# EDGAR Filing Document

**Accession Number:** 0001506768
**File Stem:** 0000894189-26-015667
**Filing Date:** 2026-5
**Character Count:** 238108
**Document Hash:** 6b6dbb40550ab9f09f9c05849d5c7e65
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000894189-26-015667.hdr.sgml**: 20260526

**ACCESSION NUMBER**: 0000894189-26-015667

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260526

**DATE AS OF CHANGE**: 20260526

**PERIOD START**: 20261231

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22509
- **FILM NUMBER:** 261018964

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

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

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

## Series and Classes Contracts Data

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

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

## Nport-Ex

---

| | | |
|:---|:---|:---|
| **LoCorr Macro Strategies Fund** | **LoCorr Macro Strategies Fund** | **LoCorr Macro Strategies Fund** |
| **Consolidated Schedule of Investments** | **Consolidated Schedule of Investments** | **Consolidated Schedule of Investments** |
| **March 31, 2026 (Unaudited)** | **March 31, 2026 (Unaudited)** | **March 31, 2026 (Unaudited)** |
| **U.S. TREASURY SECURITIES - 43.4%** | **Par**  | **Value**  |
| United States Treasury Note/Bond | United States Treasury Note/Bond | United States Treasury Note/Bond |
| &nbsp;&nbsp; 4.50%, 07/15/2026 | 140000 | $140294 |
| &nbsp;&nbsp; 4.13%, 02/15/2027 | 20555000 | 20619235 |
| &nbsp;&nbsp; 3.38%, 02/29/2028 | 22710000 | 22529030 |
| &nbsp;&nbsp; 3.63%, 03/31/2028 | 43975000 | 43813529 |
| &nbsp;&nbsp; 1.38%, 10/31/2028 | 3240000 | 3046739 |
| &nbsp;&nbsp; 3.75%, 12/31/2028 | 4675000 | 4665321 |
| &nbsp;&nbsp; 3.50%, 02/15/2029 | 49400000 | 48963891 |
| &nbsp;&nbsp; 4.25%, 02/28/2029 | 126970000 | 128423211 |
| &nbsp;&nbsp; 4.63%, 04/30/2029 | 127815000 | 130695830 |
| &nbsp;&nbsp; 3.25%, 06/30/2029 | 90490000 | 88846334 |
| &nbsp;&nbsp; 4.00%, 02/28/2030 | 94525000 | 94886853 |
| &nbsp;&nbsp; 3.88%, 06/30/2030 | 26035000 | 25997371 |
| &nbsp;&nbsp; 3.63%, 09/30/2030 | 65335000 | 64531073 |
| &nbsp;&nbsp; 3.63%, 12/31/2030 | 28895000 | 28505595 |
| **TOTAL U.S. TREASURY SECURITIES** (Cost $703,454,520) | **TOTAL U.S. TREASURY SECURITIES** (Cost $703,454,520) | 705664306 |
| **CORPORATE BONDS - 19.5%** | **Par**  | **Value**  |
| **Aerospace & Defense - 1.2%** | **Aerospace & Defense - 1.2%** | **Aerospace & Defense - 1.2%** |
|  Boeing Co. |  |  |
|  &nbsp;&nbsp;&nbsp;&nbsp;3.25%, 02/01/2028 | 6080000 | 5959218 |
|  &nbsp;&nbsp;&nbsp;&nbsp;5.15%, 05/01/2030 | 4800000 | 4872471 |
|  Honeywell Aerospace, Inc., 4.00%, 03/16/2029 <sup>(a)</sup> | 5920000 | 5866190 |
|  RTX Corp., 4.13%, 11/16/2028 | 2540000 | 2529215 |
|  |  | 19227094 |
| **Agriculture - 0.3%** | **Agriculture - 0.3%** | **Agriculture - 0.3%** |
|  Philip Morris International, Inc., 4.63%, 11/01/2029 | 4720000 | 4759923 |
| **Banks - 6.5%** | **Banks - 6.5%** | **Banks - 6.5%** |
|  Bank of New York Mellon Corp., 4.03% (SOFR + 0.63%), 01/22/2030 | 1570000 | 1553571 |
|  Citibank NA, 4.58%, 05/29/2027 | 6305000 | 6331620 |
|  Citigroup, Inc., 4.50% to 09/11/2030 then SOFR + 1.17%, 09/11/2031 | 4170000 | 4122970 |
|  Credit Agricole SA, 5.22% to 05/27/2030 then SOFR + 1.46%, 05/27/2031 <sup>(a)</sup> | 1930000 | 1952943 |
| Goldman Sachs Group, Inc. | Goldman Sachs Group, Inc. | Goldman Sachs Group, Inc. |
| &nbsp;&nbsp; 6.48% to 10/24/2028 then SOFR + 1.77%, 10/24/2029 | 2390000 | 2500522 |
| &nbsp;&nbsp; 5.22% to 04/23/2030 then SOFR + 1.58%, 04/23/2031 | 2880000 | 2929149 |
|  JPMorgan Chase & Co., 5.10% to 04/22/2030 then SOFR + 1.44%, 04/22/2031 | 19435000 | 19789223 |
| Morgan Stanley Private Bank NA | Morgan Stanley Private Bank NA | Morgan Stanley Private Bank NA |
| &nbsp;&nbsp; 4.20% to 11/17/2027 then SOFR + 0.78%, 11/17/2028 | 9605000 | 9571390 |
| &nbsp;&nbsp; 4.47% to 11/19/2030 then SOFR + 1.02%, 11/19/2031 | 28605000 | 28170549 |
|  NatWest Markets PLC, 5.41%, 05/17/2029 <sup>(a)</sup> | 5040000 | 5172597 |
|  Texas Capital Bancshares, Inc., 5.30% to 02/27/2031 then SOFR + 1.94%, 02/27/2032 | 2585000 | 2551204 |
|  UBS Group AG, 6.33% to 12/22/2026 then 1 yr. CMT Rate + 1.60%, 12/22/2027 <sup>(a)</sup> | 7205000 | 7300264 |
|  Wells Fargo & Co., 5.15% to 04/23/2030 then SOFR + 1.50%, 04/23/2031 | 14125000 | 14364989 |
|  |  | 106310991 |
| **Beverages - 0.0% <sup>(b)</sup>** | **Beverages - 0.0% <sup>(b)</sup>** | **Beverages - 0.0% <sup>(b)</sup>** |
|  Maple Parent Holdings Corp., 4.75%, 03/26/2029 <sup>(a)</sup> | 690000 | 689986 |
| **Biotechnology - 0.3%** | **Biotechnology - 0.3%** | **Biotechnology - 0.3%** |
|  Amgen, Inc., 5.15%, 03/02/2028 | 4205000 | 4266445 |
| **Electric - 1.1%** | **Electric - 1.1%** | **Electric - 1.1%** |
|  Duke Energy Carolinas LLC, 4.85%, 03/15/2030 | 4050000 | 4122574 |
| Florida Power & Light Co. | Florida Power & Light Co. | Florida Power & Light Co. |
| &nbsp;&nbsp; 5.05%, 04/01/2028 | 3975000 | 4041125 |
| &nbsp;&nbsp; 4.40%, 05/15/2028 | 5170000 | 5189379 |
|  Virginia Power Fuel Securitization LLC, 5.09%, 05/01/2027 | 1361169 | 1367484 |
|  Wisconsin Public Service Corp., 4.25%, 01/15/2031 | 3420000 | 3380248 |
|  |  | 18100810 |
| **Food - 2.0%** | **Food - 2.0%** | **Food - 2.0%** |
|  Kraft Heinz Foods Co., 3.88%, 05/15/2027 | 5100000 | 5064875 |
| Mars, Inc. | Mars, Inc. | Mars, Inc. |
| &nbsp;&nbsp; 4.60%, 03/01/2028 <sup>(a)</sup> | 11745000 | 11816033 |
| &nbsp;&nbsp; 4.80%, 03/01/2030 <sup>(a)</sup> | 16275000 | 16447614 |
|  |  | 33328522 |
| **Healthcare-Products - 0.7%** | **Healthcare-Products - 0.7%** | **Healthcare-Products - 0.7%** |
|  Abbott Laboratories, 4.00%, 03/15/2031 | 2890000 | 2844892 |
| Augusta SpinCo Corp. | Augusta SpinCo Corp. | Augusta SpinCo Corp. |
| &nbsp;&nbsp; 4.40%, 03/23/2029 | 3605000 | 3594684 |
| &nbsp;&nbsp; 4.66%, 03/23/2031 | 5155000 | 5129768 |
|  |  | 11569344 |
| **Healthcare-Services - 0.9%** | **Healthcare-Services - 0.9%** | **Healthcare-Services - 0.9%** |
|  HCA, Inc., 5.00%, 03/01/2028 | 5625000 | 5680063 |
| UnitedHealth Group, Inc. | UnitedHealth Group, Inc. | UnitedHealth Group, Inc. |
| &nbsp;&nbsp; 4.40%, 06/15/2028 | 2245000 | 2252155 |
| &nbsp;&nbsp; 4.25%, 01/15/2029 | 6650000 | 6638171 |
|  |  | 14570389 |
| **Insurance - 0.2%** | **Insurance - 0.2%** | **Insurance - 0.2%** |
|  Brown & Brown, Inc., 4.60%, 12/23/2026 | 2675000 | 2682609 |
| **Internet - 0.3%** | **Internet - 0.3%** | **Internet - 0.3%** |
|  Amazon.com, Inc., 4.00%, 03/13/2029 | 5655000 | 5624493 |
| **Miscellaneous Manufacturing - 0.2%** | **Miscellaneous Manufacturing - 0.2%** | **Miscellaneous Manufacturing - 0.2%** |
|  Eaton Corp., 4.20%, 03/06/2031 | 3720000 | 3664322 |
| **Packaging & Containers - 0.5%** | **Packaging & Containers - 0.5%** | **Packaging & Containers - 0.5%** |
|  Amcor Group Finance PLC, 5.45%, 05/23/2029 | 8210000 | 8410800 |
| **Pharmaceuticals - 0.8%** | **Pharmaceuticals - 0.8%** | **Pharmaceuticals - 0.8%** |
|  AbbVie, Inc., 4.80%, 03/15/2029 | 1820000 | 1849188 |
|  CVS Health Corp., 5.00%, 01/30/2029 | 7925000 | 8027690 |
|  Novartis Capital Corp., 4.10%, 03/16/2029 | 3205000 | 3200862 |
|  |  | 13077740 |
| **Pipelines - 0.8%** | **Pipelines - 0.8%** | **Pipelines - 0.8%** |
|  Enbridge, Inc., 6.00%, 11/15/2028 | 3490000 | 3620713 |
|  Energy Transfer LP, 6.05%, 12/01/2026 | 6385000 | 6443386 |
|  South Bow USA Infrastructure Holdings LLC, 4.91%, 09/01/2027 | 2125000 | 2133484 |
|  |  | 12197583 |
| **REITS - 1.8%** | **REITS - 1.8%** | **REITS - 1.8%** |
|  American Homes 4 Rent LP, 4.90%, 02/15/2029 | 4660000 | 4682431 |
|  Brixmor Operating Partnership LP, 4.13%, 06/15/2026 | 1975000 | 1973777 |
|  Essex Portfolio LP, 1.70%, 03/01/2028 | 2550000 | 2419655 |
| Healthcare Realty Holdings LP | Healthcare Realty Holdings LP | Healthcare Realty Holdings LP |
| &nbsp;&nbsp; 3.75%, 07/01/2027 | 10560000 | 10458784 |
| &nbsp;&nbsp; 2.05%, 03/15/2031 | 4560000 | 3958969 |
|  Kite Realty Group LP, 4.00%, 10/01/2026 | 5755000 | 5738438 |
|  |  | 29232054 |
| **Retail - 0.4%** | **Retail - 0.4%** | **Retail - 0.4%** |
| O'Reilly Automotive, Inc. | O'Reilly Automotive, Inc. | O'Reilly Automotive, Inc. |
| &nbsp;&nbsp; 5.75%, 11/20/2026 | 3885000 | 3917227 |
