# EDGAR Filing Document

**Accession Number:** 0001506768
**File Stem:** 0001145549-23-009180
**Filing Date:** 2023-2
**Character Count:** 111718
**Document Hash:** 6600caa5183755f430f55cd92b4dbedc
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-23-009180.hdr.sgml**: 20230224

**ACCESSION NUMBER**: 0001145549-23-009180

**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:** 23663160

**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 Market Trend Fund (Series ID: S000045488)

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Excelsior

  - **State:** MN

  - **Foreign country:** US

  - **Zip / Postal Code:** 55331

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

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

- **a. Name of Series:** LoCorr Market Trend Fund

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

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

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

- **a. Date of fiscal year-end:** 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:** $509305273.92

**Total Liabilities:** $2922993.33

**Net Assets:** $506382280.59

**Amount of Assets Invested in Other Investment Companies:** $10472764.92

**Cash Not Reported:** $83471670.63

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -448814.230000000000 | **1-Year:** -2240.880000000000 | **5-Year:** 11923.270000000000 | **10-Year:** 2.210000000000 | **30-Year:** 0.750000000000

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

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

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000141580 | 3.67%                | -5.72%               | -2.46%               |
| Class ID C000141581 | 3.62%                | -5.76%               | -2.54%               |
| Class ID C000141582 | 3.72%                | -5.69%               | -2.44%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-1219741.60             | $-19340.48                                 |
| Month 2  | $-782046.22              | $2421427.70                                |
| Month 3  | $-1163497.47             | $1617454.36                                |

