUSIP: 06051GJD2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    6205000 | PA      | $5599041.54    | 0.24%             | 2026-06-19      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP           | Bank of America Corp                                             | CUSIP: 06051GJK6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    4165000 | PA      | $3704530.80    | 0.16%             | 2026-10-24      | Variable      | 1.20%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP           | Bank of America Corp                                             | CUSIP: 06051GJR1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   11640000 | PA      | $10916987.34   | 0.46%             | 2025-04-22      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                   | Barclays PLC                                                     | CUSIP: 06738EBQ7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    2215000 | PA      | $2109024.03    | 0.09%             | 2024-12-10      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| BAXTER INTERNATIONAL INC       | Baxter International Inc                                         | CUSIP: 071813CH0<br>LEI: J5OIVXX3P24RJRW5CK77 | Long             | DBT              | CORP              | US        |    4490000 | PA      | $4181234.06    | 0.18%             | 2024-11-29      | Fixed         | 1.32%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC               | Berry Global Inc                                                 | CUSIP: 08576PAG6<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |    1760000 | PA      | $1667849.20    | 0.07%             | 2024-02-15      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| BIRMINGHAM AL WTRWKS BRD WTR R | Water Works Board of the City of Birmingham/The                  | CUSIP: 091096ND5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     695000 | PA      | $678226.31     | 0.03%             | 2024-01-01      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                    | BNP Paribas SA                                                   | CUSIP: 09659W2J2<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    2690000 | PA      | $2549457.35    | 0.11%             | 2025-11-19      | Variable      | 2.82%                 | No            |                  2 | On Loan: No      |
| BOEING CO                      | Boeing Co/The                                                    | CUSIP: 097023DG7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    2035000 | PA      | $1850932.24    | 0.08%             | 2026-02-04      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PART         | Brixmor Operating Partnership LP                                 | CUSIP: 11120VAC7<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    1335000 | PA      | $1266675.95    | 0.05%             | 2026-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Commercial Mortgage Trust 2021-CIP                            | CUSIP: 12434FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6050000 | PA      | $5837588.13    | 0.25%             | 2038-12-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust            | Comm 2014-UBS2 Mortgage Trust                                    | CUSIP: 12591UAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2450000 | PA      | $2377287.19    | 0.10%             | 2047-03-10      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust            | COMM 2014-CCRE19 Mortgage Trust                                  | CUSIP: 12592GBD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1380133 | PA      | $1335052.61    | 0.06%             | 2047-08-10      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust            | COMM 2014-LC17 Mortgage Trust                                    | CUSIP: 12592MBK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     724000 | PA      | $702037.53     | 0.03%             | 2047-10-10      | Fixed         | 3.92%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust            | COMM 2014-CCRE21 Mortgage Trust                                  | CUSIP: 12592RBF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1602278 | PA      | $1542628.92    | 0.07%             | 2047-12-10      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| N/A                            | LME COPPER FORWARD                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -1 | NC      | $-1966.62      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER FORWARD                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          1 | NC      | $1076.13       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER FORWARD                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -1 | NC      | $-9624.62      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER FORWARD                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          1 | NC      | $9011.38       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER FORWARD                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -1 | NC      | $-8117.12      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | PLATINUM FUTURE   Apr23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         -2 | NC      | $-6778.68      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | PLN/USD FWD 20230118                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $90855.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | S&P/TSX 60 IX FUT Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | CA        |          5 | NC      | $-6328.66      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | COCOA FUTURE - IC Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        207 | NC      | $393772.28     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | Low Su Gasoil G   Jan23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        115 | NC      | $242930.10     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | Low Su Gasoil G   Feb23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        197 | NC      | $352888.75     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | Low Su Gasoil G   Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         16 | NC      | $17004.84      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | E-Mini Russ 2000  Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        -69 | NC      | $-120772.30    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | E-Mini Russ 2000  Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        118 | NC      | $-373476.04    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | EURO-BUND FUTURE  Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |      -1955 | NC      | $11880445.59   | 0.50%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | SOYBEAN FUTURE    Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        680 | NC      | $2027106.54    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | SUGAR #11 (WORLD) Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        806 | NC      | $269481.06     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | SEK/USD FWD 20230118                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $-423560.37    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | SEK/USD FWD 20230118                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $46691.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CHF CURRENCY FUT  Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |        276 | NC      | $14011.22      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | ICE 3MTH SONIA FU Mar24                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        -16 | NC      | $-1297.89      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | ICE 3MTH SONIA FU Mar25                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |          7 | NC      | $-580.10       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | ICE 3MTH SONIA FU Jun24                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |         16 | NC      | $-3065.97      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | ICE 3MTH SONIA FU Sep23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |         16 | NC      | $-2809.07      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | ICE 3MTH SONIA FU Dec23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |       -325 | NC      | $184625.11     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | ICE 3MTH SONIA FU Dec23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |         17 | NC      | $-2280.99      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 3 MONTH SOFR FUT  Dec23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -2911 | NC      | $809171.68     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | SGD/USD FWD 20230118                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $-27237.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | SGD/USD FWD 20230118                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $163094.12     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | SILVER FUTURE     Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        186 | NC      | $583090.66     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | SOYBEAN MEAL FUTR Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        455 | NC      | $1731654.50    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | FTSE/MIB IDX FUT  Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | IT        |         42 | NC      | $-29966.66     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | TOPIX INDX FUTR   Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | JP        |        -76 | NC      | $-7657.99      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | TOPIX INDX FUTR   Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | JP        |        163 | NC      | $-679052.04    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US 2YR NOTE (CBT) Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -3277 | NC      | $2150454.42    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | FTSE Taiwan Index Jan23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | SG        |         42 | NC      | $-28556.28     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US 10YR NOTE (CBT)Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -1368 | NC      | $1272402.48    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | EURO-BUXL 30Y BND Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |       -161 | NC      | $3522675.38    | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | EURO-BUXL 30Y BND Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |          7 | NC      | $-21613.24     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | USD/ZAR FWD 20230118                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $-321790.04    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | USD/ZAR FWD 20230118                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $451757.06     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | US LONG BOND(CBT) Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -607 | NC      | $1046172.48    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| GENERAL MOTORS FINL CO         | General Motors Financial Co Inc                                  | CUSIP: 37045XDM5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     970000 | PA      | $898426.87     | 0.04%             | 2024-10-15      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| GENUINE PARTS CO               | Genuine Parts Co                                                 | CUSIP: 372460AB1<br>LEI: 549300D46DQVEU651W04 | Long             | DBT              | CORP              | US        |     585000 | PA      | $546574.15     | 0.02%             | 2025-02-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| GM Financial Securitized Term  | GM Financial Consumer Automobile Receivables Trust 2021-3        | CUSIP: 380140AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5370000 | PA      | $5124372.98    | 0.22%             | 2026-06-16      | Fixed         | 0.48%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC        | Goldman Sachs Group Inc/The                                      | CUSIP: 38141GWQ3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    3905000 | PA      | $3764718.89    | 0.16%             | 2025-09-29      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC        | Goldman Sachs Group Inc/The                                      | CUSIP: 38141GXM1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    2500000 | PA      | $2208925.43    | 0.09%             | 2026-12-09      