| &nbsp;&nbsp; 4.20%, 04/01/2030 | 2680000 | 2647910 |
|  |  | 6565137 |
| **Semiconductors - 0.3%** | **Semiconductors - 0.3%** | **Semiconductors - 0.3%** |
| Broadcom, Inc. | Broadcom, Inc. | Broadcom, Inc. |
| &nbsp;&nbsp; 4.60%, 07/15/2030 | 2810000 | 2822681 |
| &nbsp;&nbsp; 4.30%, 01/15/2031 | 1280000 | 1268638 |
|  |  | 4091319 |
| **Software - 0.5%** | **Software - 0.5%** | **Software - 0.5%** |
|  Fidelity National Information Services, Inc., 4.80%, 03/10/2031 | 1570000 | 1557254 |
| Oracle Corp. | Oracle Corp. | Oracle Corp. |
| &nbsp;&nbsp; 4.80%, 08/03/2028 | 2970000 | 2971087 |
| &nbsp;&nbsp; 4.95%, 02/04/2031 | 3590000 | 3514857 |
|  |  | 8043198 |
| **Telecommunications - 0.7%** | **Telecommunications - 0.7%** | **Telecommunications - 0.7%** |
|  AT&T, Inc., 4.40%, 04/30/2031 | 2140000 | 2118492 |
| T-Mobile USA, Inc. | T-Mobile USA, Inc. | T-Mobile USA, Inc. |
| &nbsp;&nbsp; 4.80%, 07/15/2028 | 3075000 | 3104011 |
| &nbsp;&nbsp; 4.85%, 01/15/2029 | 6145000 | 6215023 |
|  |  | 11437526 |
| **TOTAL CORPORATE BONDS** (Cost $317,386,710) | **TOTAL CORPORATE BONDS** (Cost $317,386,710) | 317850285 |
| **MORTGAGE-BACKED SECURITIES - 12.5%** | **Par**  | **Value**  |
|  Alen Mortgage Trust, Series 2021-ACEN, Class A, 4.94% (1 mo. Term SOFR + 1.26%), 04/15/2034, (1.15% Floor) <sup>(a)</sup> | 3150000 | 2976750 |
|  Angel Oak Mortgage Trust LLC, Series 2020-5, Class A3, 2.04%, 05/25/2065 <sup>(a)(c)</sup> | 42875 | 41682 |
|  ARDN 2025-ARCP Mortgage Trust, Series 2025-ARCP, Class A, 5.42% (1 mo. Term SOFR + 1.75%), 06/15/2035, (1.75% Floor) <sup>(a)</sup> | 10000000 | 9959375 |
|  ARES Commercial Mortgage Trust, Series 2024-IND, Class A, 5.36% (1 mo. Term SOFR + 1.69%), 07/15/2041, (1.69% Floor) <sup>(a)</sup> | 1420000 | 1420445 |
|  BBCMS Trust, Series 2023-C19, Class A2B, 5.75%, 04/15/2056 | 7135000 | 7219232 |
| BLP Commercial Mortgage Trust | BLP Commercial Mortgage Trust | BLP Commercial Mortgage Trust |
| &nbsp;&nbsp; Series 2024-IND2, Class B, 5.36% (1 mo. Term SOFR + 1.69%), 03/15/2041, (1.69% Floor) <sup>(a)</sup> | 2942613 | 2940774 |
| &nbsp;&nbsp; Series 2025-IND2, Class A, 5.17% (1 mo. Term SOFR + 1.50%), 12/15/2042, (1.50% Floor) <sup>(a)</sup> | 5000000 | 4999997 |
| BX Trust | BX Trust | BX Trust |
| &nbsp;&nbsp; Series 2021-CIP, Class A, 4.71% (1 mo. Term SOFR + 1.04%), 12/15/2038, (0.92% Floor) <sup>(a)</sup> | 1841826 | 1840675 |
| &nbsp;&nbsp; Series 2022-AHP, Class A, 4.66% (1 mo. Term SOFR + 0.99%), 01/17/2039, (0.99% Floor) <sup>(a)</sup> | 949479 | 949182 |
| &nbsp;&nbsp; Series 2022-VAMF, Class B, 4.95% (1 mo. Term SOFR + 1.28%), 01/15/2039, (1.28% Floor) <sup>(a)</sup> | 1331794 | 1330962 |
| &nbsp;&nbsp; Series 2024-XL5, Class A, 5.06% (1 mo. Term SOFR + 1.39%), 03/15/2041, (1.39% Floor) <sup>(a)</sup> | 2139500 | 2141951 |
| &nbsp;&nbsp; Series 2025-BCAT, Class A, 5.05% (1 mo. Term SOFR + 1.38%), 08/15/2042, (1.38% Floor) <sup>(a)</sup> | 1724913 | 1724912 |
| &nbsp;&nbsp; Series 2025-DELC, Class A, 5.22% (1 mo. Term SOFR + 1.55%), 12/15/2042, (1.55% Floor) <sup>(a)</sup> | 2000000 | 1999998 |
| &nbsp;&nbsp; Series 2026-RISE, Class A, 4.97% (1 mo. Term SOFR + 1.30%), 04/15/2041, (1.30% Floor) <sup>(a)</sup> | 6750000 | 6750000 |
| &nbsp;&nbsp; Series 2026-XL6, Class A, 4.87% (1 mo. Term SOFR + 1.20%), 03/15/2043, (1.20% Floor) <sup>(a)</sup> | 3200000 | 3192012 |
|  Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2017-CD6, Class A5, 3.46%, 11/13/2050 | 2300000 | 2264984 |
|  Computershare Corporate Trust, Series 2024-SVEN, Class A, 6.01%, 06/10/2037 <sup>(a)</sup> | 1000000 | 1021229 |
|  EQT Trust, Series 2024-EXTR, Class A, 5.33%, 07/05/2041 <sup>(a)</sup> | 1620834 | 1639063 |
| Fannie Mae Connecticut Avenue Securities | Fannie Mae Connecticut Avenue Securities | Fannie Mae Connecticut Avenue Securities |
| &nbsp;&nbsp; Series 2022-R03, Class 1M2, 7.16% (30 day avg SOFR US + 3.50%), 03/25/2042, (0.00% Floor) <sup>(a)</sup> | 4790000 | 4882576 |
| &nbsp;&nbsp; Series 2022-R04, Class 1M2, 6.76% (30 day avg SOFR US + 3.10%), 03/25/2042, (0.00% Floor) <sup>(a)</sup> | 3350000 | 3395936 |
| &nbsp;&nbsp; Series 2022-R05, Class 2M2, 6.66% (30 day avg SOFR US + 3.00%), 04/25/2042, (0.00% Floor) <sup>(a)</sup> | 380000 | 385402 |
| &nbsp;&nbsp; Series 2022-R06, Class 1M2, 7.51% (30 day avg SOFR US + 3.85%), 05/25/2042, (0.00% Floor) <sup>(a)</sup> | 10835000 | 11127870 |
| &nbsp;&nbsp; Series 2022-R07, Class 1M2, 8.31% (30 day avg SOFR US + 4.65%), 06/25/2042, (0.00% Floor) <sup>(a)</sup> | 4255706 | 4421934 |
| &nbsp;&nbsp; Series 2022-R08, Class 1M2, 7.26% (30 day avg SOFR US + 3.60%), 07/25/2042, (0.00% Floor) <sup>(a)</sup> | 6105000 | 6285513 |
| &nbsp;&nbsp; Series 2023-R01, Class 1M2, 7.41% (30 day avg SOFR US + 3.75%), 12/25/2042, (0.00% Floor) <sup>(a)</sup> | 4400000 | 4573814 |
| &nbsp;&nbsp; Series 2023-R02, Class 1M2, 7.01% (30 day avg SOFR US + 3.35%), 01/25/2043, (0.00% Floor) <sup>(a)</sup> | 5000000 | 5164300 |
| &nbsp;&nbsp; Series 2023-R04, Class 1M2, 7.21% (30 day avg SOFR US + 3.55%), 05/25/2043, (0.00% Floor) <sup>(a)</sup> | 5302000 | 5515998 |
| &nbsp;&nbsp; Series 2023-R05, Class 1M2, 6.76% (30 day avg SOFR US + 3.10%), 06/25/2043, (0.00% Floor) <sup>(a)</sup> | 1875000 | 1944006 |
| &nbsp;&nbsp; Series 2023-R06, Class 1M2, 6.36% (30 day avg SOFR US + 2.70%), 07/25/2043, (0.00% Floor) <sup>(a)</sup> | 3060000 | 3126862 |
| &nbsp;&nbsp; Series 2023-R08, Class 1M2, 6.16% (30 day avg SOFR US + 2.50%), 10/25/2043, (0.00% Floor) <sup>(a)</sup> | 740000 | 753085 |
| &nbsp;&nbsp; Series 2024-R02, Class 1M2, 5.46% (30 day avg SOFR US + 1.80%), 02/25/2044, (0.00% Floor) <sup>(a)</sup> | 530000 | 530164 |
| Freddie Mac Structured Agency Credit Risk Debt Notes | Freddie Mac Structured Agency Credit Risk Debt Notes | Freddie Mac Structured Agency Credit Risk Debt Notes |
| &nbsp;&nbsp; Series 2022-DNA5, Class M1B, 8.16% (30 day avg SOFR US + 4.50%), 06/25/2042, (0.00% Floor) <sup>(a)</sup> | 7820000 | 8107773 |
| &nbsp;&nbsp; Series 2022-DNA6, Class M1B, 7.36% (30 day avg SOFR US + 3.70%), 09/25/2042, (0.00% Floor) <sup>(a)</sup> | 3010000 | 3104063 |
| &nbsp;&nbsp; Series 2023-DNA1, Class M1B, 6.76% (30 day avg SOFR US + 3.10%), 03/25/2043, (0.00% Floor) <sup>(a)</sup> | 2085000 | 2154956 |
| &nbsp;&nbsp; Series 2023-DNA2, Class M1B, 6.91% (30 day avg SOFR US + 3.25%), 04/25/2043, (0.00% Floor) <sup>(a)</sup> | 5210000 | 5406653 |
| &nbsp;&nbsp; Series 2023-HQA1, Class M1B, 7.16% (30 day avg SOFR US + 3.50%), 05/25/2043, (0.00% Floor) <sup>(a)</sup> | 10230000 | 10680480 |
| &nbsp;&nbsp; Series 2023-HQA3, Class M2, 7.01% (30 day avg SOFR US + 3.35%), 11/25/2043, (0.00% Floor) <sup>(a)</sup> | 4150000 | 4327699 |
|  FRESB Multifamily Structured Pass Through Certificates, Series 2016-SB23, Class A10F, 2.31%, 09/25/2026 <sup>(c)</sup> | 588210 | 583174 |
|  GS Mortgage Securities Corp. II, Series 2017-GS6, Class A3, 3.43%, 05/10/2050 | 2000000 | 1976222 |
|  GS Mortgage-Backed Securities Trust, Series 2021-NQM1, Class A3, 1.53%, 07/25/2061 <sup>(a)(c)</sup> | 770049 | 714937 |
|  GSAT Trust 2025-BMF, Series 2025-BMF, Class A, 5.17% (1 mo. Term SOFR + 1.50%), 07/15/2040, (1.50% Floor) <sup>(a)</sup> | 2900000 | 2897166 |
|  ICNQ 2024-MF Mortgage Trust, Series 2024-MF, Class A, 5.78%, 12/10/2034 <sup>(a)</sup> | 2000000 | 2051603 |
|  KSL Commercial Mortgage Trust, Series 2024-HT2, Class A, 5.21% (1 mo. Term SOFR + 1.54%), 12/15/2039, (1.54% Floor) <sup>(a)</sup> | 668407 | 667154 |
|  Ladder Capital Commercial Mortgage Securities LLC, Series 2013-GCP, Class A1, 3.57%, 02/15/2036 <sup>(a)</sup> | 727877 | 710824 |
|  MCR Mortgage Trust, Series 2024-HTL, Class A, 5.43% (1 mo. Term SOFR + 1.76%), 02/15/2037, (1.76% Floor) <sup>(a)</sup> | 1973946 | 1971477 |
|  MILE Trust 2025-STNE, Series 2025-STNE, Class A, 5.17% (1 mo. Term SOFR + 1.50%), 07/15/2042, (1.50% Floor) <sup>(a)</sup> | 3100000 | 3092250 |
|  Natixis Commercial Mortgage Securities Trust, Series 2019-LVL, Class A, 3.89%, 08/15/2038 <sup>(a)</sup> | 3700000 | 3593417 |
| New Residential Mortgage Loan Trust | New Residential Mortgage Loan Trust | New Residential Mortgage Loan Trust |
| &nbsp;&nbsp; Series 2016-1A, Class A1, 3.75%, 03/25/2056 <sup>(a)(c)</sup> | 412265 | 397265 |
| &nbsp;&nbsp; Series 2017-2A, Class A3, 4.00%, 03/25/2057 <sup>(a)(c)</sup> | 621418 | 602279 |