**Designated Index Information**

- **Index Name:** N/A

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                           | Title                                                           | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Fannie Mae - CAS               | Fannie Mae Connecticut Avenue Securities                        | CUSIP: 20754KAA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    455470 | PA      | $447191.77    | 0.09%             | 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        |    357544 | PA      | $352983.21    | 0.07%             | 2041-12-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE NEW YORK         | Credit Suisse AG/New York NY                                    | CUSIP: 22550L2D2<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | CORP              | CH        |    465000 | PA      | $454012.05    | 0.09%             | 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        |    455000 | PA      | $432818.75    | 0.09%             | 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        |    320000 | PA      | $291995.86    | 0.06%             | 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        |    425000 | PA      | $404655.53    | 0.08%             | 2024-11-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| DB Master Finance LLC          | DB Master Finance LLC                                           | CUSIP: 233046AN1<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-O            | CORP              | US        |    643500 | PA      | $549069.59    | 0.11%             | 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        |    290000 | PA      | $273882.95    | 0.05%             | 2025-02-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| SITE CENTERS CORP              | SITE Centers Corp                                               | CUSIP: 23317HAF9<br>LEI: W2AVA6SODOQ1LCYJQR54 | Long             | DBT              | CORP              | US        |    705000 | PA      | $662359.08    | 0.13%             | 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        |    180000 | PA      | $170963.35    | 0.03%             | 2024-03-01      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY               | Deutsche Bank AG/New York NY                                    | CUSIP: 251526CJ6<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    260000 | PA      | $243203.58    | 0.05%             | 2024-05-28      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| ELP 2021-ELP                   | ELP Commercial Mortgage Trust 2021-ELP                          | CUSIP: 26863LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1244000 | PA      | $1194060.62   | 0.24%             | 2038-11-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| ELP 2021-ELP                   | ELP Commercial Mortgage Trust 2021-ELP                          | CUSIP: 26863LAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    950000 | PA      | $904732.88    | 0.18%             | 2038-11-15      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                   | Enbridge Inc                                                    | CUSIP: 29250NBL8<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    255000 | PA      | $240776.08    | 0.05%             | 2025-02-14      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP             | Energy Transfer LP                                              | CUSIP: 29278NAP8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    125000 | PA      | $117881.86    | 0.02%             | 2025-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| EQUITABLE FINANCIAL LIFE       | Equitable Financial Life Global Funding                         | CUSIP: 29449WAA5<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |    415000 | PA      | $376618.89    | 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        |    125000 | PA      | $119893.34    | 0.02%             | 2023-11-17      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| EQUS 2021-EQAZ Mortgage Trust  | EQUS 2021-EQAZ Mortgage Trust                                   | CUSIP: 29478JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    949981 | PA      | $914230.80    | 0.18%             | 2038-10-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY              | Eversource Energy                                               | CUSIP: 30040WAJ7<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |     80000 | PA      | $71742.30     | 0.01%             | 2025-08-15      | Fixed         | 0.80%                 | 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        |    150000 | PA      | $142495.38    | 0.03%             | 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        |   1018716 | PA      | $1001116.17   | 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        |    760611 | PA      | $721682.76    | 0.14%             | 2041-12-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR REMIC Trust 2022-DNA1                         | CUSIP: 35564KPU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1330280 | PA      | $1296123.40   | 0.26%             | 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        |   1052509 | PA      | $1035080.76   | 0.20%             | 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        |   1057518 | PA      | $1052818.59   | 0.21%             | 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        |    994643 | PA      | $992439.55    | 0.20%             | 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        |    750000 | PA      | $695896.65    | 0.14%             | 2038-02-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust   | GS Mortgage Securities Trust 2015-GC32                          | CUSIP: 36250PAH8<br>LEI: 54930066YOFVQE068N73 | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $934816.30    | 0.18%             | 2048-07-10      | Variable      | 4.02%                 | 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    | 0.19%             | 2048-02-10      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| GM Financial Securitized Term  | GM Financial Consumer Automobile Receivables Trust 2020-4       | CUSIP: 36260KAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1150000 | PA      | $1073468.54   | 0.21%             | 2026-02-17      | Fixed         | 0.50%                 | 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        |    520450 | PA      | $503501.55    | 0.10%             | 2025-10-16      | Fixed         | 0.35%                 | No            |                  2 | On Loan: No      |
| GSK CONSUMER HEALTHCARE        | GSK Consumer Healthcare Capital UK PLC                          | CUSIP: 36264NAB0<br>LEI: 5493004B26DRJNN0OV17 | Long             | DBT              | CORP              | GB        |   1080000 | PA      | $1027815.64   | 0.20%             | 2025-03-24      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust   | GS Mortgage Securities Corp II                                  | CUSIP: 36266CAA4<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |    950000 | PA      | $919638.57    | 0.18%             | 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        |    190000 | PA      | $190528.22    | 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        |    665000 | PA      | $622997.18    | 0.12%             | 2025-06-20      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO         | General Motors Financial Co Inc                                 | CUSIP: 37045XDM5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    235000 | PA      | $217660.12    | 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        |    125000 | PA      | $116789.35    | 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        |   1000000 | PA      | $954259.40    | 0.19%             | 2026-06-16      | Fixed         | 0.48%                 | No            |                  2 | On Loan: No      |