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC        | Goldman Sachs Group Inc/The                                      | CUSIP: 38141GXS8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1520000 | PA      | $1375377.21    | 0.06%             | 2026-02-12      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC        | Goldman Sachs Group Inc/The                                      | CUSIP: 38141GXZ2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    4740000 | PA      | $4689161.56    | 0.20%             | 2024-03-08      | Variable      | 0.67%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC        | Goldman Sachs Group Inc/The                                      | CUSIP: 38141GZP2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    2325000 | PA      | $2267901.09    | 0.10%             | 2024-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                        | HCA Inc                                                          | CUSIP: 404119CD9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     965000 | PA      | $879989.44     | 0.04%             | 2027-03-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC              | HSBC Holdings PLC                                                | CUSIP: 404280CG2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    3510000 | PA      | $3200382.55    | 0.14%             | 2026-06-04      | Variable      | 2.10%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC              | HSBC Holdings PLC                                                | CUSIP: 404280CJ6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    1105000 | PA      | $999375.30     | 0.04%             | 2026-04-18      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| HAWAII ST                      | State of Hawaii                                                  | CUSIP: 419792F92<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    4220000 | PA      | $3860266.52    | 0.16%             | 2025-08-01      | Fixed         | 1.03%                 | 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        |    1176713 | PA      | $1099554.73    | 0.05%             | 2033-07-25      | Fixed         | 2.34%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust | Hyundai Auto Receivables Trust 2020-C                            | CUSIP: 44891RAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3530282 | PA      | $3437682.50    | 0.15%             | 2025-05-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                   | ING Groep NV                                                     | CUSIP: 456837AP8<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    1955000 | PA      | $1912969.14    | 0.08%             | 2024-04-09      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                   | ING Groep NV                                                     | CUSIP: 456837BA0<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    1885000 | PA      | $1815179.02    | 0.08%             | 2026-03-28      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| TRANE TECHNOLOGIES LUX         | Trane Technologies Luxembourg Finance SA                         | CUSIP: 456873AE8<br>LEI: 549300GHBOWCVY92IS29 | Long             | DBT              | CORP              | LU        |     955000 | PA      | $901903.83     | 0.04%             | 2026-03-21      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Invitation Homes Trust         | Invitation Homes 2018-SFR4 Trust                                 | CUSIP: 46187XAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     886656 | PA      | $880306.71     | 0.04%             | 2038-01-17      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor | JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP3    | CUSIP: 46590RAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $911896.10     | 0.04%             | 2049-08-15      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Se | Natixis Commercial Mortgage Securities Trust 2018-285M           | CUSIP: 63874FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $944876.80     | 0.04%             | 2032-11-15      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC            | NatWest Markets PLC                                              | CUSIP: 63906YAB4<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |    1475000 | PA      | $1367148.25    | 0.06%             | 2024-08-12      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust     | Navient Private Education Refi Loan Trust 2021-A                 | CUSIP: 63942BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2032311 | PA      | $1758776.27    | 0.07%             | 2069-05-15      | Fixed         | 0.84%                 | No            |                  2 | On Loan: No      |
| NEBRASKA ST PUBLIC PWR DIST RE | Nebraska Public Power District                                   | CUSIP: 63968A2A2<br>LEI: 5493001J0BLQRMOJKP23 | Long             | DBT              | MUN               | US        |    1700000 | PA      | $1651091.51    | 0.07%             | 2024-01-01      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan  | New Residential Mortgage Loan Trust 2016-1                       | CUSIP: 64829FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     695560 | PA      | $638644.91     | 0.03%             | 2056-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan  | New Residential Mortgage Loan Trust 2017-2                       | CUSIP: 64829KBV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1065563 | PA      | $999292.95     | 0.04%             | 2057-03-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| NUTRIEN LTD                    | Nutrien Ltd                                                      | CUSIP: 67077MAY4<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |    2265000 | PA      | $2312658.95    | 0.10%             | 2025-11-07      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2018-1 Trust                                                 | CUSIP: 67112FAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     616857 | PA      | $580136.06     | 0.02%             | 2057-06-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| OPG Trust                      | OPG Trust 2021-PORT                                              | CUSIP: 67118AAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3803826 | PA      | $3584400.77    | 0.15%             | 2036-10-15      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| OMERS FINANCE TRUST            | OMERS Finance Trust                                              | CUSIP: 682142AA2<br>LEI: 529900M039WCPES03P17 | Long             | DBT              | NUSS              | CA        |    1930000 | PA      | $1866534.57    | 0.08%             | 2024-05-02      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                    | Oracle Corp                                                      | CUSIP: 68389XCF0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     685000 | PA      | $700643.63     | 0.03%             | 2025-11-10      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| PFS Financing Corp.            | PFS Financing Corp                                               | CUSIP: 69335PDX0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2288000 | PA      | $2158740.81    | 0.09%             | 2026-02-15      | Fixed         | 0.97%                 | No            |                  2 | On Loan: No      |
| PFS Financing Corp.            | PFS Financing Corp                                               | CUSIP: 69335PED3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3550000 | PA      | $3274216.83    | 0.14%             | 2026-08-15      | Fixed         | 0.77%                 | 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        |    5750000 | PA      | $5323954.33    | 0.22%             | 2038-07-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| PENNSYLVANIA ST UNIV           | Pennsylvania State University/The                                | CUSIP: 709235S22<br>LEI: 549300QDK4O4XCJ47X56 | Long             | DBT              | MUN               | US        |    2945000 | PA      | $2889895.81    | 0.12%             | 2023-09-01      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| PERKINELMER INC                | PerkinElmer Inc                                                  | CUSIP: 714046AL3<br>LEI: 549300IKL1SDPFI7N655 | Long             | DBT              | CORP              | US        |    4265000 | PA      | $3955881.84    | 0.17%             | 2024-09-15      | Fixed         | 0.85%                 | 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        |    3176000 | PA      | $2753731.43    | 0.12%             | 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        |    2045000 | PA      | $1802933.02    | 0.08%             | 2026-01-12      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL LFE GLB FND II       | Principal Life Global Funding II                                 | CUSIP: 74256LEL9<br>LEI: 635400WSLKBQWSOIIT41 | Long             | DBT              | CORP              | US        |    2150000 | PA      | $2031491.18    | 0.09%             | 2024-04-12      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| PRIVATE EXPORT FUNDING         | Private Export Funding Corp                                      | CUSIP: 742651DW9<br>LEI: CYQE6SAYPFKNQJ6FMH60 | Long             | DBT              | USGSE             | US        |    1255000 | PA      | $1209018.43    | 0.05%             | 2025-06-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| PROTECTIVE LIFE GLOBAL         | Protective Life Global Funding                                   | CUSIP: 74368CBF0<br>LEI: 635400EVYITCJYWL2I50 | Long             | DBT              | CORP              | US        |    2755000 | PA      | $2569426.95    | 0.11%             | 2024-07-05      | Fixed         | 0.78%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA           | Royal Bank of Canada                                             | CUSIP: 78016EZH3<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    1835000 | PA      | $1807398.96    | 0.08%             | 2024-07-26      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivabl | Santander Drive Auto Receivables Trust 2022-6                    | CUSIP: 802918AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4500000 | PA      | $4432620.15    | 0.19%             | 2026-11-16      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP            | Charles Schwab Corp/The                                          | CUSIP: 808513BY0<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |    1475000 | PA      | $1346886.52    | 0.06%             | 2027-03-03      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co  | Sierra Timeshare 2018-3 Receivables Funding LLC                  | CUSIP: 82653GAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     523092 | PA      | $515045.47     | 0.02%             | 2035-09-20      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr | SoFi Professional Loan Program 2016-D LLC                        | CUSIP: 83404LAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     165220 | PA      | $161789.96     | 0.01%             | 2033-04-25      | Fixed         | 2.34%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr | SoFi Professional Loan Program 2021-B Trust                      | CUSIP: 83405NAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1725579 | PA      | $1421105.54    | 0.06%             | 2047-02-15      | Fixed         | 1.14%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON            | Southern California Edison Co                                    | CUSIP: 842400GV9<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     510000 | PA      | $452748.14     | 0.02%             | 2026-02-01      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON            | Southern California Edison Co                                    | CUSIP: 842400HB2<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    2520000 | PA      | $2394213.32    | 0.10%             | 2024-04-01      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                    | SREIT Trust 2021-MFP2                                            | CUSIP: 85236WCE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $4811902.00    | 0.20%             | 2036-11-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC         | Standard Chartered PLC                                           | CUSIP: 853254BJ8<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |     975000 | PA      | $970354.56     | 0.04%             | 2024-03-15      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| SVENSKA HANDELSBANKEN AB       | Svenska Handelsbanken AB                                         | CUSIP: 86959LAG8<br>LEI: NHBDILHZTYCNBV5UYZ31 | Long             | DBT              | CORP              | SE        |     930000 | PA      | $872359.24     | 0.04%             | 2024-06-11      | Fixed         | 0.55%                 | No            |                  2 | On Loan: No      |