|  NRTH PARK Mortgage Trust, Series 2025-PARK, Class A, 5.07% (1 mo. Term SOFR + 1.39%), 10/15/2040, (1.39% Floor) <sup>(a)</sup> | 6070000 | 6064302 |
|  NYC Commercial Mortgage Trust, Series 2024-3ELV, Class A, 5.66% (1 mo. Term SOFR + 1.99%), 08/15/2029, (1.99% Floor) <sup>(a)</sup> | 5650000 | 5649992 |
|  ONNI Commercial Mortgage Trust, Series 2024-APT, Class A, 5.20%, 07/15/2039 <sup>(a)(c)</sup> | 3100000 | 3137197 |
|  PKHL Commercial Mortgage Trust, Series 2021-MF, Class A, 4.67% (1 mo. Term SOFR + 0.99%), 07/15/2038, (0.88% Floor) <sup>(a)</sup> | 5750000 | 5436682 |
|  PLYM Commercial Mortgage Trust, Series 2026-IND, Class A, 4.92% (1 mo. Term SOFR + 1.25%), 03/15/2043, (1.25% Floor) <sup>(a)</sup> | 5325000 | 5298370 |
|  SCG Mortgage Trust, Series 2025-SNIP, Class A, 5.17% (1 mo. Term SOFR + 1.50%), 09/15/2042, (1.50% Floor) <sup>(a)</sup> | 4750000 | 4749996 |
|  SMR Mortgage Trust, Series 2022-IND, Class A, 5.32% (1 mo. Term SOFR + 1.65%), 02/15/2039, (1.65% Floor) <sup>(a)</sup> | 1911808 | 1907261 |
|  TX Trust, Series 2024-HOU, Class A, 5.26% (1 mo. Term SOFR + 1.59%), 06/15/2039, (1.59% Floor) <sup>(a)</sup> | 2000000 | 1997500 |
| Wells Fargo Commercial Mortgage Trust 2024-1CHI | Wells Fargo Commercial Mortgage Trust 2024-1CHI | Wells Fargo Commercial Mortgage Trust 2024-1CHI |
| &nbsp;&nbsp; Series 2025-B33RP, Class A, 5.02% (1 mo. Term SOFR + 1.35%), 08/15/2042, (1.35% Floor) <sup>(a)</sup> | 5250000 | 5243431 |
| &nbsp;&nbsp; Series 2025-NYCH, Class A, 5.41% (1 mo. Term SOFR + 1.74%), 06/15/2042, (1.74% Floor) <sup>(a)</sup> | 3750000 | 3719531 |
|  WF-RBS Commercial Mortgage Trust, Series 2014-C22, Class AS, 4.07%, 09/15/2057 <sup>(c)</sup> | 297495 | 284066 |
| **TOTAL MORTGAGE-BACKED SECURITIES** (Cost $204,245,246) | **TOTAL MORTGAGE-BACKED SECURITIES** (Cost $204,245,246) | 203048403 |
| **ASSET-BACKED SECURITIES - 8.9%** | **Par**  | **Value**  |
| American Express Travel Related Services Co., Inc. | American Express Travel Related Services Co., Inc. | American Express Travel Related Services Co., Inc. |
| &nbsp;&nbsp; Series 2024-1, Class A, 5.23%, 04/15/2029 | 9350000 | 9474618 |
| &nbsp;&nbsp; Series 2025-2, Class A, 4.28%, 04/15/2030 | 570000 | 572171 |
|  Argent Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2003-W6, Class M1, 4.84% (1 mo. Term SOFR + 1.16%), 01/25/2034, (1.05% Floor) | 488816 | 533971 |
|  Bank of America Auto Trust, Series 2024-1A, Class A3, 5.35%, 11/15/2028 <sup>(a)</sup> | 3438795 | 3461858 |
|  CarMax Auto Owner Trust, Series 2024-4, Class A3, 4.60%, 10/15/2029 | 11090000 | 11162595 |
| Carvana Auto Receivables Trust | Carvana Auto Receivables Trust | Carvana Auto Receivables Trust |
| &nbsp;&nbsp; Series 2022-P3, Class A3, 4.61%, 11/10/2027 | 287281 | 287342 |
| &nbsp;&nbsp; Series 2024-P4, Class A3, 4.64%, 01/10/2030 | 264727 | 265834 |
|  CNH Equipment Trust, Series 2024-C, Class A3, 4.03%, 01/15/2030 | 2775000 | 2770686 |
|  DB Master Finance Parent LLC, Series 2021-1A, Class A2I, 2.05%, 11/20/2051 <sup>(a)</sup> | 3925750 | 3864451 |
|  Elara Depositor LLC, Series 2021-A, Class A, 1.36%, 08/27/2035 <sup>(a)</sup> | 602426 | 577059 |
| Ford Credit Auto Owner Trust | Ford Credit Auto Owner Trust | Ford Credit Auto Owner Trust |
| &nbsp;&nbsp; Series 2024-A, Class A3, 5.09%, 12/15/2028 | 2964393 | 2982634 |
| &nbsp;&nbsp; Series 2024-C, Class A3, 4.07%, 07/15/2029 | 8075000 | 8079356 |
| &nbsp;&nbsp; Series 2024-D, Class A3, 4.61%, 08/15/2029 | 3400000 | 3420411 |
|  GM Financial Consumer Automobile Receivables Trust, Series 2024-2, Class A3, 5.10%, 03/16/2029 | 3814973 | 3835349 |
| GM Financial Leasing Trust | GM Financial Leasing Trust | GM Financial Leasing Trust |
| &nbsp;&nbsp; Series 2024-2, Class A3, 5.39%, 07/20/2027 | 6788969 | 6806127 |
| &nbsp;&nbsp; Series 2026-1, Class A3, 3.88%, 01/22/2029 | 2750000 | 2736051 |
|  Hilton Grand Vacations, Inc., Series 2024-2A, Class A, 5.50%, 03/25/2038 <sup>(a)</sup> | 2255501 | 2288206 |
| Honda Auto Receivables Owner Trust | Honda Auto Receivables Owner Trust | Honda Auto Receivables Owner Trust |
| &nbsp;&nbsp; Series 2024-1, Class A3, 5.21%, 08/15/2028 | 2212842 | 2228163 |
| &nbsp;&nbsp; Series 2026-1, Class A3, 3.78%, 09/23/2030 | 10475000 | 10417358 |
| IPFS Corp. | IPFS Corp. | IPFS Corp. |
| &nbsp;&nbsp; Series 2024-B, Class A, 4.95%, 02/15/2029 <sup>(a)</sup> | 4000000 | 4024074 |
| &nbsp;&nbsp; Series 2024-D, Class A, 5.34%, 04/15/2029 <sup>(a)</sup> | 4440000 | 4504643 |
|  LAD Auto Receivables Trust, Series 2026-1A, Class A3, 3.92%, 04/15/2031 <sup>(a)</sup> | 4115000 | 4079238 |
| Marriott Vacations Worldwide Corp. | Marriott Vacations Worldwide Corp. | Marriott Vacations Worldwide Corp. |
| &nbsp;&nbsp; Series 2019-2A, Class A, 2.22%, 10/20/2038 <sup>(a)</sup> | 216238 | 215953 |
| &nbsp;&nbsp; Series 2021-1WA, Class A, 1.14%, 01/22/2041 <sup>(a)</sup> | 538623 | 520641 |
|  Mercedes-Benz Auto Lease Trust, Series 2025-B, Class A3, 3.88%, 04/16/2029 | 6900000 | 6864439 |
| MVW Owner Trust | MVW Owner Trust | MVW Owner Trust |
| &nbsp;&nbsp; Series 2024-1A, Class A, 5.32%, 02/20/2043 <sup>(a)</sup> | 2676654 | 2711466 |
| &nbsp;&nbsp; Series 2025-1A, Class A, 4.97%, 09/22/2042 <sup>(a)</sup> | 3705425 | 3732096 |
|  Navient Student Loan Trust, Series 2021-A, Class A, 0.84%, 05/15/2069 <sup>(a)</sup> | 936824 | 857619 |
|  Porsche Financial Auto Securitization Trust, Series 2024-1A, Class A3, 4.44%, 01/22/2030 <sup>(a)</sup> | 1310415 | 1312995 |
|  Sierra Timeshare Conduit Receivables Funding LLC, Series 2023-2A, Class A, 5.80%, 04/20/2040 <sup>(a)</sup> | 310024 | 315962 |
|  SoFi Professional Loan Program LLC, Series 2021-B, Class AFX, 1.14%, 02/15/2047 <sup>(a)</sup> | 951258 | 853156 |
|  Synchrony Bank, Series 2024-A1, Class A, 5.04%, 03/15/2030 | 1300000 | 1311949 |
|  Taco Bell Corp., Series 2021-1A, Class A2I, 1.95%, 08/25/2051 <sup>(a)</sup> | 5767275 | 5637369 |
| Tesla Auto Lease Trust | Tesla Auto Lease Trust | Tesla Auto Lease Trust |
| &nbsp;&nbsp; Series 2024-A, Class A3, 5.30%, 06/21/2027 <sup>(a)</sup> | 1129653 | 1131853 |
| &nbsp;&nbsp; Series 2024-B, Class A3, 4.82%, 10/20/2027 <sup>(a)</sup> | 3448684 | 3455768 |
| Toyota Auto Receivables Owner Trust | Toyota Auto Receivables Owner Trust | Toyota Auto Receivables Owner Trust |
| &nbsp;&nbsp; Series 2022-C, Class A3, 3.76%, 04/15/2027 | 120560 | 120537 |
| &nbsp;&nbsp; Series 2024-B, Class A3, 5.33%, 01/16/2029 | 9639317 | 9731561 |
|  Toyota Lease Owner Trust, Series 2024-A, Class A3, 5.25%, 04/20/2027 <sup>(a)</sup> | 798666 | 799684 |
|  Volkswagen Auto Lease Trust, Series 2024-A, Class A3, 5.21%, 06/21/2027 | 4135708 | 4149281 |
|  World Omni Auto Trust, Series 2026-A, Class A3, 3.86%, 05/15/2031 | 7215000 | 7168042 |
|  World Omni Automobile Lease Securitization Trust, Series 2024-A, Class A3, 5.26%, 10/15/2027 | 5522427 | 5543772 |
| **TOTAL ASSET-BACKED SECURITIES** (Cost $144,630,207) | **TOTAL ASSET-BACKED SECURITIES** (Cost $144,630,207) | 144806338 |
| **U.S. GOVERNMENT AGENCY ISSUES - 5.3%** | **Par**  | **Value**  |
|  Federal Farm Credit Banks Funding Corp., 4.75%, 12/14/2026 | 3725000 | 3751038 |
|  Federal Farm Credit Banks Funding Corp., 4.50%, 08/14/2026 | 11900000 | 11925639 |
|  Federal Home Loan Banks, 1.10%, 02/25/2028 | 11160000 | 10591005 |
| Federal National Mortgage Association | Federal National Mortgage Association | Federal National Mortgage Association |
| &nbsp;&nbsp; 1.88%, 09/24/2026 | 26835000 | 26601930 |
| &nbsp;&nbsp; 0.75%, 10/08/2027 | 34505000 | 32951232 |
| **TOTAL U.S. GOVERNMENT AGENCY ISSUES** (Cost $85,235,198) | **TOTAL U.S. GOVERNMENT AGENCY ISSUES** (Cost $85,235,198) | 85820844 |
| **TOTAL INVESTMENTS - 89.6% (**Cost $1,454,951,881**)** | **TOTAL INVESTMENTS - 89.6% (**Cost $1,454,951,881**)** | $1457190176 |
| Money Market Deposit Account - 4.1% <sup>(d)(e)</sup> | Money Market Deposit Account - 4.1% <sup>(d)(e)</sup> | 67023236 |
| Other Assets in Excess of Liabilities - 6.3% <sup>(f)</sup> | Other Assets in Excess of Liabilities - 6.3% <sup>(f)</sup> | 101967079 |
| **TOTAL NET ASSETS - 100.0%** |  | $1626180491 |
| Par amount is in USD unless otherwise indicated. | Par amount is in USD unless otherwise indicated. |  |
| Percentages are stated as a percent of net assets. | Percentages are stated as a percent of net assets. |  |