| GM Financial Automobile Leasin | GM Financial Automobile Leasing Trust 2021-2                    | CUSIP: 380144AD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1050000 | PA      | $1015701.54   | 0.20%             | 2025-05-20      | Fixed         | 0.41%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC        | Goldman Sachs Group Inc/The                                     | CUSIP: 38141GWQ3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    905000 | PA      | $872489.27    | 0.17%             | 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        |    580000 | PA      | $512470.70    | 0.10%             | 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        |    350000 | PA      | $316698.70    | 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        |   1100000 | PA      | $1088202.05   | 0.21%             | 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        |    545000 | PA      | $531615.52    | 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        |    230000 | PA      | $209738.42    | 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        |    820000 | PA      | $747667.72    | 0.15%             | 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        |    255000 | PA      | $230625.07    | 0.05%             | 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        |    720000 | PA      | $658623.67    | 0.13%             | 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        |    336204 | PA      | $314158.50    | 0.06%             | 2033-07-25      | Fixed         | 2.34%                 | No            |                  2 | On Loan: No      |
| Honda Auto Receivables Owner T | Honda Auto Receivables 2020-3 Owner Trust                       | CUSIP: 43813KAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    702211 | PA      | $686868.30    | 0.14%             | 2024-10-18      | Fixed         | 0.37%                 | 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        |    735475 | PA      | $716183.86    | 0.14%             | 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        |    445000 | PA      | $435432.87    | 0.09%             | 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        |    435000 | PA      | $418887.47    | 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        |    225000 | PA      | $212490.43    | 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        |    664992 | PA      | $660230.04    | 0.13%             | 2038-01-17      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor | J.P. Morgan Chase Commercial Mortgage Securities Trust 2022-NLP | CUSIP: 466317AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    995367 | PA      | $920780.58    | 0.18%             | 2037-04-15      | Floating      | 4.93%                 | No            |                  3 | 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        |    803162 | PA      | $781983.01    | 0.15%             | 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    | 0.04%             | 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    | 0.07%             | 2046-01-15      | Variable      | 3.99%                 | 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        |    685000 | PA      | $656593.05    | 0.13%             | 2047-09-15      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO            | JPMorgan Chase & Co                                             | CUSIP: 46647PBT2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1325000 | PA      | $1166999.34   | 0.23%             | 2026-11-19      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP            | Charles Schwab Corp/The                                         | CUSIP: 808513BY0<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |    340000 | PA      | $310468.76    | 0.06%             | 2027-03-03      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON            | Southern California Edison Co                                   | CUSIP: 842400GV9<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    115000 | PA      | $102090.27    | 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        |    600000 | PA      | $570050.79    | 0.11%             | 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        |   1250000 | PA      | $1202975.50   | 0.24%             | 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        |    230000 | PA      | $228904.15    | 0.05%             | 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        |    250000 | PA      | $234505.17    | 0.05%             | 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        |   1014750 | PA      | $857124.82    | 0.17%             | 2051-08-25      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                     | AbbVie Inc                                                      | CUSIP: 00287YAY5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    200000 | PA      | $188991.25    | 0.04%             | 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        |    216546 | PA      | $214404.04    | 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        |    705000 | PA      | $671640.22    | 0.13%             | 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        |    330000 | PA      | $290693.91    | 0.06%             | 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        |    555000 | PA      | $533985.72    | 0.11%             | 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        |   1015000 | PA      | $936596.57    | 0.18%             | 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        |    600000 | PA      | $550706.34    | 0.11%             | 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        |    425000 | PA      | $424721.88    | 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        |    670000 | PA      | $634647.85    | 0.13%             | 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        |    376687 | PA      | $363586.34    | 0.07%             | 2036-10-17      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receiva | AmeriCredit Automobile Receivables Trust 2021-3                 | CUSIP: 03066JAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $954385.00    | 0.19%             | 2026-08-18      | Fixed         | 0.76%                 | 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        |    930000 | PA      | $905359.00    | 0.18%             | 2026-12-18      | Fixed         | 0.34%                 | No            |                  2 | On Loan: No      |
| CANADIAN PACIFIC RAILWAY       | Canadian Pacific Railway Co                                     | CUSIP: 13645RBD5<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |    365000 | PA      | $340475.41    | 0.07%             | 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        |    435000 | PA      | $425058.59    | 0.08%             | 2025-05-09      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust        | CarMax Auto Owner Trust 2021-3                                  | CUSIP: 14317DAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2650000 | PA      | $2517107.01   | 0.50%             | 2026-06-15      | Fixed         | 0.55%                 | 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        |    595000 | PA      | $563235.15    | 0.11%             | 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        |   1925000 | PA      | $1869004.06   | 0.37%             | 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        |   1230000 | PA      | $1167624.12   | 0.23%             | 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        |    799262 | PA      | $769885.29    | 0.15%             | 2026-03-10      | Fixed         | 0.49%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                  | Citigroup Inc                                                   | CUSIP: 172967MX6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    865000 | PA      | $809642.50    | 0.16%             | 2025-05-01      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                  | Citigroup Inc                                                   | CUSIP: 172967ND9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    530000 | PA      | $488603.19    | 0.10%             | 2025-11-03      | Variable      | 1.28%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                  | Citigroup Inc                                                   | CUSIP: 172967NQ0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    820000 | PA      | $804037.73    | 0.16%             | 2025-05-24      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                  | Citigroup Inc                                                   | CUSIP: 17327CAM5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    460000 | PA      | $401060.37    | 0.08%             | 2027-01-28      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                   | Comcast Corp                                                    | CUSIP: 20030NBS9<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    330000 | PA      | $314543.91    | 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        |    240000 | PA      | $233176.58    | 0.05%             | 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        |   1110088 | PA      | $1103136.16   | 0.22%             | 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        |   1041514 | PA      | $1036809.85   | 0.20%             | 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        |    726079 | PA      | $712169.14    | 0.14%             | 2041-12-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO            | JPMorgan Chase & Co                                             | CUSIP: 46647PBW5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    700000 | PA      | $610540.92    | 0.12%             | 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        |   1120000 | PA      | $1044149.95   | 0.21%             | 2025-06-01      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| MPLX LP                        | MPLX LP                                                         | CUSIP: 55336VBR0<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    470000 | PA      | $419529.45    | 0.08%             | 2026-03-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                | MVW Owner Trust 2017-1                                          | CUSIP: 553896AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    442365 | PA      | $432289.06    | 0.09%             | 2034-12-20      | Fixed         | 2.42%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                | MVW Owner Trust 2019-1                                          | CUSIP: 55389PAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    743812 | PA      | $701155.98    | 0.14%             | 2036-11-20      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC       | Warnermedia Holdings Inc                                        | CUSIP: 55903VAE3<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    615000 | PA      | $585281.97    | 0.12%             | 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        |    555000 | PA      | $501184.98    | 0.10%             | 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        |    325000 | PA      | $294697.28    | 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        |    595000 | PA      | $557182.04    | 0.11%             | 2024-06-07      | Fixed         | 0.55%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP         | Mitsubishi UFJ Financial Group Inc                              | CUSIP: 606822BN3<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    450000 | PA      | $421454.87    | 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        |    265000 | PA      | $253450.80    | 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        |    475000 | PA      | $442589.92    | 0.09%             | 2025-05-30      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                 | Morgan Stanley                                                  | CUSIP: 61747YEC5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1015000 | PA      | $881908.99    | 0.17%             | 2027-07-20      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| MTN Commercial Mortgage Trust  | MTN Commercial Mortgage Trust 2022-LPFL                         | CUSIP: 62475WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1459904.10   | 0.29%             | 2039-03-15      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| NBN CO LTD                     | NBN Co Ltd                                                      | CUSIP: 62878U2C5<br>LEI: 2549007CRZ2NT7S96A24 | Long             | DBT              | CORP              | AU        |    370000 | PA      | $341306.48    | 0.07%             | 2024-10-08      | Fixed         | 0.88%                 | 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    | 0.19%             | 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        |    400000 | PA      | $370752.07    | 0.07%             | 2024-08-12      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| NUTRIEN LTD                    | Nutrien Ltd                                                     | CUSIP: 67077MAY4<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |    520000 | PA      | $530941.57    | 0.10%             | 2025-11-07      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| OPG Trust                      | OPG Trust 2021-PORT                                             | CUSIP: 67118AAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    514031 | PA      | $484378.48    | 0.10%             | 2036-10-15      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                    | Oracle Corp                                                     | CUSIP: 68389XCF0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    165000 | PA      | $168768.17    | 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        |    500000 | PA      | $471752.80    | 0.09%             | 2026-02-15      | Fixed         | 0.97%                 | No            |                  2 | On Loan: No      |
| PFS Financing Corp.            | PFS Financing Corp                                              | CUSIP: 69335PEP6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1200000 | PA      | $1171146.48   | 0.23%             | 2027-08-15      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| PKHL Commercial Mortgage Trust | PKHL Commercial Mortgage Trust 2021-MF                          | CUSIP: 69356GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $925905.10    | 0.18%             | 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        |    940000 | PA      | $922411.57    | 0.18%             | 2023-09-01      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| PERKINELMER INC                | PerkinElmer Inc                                                 | CUSIP: 714046AL3<br>LEI: 549300IKL1SDPFI7N655 | Long             | DBT              | CORP              | US        |    990000 | PA      | $918246.90    | 0.18%             | 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        |    794000 | PA      | $688432.86    | 0.14%             | 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        |    460000 | PA      | $405549.73    | 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        |    490000 | PA      | $462991.01    | 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        |    200000 | PA      | $192672.26    | 0.04%             | 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        |    640000 | PA      | $596890.47    | 0.12%             | 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        |    425000 | PA      | $418607.39    | 0.08%             | 2024-07-26      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| SMR 2022-IND Mortgage Trust    | SMR 2022-IND Mortgage Trust                                     | CUSIP: 78458MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1205738 | PA      | $1139222.59   | 0.22%             | 2039-02-15      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| SACRAMENTO CA WTR REVENUE      | City of Sacramento CA Water Revenue                             | CUSIP: 786089JC7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    555000 | PA      | $544516.11    | 0.11%             | 2023-09-01      | Fixed         | 1.61%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivabl | Santander Drive Auto Receivables Trust 2021-4                   | CUSIP: 80285VAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    418184 | PA      | $416301.64    | 0.08%             | 2025-08-15      | Fixed         | 0.51%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivabl | Santander Drive Auto Receivables Trust 2022-1                   | CUSIP: 80286EAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1970112.80   | 0.39%             | 2025-11-17      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivabl | Santander Drive Auto Receivables Trust 2022-5                   | CUSIP: 80287HAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1351000 | PA      | $1326044.46   | 0.26%             | 2026-08-17      | Fixed         | 4.11%                 | 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        |   1150000 | PA      | $1132780.71   | 0.22%             | 2026-11-16      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| VSE VOI Mortgage LLC           | VSE 2018-A VOI Mortgage LLC                                     | CUSIP: 918286AA3<br>LEI: 549300E4XED7XGXU7L27 | Long             | ABS-O            | CORP              | US        |    207227 | PA      | $200921.84    | 0.04%             | 2036-02-20      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS         | Verizon Communications Inc                                      | CUSIP: 92343VFS8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    805000 | PA      | $719091.31    | 0.14%             | 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        |    320000 | PA      | $287572.51    | 0.06%             | 2026-03-20      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Verizon Owner Trust            | Verizon Owner Trust 2020-A                                      | CUSIP: 92348TAA2<br>LEI: 549300XY7L2MRX0BQH89 | Long             | ABS-O            | CORP              | US        |    185808 | PA      | $185111.22    | 0.04%             | 2024-07-22      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2020-1                               | CUSIP: 92536PAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     81333 | PA      | $76603.58     | 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        |    232778 | PA      | $218496.64    | 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        |    415000 | PA      | $386325.34    | 0.08%             | 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        |    330000 | PA      | $317406.12    | 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        |    325000 | PA      | $289997.31    | 0.06%             | 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        |    950000 | PA      | $902892.07    | 0.18%             | 2026-06-22      | Fixed         | 1.02%                 | 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        |    185000 | PA      | $182933.94    | 0.04%             | 2046-06-15      | Fixed         | 3.34%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRU | WFRBS Commercial Mortgage Trust 2013-C12                        | CUSIP: 92937FAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    338945 | PA      | $337558.12    | 0.07%             | 2048-03-15      | Fixed         | 3.56%                 | 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        |    165000 | PA      | $163254.42    | 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    | 0.19%             | 2047-11-15      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| WALMART INC                    | Walmart Inc                                                     | CUSIP: 931142EW9<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |    530000 | PA      | $521953.22    | 0.10%             | 2025-09-09      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2015-NXS2                 | CUSIP: 94989MAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $954820.50    | 0.19%             | 2058-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                            | AUD/USD FWD 20230317                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $176972.80    | 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      | $460907.57    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | 10YR MINI JGB FUT Mar23                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | SG        |        -9 | NC      | $18031.55     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | SOYBEAN OIL FUTR  Mar23                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       181 | NC      | $-763662.82   | -0.15%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | CORN FUTURE       Mar23                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |      -161 | NC      | $-118224.28   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | CAD/USD FWD 20230317                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-91503.10    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CAC40 10 EURO FUT Jan23                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | FR        |       389 | NC      | $-1136454.28  | -0.22%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | CHF/USD FWD 20230317                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $39054.41     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CHF/USD FWD 20230317                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $55276.92     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | WTI CRUDE FUTURE  Feb23                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       -47 | NC      | $-178587.89   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | CAN 10YR BOND FUT Mar23                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |       922 | NC      | $-2839182.78  | -0.56%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | BRENT CRUDE FUTR  Mar23                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |       -36 | NC      | $-171602.12   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | COTTON NO.2 FUTR  Mar23                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |      -130 | NC      | $141813.22    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | DJIA MINI e-CBOT  Mar23                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |       316 | NC      | $-1115361.38  | -0.22%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | EURO-SCHATZ FUT   Mar23                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |     -2590 | NC      | $3650450.07   | 0.72%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | DOLLAR INDEX      Mar23                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |       130 | NC      | $-26927.88    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 3MO EURO EURIBOR  Dec23                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     -1705 | NC      | $1942228.73   | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | S&P500 EMINI FUT  Mar23                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        67 | NC      | $-603810.25   | -0.12%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | EUR/USD FWD 20230317                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-361337.32   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | EUR/USD FWD 20230317                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $242694.28    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | US 5YR NOTE (CBT) Mar23                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -819 | NC      | $475438.08    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LONG GILT FUTURE  Mar23                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |      -316 | NC      | $1214959.31   | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US 2YR NOTE (CBT) Mar23                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     -1513 | NC      | $941985.62    | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US 10YR NOTE (CBT)Mar23                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -767 | NC      | $866840.26    | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US LONG BOND(CBT) Mar23                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -259 | NC      | $599490.77    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | EURO STOXX 50     Mar23                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | DE        |      1907 | NC      | $-4093348.66  | -0.81%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | WHEAT FUTURE(CBT) Mar23                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |      -363 | NC      | $199657.38    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | GASOLINE RBOB FUT Feb23                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        -5 | NC      | $-54928.80    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | AUST 10Y BOND FUT Mar23                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | AU        |      -394 | NC      | $655216.97    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | FTSE 100 IDX FUT  Mar23                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | GB        |       679 | NC      | $87086.07     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Angel Oak Mortgage Trust       | Angel Oak Mortgage Trust 2020-1                                 | CUSIP: 03464RAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    418000 | PA      | $346807.16    | 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        |     22318 | PA      | $19781.72     | 0.00%             | 2065-05-25      | Variable      | 2.04%                 | No            |                  2 | On Loan: No      |
| N/A                            | GBP/USD FWD 20230317                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $159.96       | 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      | $563994.70    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | GOLD 100 OZ FUTR  Feb23                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        -5 | NC      | $-28569.60    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | DAX INDEX FUTURE  Mar23                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | DE        |       202 | NC      | $-2813687.97  | -0.56%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | HANG SENG IDX FUT Jan23                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | HK        |      -161 | NC      | $-214312.08   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NY Harb ULSD Fut  Feb23                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        57 | NC      | $472127.55    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | JPN 10Y BOND(OSE) Mar23                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | JP        |       -38 | NC      | $729612.60    | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | JPY/USD FWD 20230317                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-534361.96   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | JPY/USD FWD 20230317                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $896.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | COFFEE 'C' FUTURE Mar23                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |      -181 | NC      | $518976.97    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | KC HRW WHEAT FUT  Mar23                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |      -259 | NC      | $-503414.28   | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME PRI ALUM FUTR Mar23                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |      -164 | NC      | $29761.98     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME PRI ALUM FUTR Mar23                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        29 | NC      | $-66045.47    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER FUTURE Mar23                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |      -158 | NC      | $-1432056.19  | -0.28%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER FUTURE Mar23                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |       142 | NC      | $-168318.06   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ZINC FUTURE   Mar23                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |      -110 | NC      | $-188416.30   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ZINC FUTURE   Mar23                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        63 | NC      | $-295381.34   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | MXN/USD FWD 20230317                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $386289.19    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | NATURAL GAS FUTR  Feb23                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       -36 | NC      | $527912.68    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NIKKEI 225  (OSE) Mar23                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | JP        |       181 | NC      | $-2443802.21  | -0.48%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NASDAQ 100 E-MINI Mar23                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |       -67 | NC      | $281533.75    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NZD/USD FWD 20230317                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-39506.83    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | EURO-BOBL FUTURE  Mar23                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |     -1523 | NC      | $5406676.11   | 1.07%             |  |  |  | No            |                  1 | On Loan: No      |
| ASTRAZENECA FINANCE LLC        | Astrazeneca Finance LLC                                         | CUSIP: 04636NAC7<br>LEI: 549300C3HATU4Q460S18 | Long             | DBT              | CORP              | US        |    225000 | PA      | $212143.36    | 0.04%             | 2024-05-28      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding | Avis Budget Rental Car Funding AESOP LLC                        | CUSIP: 05377RDQ4<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    264000 | PA      | $245843.56    | 0.05%             | 2026-03-20      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch  | BAMLL Commercial Mortgage Securities Trust 2022-DKLX            | CUSIP: 05530SAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $1209499.38   | 0.24%             | 2039-01-15      | Floating      | 5.49%                 | 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        |   1400000 | PA      | $1343589.66   | 0.27%             | 2039-02-15      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| BSREP Commercial Mortgage Trus | BSREP Commercial Mortgage Trust 2021-DC                         | CUSIP: 05591UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    335000 | PA      | $314457.43    | 0.06%             | 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        |    387620 | PA      | $382840.50    | 0.08%             | 2036-10-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Trust 2022-PSB                                               | CUSIP: 05606DAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    988563 | PA      | $986617.69    | 0.19%             | 2039-08-15      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Commercial Mortgage Trust 2021-21M                           | CUSIP: 05609CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    305455 | PA      | $293483.96    | 0.06%             | 2036-10-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| TAKEDA PHARMACEUTICAL          | Takeda Pharmaceutical Co Ltd                                    | CUSIP: 874060AT3<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |    565000 | PA      | $560432.38    | 0.11%             | 2023-11-26      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK          | Toronto-Dominion Bank/The                                       | CUSIP: 89114TZG0<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    495000 | PA      | $433398.67    | 0.09%             | 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        |    415000 | PA      | $402698.45    | 0.08%             | 2025-06-06      | Fixed         | 3.77%                 | 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        |    500000 | PA      | $457745.10    | 0.09%             | 2033-05-25      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA             | Banco Santander SA                                              | CUSIP: 05964HAE5<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    540000 | PA      | $538416.98    | 0.11%             | 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        |    275000 | PA      | $264999.04    | 0.05%             | 2025-03-24      | Fixed         | 3.50%                 | 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        |   1090000 | PA      | $1059620.39   | 0.21%             | 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        |    550000 | PA      | $509161.07    | 0.10%             | 2024-10-12      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA             | Banco Santander SA                                              | CUSIP: 05971KAE9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    180000 | PA      | $168469.43    | 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        |   1430000 | PA      | $1290351.23   | 0.25%             | 2026-06-19      | Variable      | 1.32%                 | 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        | 223328729 | NS      | $223328729.41 | 44.10%            |  |  |  | No            |                  1 | On Loan: No      |
| UBS GROUP AG                   | UBS Group AG                                                    | CUSIP: 902613AB4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    200000 | PA      | $194499.72    | 0.04%             | 2024-07-30      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP           | Bank of America Corp                                            | CUSIP: 06051GJK6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $889443.17    | 0.18%             | 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        |   2705000 | PA      | $2536980.30   | 0.50%             | 2025-04-22      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                   | UBS Group AG                                                    | CUSIP: 902613AM0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    250000 | PA      | $244525.47    | 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        |    240000 | PA      | $235198.68    | 0.05%             | 2023-06-01      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                   | Barclays PLC                                                    | CUSIP: 06738EBQ7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    425000 | PA      | $404666.01    | 0.08%             | 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        |   1050000 | PA      | $977794.16    | 0.19%             | 2024-11-29      | Fixed         | 1.32%                 | No            |                  2 | On Loan: No      |
| UBS AG LONDON                  | UBS AG/London                                                   | CUSIP: 902674YK0<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | DBT              | CORP              | CH        |    525000 | PA      | $489419.48    | 0.10%             | 2024-08-09      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                  | United States Treasury Bill                                     | CUSIP: 912796X53<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2455000 | PA      | $2405510.15   | 0.48%             | 2023-06-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC               | Berry Global Inc                                                | CUSIP: 08576PAG6<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |    400000 | PA      | $379056.64    | 0.07%             | 2024-02-15      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                    | BNP Paribas SA                                                  | CUSIP: 09659W2J2<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    630000 | PA      | $597084.81    | 0.12%             | 2025-11-19      | Variable      | 2.82%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                | CUSIP: 912810ET1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    900000 | PA      | $957796.88    | 0.19%             | 2025-02-15      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                | CUSIP: 912828ZT0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  35545000 | PA      | $32294576.46  | 6.38%             | 2025-05-31      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| BOEING CO                      | Boeing Co/The                                                   | CUSIP: 097023DG7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    465000 | PA      | $422940.29    | 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        |    305000 | PA      | $289390.39    | 0.06%             | 2026-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                | CUSIP: 91282CCC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     15000 | PA      | $14124.02     | 0.00%             | 2024-05-15      | 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        |   1925000 | PA      | $1854015.63   | 0.37%             | 2025-04-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Commercial Mortgage Trust 2021-CIP                           | CUSIP: 12434FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $964890.60    | 0.19%             | 2038-12-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust            | COMM 2013-CCRE6 Mortgage Trust                                  | CUSIP: 12624XAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     89489 | PA      | $89202.08     | 0.02%             | 2046-03-10      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                | CUSIP: 91282CEU1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5245000 | PA      | $5073308.18   | 1.00%             | 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        |  10470000 | PA      | $10148947.29  | 2.00%             | 2025-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust            | COMM 2013-CCRE6 Mortgage Trust                                  | CUSIP: 12624XAM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $992294.10    | 0.20%             | 2046-03-10      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust            | COMM 2013-CCRE10 Mortgage Trust                                 | CUSIP: 12626BAD6<br>LEI: 549300YJIXJB9DCDOI21 | Long             | ABS-MBS          | CORP              | US        |    185000 | PA      | $183745.57    | 0.04%             | 2046-08-10      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                | CUSIP: 91282CFK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5970000 | PA      | $5855497.25   | 1.16%             | 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        |   3020000 | PA      | $3008439.08   | 0.59%             | 2027-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                            | COCOA FUTURE - IC Mar23                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |       145 | NC      | $270525.27    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | Low Su Gasoil G   Feb23                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        93 | NC      | $202991.19    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| COMM Mortgage Trust            | COMM 2013-CCRE11 Mortgage Trust                                 | CUSIP: 12626LBP6<br>LEI: 549300BCCWSDWINK2593 | Long             | ABS-MBS          | CORP              | US        |    575000 | PA      | $560890.94    | 0.11%             | 2050-08-10      | Variable      | 5.11%                 | 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        |   1000000 | PA      | $988966.70    | 0.20%             | 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        |    570000 | PA      | $532745.50    | 0.11%             | 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        |    380000 | PA      | $356960.06    | 0.07%             | 2027-04-07      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| N/A                            | E-Mini Russ 2000  Mar23                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        83 | NC      | $-262706.24   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | EURO-BUND FUTURE  Mar23                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |      -725 | NC      | $5741359.13   | 1.13%             |  |  |  | No            |                  1 | On Loan: No      |