| Taco Bell Funding, LLC         | Taco Bell Funding LLC                                            | CUSIP: 87342RAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5811300 | PA      | $4908607.53    | 0.21%             | 2051-08-25      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| TAKEDA PHARMACEUTICAL          | Takeda Pharmaceutical Co Ltd                                     | CUSIP: 874060AT3<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |    2430000 | PA      | $2410355.18    | 0.10%             | 2023-11-26      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Tesla Auto Lease Trust         | Tesla Auto Lease Trust 2021-A                                    | CUSIP: 88161FAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2900000 | PA      | $2771237.97    | 0.12%             | 2025-03-20      | Fixed         | 1.02%                 | No            |                  2 | On Loan: No      |
| 321 Henderson Receivables LLC  | 321 Henderson Receivables I LLC                                  | CUSIP: 88576NAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      78435 | PA      | $78235.76      | 0.00%             | 2041-03-15      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| 321 Henderson Receivables LLC  | 321 Henderson Receivables I LLC                                  | CUSIP: 88576PAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      41252 | PA      | $40634.90      | 0.00%             | 2045-09-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK          | Toronto-Dominion Bank/The                                        | CUSIP: 89114TZG0<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    2160000 | PA      | $1891194.18    | 0.08%             | 2026-09-10      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK          | Toronto-Dominion Bank/The                                        | CUSIP: 89115A2A9<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    1745000 | PA      | $1693274.19    | 0.07%             | 2025-06-06      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust            | COMM 2015-3BP Mortgage Trust                                     | CUSIP: 12592TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1030000 | PA      | $952520.52     | 0.04%             | 2035-02-10      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust            | COMM 2013-CCRE6 Mortgage Trust                                   | CUSIP: 12624XAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     297492 | PA      | $296536.65     | 0.01%             | 2046-03-10      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust            | COMM 2013-CCRE10 Mortgage Trust                                  | CUSIP: 12626BAD6<br>LEI: 549300YJIXJB9DCDOI21 | Long             | ABS-MBS          | CORP              | US        |     615000 | PA      | $610829.87     | 0.03%             | 2046-08-10      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust            | COMM 2015-CCRE27 Mortgage Trust                                  | CUSIP: 12635QBJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $1875191.40    | 0.08%             | 2048-10-10      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | Credit Suisse Mortgage Capital Certificates 2019-ICE4            | CUSIP: 12653VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3500000 | PA      | $3461383.45    | 0.15%             | 2036-05-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                | CVS Health Corp                                                  | CUSIP: 126650CU2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    2430000 | PA      | $2271178.16    | 0.10%             | 2026-06-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK         | Canadian Imperial Bank of Commerce                               | CUSIP: 13607HR61<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |    1665000 | PA      | $1564048.67    | 0.07%             | 2027-04-07      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| CANADIAN PACIFIC RAILWAY       | Canadian Pacific Railway Co                                      | CUSIP: 13645RBD5<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |    1555000 | PA      | $1450518.52    | 0.06%             | 2024-12-02      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO       | Capital One Financial Corp                                       | CUSIP: 14040HCQ6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    1840000 | PA      | $1797948.97    | 0.08%             | 2025-05-09      | Variable      | 4.17%                 | 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        |    3805000 | PA      | $3601865.13    | 0.15%             | 2026-09-15      | Fixed         | 0.56%                 | 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        |    4800000 | PA      | $4660373.76    | 0.20%             | 2027-11-10      | Fixed         | 4.61%                 | No            |                  3 | On Loan: No      |
| Carvana Auto Receivables Trust | Carvana Auto Receivables Trust 2021-P4                           | CUSIP: 14687KAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7270000 | PA      | $6901323.03    | 0.29%             | 2027-01-11      | Fixed         | 1.31%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust | Carvana Auto Receivables Trust 2021-P2                           | CUSIP: 14687TAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5434981 | PA      | $5235219.96    | 0.22%             | 2026-03-10      | Fixed         | 0.49%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage  | Citigroup Commercial Mortgage Trust 2021-PRM2                    | CUSIP: 17291HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5250000 | PA      | $5051415.60    | 0.21%             | 2036-10-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner  | Toyota Auto Receivables 2022-C Owner Trust                       | CUSIP: 89231CAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3000000 | PA      | $2928443.10    | 0.12%             | 2027-04-15      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Loan Extended Note | Toyota Auto Loan Extended Note Trust 2020-1                      | CUSIP: 89237JAA4<br>LEI: 549300XP7ILZSI1BWP36 | Long             | ABS-O            | CORP              | US        |    1950000 | PA      | $1785205.89    | 0.08%             | 2033-05-25      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| Toyota Lease Owner Trust       | Toyota Lease Owner Trust 2021-B                                  | CUSIP: 89239CAC3<br>LEI: 5493006AB33TXC4NJ781 | Long             | ABS-O            | CORP              | US        |    6185000 | PA      | $6012616.63    | 0.25%             | 2024-10-21      | Fixed         | 0.42%                 | No            |                  2 | On Loan: No      |
| TRANSCANADA PIPELINES          | TransCanada PipeLines Ltd                                        | CUSIP: 89352HBB4<br>LEI: 5BV01I6231JPDAPMGH09 | Long             | DBT              | CORP              | CA        |    2370000 | PA      | $2194021.34    | 0.09%             | 2024-10-12      | Fixed         | 1.00%                 | 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        | 1212080962 | NS      | $1212080962.26 | 51.20%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 10YR MINI JGB FUT Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | SG        |        -14 | NC      | $27500.47      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | SOYBEAN OIL FUTR  Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        328 | NC      | $-1199081.12   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | BP CURRENCY FUT   Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |       -341 | NC      | $-22815.86     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | BP CURRENCY FUT   Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |        115 | NC      | $-79006.41     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | BRL/USD FWD 20230118                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $-622916.50    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | BRL/USD FWD 20230118                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $-58045.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | LME COPPER FORWARD                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          1 | NC      | $3914.88       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER FORWARD                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -1 | NC      | $2943.88       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER FORWARD                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          1 | NC      | $-3430.87      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER FORWARD                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -2 | NC      | $1194.76       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER FORWARD                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          2 | NC      | $3199.76       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER FORWARD                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -1 | NC      | $-268.62       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER FORWARD                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          1 | NC      | $717.38        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME NICKEL FORWARD                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -1 | NC      | $-43224.22     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME NICKEL FORWARD                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          1 | NC      | $39785.30      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME LEAD FORWARD                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -1 | NC      | $-3579.37      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME LEAD FORWARD                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          1 | NC      | $3378.88       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ZINC FORWARD  ($)                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -1 | NC      | $-581.37       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ZINC FORWARD  ($)                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          1 | NC      | $-1176.12      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ZINC FORWARD  ($)                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -1 | NC      | $-1665.12      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ZINC FORWARD  ($)                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          1 | NC      | $1744.13       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ZINC FORWARD  ($)                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -2 | NC      | $-1698.24      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ZINC FORWARD  ($)                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          2 | NC      | $-826.24       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ZINC FORWARD  ($)                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -1 | NC      | $1473.63       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ZINC FORWARD  ($)                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          1 | NC      | $-2959.12      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ZINC FORWARD  ($)                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -1 | NC      | $1554.38       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ZINC FORWARD  ($)                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          1 | NC      | $-2642.37      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ZINC FORWARD  ($)                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -1 | NC      | $692.63        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ZINC FORWARD  ($)                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          1 | NC      | $-2078.87      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ZINC FORWARD  ($)                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -1 | NC      | $-16.37        | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ZINC FORWARD  ($)                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          1 | NC      | $-62.12        | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME NICKEL FUTURE Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -9 | NC      | $-106609.80    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME NICKEL FUTURE Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         12 | NC      | $293581.14     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NOK/USD FWD 20230118                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $77868.