---

---

| |
|:---|
| CMT - Constant Maturity Treasury |
| LLC - Limited Liability Company |
| LP - Limited Partnership |
| PLC - Public Limited Company |
| REIT - Real Estate Investment Trust |
| SOFR - Secured Overnight Financing Rate |

---

(a) Security is exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may only be resold in transactions exempt from registration to qualified institutional
 investors. As of March 31, 2026, the value of these securities total $284,310,443 or 17.5% of the Fund's net assets.

(b) Represents less than 0.05% of net assets.

(c) Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the weighted average coupon of the underlying assets which comprise the collateral increases or decreases, the
 coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of March 31, 2026.

(d) The U.S. Bank Money Market Deposit Account (the "MMDA") is a short-term vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on market conditions and
 is subject to change daily. The rate as of March 31, 2026 was 3.45%.

(e) A portion of this deposit account is pledged as collateral for derivative contracts. As of the reporting date, the value of this collateral totals $14,468.

(f) Includes assets pledged as collateral for derivative contracts. As of the reporting date, the value of these assets totals $102,320,907.

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **LoCorr Macro Strategies Fund** | **LoCorr Macro Strategies Fund** | **LoCorr Macro Strategies Fund** | **LoCorr Macro Strategies Fund** | **LoCorr Macro Strategies Fund** |
| **Consolidated Schedule of Futures Contracts** | **Consolidated Schedule of Futures Contracts** | **Consolidated Schedule of Futures Contracts** | **Consolidated Schedule of Futures Contracts** | **Consolidated Schedule of Futures Contracts** |
| **March 31, 2026 (Unaudited)** | **March 31, 2026 (Unaudited)** | **March 31, 2026 (Unaudited)** | **March 31, 2026 (Unaudited)** | **March 31, 2026 (Unaudited)** |
| **Description** | **Contracts**<br> **Purchased** | **Expiration Date** | **Notional Value** | **Value / Unrealized**<br> **Appreciation**<br> (Depreciation) |
| &nbsp;&nbsp;&nbsp;&nbsp;10 Year U.S. Ultra Treasury Notes | 10 | 06/18/2026 | $1135156 | $736 |
| &nbsp;&nbsp;&nbsp;&nbsp;3-Month Secured Overnight Financing Rate | 126 | 12/19/2028 | 30406950 | (4832) |
| &nbsp;&nbsp;&nbsp;&nbsp;Aluminum – 90 day settlement<sup>(a)</sup> | 1 | 04/30/2026 | 87601 | 9966 |
| &nbsp;&nbsp;&nbsp;&nbsp;Aluminum – 90 day settlement<sup>(a)</sup> | 1 | 05/29/2026 | 87181 | 6283 |
| &nbsp;&nbsp;&nbsp;&nbsp;Aluminum – 90 day settlement<sup>(a)</sup> | 1 | 06/16/2026 | 86829 | 3137 |
| &nbsp;&nbsp;&nbsp;&nbsp;Aluminum – 90 day settlement<sup>(a)</sup> | 1 | 06/22/2026 | 86704 | 5487 |
| &nbsp;&nbsp;&nbsp;&nbsp;Arabica Coffee | 14 | 05/18/2026 | 1566338 | (45113) |
| &nbsp;&nbsp;&nbsp;&nbsp;ASX SPI 200 Index | 29 | 06/18/2026 | 4258321 | 12904 |
| &nbsp;&nbsp;&nbsp;&nbsp;Australian Dollar | 523 | 06/15/2026 | 35995475 | (171362) |
| &nbsp;&nbsp;&nbsp;&nbsp;Brent Crude Oil | 133 | 04/30/2026 | 13828010 | (101938) |
| &nbsp;&nbsp;&nbsp;&nbsp;Brent Crude Oil | 14 | 05/29/2026 | 1346380 | (48688) |
| &nbsp;&nbsp;&nbsp;&nbsp;Brent Crude Oil | 5 | 06/30/2026 | 450850 | (20526) |
| &nbsp;&nbsp;&nbsp;&nbsp;Brent Crude Oil | 4 | 07/31/2026 | 343640 | (18505) |
| &nbsp;&nbsp;&nbsp;&nbsp;Brent Crude Oil | 4 | 08/28/2026 | 331800 | (19275) |
| &nbsp;&nbsp;&nbsp;&nbsp;Brent Crude Oil | 3 | 09/30/2026 | 243030 | (9474) |
| &nbsp;&nbsp;&nbsp;&nbsp;British Pound | 87 | 06/15/2026 | 7191637 | 4958 |
| &nbsp;&nbsp;&nbsp;&nbsp;CAC40 10 Euro Index | 186 | 04/17/2026 | 16822900 | 204010 |
| &nbsp;&nbsp;&nbsp;&nbsp;Canadian 10 Year Government Bonds | 202 | 06/19/2026 | 17426511 | (182096) |
| &nbsp;&nbsp;&nbsp;&nbsp;CME Bitcoin Reference Rate (BRR) | 1 | 04/24/2026 | 340175 | 4827 |
| &nbsp;&nbsp;&nbsp;&nbsp;Copper | 13 | 05/27/2026 | 1824550 | 36264 |
| &nbsp;&nbsp;&nbsp;&nbsp;Copper – 90 day settlement<sup>(a)</sup> | 1 | 04/01/2026 | 306743 | (20293) |
| &nbsp;&nbsp;&nbsp;&nbsp;Copper – 90 day settlement<sup>(a)</sup> | 1 | 04/20/2026 | 307377 | (9645) |
| &nbsp;&nbsp;&nbsp;&nbsp;Copper – 90 day settlement<sup>(a)</sup> | 1 | 04/28/2026 | 307621 | (24832) |
| &nbsp;&nbsp;&nbsp;&nbsp;Copper – 90 day settlement<sup>(a)</sup> | 1 | 05/01/2026 | 307714 | (13158) |
| &nbsp;&nbsp;&nbsp;&nbsp;Copper – 90 day settlement<sup>(a)</sup> | 1 | 05/08/2026 | 307789 | (16859) |
| &nbsp;&nbsp;&nbsp;&nbsp;Copper – 90 day settlement<sup>(a)</sup> | 1 | 05/22/2026 | 307954 | (25970) |
| &nbsp;&nbsp;&nbsp;&nbsp;Copper – 90 day settlement<sup>(a)</sup> | 1 | 06/05/2026 | 308213 | (11558) |
| &nbsp;&nbsp;&nbsp;&nbsp;Copper – 90 day settlement<sup>(a)</sup> | 1 | 06/10/2026 | 308288 | (11936) |
| &nbsp;&nbsp;&nbsp;&nbsp;Copper – 90 day settlement<sup>(a)</sup> | 1 | 06/17/2026 | 305588 | 3165 |
| &nbsp;&nbsp;&nbsp;&nbsp;Copper – 90 day settlement<sup>(a)</sup> | 1 | 06/19/2026 | 308188 | 10772 |
| &nbsp;&nbsp;&nbsp;&nbsp;Copper – 90 day settlement<sup>(a)</sup> | 1 | 06/26/2026 | 308387 | 3511 |
| &nbsp;&nbsp;&nbsp;&nbsp;Corn No. 2 Yellow | 326 | 05/14/2026 | 7461325 | (116203) |
| &nbsp;&nbsp;&nbsp;&nbsp;Cotton No.2 | 30 | 05/06/2026 | 1050000 | 6386 |
| &nbsp;&nbsp;&nbsp;&nbsp;Crude Oil | 86 | 04/21/2026 | 8718680 | 406122 |
| &nbsp;&nbsp;&nbsp;&nbsp;Crude Oil | 16 | 05/19/2026 | 1490560 | 31190 |
| &nbsp;&nbsp;&nbsp;&nbsp;Crude Oil | 4 | 06/22/2026 | 346120 | (6798) |
| &nbsp;&nbsp;&nbsp;&nbsp;Crude Oil | 2 | 07/21/2026 | 163260 | (5414) |
| &nbsp;&nbsp;&nbsp;&nbsp;Crude Oil | 2 | 08/20/2026 | 155960 | (7014) |
| &nbsp;&nbsp;&nbsp;&nbsp;Crude Soybean Oil | 403 | 05/14/2026 | 16655184 | 1550329 |
| &nbsp;&nbsp;&nbsp;&nbsp;Dollar Index | 58 | 06/15/2026 | 5786022 | 55841 |
| &nbsp;&nbsp;&nbsp;&nbsp;Dow Jones Industrial Average Index | 87 | 06/18/2026 | 20263170 | 176591 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ether Dollar Reference Rate | 1 | 04/24/2026 | 105125 | 847 |
| &nbsp;&nbsp;&nbsp;&nbsp;Euro | 388 | 06/15/2026 | 56189675 | 115209 |
| &nbsp;&nbsp;&nbsp;&nbsp;Euro STOXX 50 Quanto Index | 303 | 06/19/2026 | 19244822 | 11523 |
| &nbsp;&nbsp;&nbsp;&nbsp;FTSE 100 Index | 361 | 06/19/2026 | 48732515 | (20604) |
| &nbsp;&nbsp;&nbsp;&nbsp;FTSE/JSE Top 40 Index | 16 | 06/18/2026 | 1010668 | 45021 |
| &nbsp;&nbsp;&nbsp;&nbsp;FTSE/MIB Index | 15 | 06/19/2026 | 3777567 | 97446 |
| &nbsp;&nbsp;&nbsp;&nbsp;German Stock Index | 14 | 06/19/2026 | 9238696 | (89569) |
| &nbsp;&nbsp;&nbsp;&nbsp;Gold | 27 | 06/26/2026 | 12632220 | 456547 |
| &nbsp;&nbsp;&nbsp;&nbsp;Hang Seng China Enterprises Index | 22 | 04/29/2026 | 1172359 | 195 |
| &nbsp;&nbsp;&nbsp;&nbsp;Hang Seng Index | 12 | 04/29/2026 | 1894225 | 6942 |
| &nbsp;&nbsp;&nbsp;&nbsp;Hard Red Winter Wheat | 236 | 07/14/2026 | 7655250 | 222741 |
| &nbsp;&nbsp;&nbsp;&nbsp;IBEX 35 Index | 8 | 04/17/2026 | 1568866 | 24211 |
| &nbsp;&nbsp;&nbsp;&nbsp;ICE European Climate Exchange Emissions | 1 | 12/14/2026 | 83811 | (1334) |
| &nbsp;&nbsp;&nbsp;&nbsp;KOSPI 200 Index | 16 | 06/11/2026 | 1956713 | (58648) |
| &nbsp;&nbsp;&nbsp;&nbsp;Lead – 90 day settlement<sup>(a)</sup> | 1 | 04/16/2026 | 46891 | (4025) |
| &nbsp;&nbsp;&nbsp;&nbsp;Lead – 90 day settlement<sup>(a)</sup> | 1 | 04/28/2026 | 46920 | (3240) |
| &nbsp;&nbsp;&nbsp;&nbsp;Lead – 90 day settlement<sup>(a)</sup> | 1 | 05/07/2026 | 47075 | (2031) |
| &nbsp;&nbsp;&nbsp;&nbsp;Live Cattle | 15 | 06/30/2026 | 1459650 | 20390 |
| &nbsp;&nbsp;&nbsp;&nbsp;London Metals - Aluminum<sup>(a)</sup> | 247 | 06/15/2026 | 21502214 | 1974771 |
| &nbsp;&nbsp;&nbsp;&nbsp;London Metals - Copper<sup>(a)</sup> | 106 | 06/15/2026 | 32683827 | (1622050) |
| &nbsp;&nbsp;&nbsp;&nbsp;London Metals - Lead<sup>(a)</sup> | 9 | 06/15/2026 | 426798 | (12012) |
| &nbsp;&nbsp;&nbsp;&nbsp;London Metals - Nickel<sup>(a)</sup> | 17 | 06/15/2026 | 1742771 | (29487) |
| &nbsp;&nbsp;&nbsp;&nbsp;London Metals - Zinc<sup>(a)</sup> | 128 | 06/15/2026 | 10377600 | (301047) |
| &nbsp;&nbsp;&nbsp;&nbsp;Long Gilt | 82 | 06/26/2026 | 9528245 | (469786) |
| &nbsp;&nbsp;&nbsp;&nbsp;Low Sulphur Gas Oil | 105 | 05/12/2026 | 13012125 | 677366 |
| &nbsp;&nbsp;&nbsp;&nbsp;Low Sulphur Gas Oil | 11 | 06/11/2026 | 1212200 | 15936 |
| &nbsp;&nbsp;&nbsp;&nbsp;Low Sulphur Gas Oil | 4 | 07/10/2026 | 404800 | 3295 |
| &nbsp;&nbsp;&nbsp;&nbsp;Mexican Peso | 564 | 06/15/2026 | 15611520 | (22358) |
| &nbsp;&nbsp;&nbsp;&nbsp;MSCI EAFE Index | 32 | 06/19/2026 | 4641760 | 128303 |
| &nbsp;&nbsp;&nbsp;&nbsp;MSCI Emerging Markets Index | 30 | 06/19/2026 | 2181900 | 56718 |
| &nbsp;&nbsp;&nbsp;&nbsp;Nasdaq 100 Index | 65 | 06/18/2026 | 31089500 | (108394) |
| &nbsp;&nbsp;&nbsp;&nbsp;Natural Gas | 24 | 04/28/2026 | 692160 | (9268) |
| &nbsp;&nbsp;&nbsp;&nbsp;Natural Gas | 20 | 04/29/2026 | 872976 | (77455) |
| &nbsp;&nbsp;&nbsp;&nbsp;Natural Gas | 5 | 05/27/2026 | 150300 | (2470) |
| &nbsp;&nbsp;&nbsp;&nbsp;Natural Gas | 4 | 07/29/2026 | 132000 | (3398) |
| &nbsp;&nbsp;&nbsp;&nbsp;Natural Gas | 1 | 08/27/2026 | 32750 | (602) |
| &nbsp;&nbsp;&nbsp;&nbsp;Nickel – 90 day settlement<sup>(a)</sup> | 1 | 05/08/2026 | 102067 | (5163) |
| &nbsp;&nbsp;&nbsp;&nbsp;Nifty 50 Index | 41 | 04/28/2026 | 1843483 | (6229) |
| &nbsp;&nbsp;&nbsp;&nbsp;Nikkei 225 Index | 9 | 06/11/2026 | 1455436 | (9619) |
| &nbsp;&nbsp;&nbsp;&nbsp;Nikkei 225 Index | 96 | 06/11/2026 | 30946473 | (1793787) |
| &nbsp;&nbsp;&nbsp;&nbsp;NY Harbor ULSD | 49 | 04/30/2026 | 8466200 | 146664 |
| &nbsp;&nbsp;&nbsp;&nbsp;NY Harbor ULSD | 5 | 05/29/2026 | 785589 | (8510) |
| &nbsp;&nbsp;&nbsp;&nbsp;NY Harbor ULSD | 2 | 06/30/2026 | 290102 | (5380) |
| &nbsp;&nbsp;&nbsp;&nbsp;NY Harbor ULSD | 1 | 07/31/2026 | 137605 | (5701) |
| &nbsp;&nbsp;&nbsp;&nbsp;Platinum | 1 | 07/29/2026 | 98510 | 898 |
| &nbsp;&nbsp;&nbsp;&nbsp;Reformulated Gasoline Blendstock | 78 | 04/30/2026 | 10495976 | 243367 |
| &nbsp;&nbsp;&nbsp;&nbsp;Reformulated Gasoline Blendstock | 5 | 05/29/2026 | 641676 | (12319) |
| &nbsp;&nbsp;&nbsp;&nbsp;Reformulated Gasoline Blendstock | 2 | 06/30/2026 | 244112 | (7282) |
| &nbsp;&nbsp;&nbsp;&nbsp;Reformulated Gasoline Blendstock | 2 | 07/31/2026 | 232940 | (5065) |
| &nbsp;&nbsp;&nbsp;&nbsp;Russell 2000 Index | 183 | 06/18/2026 | 22986630 | (13393) |
| &nbsp;&nbsp;&nbsp;&nbsp;S&P 500 Index | 85 | 06/18/2026 | 27925688 | 257973 |
| &nbsp;&nbsp;&nbsp;&nbsp;S&P Mid Cap 400 Index | 4 | 06/18/2026 | 1358600 | 19903 |
| &nbsp;&nbsp;&nbsp;&nbsp;S&P/Toronto Stock Exchange 60 Index | 12 | 06/18/2026 | 3291438 | 64104 |
| &nbsp;&nbsp;&nbsp;&nbsp;SET50 Index | 213 | 06/29/2026 | 1241833 | 17558 |
| &nbsp;&nbsp;&nbsp;&nbsp;SGX FTSE Taiwan Index | 1 | 04/29/2026 | 103320 | (82) |
| &nbsp;&nbsp;&nbsp;&nbsp;Silver | 1 | 05/27/2026 | 374595 | 27943 |
| &nbsp;&nbsp;&nbsp;&nbsp;Soybean Meal | 224 | 05/14/2026 | 7087360 | (185500) |
| &nbsp;&nbsp;&nbsp;&nbsp;Soybeans | 459 | 05/14/2026 | 26874450 | (14911) |
| &nbsp;&nbsp;&nbsp;&nbsp;Sugar #11 | 130 | 04/30/2026 | 2259712 | 8160 |