| FRESB Multifamily Mortgage Pas | FRESB 2016-SB17 Mortgage Trust                                  | CUSIP: 30294UAC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    219278 | PA      | $216541.73    | 0.04%             | 2023-05-25      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| FRESB Multifamily Mortgage Pas | FRESB 2017-SB32 Mortgage Trust                                  | CUSIP: 302952AB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    238108 | PA      | $229833.37    | 0.05%             | 2024-04-25      | Variable      | 2.44%                 | No            |                  2 | On Loan: No      |
| N/A                            | SOYBEAN FUTURE    Mar23                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       357 | NC      | $1309830.48   | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | SUGAR #11 (WORLD) Mar23                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       430 | NC      | $239134.90    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| FRESB Multifamily Mortgage Pas | FRESB 2017-SB31 Mortgage Trust                                  | CUSIP: 30303HAE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    627599 | PA      | $611685.70    | 0.12%             | 2024-01-25      | Variable      | 2.46%                 | No            |                  2 | On Loan: No      |
| FRESB Multifamily Mortgage Pas | FRESB 2019-SB67 Mortgage Trust                                  | CUSIP: 30314KAS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    493815 | PA      | $471301.07    | 0.09%             | 2024-07-25      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| N/A                            | ICE 3MTH SONIA FU Dec23                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |      -228 | NC      | $130698.39    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 3 MONTH SOFR FUT  Dec23                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     -2041 | NC      | $521706.08    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | SILVER FUTURE     Mar23                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       124 | NC      | $430185.87    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | SOYBEAN MEAL FUTR Mar23                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       207 | NC      | $1076509.06   | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae - CAS               | Fannie Mae Connecticut Avenue Securities                        | CUSIP: 30711XAP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    744750 | PA      | $764132.99    | 0.15%             | 2024-11-25      | Floating      | 9.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Fannie Mae Connecticut Avenue Securities                        | CUSIP: 30711XZL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    152228 | PA      | $151191.74    | 0.03%             | 2030-07-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                            | TOPIX INDX FUTR   Mar23                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | JP        |       114 | NC      | $-479140.45   | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LOAN BANK         | Federal Home Loan Banks                                         | CUSIP: 3130A8HK2<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   2200000 | PA      | $2108138.16   | 0.42%             | 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        |   1700000 | PA      | $1563595.62   | 0.31%             | 2025-04-14      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK         | Federal Home Loan Banks                                         | CUSIP: 3130AQF40<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   1980000 | PA      | $1849738.35   | 0.37%             | 2024-12-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK       | Federal Farm Credit Banks Funding Corp                          | CUSIP: 3133ENDR8<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |   2100000 | PA      | $2022202.37   | 0.40%             | 2023-11-09      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK       | Federal Farm Credit Banks Funding Corp                          | CUSIP: 3133ENGF1<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |   3480000 | PA      | $3344193.21   | 0.66%             | 2023-12-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK       | Federal Farm Credit Banks Funding Corp                          | CUSIP: 3133ENPG9<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |   2680000 | PA      | $2546666.03   | 0.50%             | 2025-02-14      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                     | Federal National Mortgage Association                           | CUSIP: 3135G06L2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |   2340000 | PA      | $2049335.54   | 0.40%             | 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        |   1000000 | PA      | $957649.26    | 0.19%             | 2024-07-02      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                 | Fannie Mae-Aces                                                 | CUSIP: 3136AK2E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    464482 | PA      | $450110.66    | 0.09%             | 2024-08-25      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                    | Federal Home Loan Mortgage Corp                                 | CUSIP: 3137EAEV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |   1700000 | PA      | $1650502.36   | 0.33%             | 2023-08-24      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                    | Federal Home Loan Mortgage Corp                                 | CUSIP: 3137EAEW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |    535000 | PA      | $518902.27    | 0.10%             | 2023-09-08      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| FED CAISSES DESJARDINS         | Federation des Caisses Desjardins du Quebec                     | CUSIP: 31429KAE3<br>LEI: 549300B2Q47IR0CR5B54 | Long             | DBT              | CORP              | CA        |    455000 | PA      | $426375.44    | 0.08%             | 2024-05-21      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| FORSYTH CNTY GA SCH DIST       | Forsyth County School District                                  | CUSIP: 346604LK5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    230000 | PA      | $221008.68    | 0.04%             | 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        |    357573 | PA      | $347674.20    | 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        |    472720 | PA      | $458359.59    | 0.09%             | 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        |     40555 | PA      | $39997.50     | 0.01%             | 2034-01-25      | Floating      | 5.58%                 | No            |                  2 | 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