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | NASDAQ 100 E-MINI Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |       -147 | NC      | $406712.35     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NEW ZEALAND $ FUT Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         21 | NC      | $2956.86       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NZD/USD FWD 20230104                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $-22271.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | NZD/USD FWD 20230104                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $-1424.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | NZD/USD FWD 20230118                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $-175072.92    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | NZD/USD FWD 20230118                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $195567.13     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | NZD/USD FWD 20230317                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $-47632.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | Euro-OAT Future   Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |       -456 | NC      | $1494180.90    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | EURO-BOBL FUTURE  Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |      -3330 | NC      | $8848940.21    | 0.37%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | MEXICAN PESO FUT  Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |        139 | NC      | $48968.54      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US LONG BOND(CBT) Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        104 | NC      | $47071.34      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | CBOE VIX FUTURE   Jan23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        -69 | NC      | $2355.52       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | CBOE VIX FUTURE   Feb23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |       -163 | NC      | $14937.24      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | CBOE VIX FUTURE   Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        -36 | NC      | $2724.48       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US 10yr Ultra Fut Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -99 | NC      | $-1281.63      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | EURO STOXX 50     Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | DE        |       3158 | NC      | $-5955171.61   | -0.25%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | WHEAT FUTURE(CBT) Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       -576 | NC      | $218119.46     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US ULTRA BOND CBT Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -206 | NC      | $147208.70     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | GASOLINE RBOB FUT Feb23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         -7 | NC      | $-78280.44     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | GASOLINE RBOB FUT Feb23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         81 | NC      | $870068.19     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | GASOLINE RBOB FUT Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         60 | NC      | $649270.20     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | GASOLINE RBOB FUT Apr23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         18 | NC      | $194708.82     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | GASOLINE RBOB FUT May23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         10 | NC      | $94733.90      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | AUST 10Y BOND FUT Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | AU        |      -1103 | NC      | $1283276.19    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | SPI 200 FUTURES   Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | AU        |         39 | NC      | $-33419.88     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | FTSE CHINA A50    Jan23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | SG        |       -436 | NC      | $-18658.52     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | AUST 3YR BOND FUT Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | AU        |       -334 | NC      | $163769.01     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | FTSE 100 IDX FUT  Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | GB        |       -125 | NC      | $32812.64      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | FTSE 100 IDX FUT  Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | GB        |        968 | NC      | $118547.65     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae - CAS               | Fannie Mae Connecticut Avenue Securities                         | CUSIP: 30711XZL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     661430 | PA      | $656928.10     | 0.03%             | 2030-07-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK         | Federal Home Loan Banks                                          | CUSIP: 3130A8HK2<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   12435000 | PA      | $11915771.85   | 0.50%             | 2024-06-14      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK         | Federal Home Loan Banks                                          | CUSIP: 3130AJHU6<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |    9350000 | PA      | $8599775.92    | 0.36%             | 2025-04-14      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK         | Federal Home Loan Banks                                          | CUSIP: 313383YJ4<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |    9000000 | PA      | $8909124.21    | 0.38%             | 2023-09-08      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK       | Federal Farm Credit Banks Funding Corp                           | CUSIP: 3133EJUS6<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |   10985000 | PA      | $10879762.71   | 0.46%             | 2023-07-17      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK       | Federal Farm Credit Banks Funding Corp                           | CUSIP: 3133EKSN7<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |    5135000 | PA      | $5066454.37    | 0.21%             | 2023-06-26      | Fixed         | 1.77%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK       | Federal Farm Credit Banks Funding Corp                           | CUSIP: 3133ENK33<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |   10000000 | PA      | $9862691.20    | 0.42%             | 2024-03-06      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                     | Federal National Mortgage Association                            | CUSIP: 3135G03U5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |   15000000 | PA      | $13791740.55   | 0.58%             | 2025-04-22      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                     | Federal National Mortgage Association                            | CUSIP: 3135G06L2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |   10105000 | PA      | $8849801.56    | 0.37%             | 2026-12-18      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                     | Federal National Mortgage Association                            | CUSIP: 3135G0V75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |    5000000 | PA      | $4788246.30    | 0.20%             | 2024-07-02      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates     | CUSIP: 3137BSRD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1419645 | PA      | $1367197.05    | 0.06%             | 2025-09-25      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                    | Federal Home Loan Mortgage Corp                                  | CUSIP: 3137EAEW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |    2000000 | PA      | $1939821.58    | 0.08%             | 2023-09-08      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates     | CUSIP: 3137FQ3N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     258912 | PA      | $257565.65     | 0.01%             | 2026-02-25      | Fixed         | 2.17%                 | No            |                  2 | On Loan: No      |
| FED CAISSES DESJARDINS         | Federation des Caisses Desjardins du Quebec                      | CUSIP: 31429KAE3<br>LEI: 549300B2Q47IR0CR5B54 | Long             | DBT              | CORP              | CA        |    1965000 | PA      | $1841379.65    | 0.08%             | 2024-05-21      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust/F | Ford Credit Auto Owner Trust 2018-REV2                           | CUSIP: 34528HAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1400000 | PA      | $1380962.94    | 0.06%             | 2030-01-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| FORSYTH CNTY GA SCH DIST       | Forsyth County School District                                   | CUSIP: 346604LK5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    1330000 | PA      | $1278006.71    | 0.05%             | 2024-02-01      | Fixed         | 0.92%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | STACR Trust 2018-HRP2                                            | CUSIP: 35564ABF7<br>LEI: 549300YG8OJES76WL398 | Long             | ABS-MBS          | CORP              | US        |    1787866 | PA      | $1738370.96    | 0.07%             | 2047-02-25      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | STACR Trust 2018-HRP2                                            | CUSIP: 35564ABN0<br>LEI: 549300YG8OJES76WL398 | Long             | ABS-MBS          | CORP              | US        |    3663576 | PA      | $3552286.78    | 0.15%             | 2047-02-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR REMIC Trust 2021-DNA5                          | CUSIP: 35564KHE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     369048 | PA      | $363977.22     | 0.02%             | 2034-01-25      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR REMIC Trust 2021-DNA6                          | CUSIP: 35564KKR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5250000 | PA      | $5181641.85    | 0.22%             | 2041-10-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor | J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-BCON | CUSIP: 46590WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3630000 | PA      | $3626748.97    | 0.15%             | 2031-01-05      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor | JP Morgan Chase Commercial Mortgage Securities Trust 2021-MHC    | CUSIP: 466330AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4157546 | PA      | $4047912.07    | 0.17%             | 2038-04-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor | JP Morgan Chase Commercial Mortgage Securities Trust 2013-C10    | CUSIP: 46639JAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     200000 | PA      | $199503.72     | 0.01%             | 2047-12-15      | Fixed         | 3.37%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor | JP Morgan Chase Commercial Mortgage Securities Trust 2013-C13    | CUSIP: 46640JAR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     364022 | PA      | $360928.61     | 0.02%             | 2046-01-15      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu | JPMBB Commercial Mortgage Securities Trust 2013-C15              | CUSIP: 46640NAJ7<br>LEI: 549300UOGMFS1M8XVM16 | Long             | ABS-MBS          | CORP              | US        |    3325000 | PA      | $3265855.23    | 0.14%             | 2045-11-15      | Fixed         | 4.42%                 | 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        |    3650000 | PA      | $3498634.50    | 0.15%             | 2047-09-15      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu | JPMBB Commercial Mortgage Securities Trust 2014-C23              | CUSIP: 46643ABF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1093000 | PA      | $1069202.62    | 0.05%             | 2047-09-15      | Fixed         | 3.66%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO            | JPMorgan Chase & Co                                              | CUSIP: 46647PBT2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    5725000 | PA      | $5042317.91    | 0.21%             | 2026-11-19      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO            | JPMorgan Chase & Co                                              | CUSIP: 46647PBW5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    2980000 | PA      | $2599159.90    | 0.11%             | 2027-02-04      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO            | JPMorgan Chase & Co                                              | CUSIP: 46647PCH7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    4760000 | PA      | $4437637.28    | 0.19%             | 2025-06-01      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| John Deere Owner Trust         | John Deere Owner Trust 2022-C                                    | CUSIP: 47800BAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7000000 | PA      | $6997139.10    | 0.30%             | 2025-08-15      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| Ladder Capital Commercial Mort | Ladder Capital Commercial Mortgage 2013-GCP Mortgage Trust       | CUSIP: 50184BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1829379 | PA      | $1689823.77    | 0.07%             | 2036-02-15      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| MPLX LP                        | MPLX LP                                                          | CUSIP: 55336VBR0<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    2030000 | PA      | $1812010.20    | 0.08%             | 2026-03-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                | MVW Owner Trust 2019-1                                           | CUSIP: 55389PAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     523092 | PA      | $493094.26     | 0.02%             | 2036-11-20      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                | MVW 2021-1W LLC                                                  | CUSIP: 55389TAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2016265 | PA      | $1842058.85    | 0.08%             | 2041-01-22      | Fixed         | 1.14%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                | MVW 2019-2 LLC                                                   | CUSIP: 55400DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     744795 | PA      | $703217.93     | 0.03%             | 2038-10-20      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC       | Warnermedia Holdings Inc                                         | CUSIP: 55903VAE3<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    2680000 | PA      | $2550497.04    | 0.11%             | 2025-03-15      | Fixed         | 3.64%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC       | Warnermedia Holdings Inc                                         | CUSIP: 55903VAG8<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    2385000 | PA      | $2153740.86    | 0.09%             | 2027-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| MET LIFE GLOB FUNDING I        | Metropolitan Life Global Funding I                               | CUSIP: 59217GEJ4<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |    1565000 | PA      | $1419080.75    | 0.06%             | 2025-07-02      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| MET LIFE GLOB FUNDING I        | Metropolitan Life Global Funding I                               | CUSIP: 59217GEN5<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |    2420000 | PA      | $2266185.79    | 0.10%             | 2024-06-07      | Fixed         | 0.55%                 | No            |                  2 | On Loan: No      |
| MIAMI-DADE CNTY FL AVIATION RE | County of Miami-Dade FL Aviation Revenue                         | CUSIP: 59333PV21<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    1350000 | PA      | $1326949.02    | 0.06%             | 2023-10-01      | Fixed         | 2.37%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP         | Mitsubishi UFJ Financial Group Inc                               | CUSIP: 606822BN3<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    1945000 | PA      | $1821621.61    | 0.08%             | 2025-02-25      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                 | Morgan Stanley                                                   | CUSIP: 6174468J1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1135000 | PA      | $1085534.54    | 0.05%             | 2025-07-22      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                 | Morgan Stanley                                                   | CUSIP: 61747YEA9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    2075000 | PA      | $1933419.14    | 0.08%             | 2025-05-30      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                 | Morgan Stanley                                                   | CUSIP: 61747YEC5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    4335000 | PA      | $3766576.81    | 0.16%             | 2027-07-20      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| NBN CO LTD                     | NBN Co Ltd                                                       | CUSIP: 62878U2C5<br>LEI: 2549007CRZ2NT7S96A24 | Long             | DBT              | CORP              | AU        |    1615000 | PA      | $1489756.67    | 0.06%             | 2024-10-08      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                     | AbbVie Inc                                                       | CUSIP: 00287YAY5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     860000 | PA      | $812662.38     | 0.03%             | 2026-05-14      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| ACRE COMMERCIAL MORTGAGE TRUST | ACRE Commercial Mortgage 2021-FL4 Ltd                            | CUSIP: 00489TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    1061074 | PA      | $1050579.79    | 0.04%             | 2037-12-18      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA       | AerCap Ireland Capital DAC / AerCap Global Aviation Trust        | CUSIP: 00774MAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    3035000 | PA      | $2891387.35    | 0.12%             | 2025-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA       | AerCap Ireland Capital DAC / AerCap Global Aviation Trust        | CUSIP: 00774MAS4<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    1465000 | PA      | $1290504.80    | 0.05%             | 2026-01-30      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA       | AerCap Ireland Capital DAC / AerCap Global Aviation Trust        | CUSIP: 00774MAT2<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    2375000 | PA      | $2285074.02    | 0.10%             | 2023-10-29      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA       | AerCap Ireland Capital DAC / AerCap Global Aviation Trust        | CUSIP: 00774MAU9<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    4340000 | PA      | $4004757.74    | 0.17%             | 2024-10-29      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| ALEN 2021-ACEN Mortgage Trust  | Alen 2021-ACEN Mortgage Trust                                    | CUSIP: 01449NAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3150000 | PA      | $2891208.29    | 0.12%             | 2034-04-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                 | Amazon.com Inc                                                   | CUSIP: 023135CN4<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    1790000 | PA      | $1788828.62    | 0.08%             | 2025-12-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| AMCOR FINANCE USA INC          | Amcor Finance USA Inc                                            | CUSIP: 02343UAG0<br>LEI: 549300ZMT7FVT8R77U18 | Long             | DBT              | CORP              | US        |    2870000 | PA      | $2718566.14    | 0.11%             | 2026-04-28      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| American Homes 4 Rent          | American Homes 4 Rent 2014-SFR2 Trust                            | CUSIP: 02665UAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     714850 | PA      | $689987.72     | 0.03%             | 2036-10-17      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receiva | AmeriCredit Automobile Receivables Trust 2021-2                  | CUSIP: 03066RAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5010000 | PA      | $4877256.54    | 0.21%             | 2026-12-18      | Fixed         | 0.34%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust       | Angel Oak Mortgage Trust 2020-1                                  | CUSIP: 03464RAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1915000 | PA      | $1588841.41    | 0.07%             | 2059-12-25      | Variable      | 3.16%                 | 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        |     133906 | PA      | $118690.30     | 0.01%             | 2065-05-25      | Variable      | 2.04%                 | No            |                  2 | On Loan: No      |
| ASTRAZENECA FINANCE LLC        | Astrazeneca Finance LLC                                          | CUSIP: 04636NAC7<br>LEI: 549300C3HATU4Q460S18 | Long             | DBT              | CORP              | US        |     970000 | PA      | $914573.60     | 0.04%             | 2024-05-28      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| Bank of America Credit Card Tr | BA Credit Card Trust                                             | CUSIP: 05522RDD7<br>LEI: 5493006DQ60M1CRKHH19 | Long             | ABS-O            | CORP              | US        |    2120000 | PA      | $1998550.29    | 0.08%             | 2026-09-15      | Fixed         | 0.44%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | BBCMS Trust 2015-VFM                                             | CUSIP: 05546JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     813823 | PA      | $753628.68     | 0.03%             | 2036-03-10      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| BHP Trust                      | BHP Trust 2019-BXHP                                              | CUSIP: 05550TAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2366383 | PA      | $2300785.75    | 0.10%             | 2036-08-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| BIG Commercial Mortgage Trust  | BIG Commercial Mortgage Trust 2022-BIG                           | CUSIP: 05551UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5600000 | PA      | $5374358.64    | 0.23%             | 2039-02-15      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                  | Citigroup Inc                                                    | CUSIP: 172967MX6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    3740000 | PA      | $3500650.81    | 0.15%             | 2025-05-01      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                  | Citigroup Inc                                                    | CUSIP: 172967ND9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    2280000 | PA      | $2101915.61    | 0.09%             | 2025-11-03      | Variable      | 1.28%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                  | Citigroup Inc                                                    | CUSIP: 172967NQ0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    3505000 | PA      | $3436771.04    | 0.15%             | 2025-05-24      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| Citibank Credit Card Issuance  | Citibank Credit Card Issuance Trust                              | CUSIP: 17305EGM1<br>LEI: R8AG6FXVDQAMDKCSJJ64 | Long             | ABS-O            | CORP              | US        |    3500000 | PA      | $3476798.15    | 0.15%             | 2025-05-23      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                  | Citigroup Inc                                                    | CUSIP: 17327CAM5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    1930000 | PA      | $1682709.81    | 0.07%             | 2027-01-28      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                   | Comcast Corp                                                     | CUSIP: 20030NBS9<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    1410000 | PA      | $1343960.34    | 0.06%             | 2026-03-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| CONAGRA BRANDS INC             | Conagra Brands Inc                                               | CUSIP: 