| &nbsp;&nbsp;&nbsp;&nbsp;Swiss Franc | 20 | 06/15/2026 | 3149500 | (6520) |
| &nbsp;&nbsp;&nbsp;&nbsp;TOPIX Index | 164 | 06/11/2026 | 36209067 | (1670077) |
| &nbsp;&nbsp;&nbsp;&nbsp;U.S. Treasury Long Bonds | 212 | 06/18/2026 | 24141500 | 145042 |
| &nbsp;&nbsp;&nbsp;&nbsp;U.S. Treasury Ultra Bonds | 73 | 06/18/2026 | 8509062 | 41520 |
| &nbsp;&nbsp;&nbsp;&nbsp;US Cocoa | 1 | 05/13/2026 | 33000 | 858 |
| &nbsp;&nbsp;&nbsp;&nbsp;Wheat | 219 | 05/14/2026 | 6747937 | 134818 |
| &nbsp;&nbsp;&nbsp;&nbsp;WTI CRUDE FUTURE Oct 26 | 1 | 09/22/2026 | 75270 | (4522) |
| &nbsp;&nbsp;&nbsp;&nbsp;Zinc – 90 day settlement<sup>(a)</sup> | 1 | 04/16/2026 | 80741 | 375 |
| &nbsp;&nbsp;&nbsp;&nbsp;Zinc – 90 day settlement<sup>(a)</sup> | 1 | 06/03/2026 | 80980 | (1492) |
| &nbsp;&nbsp;&nbsp;&nbsp;Zinc – 90 day settlement<sup>(a)</sup> | 1 | 06/15/2026 | 81075 | (92) |
| &nbsp;&nbsp;&nbsp;&nbsp;Zinc – 90 day settlement<sup>(a)</sup> | 1 | 06/23/2026 | 80613 | 3616 |
|  |  |  |  | $17828 |
|  |  |  |  | – |
| **Description** | **Contracts**<br> **Sold** | **Expiration Date** | **Notional Value** | **Value / Unrealized**<br> **Appreciation** <br> (Depreciation) |
| &nbsp;&nbsp;&nbsp;&nbsp;10 Year Japanese Government Bonds | (10) | 06/12/2026 | $821965 | $6072 |
| &nbsp;&nbsp;&nbsp;&nbsp;3 Month Euribor | (95) | 12/14/2026 | 26677436 | (3763) |
| &nbsp;&nbsp;&nbsp;&nbsp;3 Month Euribor | (124) | 03/15/2027 | 34810324 | 3913 |
| &nbsp;&nbsp;&nbsp;&nbsp;3 Month Euribor | (1167) | 06/14/2027 | 327677511 | 380537 |
| &nbsp;&nbsp;&nbsp;&nbsp;3 Month Euribor | (111) | 09/13/2027 | 31186515 | 102469 |
| &nbsp;&nbsp;&nbsp;&nbsp;3 Month Euribor | (70) | 12/13/2027 | 19678297 | 54126 |
| &nbsp;&nbsp;&nbsp;&nbsp;3 Month Euribor | (60) | 03/13/2028 | 16868845 | 29467 |
| &nbsp;&nbsp;&nbsp;&nbsp;3 Month Euribor | (37) | 06/19/2028 | 10401385 | 11675 |
| &nbsp;&nbsp;&nbsp;&nbsp;3-Month Secured Overnight Financing Rate | (189) | 03/16/2027 | 45532462 | 131795 |
| &nbsp;&nbsp;&nbsp;&nbsp;3-Month Secured Overnight Financing Rate | (219) | 06/15/2027 | 52770788 | 135720 |
| &nbsp;&nbsp;&nbsp;&nbsp;3-Month Secured Overnight Financing Rate | (1088) | 09/14/2027 | 262330400 | 221331 |
| &nbsp;&nbsp;&nbsp;&nbsp;3-Month Secured Overnight Financing Rate | (164) | 12/14/2027 | 39579350 | 88937 |
| &nbsp;&nbsp;&nbsp;&nbsp;3-Month Secured Overnight Financing Rate | (82) | 03/14/2028 | 19801975 | 24237 |
| &nbsp;&nbsp;&nbsp;&nbsp;3-Month Secured Overnight Financing Rate | (73) | 06/20/2028 | 17628587 | 7302 |
| &nbsp;&nbsp;&nbsp;&nbsp;3-Month Secured Overnight Financing Rate | (59) | 09/19/2028 | 14243338 | (2762) |
| &nbsp;&nbsp;&nbsp;&nbsp;Aluminum – 90 day settlement<sup>(a)</sup> | (1) | 04/30/2026 | 87601 | (10321) |
| &nbsp;&nbsp;&nbsp;&nbsp;Aluminum – 90 day settlement<sup>(a)</sup> | (1) | 05/29/2026 | 87181 | (6727) |
| &nbsp;&nbsp;&nbsp;&nbsp;Aluminum – 90 day settlement<sup>(a)</sup> | (1) | 06/16/2026 | 86828 | (1995) |
| &nbsp;&nbsp;&nbsp;&nbsp;Aluminum – 90 day settlement<sup>(a)</sup> | (1) | 06/22/2026 | 86704 | (6402) |
| &nbsp;&nbsp;&nbsp;&nbsp;Arabica Coffee | (4) | 05/18/2026 | 447525 | 4415 |
| &nbsp;&nbsp;&nbsp;&nbsp;Australian Government 10 Year Bonds | (1026) | 06/15/2026 | 76277703 | 478566 |
| &nbsp;&nbsp;&nbsp;&nbsp;Australian Government 3 Year Bonds | (96) | 06/15/2026 | 6865605 | (13780) |
| &nbsp;&nbsp;&nbsp;&nbsp;British Pound | (390) | 06/15/2026 | 32238375 | (81) |
| &nbsp;&nbsp;&nbsp;&nbsp;CAC40 10 Euro Index | (17) | 04/17/2026 | 1537577 | (13450) |
| &nbsp;&nbsp;&nbsp;&nbsp;Canadian 10 Year Government Bonds | (96) | 06/19/2026 | 8281906 | (50615) |
| &nbsp;&nbsp;&nbsp;&nbsp;Canadian Dollar | (1112) | 06/16/2026 | 80064000 | 468728 |
| &nbsp;&nbsp;&nbsp;&nbsp;Copper | (13) | 05/27/2026 | 1824550 | (79318) |
| &nbsp;&nbsp;&nbsp;&nbsp;Copper – 90 day settlement<sup>(a)</sup> | (1) | 04/01/2026 | 306743 | 15386 |
| &nbsp;&nbsp;&nbsp;&nbsp;Copper – 90 day settlement<sup>(a)</sup> | (1) | 04/20/2026 | 307377 | 10128 |
| &nbsp;&nbsp;&nbsp;&nbsp;Copper – 90 day settlement<sup>(a)</sup> | (1) | 04/28/2026 | 307621 | 21795 |
| &nbsp;&nbsp;&nbsp;&nbsp;Copper – 90 day settlement<sup>(a)</sup> | (1) | 05/01/2026 | 307713 | 17203 |
| &nbsp;&nbsp;&nbsp;&nbsp;Copper – 90 day settlement<sup>(a)</sup> | (1) | 05/08/2026 | 307788 | 24404 |
| &nbsp;&nbsp;&nbsp;&nbsp;Copper – 90 day settlement<sup>(a)</sup> | (1) | 05/22/2026 | 307954 | 28306 |
| &nbsp;&nbsp;&nbsp;&nbsp;Copper – 90 day settlement<sup>(a)</sup> | (1) | 06/05/2026 | 308213 | 15188 |
| &nbsp;&nbsp;&nbsp;&nbsp;Copper – 90 day settlement<sup>(a)</sup> | (1) | 06/10/2026 | 308288 | 13493 |
| &nbsp;&nbsp;&nbsp;&nbsp;Copper – 90 day settlement<sup>(a)</sup> | (1) | 06/17/2026 | 305587 | (1734) |
| &nbsp;&nbsp;&nbsp;&nbsp;Copper – 90 day settlement<sup>(a)</sup> | (1) | 06/19/2026 | 308188 | (4451) |
| &nbsp;&nbsp;&nbsp;&nbsp;Copper – 90 day settlement<sup>(a)</sup> | (1) | 06/26/2026 | 308387 | (2856) |
| &nbsp;&nbsp;&nbsp;&nbsp;Corn No. 2 Yellow | (11) | 05/14/2026 | 251762 | (2919) |
| &nbsp;&nbsp;&nbsp;&nbsp;Cotton No.2 | (122) | 05/06/2026 | 4270000 | (357573) |
| &nbsp;&nbsp;&nbsp;&nbsp;Euro | (143) | 06/15/2026 | 20709081 | (66783) |
| &nbsp;&nbsp;&nbsp;&nbsp;Euro BUXL 30 Year Bonds | (66) | 06/08/2026 | 8411346 | (61670) |
| &nbsp;&nbsp;&nbsp;&nbsp;Euro STOXX 50 Quanto Index | (7) | 06/19/2026 | 444600 | (5892) |
| &nbsp;&nbsp;&nbsp;&nbsp;Euro-BOBL | (2096) | 06/08/2026 | 279649175 | (249505) |
| &nbsp;&nbsp;&nbsp;&nbsp;Euro-BTP Italian Government Bonds | (466) | 06/08/2026 | 62631744 | (131416) |
| &nbsp;&nbsp;&nbsp;&nbsp;Euro-Bund | (1263) | 06/08/2026 | 183050037 | (253088) |
| &nbsp;&nbsp;&nbsp;&nbsp;Euro-Schatz | (4588) | 06/08/2026 | 560799159 | 1379536 |
| &nbsp;&nbsp;&nbsp;&nbsp;French Government Bonds | (593) | 06/08/2026 | 81352779 | (163379) |
| &nbsp;&nbsp;&nbsp;&nbsp;FTSE 100 Index | (1) | 06/19/2026 | 134993 | 98 |
| &nbsp;&nbsp;&nbsp;&nbsp;FTSE China A50 Index | (186) | 04/29/2026 | 2703696 | 3487 |
| &nbsp;&nbsp;&nbsp;&nbsp;German Stock Index | (7) | 06/19/2026 | 4619348 | (57059) |
| &nbsp;&nbsp;&nbsp;&nbsp;Gold | (7) | 06/26/2026 | 3275020 | (66425) |
| &nbsp;&nbsp;&nbsp;&nbsp;Hang Seng Index | (39) | 04/29/2026 | 6156232 | (34544) |
| &nbsp;&nbsp;&nbsp;&nbsp;Hard Red Winter Wheat | (14) | 05/14/2026 | 444850 | (15534) |
| &nbsp;&nbsp;&nbsp;&nbsp;ICE 3 Month SONIA Rate | (36) | 03/16/2027 | 11392948 | (9350) |
| &nbsp;&nbsp;&nbsp;&nbsp;ICE 3 Month SONIA Rate | (41) | 06/15/2027 | 12975302 | (4425) |
| &nbsp;&nbsp;&nbsp;&nbsp;ICE 3 Month SONIA Rate | (64) | 09/14/2027 | 20265777 | (9149) |
| &nbsp;&nbsp;&nbsp;&nbsp;ICE 3 Month SONIA Rate | (40) | 12/14/2027 | 12678023 | (1694) |
| &nbsp;&nbsp;&nbsp;&nbsp;ICE 3 Month SONIA Rate | (32) | 03/14/2028 | 10150360 | 1408 |
| &nbsp;&nbsp;&nbsp;&nbsp;ICE 3 Month SONIA Rate | (33) | 06/20/2028 | 10470835 | 14444 |
| &nbsp;&nbsp;&nbsp;&nbsp;ICE 3 Month SONIA Rate | (20) | 09/19/2028 | 6347615 | 9725 |
| &nbsp;&nbsp;&nbsp;&nbsp;Japanese 10 Year Government Bonds | (98) | 06/15/2026 | 80466148 | 692173 |
| &nbsp;&nbsp;&nbsp;&nbsp;Japanese Yen | (206) | 06/15/2026 | 16310050 | (78022) |
| &nbsp;&nbsp;&nbsp;&nbsp;Lead – 90 day settlement<sup>(a)</sup> | (1) | 04/16/2026 | 46891 | 3821 |
| &nbsp;&nbsp;&nbsp;&nbsp;Lead – 90 day settlement<sup>(a)</sup> | (1) | 04/28/2026 | 46920 | 2993 |
| &nbsp;&nbsp;&nbsp;&nbsp;Lead – 90 day settlement<sup>(a)</sup> | (1) | 05/07/2026 | 47075 | 1999 |
| &nbsp;&nbsp;&nbsp;&nbsp;Lean Hogs | (32) | 06/12/2026 | 1344640 | 10710 |
| &nbsp;&nbsp;&nbsp;&nbsp;Live Cattle | (4) | 06/30/2026 | 389240 | (9950) |
| &nbsp;&nbsp;&nbsp;&nbsp;London Cocoa | (34) | 05/13/2026 | 1119203 | 221330 |
| &nbsp;&nbsp;&nbsp;&nbsp;London Metals - Aluminum<sup>(a)</sup> | (94) | 06/15/2026 | 8183029 | (519148) |
| &nbsp;&nbsp;&nbsp;&nbsp;London Metals - Copper<sup>(a)</sup> | (59) | 06/15/2026 | 18191941 | 598648 |
| &nbsp;&nbsp;&nbsp;&nbsp;London Metals - Lead<sup>(a)</sup> | (10) | 06/15/2026 | 474220 | 13990 |
| &nbsp;&nbsp;&nbsp;&nbsp;London Metals - Nickel<sup>(a)</sup> | (17) | 06/15/2026 | 1742771 | 18774 |
| &nbsp;&nbsp;&nbsp;&nbsp;London Metals - Zinc<sup>(a)</sup> | (70) | 06/15/2026 | 5675250 | (145444) |
| &nbsp;&nbsp;&nbsp;&nbsp;Long Gilt | (452) | 06/26/2026 | 52521548 | (112535) |
| &nbsp;&nbsp;&nbsp;&nbsp;MSCI Singapore Index | (4) | 04/29/2026 | 135833 | (1460) |
| &nbsp;&nbsp;&nbsp;&nbsp;Nasdaq 100 Index | (42) | 06/18/2026 | 20088600 | (438576) |
| &nbsp;&nbsp;&nbsp;&nbsp;Natural Gas | (97) | 04/28/2026 | 2797480 | 30410 |
| &nbsp;&nbsp;&nbsp;&nbsp;Natural Gas | (1) | 06/26/2026 | 32330 | 828 |
| &nbsp;&nbsp;&nbsp;&nbsp;New Zealand Dollar | (151) | 06/15/2026 | 8687030 | 46289 |
| &nbsp;&nbsp;&nbsp;&nbsp;Nickel – 90 day settlement<sup>(a)</sup> | (1) | 05/08/2026 | 102067 | 2471 |
| &nbsp;&nbsp;&nbsp;&nbsp;Nikkei 225 Index | (7) | 06/11/2026 | 1132006 | (9744) |
| &nbsp;&nbsp;&nbsp;&nbsp;NY Harbor ULSD | (1) | 04/30/2026 | 172780 | (90) |
| &nbsp;&nbsp;&nbsp;&nbsp;Platinum | (2) | 07/29/2026 | 197020 | (9940) |
| &nbsp;&nbsp;&nbsp;&nbsp;Russell 2000 Index | (20) | 06/18/2026 | 2512200 | (66903) |
| &nbsp;&nbsp;&nbsp;&nbsp;S&P 500 Index | (14) | 06/18/2026 | 4599525 | (87868) |
| &nbsp;&nbsp;&nbsp;&nbsp;Sao Paulo Stock Exchange Index (Bovespa) | (45) | 04/15/2026 | 1637961 | (38917) |
| &nbsp;&nbsp;&nbsp;&nbsp;SGX FTSE Taiwan Index | (10) | 04/29/2026 | 1033200 | 29848 |
| &nbsp;&nbsp;&nbsp;&nbsp;Silver | (6) | 05/27/2026 | 2247570 | (87709) |
| &nbsp;&nbsp;&nbsp;&nbsp;Soybean Meal | (60) | 05/14/2026 | 1898400 | (14456) |
| &nbsp;&nbsp;&nbsp;&nbsp;Soybeans | (18) | 05/14/2026 | 1053900 | (5150) |
| &nbsp;&nbsp;&nbsp;&nbsp;Sugar #11 | (246) | 04/30/2026 | 4276070 | (454425) |
| &nbsp;&nbsp;&nbsp;&nbsp;Swiss Franc | (116) | 06/15/2026 | 18267100 | 112460 |
| &nbsp;&nbsp;&nbsp;&nbsp;U.S. Treasury 10 Year Notes | (1082) | 06/18/2026 | 120152720 | (431105) |
| &nbsp;&nbsp;&nbsp;&nbsp;U.S. Treasury 2 Year Notes | (2428) | 06/30/2026 | 503677217 | 218563 |
| &nbsp;&nbsp;&nbsp;&nbsp;U.S. Treasury 5 Year Note | (1639) | 06/30/2026 | 177306509 | (385192) |
| &nbsp;&nbsp;&nbsp;&nbsp;U.S. Treasury Long Bonds | (320) | 06/18/2026 | 36440000 | (231472) |
| &nbsp;&nbsp;&nbsp;&nbsp;U.S. Treasury Ultra Bonds | (123) | 06/18/2026 | 14337187 | 4512 |
| &nbsp;&nbsp;&nbsp;&nbsp;US Cocoa | (4) | 05/13/2026 | 132000 | (5061) |
| &nbsp;&nbsp;&nbsp;&nbsp;Wheat | (66) | 05/14/2026 | 2033625 | (63734) |
| &nbsp;&nbsp;&nbsp;&nbsp;Zinc – 90 day settlement<sup>(a)</sup> | (1) | 04/16/2026 | 80741 | (1408) |
| &nbsp;&nbsp;&nbsp;&nbsp;Zinc – 90 day settlement<sup>(a)</sup> | (1) | 06/03/2026 | 80980 | (23) |
| &nbsp;&nbsp;&nbsp;&nbsp;Zinc – 90 day settlement<sup>(a)</sup> | (1) | 06/15/2026 | 81075 | (448) |
| &nbsp;&nbsp;&nbsp;&nbsp;Zinc – 90 day settlement<sup>(a)</sup> | (1) | 06/23/2026 | 80612 | (4264) |
|  |  |  |  | $822006 |
| **Net Unrealized Appreciation (Depreciation)** |  | $– | $– | $839834 |

---

(a) London Metal Exchange ("LME") futures contracts settle on their respective maturity date, and do not have daily cash movements like other futures contracts.

------

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **LoCorr Macro Strategies Fund** | **LoCorr Macro Strategies Fund** | **LoCorr Macro Strategies Fund** | **LoCorr Macro Strategies Fund** | **LoCorr Macro Strategies Fund** | **LoCorr Macro Strategies Fund** | **LoCorr Macro Strategies Fund** |
| **Consolidated Schedule of Forward Currency Contracts** | **Consolidated Schedule of Forward Currency Contracts** | **Consolidated Schedule of Forward Currency Contracts** | **Consolidated Schedule of Forward Currency Contracts** | **Consolidated Schedule of Forward Currency Contracts** | **Consolidated Schedule of Forward Currency Contracts** | **Consolidated Schedule of Forward Currency Contracts** |
| **March 31, 2026 (Unaudited)** | **March 31, 2026 (Unaudited)** | **March 31, 2026 (Unaudited)** | **March 31, 2026 (Unaudited)** | **March 31, 2026 (Unaudited)** | **March 31, 2026 (Unaudited)** | **March 31, 2026 (Unaudited)** |
| **Counterparty** | **Settlement Date** | **Currency Purchased** | **Currency Purchased** | **Currency Sold** | **Currency Sold** | **Unrealized**<br> **Appreciation<br> (Depreciation)** |
| Bank of America | 04/01/2026 | AUD | 1261000 | USD | 864954 | $5061 |
| Bank of America | 04/02/2026 | AUD | 1896000 | USD | 1308031 | 79 |
| Bank of America | 04/01/2026 | CAD | 9897000 | USD | 7111160 | 3673 |
| Bank of America | 04/01/2026 | CHF | 2304000 | USD | 2880354 | 1403 |
| Bank of America | 04/02/2026 | CHF | 511000 | USD | 639093 | 117 |
| Bank of America | 05/20/2026 | CNH | 75260000 | USD | 10925321 | 41367 |
| Bank of America | 04/01/2026 | EUR | 4732000 | USD | 5422279 | 47478 |
| Bank of America | 04/02/2026 | EUR | 3317000 | USD | 3831402 | 2919 |
| Bank of America | 04/01/2026 | GBP | 568000 | USD | 748768 | 3030 |
| Bank of America | 04/02/2026 | GBP | 2090000 | USD | 2766181 | 116 |
| Bank of America | 04/01/2026 | JPY | 1640719000 | USD | 10276165 | 62879 |
| Bank of America | 04/02/2026 | JPY | 274283000 | USD | 1726756 | 1793 |
| Bank of America | 04/01/2026 | MXN | 7984000 | USD | 441278 | 4146 |
| Bank of America | 04/06/2026 | MXN | 54640000 | USD | 3044708 | 2359 |
| Bank of America | 04/01/2026 | NZD | 581000 | USD | 332266 | 1616 |
| Bank of America | 04/02/2026 | NZD | 371000 | USD | 213099 | 110 |
| Bank of America | 06/17/2026 | USD | 26836403 | AUD | 38212000 | 502713 |
| Bank of America | 04/15/2026 | USD | 114701312 | CAD | 156850000 | 1873974 |
| Bank of America | 06/17/2026 | USD | 60447964 | CAD | 83068000 | 528704 |
| Bank of America | 04/01/2026 | USD | 2882163 | CHF | 2304000 | 406 |
| Bank of America | 06/17/2026 | USD | 38476044 | CHF | 30063000 | 552770 |
| Bank of America | 04/15/2026 | USD | 62134276 | CNH | 427100000 | 50636 |
| Bank of America | 04/15/2026 | USD | 108594171 | EUR | 93460000 | 488564 |
| Bank of America | 06/17/2026 | USD | 94992267 | EUR | 81836000 | 61520 |
| Bank of America | 04/15/2026 | USD | 60612621 | GBP | 45490000 | 403647 |
| Bank of America | 06/17/2026 | USD | 35006279 | GBP | 26210000 | 323158 |
| Bank of America | 04/15/2026 | USD | 89174748 | JPY | 14085000000 | 298777 |
| Bank of America | 04/15/2026 | USD | 59332715 | MXN | 1052730000 | 670211 |
| Bank of America | 06/17/2026 | USD | 903926 | MXN | 16171000 | 7831 |
| Bank of America | 06/17/2026 | USD | 13163773 | NZD | 22434000 | 236353 |
| Bank of America | 06/17/2026 | AUD | 141705000 | USD | 101413971 | (3758381) |
| Bank of America | 04/15/2026 | CAD | 104650000 | USD | 76496916 | (1218747) |
| Bank of America | 06/17/2026 | CAD | 4544000 | USD | 3321931 | (44218) |
| Bank of America | 06/17/2026 | CHF | 5172000 | USD | 6606466 | (82195) |
| Bank of America | 04/15/2026 | CNH | 427100000 | USD | 62100292 | (16652) |
| Bank of America | 04/15/2026 | EUR | 78480000 | USD | 91161601 | (383428) |
| Bank of America | 06/17/2026 | EUR | 30985000 | USD | 35969555 | (26581) |
| Bank of America | 04/15/2026 | GBP | 45490000 | USD | 60810633 | (601659) |
| Bank of America | 06/17/2026 | GBP | 14967000 | USD | 19983741 | (178236) |
| Bank of America | 04/15/2026 | JPY | 11757000000 | USD | 74239221 | (52867) |
| Bank of America | 06/17/2026 | JPY | 3118083000 | USD | 19839341 | (61997) |
| Bank of America | 04/15/2026 | MXN | 1244640000 | USD | 69871195 | (514666) |
| Bank of America | 06/17/2026 | MXN | 617979000 | USD | 34770702 | (526220) |
| Bank of America | 06/17/2026 | NZD | 24418000 | USD | 14392293 | (321608) |
| Bank of America | 04/01/2026 | USD | 863393 | AUD | 1261000 | (6622) |
| Bank of America | 04/02/2026 | USD | 1300244 | AUD | 1896000 | (7867) |
| Bank of America | 04/01/2026 | USD | 7101323 | CAD | 9897000 | (13510) |
| Bank of America | 04/02/2026 | USD | 637429 | CHF | 511000 | (1781) |
| Bank of America | 05/20/2026 | USD | 17264463 | CNH | 118890000 | (59873) |
| Bank of America | 04/01/2026 | USD | 5443822 | EUR | 4732000 | (25935) |
| Bank of America | 04/02/2026 | USD | 3809435 | EUR | 3317000 | (24886) |
| Bank of America | 04/01/2026 | USD | 751624 | GBP | 568000 | (174) |
| Bank of America | 04/02/2026 | USD | 2760424 | GBP | 2090000 | (5873) |
| Bank of America | 05/20/2026 | USD | 5140207 | GBP | 3890000 | (8076) |
| Bank of America | 04/01/2026 | USD | 10271039 | JPY | 1640719000 | (68005) |
| Bank of America | 04/02/2026 | USD | 1721060 | JPY | 274283000 | (7490) |
| Bank of America | 06/17/2026 | USD | 98166708 | JPY | 15483060000 | (39081) |
| Bank of America | 04/01/2026 | USD | 440277 | MXN | 7984000 | (5147) |
| Bank of America | 04/06/2026 | USD | 3038201 | MXN | 54640000 | (8866) |
| Bank of America | 04/01/2026 | USD | 332674 | NZD | 581000 | (1208) |
| Bank of America | 04/02/2026 | USD | 212016 | NZD | 371000 | (1192) |
| Deutsche Bank | 04/15/2026 | BRL | 253780000 | USD | 47947144 | 907170 |
| Deutsche Bank | 04/07/2026 | NOK | 51290000 | USD | 5251510 | 45420 |
| Deutsche Bank | 04/15/2026 | NOK | 395420000 | USD | 40715896 | 119055 |
| Deutsche Bank | 04/15/2026 | USD | 59576302 | AUD | 84400000 | 1355658 |
| Deutsche Bank | 04/15/2026 | USD | 122788932 | CHF | 95710000 | 2884299 |
| Deutsche Bank | 04/15/2026 | USD | 2660429 | CLP | 2395000000 | 73973 |
| Deutsche Bank | 04/15/2026 | USD | 3273611 | ILS | 10160000 | 39889 |
| Deutsche Bank | 04/15/2026 | USD | 4378134 | INR | 406190000 | 102315 |
| Deutsche Bank | 04/15/2026 | USD | 5412555 | KRW | 7978000000 | 201531 |
| Deutsche Bank | 05/20/2026 | USD | 1089180 | KRW | 1654000000 | 7710 |
| Deutsche Bank | 04/15/2026 | USD | 15314750 | NOK | 147540000 | 78321 |
| Deutsche Bank | 04/15/2026 | USD | 62869510 | NZD | 106840000 | 1442414 |
| Deutsche Bank | 04/15/2026 | USD | 18158257 | PLN | 67140000 | 72396 |
| Deutsche Bank | 04/15/2026 | USD | 31972574 | SEK | 292950000 | 1001769 |
| Deutsche Bank | 04/15/2026 | USD | 13986114 | SGD | 17860000 | 79247 |
| Deutsche Bank | 04/15/2026 | USD | 26242220 | ZAR | 436400000 | 482410 |
| Deutsche Bank | 05/20/2026 | ZAR | 240480000 | USD | 14035925 | 121417 |
| Deutsche Bank | 04/15/2026 | AUD | 131330000 | USD | 91937261 | (1343455) |
| Deutsche Bank | 04/15/2026 | CHF | 59000000 | USD | 75425031 | (1510358) |
| Deutsche Bank | 04/15/2026 | CLP | 3995000000 | USD | 4397014 | (82653) |
| Deutsche Bank | 04/15/2026 | ILS | 500000 | USD | 160574 | (1434) |
| Deutsche Bank | 04/15/2026 | INR | 406190000 | USD | 4337235 | (61416) |
| Deutsche Bank | 04/15/2026 | KRW | 7978000000 | USD | 5344925 | (133900) |
| Deutsche Bank | 05/20/2026 | KRW | 2417000000 | USD | 1599746 | (19387) |
| Deutsche Bank | 04/15/2026 | NZD | 83850000 | USD | 49386346 | (1177230) |
| Deutsche Bank | 04/15/2026 | PLN | 84590000 | USD | 23003518 | (217057) |
| Deutsche Bank | 04/15/2026 | SEK | 292950000 | USD | 31679065 | (708260) |
| Deutsche Bank | 05/20/2026 | SEK | 69370000 | USD | 7425604 | (78578) |
| Deutsche Bank | 04/15/2026 | SGD | 17860000 | USD | 14009366 | (102499) |
| Deutsche Bank | 04/15/2026 | USD | 25535304 | BRL | 134230000 | (304851) |
| Deutsche Bank | 04/07/2026 | USD | 5261592 | NOK | 51290000 | (35337) |
| Deutsche Bank | 05/20/2026 | USD | 5711273 | SEK | 54160000 | (24851) |
| Deutsche Bank | 05/20/2026 | USD | 8646946 | SGD | 11100000 | (17883) |
| Deutsche Bank | 04/15/2026 | ZAR | 436400000 | USD | 26039515 | (279704) |
| **Net Unrealized Appreciation (Depreciation)** | **Net Unrealized Appreciation (Depreciation)** | **Net Unrealized Appreciation (Depreciation)** | **Net Unrealized Appreciation (Depreciation)** | **Net Unrealized Appreciation (Depreciation)** | **Net Unrealized Appreciation (Depreciation)** | $1020510 |
| AUD - Australian Dollars | AUD - Australian Dollars | AUD - Australian Dollars | AUD - Australian Dollars | AUD - Australian Dollars | AUD - Australian Dollars | AUD - Australian Dollars |
| BRL - Brazilian Real | BRL - Brazilian Real | BRL - Brazilian Real | BRL - Brazilian Real | BRL - Brazilian Real | BRL - Brazilian Real | BRL - Brazilian Real |
| CAD - Canadian Dollar | CAD - Canadian Dollar | CAD - Canadian Dollar | CAD - Canadian Dollar | CAD - Canadian Dollar | CAD - Canadian Dollar | CAD - Canadian Dollar |
| CHF - Swiss Franc | CHF - Swiss Franc | CHF - Swiss Franc | CHF - Swiss Franc | CHF - Swiss Franc | CHF - Swiss Franc | CHF - Swiss Franc |
| CLP - Chilean Peso | CLP - Chilean Peso | CLP - Chilean Peso | CLP - Chilean Peso | CLP - Chilean Peso | CLP - Chilean Peso | CLP - Chilean Peso |
| CNH - Chinese Offshore Renminbi | CNH - Chinese Offshore Renminbi | CNH - Chinese Offshore Renminbi | CNH - Chinese Offshore Renminbi | CNH - Chinese Offshore Renminbi | CNH - Chinese Offshore Renminbi | CNH - Chinese Offshore Renminbi |
| EUR - Euro | EUR - Euro | EUR - Euro | EUR - Euro | EUR - Euro | EUR - Euro | EUR - Euro |
| GBP - British Pound | GBP - British Pound | GBP - British Pound | GBP - British Pound | GBP - British Pound | GBP - British Pound | GBP - British Pound |
| ILS - Israeli New Shekel | ILS - Israeli New Shekel | ILS - Israeli New Shekel | ILS - Israeli New Shekel | ILS - Israeli New Shekel | ILS - Israeli New Shekel | ILS - Israeli New Shekel |
| INR - Indian Rupee | INR - Indian Rupee | INR - Indian Rupee | INR - Indian Rupee | INR - Indian Rupee | INR - Indian Rupee | INR - Indian Rupee |
| JPY - Japanese Yen | JPY - Japanese Yen | JPY - Japanese Yen | JPY - Japanese Yen | JPY - Japanese Yen | JPY - Japanese Yen | JPY - Japanese Yen |
| KRW - South Korean Won | KRW - South Korean Won | KRW - South Korean Won | KRW - South Korean Won | KRW - South Korean Won | KRW - South Korean Won | KRW - South Korean Won |
| MXN - Mexican Peso | MXN - Mexican Peso | MXN - Mexican Peso | MXN - Mexican Peso | MXN - Mexican Peso | MXN - Mexican Peso | MXN - Mexican Peso |
| NOK - Norwegian Krone | NOK - Norwegian Krone | NOK - Norwegian Krone | NOK - Norwegian Krone | NOK - Norwegian Krone | NOK - Norwegian Krone | NOK - Norwegian Krone |
| NZD - New Zealand Dollar | NZD - New Zealand Dollar | NZD - New Zealand Dollar | NZD - New Zealand Dollar | NZD - New Zealand Dollar | NZD - New Zealand Dollar | NZD - New Zealand Dollar |
| PLN - Polish Zloty | PLN - Polish Zloty | PLN - Polish Zloty | PLN - Polish Zloty | PLN - Polish Zloty | PLN - Polish Zloty | PLN - Polish Zloty |
| SEK - Swedish Krona | SEK - Swedish Krona | SEK - Swedish Krona | SEK - Swedish Krona | SEK - Swedish Krona | SEK - Swedish Krona | SEK - Swedish Krona |
| SGD - Singapore Dollar | SGD - Singapore Dollar | SGD - Singapore Dollar | SGD - Singapore Dollar | SGD - Singapore Dollar | SGD - Singapore Dollar | SGD - Singapore Dollar |
| USD - United States Dollar | USD - United States Dollar | USD - United States Dollar | USD - United States Dollar | USD - United States Dollar | USD - United States Dollar | USD - United States Dollar |
| ZAR - South African Rand | ZAR - South African Rand | ZAR - South African Rand | ZAR - South African Rand | ZAR - South African Rand | ZAR - South African Rand | ZAR - South African Rand |

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------

#### Summary of Fair Value Disclosure as of March 31, 2026 (Unaudited)
LoCorr Macro Strategies Fund (the "Fund") has adopted fair value accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value, a discussion of changes in valuation techniques and related inputs during the period, and expanded disclosure of valuation levels for major security types. These inputs are summarized in the three broad levels listed below. The inputs or valuation methodology used for valuing securities are not an indication of the risk associated with investing in those securities.

Level 1 - Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access.

Level 2 - Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.

Level 3 - Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Fund's own assumptions about the assumptions a market participant would use in valuing the asset or liability, and based on the best information available.

The following is a summary of the fair valuation hierarchy of the Fund's securities as of March 31, 2026:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **<u>Level 1</u>** | **<u>Level 2</u>** | **<u>Level 3</u>** | **<u>Total</u>** |
| **Assets:** | | | | |
| <u>Investments:</u> |  |  |  |  |
|  &nbsp;&nbsp;&nbsp;&nbsp;U.S. Treasury Securities | $– | $705664306 | $– | $705664306 |
|  &nbsp;&nbsp;&nbsp;&nbsp;Corporate Bonds | – | 317850285 | – | 317850285 |
|  &nbsp;&nbsp;&nbsp;&nbsp;Mortgage-Backed Securities | – | 203048403 | – | 203048403 |
|  &nbsp;&nbsp;&nbsp;&nbsp;Asset-Backed Securities | – | 144806338 | – | 144806338 |
|  &nbsp;&nbsp;&nbsp;&nbsp;U.S. Government Agency Issues | – | 85820844 | – | 85820844 |
| Total Investments | $– | $1457190176 | $– | $1457190176 |
| <u>Other Financial Instruments:</u> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Forward Currency Contracts \* | $– | $15192404 | $– | $15192404 |
| &nbsp;&nbsp;&nbsp;&nbsp;Futures Contracts \* | 13216449 | – | – | 13216449 |
| Total Other Financial Instruments | $13216449 | $15192404 | $– | $28408853 |
| **Liabilities:** |  |  |  |  |
| <u>Other Financial Instruments:</u> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Forward Currency Contracts \* | $– | $(14171894) | $– | $(14171894) |
| &nbsp;&nbsp;&nbsp;&nbsp;Futures Contracts \* | (12376615) | – | – | (12376615) |
| Total Other Financial Instruments | $(12376615) | $(14171894) | $– | $(26548509) |
| \* The fair value of the Fund's investment represents the unrealized appreciation (depreciation) as of March 31, 2026. | \* The fair value of the Fund's investment represents the unrealized appreciation (depreciation) as of March 31, 2026. | \* The fair value of the Fund's investment represents the unrealized appreciation (depreciation) as of March 31, 2026. | \* The fair value of the Fund's investment represents the unrealized appreciation (depreciation) as of March 31, 2026. | \* The fair value of the Fund's investment represents the unrealized appreciation (depreciation) as of March 31, 2026. |
| Refer to the Schedule of Investments for further disaggregation of investment categories. | Refer to the Schedule of Investments for further disaggregation of investment categories. | Refer to the Schedule of Investments for further disaggregation of investment categories. | Refer to the Schedule of Investments for further disaggregation of investment categories. | Refer to the Schedule of Investments for further disaggregation of investment categories. |

---

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Excelsior

  - **State:** MN

  - **Foreign country:** US

  - **Zip / Postal Code:** 55331

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

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

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

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

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

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

- **a. Date of fiscal year-end:** 2026-12-31

- **b. Date as of which information is reported:** 2026-03-31

**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:** $1644561460.91

**Total Liabilities:** $15286232.87

**Net Assets:** $1629275228.04

**Amount of Assets Invested in Other Investment Companies:** $16260035.99

**Delayed Delivery Securities:** $6750000.00

**Cash Not Reported:** $102535471.56

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -515146.040000000000 | **1-Year:** 145617.620000000000 | **5-Year:** 196763.300000000000 | **10-Year:** 273.340000000000 | **30-Year:** 0.000000000000