205887CG5<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |    1075000 | PA      | $1044436.77    | 0.04%             | 2023-08-11      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2022-R03                     | CUSIP: 20753XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4187877 | PA      | $4161650.82    | 0.18%             | 2042-03-25      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2022-R04                     | CUSIP: 20753YCH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1782591 | PA      | $1774539.95    | 0.07%             | 2042-03-25      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2021-R03                     | CUSIP: 20754AAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4155642 | PA      | $4076031.93    | 0.17%             | 2041-12-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Fannie Mae Connecticut Avenue Securities                         | CUSIP: 20754KAA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    2014075 | PA      | $1977466.48    | 0.08%             | 2041-11-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2022-R01                     | CUSIP: 20754LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1787718 | PA      | $1764916.06    | 0.07%             | 2041-12-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2022-R06                     | CUSIP: 20754NAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1185121 | PA      | $1199704.61    | 0.05%             | 2042-05-25      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2021-R01                     | CUSIP: 20754RAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1820000 | PA      | $1773693.56    | 0.07%             | 2041-10-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE NEW YORK         | Credit Suisse AG/New York NY                                     | CUSIP: 22550L2D2<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | CORP              | CH        |    2610000 | PA      | $2548325.70    | 0.11%             | 2023-05-05      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE NEW YORK         | Credit Suisse AG/New York NY                                     | CUSIP: 22550L2F7<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | CORP              | CH        |    1805000 | PA      | $1717006.25    | 0.07%             | 2023-08-09      | Fixed         | 0.52%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE NEW YORK         | Credit Suisse AG/New York NY                                     | CUSIP: 22550L2K6<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | CORP              | CH        |    1425000 | PA      | $1300294.07    | 0.05%             | 2027-07-09      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DH EUROPE FINANCE II           | DH Europe Finance II Sarl                                        | CUSIP: 23291KAG0<br>LEI: 222100KDGL314CKTZ511 | Long             | DBT              | CORP              | LU        |    1810000 | PA      | $1723356.49    | 0.07%             | 2024-11-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| N/A                            | JPY/USD FWD 20230104                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $24208.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DB Master Finance LLC          | DB Master Finance LLC                                            | CUSIP: 233046AN1<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-O            | CORP              | US        |    4059000 | PA      | $3463362.05    | 0.15%             | 2051-11-20      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| SITE CENTERS CORP              | SITE Centers Corp                                                | CUSIP: 23317HAD4<br>LEI: W2AVA6SODOQ1LCYJQR54 | Long             | DBT              | CORP              | US        |    1115000 | PA      | $1053032.72    | 0.04%             | 2025-02-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| N/A                            | JPY/USD FWD 20230118                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $-2371365.26   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | JPY/USD FWD 20230118                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $2663876.18    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| SITE CENTERS CORP              | SITE Centers Corp                                                | CUSIP: 23317HAF9<br>LEI: W2AVA6SODOQ1LCYJQR54 | Long             | DBT              | CORP              | US        |    2775000 | PA      | $2607158.07    | 0.11%             | 2027-06-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ FIN NA           | Mercedes-Benz Finance North America LLC                          | CUSIP: 233851EB6<br>LEI: 549300423Z16BB673J12 | Long             | DBT              | CORP              | US        |     795000 | PA      | $755088.12     | 0.03%             | 2024-03-01      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| N/A                            | JPY/USD FWD 20230317                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $-759032.59    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | JPY/USD FWD 20230317                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $1263.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY               | Deutsche Bank AG/New York NY                                     | CUSIP: 251526CJ6<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    1115000 | PA      | $1042969.22    | 0.04%             | 2024-05-28      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| Diamond Resorts Owner Trust    | Diamond Resorts Owner Trust 2021-1                               | CUSIP: 25273CAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1187861 | PA      | $1095282.52    | 0.05%             | 2033-11-21      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| N/A                            | JPN YEN CURR FUT  Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |       1016 | NC      | $1806885.81    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | COFFEE 'C' FUTURE Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       -285 | NC      | $821972.45     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| ELP 2021-ELP                   | ELP Commercial Mortgage Trust 2021-ELP                           | CUSIP: 26863LAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5400000 | PA      | $5142692.16    | 0.22%             | 2038-11-15      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| ELARA HGV TIMESHARE ISSUER     | Elara HGV Timeshare Issuer 2021-A LLC                            | CUSIP: 28416LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1997072 | PA      | $1784005.29    | 0.08%             | 2035-08-27      | Fixed         | 1.36%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                   | Enbridge Inc                                                     | CUSIP: 29250NBL8<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    1050000 | PA      | $991430.91     | 0.04%             | 2025-02-14      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ENTERGY NEW ORLEANS STORM RECO | Entergy New Orleans Storm Recovery Funding I LLC                 | CUSIP: 29277VAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     345059 | PA      | $333553.61     | 0.01%             | 2027-06-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP             | Energy Transfer LP                                               | CUSIP: 29278NAP8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     565000 | PA      | $532825.98     | 0.02%             | 2025-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage  | Citigroup Commercial Mortgage Trust 2019-PRM                     | CUSIP: 29429JAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $984160.70     | 0.04%             | 2036-05-10      | Fixed         | 3.64%                 | No            |                  2 | On Loan: No      |
| N/A                            | KOSPI2 INX FUT    Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | KR        |       -266 | NC      | $105226.44     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | KRW/USD FWD 20230118                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $-125780.43    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| EQUITABLE FINANCIAL LIFE       | Equitable Financial Life Global Funding                          | CUSIP: 29449WAA5<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |    1780000 | PA      | $1615377.39    | 0.07%             | 2025-07-07      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| EQUITABLE FINANCIAL LIFE       | Equitable Financial Life Global Funding                          | CUSIP: 29449WAC1<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |     590000 | PA      | $565896.56     | 0.02%             | 2023-11-17      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| N/A                            | KRW/USD FWD 20230118                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $300883.01     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | KC HRW WHEAT FUT  Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       -369 | NC      | $-700205.48    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| EQUS 2021-EQAZ Mortgage Trust  | EQUS 2021-EQAZ Mortgage Trust                                    | CUSIP: 29478JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5399892 | PA      | $5196680.32    | 0.22%             | 2038-10-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY              | Eversource Energy                                                | CUSIP: 30040WAJ7<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |     335000 | PA      | $300420.87     | 0.01%             | 2025-08-15      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| N/A                            | KC HRW WHEAT FUT  Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         58 | NC      | $543.92        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME PRI ALUM FUTR Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |       -335 | NC      | $158826.20     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Extended Stay America Trust    | Extended Stay America Trust 2021-ESH                             | CUSIP: 30227FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1171431 | PA      | $1137633.95    | 0.05%             | 2038-07-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| FRESB Multifamily Mortgage Pas | FRESB 2016-SB17 Mortgage Trust                                   | CUSIP: 30294UAC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     548586 | PA      | $541739.64     | 0.02%             | 2023-05-25      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| N/A                            | LME PRI ALUM FUTR Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        150 | NC      | $-204664.83    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LIVE CATTLE FUTR  Feb23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         32 | NC      | $-2014.60      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FRESB Multifamily Mortgage Pas | FRESB 2017-SB32 Mortgage Trust                                   | CUSIP: 302952AB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     710718 | PA      | $686017.77     | 0.03%             | 2024-04-25      | Variable      | 2.44%                 | No            |                  2 | On Loan: No      |
| FRESB Multifamily Mortgage Pas | FRESB 2016-SB23 Mortgage Trust                                   | CUSIP: 30295LAE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1185323 | PA      | $1107877.22    | 0.05%             | 2026-09-25      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| FRESB Multifamily Mortgage Pas | FRESB 2016-SB22 Mortgage Trust                                   | CUSIP: 30300XAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1538060 | PA      | $1511202.31    | 0.06%             | 2023-09-25      | Variable      | 1.98%                 | No            |                  2 | On Loan: No      |