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

- **3-Month:** 149.210000000000 | **1-Year:** 8.450000000000 | **5-Year:** 0.000000000000 | **10-Year:** 0.000000000000 | **30-Year:** 0.000000000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000098137 | 3.42%                | 2.41%                | 2.61%                |
| Class ID C000098138 | 3.37%                | 2.31%                | 2.52%                |
| Class ID C000098139 | 3.34%                | 2.36%                | 2.79%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $1782671.73              | $-3146807.38                               |
| Month 2  | $-10045510.82            | $5330191.13                                |
| Month 3  | $1126211.20              | $-14610155.19                              |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| AT&T INC                       | AT&T Inc                                                                    | CUSIP: 00206RNF5<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   2140000 | PA      | $2118491.93   | 0.13%             | 2031-04-30      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| ABBOTT LABORATORIES            | Abbott Laboratories                                                         | CUSIP: 002824BS8<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |   2890000 | PA      | $2844892.59   | 0.17%             | 2031-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                     | AbbVie Inc                                                                  | CUSIP: 00287YDS5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   1820000 | PA      | $1849187.34   | 0.11%             | 2029-03-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| ALEN 2021-ACEN Mortgage Trust  | Alen 2021-ACEN Mortgage Trust                                               | CUSIP: 01449NAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3150000 | PA      | $2976750.00   | 0.18%             | 2034-04-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                 | Amazon.com Inc                                                              | CUSIP: 023135DC7<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   5655000 | PA      | $5624493.25   | 0.35%             | 2029-03-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMCOR GROUP FINANCE            | Amcor Group Finance PLC                                                     | CUSIP: 02344BAA4<br>LEI: 2549008XHB8M1L64J275 | Long             | DBT              | CORP              | GB        |   8210000 | PA      | $8410800.26   | 0.52%             | 2029-05-23      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| American Express Credit Accoun | American Express Credit Account Master Trust                                | CUSIP: 02582JKH2<br>LEI: 549300Y4SA5G3GIJTP18 | Long             | ABS-O            | CORP              | US        |   9350000 | PA      | $9474617.74   | 0.58%             | 2029-04-15      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| American Express Credit Accoun | American Express Credit Account Master Trust                                | CUSIP: 02582JKP4<br>LEI: 549300Y4SA5G3GIJTP18 | Long             | ABS-O            | CORP              | US        |    570000 | PA      | $572171.36    | 0.04%             | 2030-04-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT          | American Homes 4 Rent LP                                                    | CUSIP: 02666TAB3<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |   4660000 | PA      | $4682430.91   | 0.29%             | 2029-02-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                      | Amgen Inc                                                                   | CUSIP: 031162DP2<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   4205000 | PA      | $4266445.06   | 0.26%             | 2028-03-02      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust       | Angel Oak Mortgage Trust 2020-5                                             | CUSIP: 03464WAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42875 | PA      | $41682.35     | 0.00%             | 2065-05-25      | Variable      | 2.04%                 | No            |                  2 | On Loan: No      |
| ARES Commercial Mortgage Trust | ARES Commercial Mortgage Trust 2024-IND                                     | CUSIP: 03990DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1420000 | PA      | $1420444.89   | 0.09%             | 2041-07-15      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| ARDN 2025-ARCP Mortgage Trust  | ARDN 2025-ARCP Mortgage Trust                                               | CUSIP: 039961AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10000000 | PA      | $9959375.00   | 0.61%             | 2035-06-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.         | Argent Securities Inc Asset-Backed Pass-Through Certificates Series 2003-W6 | CUSIP: 040104CU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    488816 | PA      | $533971.17    | 0.03%             | 2034-01-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| AUGUSTA SPINCO CORPORATI       | Augusta SpinCo Corp                                                         | CUSIP: 051473AC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3605000 | PA      | $3594684.11   | 0.22%             | 2029-03-23      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| AUGUSTA SPINCO CORPORATI       | Augusta SpinCo Corp                                                         | CUSIP: 051473AD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5155000 | PA      | $5129767.62   | 0.31%             | 2031-03-23      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | BBCMS Mortgage Trust 2023-C19                                               | CUSIP: 05553RAZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7135000 | PA      | $7219232.24   | 0.44%             | 2056-04-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BLP Commercial Mortgage Trust  | BLP Commercial Mortgage Trust 2025-IND2                                     | CUSIP: 05556WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4999996.50   | 0.31%             | 2042-12-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Trust 2025-DELC                                                          | CUSIP: 05594MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1999998.40   | 0.12%             | 2042-12-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Trust 2026-RISE                                                          | CUSIP: 05595AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6750000 | PA      | $6750000.00   | 0.41%             | 2041-04-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Trust 2022-VAMF                                                          | CUSIP: 05609TAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1331794 | PA      | $1330961.93   | 0.08%             | 2039-01-15      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Commercial Mortgage Trust 2022-AHP                                       | CUSIP: 05610FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    949479 | PA      | $949182.29    | 0.06%             | 2039-01-17      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Commercial Mortgage Trust 2024-XL5                                       | CUSIP: 05612GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2139500 | PA      | $2141950.85   | 0.13%             | 2041-03-15      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| BLP Commercial Mortgage Trust  | BLP Commercial Mortgage Trust 2024-IND2                                     | CUSIP: 05625AAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2942613 | PA      | $2940773.67   | 0.18%             | 2041-03-15      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP         | Bank of New York Mellon Corp/The                                            | CUSIP: 06406RCG0<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |   1570000 | PA      | $1553571.41   | 0.10%             | 2030-01-22      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| BOEING CO                      | Boeing Co/The                                                               | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   4800000 | PA      | $4872471.26   | 0.30%             | 2030-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| BOEING CO                      | Boeing Co/The                                                               | CUSIP: 097023DB8<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   6080000 | PA      | $5959217.46   | 0.37%             | 2028-02-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BofA Auto Trust                | BofA Auto Trust 2024-1                                                      | CUSIP: 09709AAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3438795 | PA      | $3461857.60   | 0.21%             | 2028-11-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PART         | Brixmor Operating Partnership LP                                            | CUSIP: 11120VAC7<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |   1975000 | PA      | $1973777.44   | 0.12%             | 2026-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                   | Broadcom Inc                                                                | CUSIP: 11135FCK5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   2810000 | PA      | $2822680.97   | 0.17%             | 2030-07-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                   | Broadcom Inc                                                                | CUSIP: 11135FCZ2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   1280000 | PA      | $1268638.02   | 0.08%             | 2031-01-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC              | Brown & Brown Inc                                                           | CUSIP: 115236AH4<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |   2675000 | PA      | $2682609.17   | 0.16%             | 2026-12-23      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Commercial Mortgage Trust 2025-BCAT                                      | CUSIP: 12433HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1724913 | PA      | $1724912.02   | 0.11%             | 2042-08-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Commercial Mortgage Trust 2026-XL6                                       | CUSIP: 12433NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3200000 | PA      | $3192011.84   | 0.20%             | 2043-03-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Commercial Mortgage Trust 2021-CIP                                       | CUSIP: 12434FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1841826 | PA      | $1840675.28   | 0.11%             | 2038-12-15      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust   | CD 2017-CD6 Mortgage Trust                                                  | CUSIP: 125039AF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2300000 | PA      | $2264984.34   | 0.14%             | 2050-11-13      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                | CVS Health Corp                                                             | CUSIP: 126650DW7<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   7925000 | PA      | $8027690.33   | 0.49%             | 2029-01-30      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust | Carvana Auto Receivables Trust 2024-P4                                      | CUSIP: 14076LAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    264727 | PA      | $265834.22    | 0.02%             | 2030-01-10      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust        | CarMax Auto Owner Trust 2024-4                                              | CUSIP: 14290DAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11090000 | PA      | $11162595.14  | 0.69%             | 2029-10-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust | Carvana Auto Receivables Trust 2022-P3                                      | CUSIP: 14686MAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    287281 | PA      | $287342.18    | 0.02%             | 2027-11-10      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                  | Citigroup Inc                                                               | CUSIP: 172967QF1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   4170000 | PA      | $4122969.57   | 0.25%             | 2031-09-11      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                    | Citibank NA                                                                 | CUSIP: 17325FBN7<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |   6305000 | PA      | $6331619.96   | 0.39%             | 2027-05-29      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| CNH Equipment Trust            | CNH Equipment Trust 2024-C                                                  | CUSIP: 18978GAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2775000 | PA      | $2770685.99   | 0.17%             | 2030-01-15      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2022-R03                                | CUSIP: 20753XAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4790000 | PA      | $4882576.33   | 0.30%             | 2042-03-25      | Floating      | 7.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2022-R04                                | CUSIP: 20753YCK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3350000 | PA      | $3395936.21   | 0.21%             | 2042-03-25      | Floating      | 6.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2022-R05                                | CUSIP: 20754DAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    380000 | PA      | $385402.46    | 0.02%             | 2042-04-25      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2023-R06                                | CUSIP: 20754EAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3060000 | PA      | $3126862.22   | 0.19%             | 2043-07-25      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2024-R02                                | CUSIP: 20754GAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    530000 | PA      | $530164.30    | 0.03%             | 2044-02-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2022-R07                                | CUSIP: 20754MCB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4255706 | PA      | $4421933.88   | 0.27%             | 2042-06-25      | Floating      | 8.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2022-R06                                | CUSIP: 20754NAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10835000 | PA      | $11127870.05  | 0.68%             | 2042-05-25      | Floating      | 7.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2023-R04                                | CUSIP: 20754QAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5302000 | PA      | $5515998.26   | 0.34%             | 2043-05-25      | Floating      | 7.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2023-R02                                | CUSIP: 20755AAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $5164299.50   | 0.32%             | 2043-01-25      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2023-R08                                | CUSIP: 20755CAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    740000 | PA      | $753085.12    | 0.05%             | 2043-10-25      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2022-R08                                | CUSIP: 20755DAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6105000 | PA      | $6285512.64   | 0.39%             | 2042-07-25      | Floating      | 7.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2023-R01                                | CUSIP: 207932AB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4400000 | PA      | $4573814.08   | 0.28%             | 2042-12-25      | Floating      | 7.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2023-R05                                | CUSIP: 207942AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1875000 | PA      | $1944006.38   | 0.12%             | 2043-06-25      | Floating      | 6.76%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA             | Credit Agricole SA                                                          | CUSIP: 22535WAR8<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   1930000 | PA      | $1952942.93   | 0.12%             | 2031-05-27      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                   | UBS Group AG                                                                | CUSIP: 225401BC1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   7205000 | PA      | $7300264.44   | 0.45%             | 2027-12-22      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| DB Master Finance LLC          | DB Master Finance LLC                                                       | CUSIP: 233046AN1<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-O            | CORP              | US        |   3925750 | PA      | $3864451.38   | 0.24%             | 2051-11-20      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS          | Duke Energy Carolinas LLC                                                   | CUSIP: 26442CBP8<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |   4050000 | PA      | $4122574.58   | 0.25%             | 2030-03-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| EATON CORP                     | Eaton Corp                                                                  | CUSIP: 278058DX7<br>LEI: 0NZWDMRCE180888QQE14 | Long             | DBT              | CORP              | US        |   3720000 | PA      | $3664321.50   | 0.22%             | 2031-03-06      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| ELARA HGV TIMESHARE ISSUER     | Elara HGV Timeshare Issuer 2021-A LLC                                       | CUSIP: 28416LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    602426 | PA      | $577059.48    | 0.04%             | 2035-08-27      | Fixed         | 1.36%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                   | Enbridge Inc                                                                | CUSIP: 29250NBX2<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |   3490000 | PA      | $3620712.92   | 0.22%             | 2028-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP             | Energy Transfer LP                                                          | CUSIP: 29273VAR1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   6385000 | PA      | $6443385.91   | 0.40%             | 2026-12-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| EQT Trust 2024-EXTR            | EQT Trust 2024-EXTR                                                         | CUSIP: 29439DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1620834 | PA      | $1639063.41   | 0.10%             | 2041-07-05      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| ESSEX PORTFOLIO LP             | Essex Portfolio LP                                                          | CUSIP: 29717PAY3<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |   2550000 | PA      | $2419654.71   | 0.15%             | 2028-03-01      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| FRESB Multifamily Mortgage Pas | FRESB 2016-SB23 Mortgage Trust                                              | CUSIP: 30295LAE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    588624 | PA      | $583584.14    | 0.04%             | 2026-09-25      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK         | Federal Home Loan Banks                                                     | CUSIP: 3130ALBC7<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |  11160000 | PA      | $10591005.28  | 0.65%             | 2028-02-25      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK       | Federal Farm Credit Banks Funding Corp                                      | CUSIP: 3133EPSW6<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |  11900000 | PA      | $11925639.50  | 0.73%             | 2026-08-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK       | Federal Farm Credit Banks Funding Corp                                      | CUSIP: 3133ERHH7<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |   3725000 | PA      | $3751038.27   | 0.23%             | 2026-12-14      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                     | Federal National Mortgage Association                                       | CUSIP: 3135G05Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |  34505000 | PA      | $32951231.57  | 2.02%             | 2027-10-08      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                     | Federal National Mortgage Association                                       | CUSIP: 3135G0Q22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |  26835000 | PA      | $26601929.97  | 1.63%             | 2026-09-24      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATL INFO SERV        | Fidelity National Information Services Inc                                  | CUSIP: 31620MCE4<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |   1570000 | PA      | $1557254.33   | 0.10%             | 2031-03-10      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO       | Florida Power & Light Co                                                    | CUSIP: 341081GK7<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |   3975000 | PA      | $4041124.64   | 0.25%             | 2028-04-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO       | Florida Power & Light Co                                                    | CUSIP: 341081GN1<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |   5170000 | PA      | $5189379.33   | 0.32%             | 2028-05-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust   | Ford Credit Auto Owner Trust 2024-C                                         | CUSIP: 34532UAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8075000 | PA      | $8079355.66   | 0.50%             | 2029-07-15      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust   | Ford Credit Auto Owner Trust 2024-A                                         | CUSIP: 34535EAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2964393 | PA      | $2982634.09   | 0.18%             | 2028-12-15      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust   | Ford Credit Auto Owner Trust 2024-D                                         | CUSIP: 34535VAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3400000 | PA      | $3420410.88   | 0.21%             | 2029-08-15      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR REMIC Trust 2022-DNA6                                     | CUSIP: 35564KH44<br>LEI: 5493000IS30HKV5IAS29 | Long             | ABS-MBS          | CORP              | US        |   3010000 | PA      | $3104062.50   | 0.19%             | 2042-09-25      | Floating      | 7.36%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR REMIC Trust 2023-DNA1                                     | CUSIP: 35564KP45<br>LEI: 5493000IRILHAKSCHN59 | Long             | ABS-MBS          | CORP              | US        |   2085000 | PA      | $2154955.71   | 0.13%             | 2043-03-25      | Floating      | 6.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR REMIC Trust 2023-DNA2                                     | CUSIP: 35564KT66<br>LEI: 5493000IRI80KQJUNK40 | Long             | ABS-MBS          | CORP              | US        |   5210000 | PA      | $5406652.49   | 0.33%             | 2043-04-25      | Floating      | 6.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR REMIC Trust 2023-HQA1                                     | CUSIP: 35564KX87<br>LEI: 5493000IRHY5YZIPQD14 | Long             | ABS-MBS          | CORP              | US        |  10230000 | PA      | $10680480.10  | 0.66%             | 2043-05-25      | Floating      | 7.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR REMIC Trust 2022-DNA5                                     | CUSIP: 35564KYP8<br>LEI: 5493000IS349P4O9HR58 | Long             | ABS-MBS          | CORP              | US        |   7820000 | PA      | $8107772.87   | 0.50%             | 2042-06-25      | Floating      | 8.