| FRESB Multifamily Mortgage Pas | FRESB 2019-SB69 Mortgage Trust                                   | CUSIP: 30312XAE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4423508 | PA      | $4218550.80    | 0.18%             | 2024-10-25      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| N/A                            | LEAN HOGS FUTURE  Feb23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         42 | NC      | $-22937.80     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME LEAD FUTURE   Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -11 | NC      | $-50028.82     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FRESB Multifamily Mortgage Pas | FRESB 2019-SB67 Mortgage Trust                                   | CUSIP: 30314KAS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1385271 | PA      | $1322114.26    | 0.06%             | 2024-07-25      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR REMIC Trust 2021-DNA6                          | CUSIP: 35564KKY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1355927 | PA      | $1288088.89    | 0.05%             | 2041-10-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR REMIC Trust 2021-DNA7                          | CUSIP: 35564KMA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4769444 | PA      | $4687043.91    | 0.20%             | 2041-11-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR REMIC Trust 2021-HQA4                          | CUSIP: 35564KNK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5657047 | PA      | $5367515.49    | 0.23%             | 2041-12-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                            | LME LEAD FUTURE   Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         15 | NC      | $64980.20      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ALUMINUM FORWARD                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -2 | NC      | $-11358.74     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR REMIC Trust 2022-DNA1                          | CUSIP: 35564KPU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4877695 | PA      | $4752452.46    | 0.20%             | 2042-01-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR REMIC Trust 2022-DNA2                          | CUSIP: 35564KRE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4548344 | PA      | $4473027.58    | 0.19%             | 2042-02-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR REMIC Trust 2022-HQA1                          | CUSIP: 35564KTA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4148724 | PA      | $4130288.32    | 0.17%             | 2042-03-25      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR REMIC Trust 2022-DNA3                          | CUSIP: 35564KUW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1930777 | PA      | $1926500.30    | 0.08%             | 2042-04-25      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| GCT Commercial Mortgage Trust  | GCT Commercial Mortgage Trust 2021-GCT                           | CUSIP: 36167RAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3850000 | PA      | $3572269.47    | 0.15%             | 2038-02-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust   | GS Mortgage Securities Trust 2013-GC16                           | CUSIP: 36248GAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     206000 | PA      | $200611.35     | 0.01%             | 2046-11-10      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust   | GS Mortgage Securities Trust 2015-GC28                           | CUSIP: 36251FAW6<br>LEI: 5493002EPQ51IPGGFX73 | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $958181.60     | 0.04%             | 2048-02-10      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust   | GS Mortgage Securities Trust 2015-GC28                           | CUSIP: 36251FBA3<br>LEI: 5493002EPQ51IPGGFX73 | Long             | ABS-MBS          | CORP              | US        |    1985000 | PA      | $1881654.35    | 0.08%             | 2048-02-10      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| N/A                            | LME ALUMINUM FORWARD                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          2 | NC      | $8799.76       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ALUMINUM FORWARD                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -1 | NC      | $-2513.37      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GS Mortgage Securities Trust   | GS Mortgage Securities Corp Trust 2017-SLP                       | CUSIP: 36255MAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     846279 | PA      | $824132.38     | 0.03%             | 2032-10-10      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| GSCG Trust                     | GSCG Trust 2019-600C                                             | CUSIP: 36260TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2065000 | PA      | $1872249.60    | 0.08%             | 2034-09-06      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| GM Financial Securitized Term  | GM Financial Consumer Automobile Receivables Trust 2021-1        | CUSIP: 36261LAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2525917 | PA      | $2443660.85    | 0.10%             | 2025-10-16      | Fixed         | 0.35%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Corp Trust 2021-NQM1               | CUSIP: 36262EAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1366306 | PA      | $1085663.72    | 0.05%             | 2061-07-25      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| N/A                            | LME ALUMINUM FORWARD                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          1 | NC      | $2416.38       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ALUMINUM FORWARD                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -1 | NC      | $-4471.12      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GSK CONSUMER HEALTHCARE        | GSK Consumer Healthcare Capital UK PLC                           | CUSIP: 36264NAB0<br>LEI: 5493004B26DRJNN0OV17 | Long             | DBT              | CORP              | GB        |    4620000 | PA      | $4396766.91    | 0.19%             | 2025-03-24      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust   | GS Mortgage Securities Corp Trust 2021-ROSS                      | CUSIP: 36264YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $4673582.00    | 0.20%             | 2026-05-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| N/A                            | LME ALUMINUM FORWARD                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          1 | NC      | $3147.63       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ALUMINUM FORWARD                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -1 | NC      | $-1449.62      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GS Mortgage Securities Trust   | GS Mortgage Securities Corp II                                   | CUSIP: 36266CAA4<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |    5400000 | PA      | $5227419.24    | 0.22%             | 2036-11-15      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| GENERAL MILLS INC              | General Mills Inc                                                | CUSIP: 370334CS1<br>LEI: 2TGYMUGI08PO8X8L6150 | Long             | DBT              | CORP              | US        |     855000 | PA      | $857376.99     | 0.04%             | 2025-11-18      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO         | General Motors Financial Co Inc                                  | CUSIP: 37045XCX2<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    2840000 | PA      | $2660619.52    | 0.11%             | 2025-06-20      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                            | LME ALUMINUM FORWARD                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          1 | NC      | $482.88        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ALUMINUM FORWARD                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -4 | NC      | $-15361.48     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ALUMINUM FORWARD                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          4 | NC      | $12468.52      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ALUMINUM FORWARD                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -1 | NC      | $-770.12       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ALUMINUM FORWARD                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          1 | NC      | $-48.62        | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ALUMINUM FORWARD                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -1 | NC      | $1221.13       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ALUMINUM FORWARD                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          1 | NC      | $-709.12       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ALUMINUM FORWARD                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -1 | NC      | $816.38        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ALUMINUM FORWARD                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          1 | NC      | $-1202.62      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ALUMINUM FORWARD                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -2 | NC      | $-448.24       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ALUMINUM FORWARD                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          2 | NC      | $-24.24        | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ALUMINUM FORWARD                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -2 | NC      | $2179.76       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ALUMINUM FORWARD                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          2 | NC      | $-3740.99      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ALUMINUM FORWARD                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -2 | NC      | $153.26        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ALUMINUM FORWARD                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          2 | NC      | $-1520.74      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER FORWARD                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -1 | NC      | $-18623.87     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER FORWARD                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          1 | NC      | $13242.63      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER FORWARD                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -1 | NC      | $-15242.87     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER FORWARD                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          1 | NC      | $7293.38       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER FORWARD                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -2 | NC      | $-22706.24     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER FORWARD                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          2 | NC      | $19292.76      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER FUTURE Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |       -269 | NC      | $-2163038.15   | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER FUTURE Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        249 | NC      | $68321.57      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ZINC FUTURE   Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |       -167 | NC      | $-236815.31    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ZINC FUTURE   Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        104 | NC      | $-404161.79    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | MSCI EmgMkt       Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |       -111 | NC      | $533.29        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | MSCI EAFE         Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        -29 | NC      | $12302.15      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | ECX EMISSION      Dec23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               |  | NL        |        -14 | NC      | $55993.92      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | MXN/USD FWD 20230118                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $-121204.70    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | MXN/USD FWD 20230118                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $870873.52     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | MXN/USD FWD 20230317                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $543072.68     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | NATURAL GAS FUTR  Feb23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       -178 | NC      | $2553985.71    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NATURAL GAS FUTR  Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        -72 | NC      | $898558.88     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NATURAL GAS FUTR  Apr23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        -34 | NC      | $186373.36     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NATURAL GAS FUTR  May23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        -10 | NC      | $46740.40      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NATURAL GAS FUTR  Jun23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         -2 | NC      | $636.08        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NIKKEI 225  (SGX) Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | SG        |        -21 | NC      | $3274.18       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NIKKEI 225  (OSE) Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | JP        |         -2 | NC      | $-1149.69      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NIKKEI 225  (OSE) Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | JP        |        259 | NC      | $-3490345.43   | -0.15%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NOK/USD FWD 20230118                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $-167456.74    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | BOVESPA INDEX FUT Feb23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | BR        |         85 | NC      | $-15768.94     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | CORN FUTURE       Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       -229 | NC      | $-166555.42    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | CORN FUTURE       Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         77 | NC      | $-9355.77      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | CAD/USD FWD 20230118                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $218840.61     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CAD/USD FWD 20230118                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $663883.86     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CAD/USD FWD 20230317                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $-130539.02    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | COCOA FUTURE      Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        -38 | NC      | $-26582.15     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | C$ CURRENCY FUT   Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |        108 | NC      | $56873.96      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | CAC40 10 EURO FUT Jan23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | FR        |       -122 | NC      | $78961.25      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | CAC40 10 EURO FUT Jan23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | FR        |        554 | NC      | $-1610053.40   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | CHF/USD FWD 20230118                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $-670623.81    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CHF/USD FWD 20230118                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $369886.61     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CHF/USD FWD 20230317                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $55107.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CHF/USD FWD 20230317                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $75614.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | WTI CRUDE FUTURE  Feb23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        -66 | NC      | $-254523.42    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | WTI CRUDE FUTURE  Feb23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        198 | NC      | $609201.92     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 3MO EURO EURIBOR  Mar24                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |       -112 | NC      | $137908.11     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 3MO EURO EURIBOR  Mar25                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        -96 | NC      | $50887.43      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 3MO EURO EURIBOR  Jun24                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |       -123 | NC      | $154669.62     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 3MO EURO EURIBOR  Sep23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        -84 | NC      | $105217.39     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 3MO EURO EURIBOR  Sep24                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |       -138 | NC      | $163213.68     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 3MO EURO EURIBOR  Dec23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |      -2508 | NC      | $2841628.49    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 3MO EURO EURIBOR  Dec24                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |       -129 | NC      | $141741.49     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | S&P500 EMINI FUT  Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        -12 | NC      | $-30708.38     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | S&P500 EMINI FUT  Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         96 | NC      | $-864940.40    | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | EUR/NOK FWD 20230118                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $-65207.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | EUR/NOK FWD 20230118                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $333319.88     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | EUR/PLN FWD 20230118                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $-13955.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | EUR/PLN FWD 20230118                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $50011.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | EUR/SEK FWD 20230118                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $-445904.24    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | EUR/SEK FWD 20230118                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $607447.93     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | EUR/USD FWD 20230118                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $-319425.75    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | EUR/USD FWD 20230118                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $1413629.78    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | EUR/USD FWD 20230317                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $-510588.48    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | EUR/USD FWD 20230317                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $340222.82     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | S&P MID 400 EMINI Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        -18 | NC      | $-37131.46     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US 5YR NOTE (CBT) Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -2273 | NC      | $1367349.00    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LONG GILT FUTURE  Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |       -841 | NC      | $2301834.99    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | GBP/USD FWD 20230118                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $-1146165.08   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | GBP/USD FWD 20230118                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $726819.48     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | GBP/USD FWD 20230317                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $264.03        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | GBP/USD FWD 20230317                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $797984.48     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | GOLD 100 OZ FUTR  Feb23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         -7 | NC      | $-40013.44     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | GOLD 100 OZ FUTR  Feb23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |          2 | NC      | $136.28        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | DAX INDEX FUTURE  Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | DE        |        -18 | NC      | $7972.50       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | DAX INDEX FUTURE  Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | DE        |        288 | NC      | $-3991112.72   | -0.17%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | HSCEI Futures     Jan23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | HK        |         82 | NC      | $2512.11       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | COPPER FUTURE     Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         23 | NC      | $-22905.28     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | HANG SENG IDX FUT Jan23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | HK        |       -229 | NC      | $-304623.64    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | HANG SENG IDX FUT Jan23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | HK        |         27 | NC      | $-36291.11     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NY Harb ULSD Fut  Feb23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        161 | NC      | $1177539.61    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NY Harb ULSD Fut  Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         39 | NC      | $212840.01     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NY Harb ULSD Fut  Apr23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |          9 | NC      | $41996.31      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NY Harb ULSD Fut  May23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |          4 | NC      | $19384.16      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | IBEX 35 INDX FUTR Jan23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | ES        |        -38 | NC      | $15051.87      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | SGX Nifty 50      Jan23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | SG        |         20 | NC      | $756.20        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | Euro-BTP Future   Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |       -373 | NC      | $907525.29     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | ILS/USD FWD 20230118                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $-162158.19    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | ILS/USD FWD 20230118                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $4832.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | INR/USD FWD 20230118                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $2277.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | INR/USD FWD 20230118                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $17931.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | JPN 10Y BOND(OSE) Mar23                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | JP        |       -130 | NC      | $1569657.81    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | JPY/USD FWD 20230104                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $-17941.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | LME COPPER FORWARD                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -1 | NC      | $-10920.37     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER FORWARD                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          1 | NC      | $7317.63       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER FORWARD                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -1 | NC      | $1958.88       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER FORWARD                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          1 | NC      | $-2932.87      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER FORWARD                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -1 | NC      | $85.38         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER FORWARD                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          1 | NC      | $-41.87        | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-21

**Name of Applicant:** LoCorr Investment Trust

**Signature:** Jon Essen

**Name of Signer:** Jon Essen

**Title:** Treasurer