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR REMIC Trust 2023-HQA3                                     | CUSIP: 35564NAA1<br>LEI: 529900ZTXRUUVE8G8W08 | Long             | ABS-MBS          | CORP              | US        |   4150000 | PA      | $4327698.85   | 0.27%             | 2043-11-25      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust   | GS Mortgage Securities Trust 2017-GS6                                       | CUSIP: 36253PAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1976221.60   | 0.12%             | 2050-05-10      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Corp Trust 2021-NQM1                          | CUSIP: 36262EAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    770049 | PA      | $714936.71    | 0.04%             | 2061-07-25      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| GM Financial Automobile Leasin | GM Financial Automobile Leasing Trust 2024-2                                | CUSIP: 36269WAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6788969 | PA      | $6806127.08   | 0.42%             | 2027-07-20      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| GSAT Trust 2025-BMF            | GSAT Trust 2025-BMF                                                         | CUSIP: 36271XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2900000 | PA      | $2897166.41   | 0.18%             | 2040-07-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| GM Financial Automobile Leasin | GM Financial Automobile Leasing Trust 2026-1                                | CUSIP: 36273VAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2750000 | PA      | $2736051.18   | 0.17%             | 2029-01-22      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GM Financial Securitized Term  | GM Financial Consumer Automobile Receivables Trust 2024-2                   | CUSIP: 379931AD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3814973 | PA      | $3835348.85   | 0.24%             | 2029-03-16      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC        | Goldman Sachs Group Inc/The                                                 | CUSIP: 38141GA46<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2390000 | PA      | $2500521.53   | 0.15%             | 2029-10-24      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC        | Goldman Sachs Group Inc/The                                                 | CUSIP: 38141GC93<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2880000 | PA      | $2929148.87   | 0.18%             | 2031-04-23      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| HCA INC                        | HCA Inc                                                                     | CUSIP: 404119CY3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   5625000 | PA      | $5680062.84   | 0.35%             | 2028-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE RLTY HLDGS LP       | Healthcare Realty Holdings LP                                               | CUSIP: 42225UAF1<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |  10560000 | PA      | $10458783.98  | 0.64%             | 2027-07-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE RLTY HLDGS LP       | Healthcare Realty Holdings LP                                               | CUSIP: 42225UAM6<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |   4560000 | PA      | $3958969.38   | 0.24%             | 2031-03-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust   | Hilton Grand Vacations Trust 2024-2                                         | CUSIP: 43283JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2255501 | PA      | $2288206.44   | 0.14%             | 2038-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Honda Auto Receivables Owner T | Honda Auto Receivables 2024-1 Owner Trust                                   | CUSIP: 437918AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2212842 | PA      | $2228163.07   | 0.14%             | 2028-08-15      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Honda Auto Receivables Owner T | Honda Auto Receivables 2026-1 Owner Trust                                   | CUSIP: 43815CAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10475000 | PA      | $10417358.17  | 0.64%             | 2030-09-23      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| HONEYWELL AEROSPACE INC        | Honeywell Aerospace Inc                                                     | CUSIP: 43849RAC9<br>LEI: 213800ZUAQRBYL67JS90 | Long             | DBT              | CORP              | US        |   5920000 | PA      | $5866190.04   | 0.36%             | 2029-03-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ICNQ Mortgage Trust            | ICNQ 2024-MF Mortgage Trust                                                 | CUSIP: 450953AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2051603.00   | 0.13%             | 2034-12-10      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO            | JPMorgan Chase & Co                                                         | CUSIP: 46647PEY8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  19435000 | PA      | $19789222.89  | 1.21%             | 2031-04-22      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| KITE REALTY GROUP LP           | Kite Realty Group LP                                                        | CUSIP: 49803XAA1<br>LEI: 549300X6R2GYI8Y3OD81 | Long             | DBT              | CORP              | US        |   5755000 | PA      | $5738437.97   | 0.35%             | 2026-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO           | Kraft Heinz Foods Co                                                        | CUSIP: 50077LBC9<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |   5100000 | PA      | $5064875.54   | 0.31%             | 2027-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| KSL Resorts                    | KSL Commercial Mortgage Trust 2024-HT2                                      | CUSIP: 500937AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    668407 | PA      | $667153.69    | 0.04%             | 2039-12-15      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Ladder Capital Commercial Mort | Ladder Capital Commercial Mortgage 2013-GCP Mortgage Trust                  | CUSIP: 50184BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    727877 | PA      | $710823.62    | 0.04%             | 2036-02-15      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| LAD Auto Receivables Trust     | LAD Auto Receivables Trust 2026-1                                           | CUSIP: 505708AC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4115000 | PA      | $4079238.18   | 0.25%             | 2031-04-15      | Fixed         | 3.92%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust             | MCR 2024-HTL Mortgage Trust                                                 | CUSIP: 55286PAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1973946 | PA      | $1971476.83   | 0.12%             | 2037-02-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                | MVW 2021-1W LLC                                                             | CUSIP: 55389TAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    538623 | PA      | $520641.03    | 0.03%             | 2041-01-22      | Fixed         | 1.14%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                | MVW 2019-2 LLC                                                              | CUSIP: 55400DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    216238 | PA      | $215952.86    | 0.01%             | 2038-10-20      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| MAPLE PARENT HLDS CO           | Maple Parent Holdings Corp                                                  | CUSIP: 56530KAA4<br>LEI: 254900J6FBJ1E892Q074 | Long             | DBT              | CORP              | US        |    690000 | PA      | $689986.05    | 0.04%             | 2029-03-26      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| MARS INC                       | Mars Inc                                                                    | CUSIP: 571676AX3<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |  11745000 | PA      | $11816032.82  | 0.73%             | 2028-03-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| MARS INC                       | Mars Inc                                                                    | CUSIP: 571676AY1<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |  16275000 | PA      | $16447613.63  | 1.01%             | 2030-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Mercedes-Benz Auto Lease Trust | Mercedes-Benz Auto Lease Trust 2025-B                                       | CUSIP: 58770XAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6900000 | PA      | $6864438.78   | 0.42%             | 2029-04-16      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| MILE Trust                     | MILE Trust 2025-STNE                                                        | CUSIP: 59918AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3100000 | PA      | $3092250.00   | 0.19%             | 2042-07-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PVT BANK        | Morgan Stanley Private Bank NA                                              | CUSIP: 61776NZU0<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |   9605000 | PA      | $9571389.61   | 0.59%             | 2028-11-17      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PVT BANK        | Morgan Stanley Private Bank NA                                              | CUSIP: 61776NZW6<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |  28605000 | PA      | $28170549.26  | 1.73%             | 2031-11-19      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                | MVW 2025-1 LLC                                                              | CUSIP: 627924AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3705425 | PA      | $3732095.60   | 0.23%             | 2042-09-22      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                | MVW 2024-1 LLC                                                              | CUSIP: 62847RAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2676654 | PA      | $2711465.50   | 0.17%             | 2043-02-20      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| NYC Trust                      | NYCT Trust 2024-3ELV                                                        | CUSIP: 62956HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5650000 | PA      | $5649991.53   | 0.35%             | 2029-08-15      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Se | Natixis Commercial Mortgage Securities Trust 2019-LVL                       | CUSIP: 63874TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3700000 | PA      | $3593417.43   | 0.22%             | 2038-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC            | NatWest Markets PLC                                                         | CUSIP: 63906YAJ7<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |   5040000 | PA      | $5172597.36   | 0.32%             | 2029-05-17      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust     | Navient Private Education Refi Loan Trust 2021-A                            | CUSIP: 63942BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    936824 | PA      | $857619.05    | 0.05%             | 2069-05-15      | Fixed         | 0.84%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan  | New Residential Mortgage Loan Trust 2016-1                                  | CUSIP: 64829FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    412265 | PA      | $397265.19    | 0.02%             | 2056-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan  | New Residential Mortgage Loan Trust 2017-2                                  | CUSIP: 64829KBV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    621418 | PA      | $602278.67    | 0.04%             | 2057-03-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| NOVARTIS CAPITAL CORP          | Novartis Capital Corp                                                       | CUSIP: 66989HBF4<br>LEI: 5493002KF87V5RSRQS84 | Long             | DBT              | CORP              | US        |   3205000 | PA      | $3200861.99   | 0.20%             | 2029-03-16      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| NRTH PARK Mortgage Trust       | NRTH Commercial Mortgage Trust 2025-PARK                                    | CUSIP: 669985AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6070000 | PA      | $6064301.48   | 0.37%             | 2040-10-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| O'REILLY AUTOMOTIVE INC        | O'Reilly Automotive Inc                                                     | CUSIP: 67103HAJ6<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |   2680000 | PA      | $2647909.76   | 0.16%             | 2030-04-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| O'REILLY AUTOMOTIVE INC        | O'Reilly Automotive Inc                                                     | CUSIP: 67103HAM9<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |   3885000 | PA      | $3917227.32   | 0.24%             | 2026-11-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ONNI Commercial Mortgage Trust | ONNI Commerical Mortgage Trust 2024-APT                                     | CUSIP: 682939AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3100000 | PA      | $3137197.21   | 0.19%             | 2039-07-15      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                    | Oracle Corp                                                                 | CUSIP: 68389XCY9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   2970000 | PA      | $2971086.69   | 0.18%             | 2028-08-03      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                    | Oracle Corp                                                                 | CUSIP: 68389XDX0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   3590000 | PA      | $3514856.85   | 0.22%             | 2031-02-04      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| PLYM Commercial Mortgage Trust | PLYM Commercial Mortgage Trust 2026-IND                                     | CUSIP: 69292BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5325000 | PA      | $5298370.21   | 0.33%             | 2043-03-15      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| PFS Financing Corp.            | PFS Financing Corp                                                          | CUSIP: 69335PFE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4024074.40   | 0.25%             | 2029-02-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| PFS Financing Corp.            | PFS Financing Corp                                                          | CUSIP: 69335PFJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4440000 | PA      | $4504643.29   | 0.28%             | 2029-04-15      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| PKHL Commercial Mortgage Trust | PKHL Commercial Mortgage Trust 2021-MF                                      | CUSIP: 69356GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5750000 | PA      | $5436681.93   | 0.33%             | 2038-07-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC         | Philip Morris International Inc                                             | CUSIP: 718172DN6<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   4720000 | PA      | $4759923.32   | 0.29%             | 2029-11-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Porsche Financial Auto Securit | Porsche Financial Auto Securitization Trust 2024-1                          | CUSIP: 73328EAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1310415 | PA      | $1312994.73   | 0.08%             | 2030-01-22      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| SCG Hotel Issuer Inc           | SCG Trust 2025-SNIP                                                         | CUSIP: 78398JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4750000 | PA      | $4749995.73   | 0.29%             | 2042-09-15      | Floating      | 5.17%                 | 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        |   1911808 | PA      | $1907260.78   | 0.12%             | 2039-02-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co  | Sierra Timeshare 2023-2 Receivables Funding LLC                             | CUSIP: 82650BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    310024 | PA      | $315962.31    | 0.02%             | 2040-04-20      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| SOUTH BOW USA INFRA HLDS       | South Bow USA Infrastructure Holdings LLC                                   | CUSIP: 83007CAB8<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |   2125000 | PA      | $2133483.74   | 0.13%             | 2027-09-01      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr | SoFi Professional Loan Program 2021-B Trust                                 | CUSIP: 83405NAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    951258 | PA      | $853155.53    | 0.05%             | 2047-02-15      | Fixed         | 1.14%                 | No            |                  2 | On Loan: No      |
| Synchrony Card Issuance Trust  | Synchrony Card Funding LLC                                                  | CUSIP: 87166PAM3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1300000 | PA      | $1311948.82   | 0.08%             | 2030-03-15      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC               | T-Mobile USA Inc                                                            | CUSIP: 87264ADA0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   3075000 | PA      | $3104010.87   | 0.19%             | 2028-07-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC               | T-Mobile USA Inc                                                            | CUSIP: 87264ADE2<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   6145000 | PA      | $6215023.01   | 0.38%             | 2029-01-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Taco Bell Funding, LLC         | Taco Bell Funding LLC                                                       | CUSIP: 87342RAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5767275 | PA      | $5637369.44   | 0.35%             | 2051-08-25      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Tesla Auto Lease Trust         | Tesla Auto Lease Trust 2024-A                                               | CUSIP: 88166VAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1129653 | PA      | $1131852.80   | 0.07%             | 2027-06-21      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Tesla Auto Lease Trust         | Tesla Auto Lease Trust 2024-B                                               | CUSIP: 881934AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3448684 | PA      | $3455767.71   | 0.21%             | 2027-10-20      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| TEXAS CAPITAL BANCSHARES       | Texas Capital Bancshares Inc                                                | CUSIP: 88224QAC1<br>LEI: 549300466Q2SXRX0YM48 | Long             | DBT              | CORP              | US        |   2585000 | PA      | $2551204.41   | 0.16%             | 2032-02-27      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner  | Toyota Auto Receivables 2022-C Owner Trust                                  | CUSIP: 89231CAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    120560 | PA      | $120536.86    | 0.01%             | 2027-04-15      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner  | Toyota Auto Receivables 2024-B Owner Trust                                  | CUSIP: 89237NAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9639317 | PA      | $9731560.81   | 0.60%             | 2029-01-16      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| Toyota Lease Owner Trust       | Toyota Lease Owner Trust 2024-A                                             | CUSIP: 89238GAD3<br>LEI: 254900MVSB4M6HOIRE71 | Long             | ABS-O            | CORP              | US        |    798666 | PA      | $799684.09    | 0.05%             | 2027-04-20      | Fixed         | 5.25%                 | 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        |  67023236 | NS      | $67023236.45  | 4.11%             |  |  |  | No            |                  1 | On Loan: No      |
| TX Trust 24-HOU                | TX Trust 2024-HOU                                                           | CUSIP: 90216DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1997500.00   | 0.12%             | 2039-06-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                            | CUSIP: 91282CDF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3240000 | PA      | $3046739.05   | 0.19%             | 2028-10-31      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                            | CUSIP: 91282CEV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  90490000 | PA      | $88846334.21  | 5.45%             | 2029-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                            | CUSIP: 91282CGQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  94525000 | PA      | $94886853.04  | 5.82%             | 2030-02-28      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                            | CUSIP: 91282CGT2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  43975000 | PA      | $43813529.08  | 2.69%             | 2028-03-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                            | CUSIP: 91282CHM6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    140000 | PA      | $140293.78    | 0.01%             | 2026-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                            | CUSIP: 91282CJR3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4675000 | PA      | $4665321.30   | 0.29%             | 2028-12-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                            | CUSIP: 91282CKA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20555000 | PA      | $20619234.38  | 1.27%             | 2027-02-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                            | CUSIP: 91282CKD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 126970000 | PA      | $128423211.01 | 7.88%             | 2029-02-28      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                            | CUSIP: 91282CKP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 127815000 | PA      | $130695829.95 | 8.02%             | 2029-04-30      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                            | CUSIP: 91282CNK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  26035000 | PA      | $25997371.35  | 1.60%             | 2030-06-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                            | CUSIP: 91282CPA3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  65335000 | PA      | $64531073.08  | 3.96%             | 2030-09-30      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                            | CUSIP: 91282CPR6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  28895000 | PA      | $28505594.80  | 1.75%             | 2030-12-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                            | CUSIP: 91282CQA2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  49400000 | PA      | $48963890.87  | 3.01%             | 2029-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                            | CUSIP: 91282CQB0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  22710000 | PA      | $22529029.69  | 1.38%             | 2028-02-29      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| RTX CORP                       | RTX Corp                                                                    | CUSIP: 913017CY3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |   2540000 | PA      | $2529215.36   | 0.16%             | 2028-11-16      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC         | UnitedHealth Group Inc                                                      | CUSIP: 91324PEU2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   6650000 | PA      | $6638170.91   | 0.41%             | 2029-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC         | UnitedHealth Group Inc                                                      | CUSIP: 91324PFN7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   2245000 | PA      | $2252155.53   | 0.14%             | 2028-06-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| VIRGINIA POWER FUEL SEC        | Virginia Power Fuel Securitization LLC                                      | CUSIP: 92808VAA0<br>LEI: 254900BELJ95ONW6U791 | Long             | DBT              | CORP              | US        |   1361169 | PA      | $1367483.66   | 0.08%             | 2027-05-01      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| Volkswagen Auto Lease Trust    | Volkswagen Auto Lease Trust 2024-A                                          | CUSIP: 92866EAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4135708 | PA      | $4149280.90   | 0.25%             | 2027-06-21      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRU | WFRBS Commercial Mortgage Trust 2014-C22                                    | CUSIP: 92890KBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    297495 | PA      | $284066.33    | 0.02%             | 2057-09-15      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2024-SVEN                             | CUSIP: 949937AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1021229.10   | 0.06%             | 2037-06-10      | Fixed         | 6.01%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY          | Wells Fargo & Co                                                            | CUSIP: 95000U3W1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  14125000 | PA      | $14364988.55  | 0.88%             | 2031-04-23      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2025-NYCH                             | CUSIP: 95004KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3750000 | PA      | $3719531.25   | 0.23%             | 2042-06-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2025-B33RP                            | CUSIP: 95004RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5250000 | PA      | $5243431.20   | 0.32%             | 2042-08-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| WISCONSIN PUBLIC SERVICE       | Wisconsin Public Service Corp                                               | CUSIP: 976843BR2<br>LEI: 549300BJRHJVYNUMQZ30 | Long             | DBT              | CORP              | US        |   3420000 | PA      | $3380247.60   | 0.21%             | 2031-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| World Omni Auto Receivables Tr | World Omni Auto Receivables Trust 2026-A                                    | CUSIP: 98190AAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7215000 | PA      | $7168041.89   | 0.44%             | 2031-05-15      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| World Omni Automobile Lease Se | World Omni Automobile Lease Securitization Trust 2024-A                     | CUSIP: 981946AD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5522427 | PA      | $5543771.49   | 0.34%             | 2027-10-15      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| N/A                            | AUDUSD Crncy Fut  Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |       -69 | NC      | $13049.32     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | AUDUSD Crncy Fut  Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |       443 | NC      | $-222732.42   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | FTSE/JSE TOP 40   Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | ZA        |        16 | NC      | $45020.74     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | AUD/USD FWD 20260401                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $5061.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | AUD/USD FWD 20260401                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-6622.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | AUD/USD FWD 20260415                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-1343455.22  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | AUD/USD FWD 20260415                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $1365111.02   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | AUD/USD FWD 20260617                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-3758380.83  | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | AUD/USD FWD 20260617                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $502749.52    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | SET50 FUTURES     Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | TH        |       219 | NC      | $18145.84     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 10YR MINI JGB FUT Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | SG        |       -11 | NC      | $7004.23      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | SOYBEAN OIL FUTR  May26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       407 | NC      | $1559011.56   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | BP CURRENCY FUT   Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |      -727 | NC      | $45239.47     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | BP CURRENCY FUT   Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |        26 | NC      | $-3079.10     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | BRL/USD FWD 20260415                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-303021.74   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | BRL/USD FWD 20260415                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $905388.84    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CME Bitcoin Fut   Apr26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         2 | NC      | $9654.74      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | BOVESPA INDEX FUT Apr26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | BR        |       -65 | NC      | $-58845.94    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | CORN FUTURE       May26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       367 | NC      | $-145466.78   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | CAD/USD FWD 20260415                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-1218746.57  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CAD/USD FWD 20260415                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $1897305.62   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CAD/USD FWD 20260617                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-44217.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CAD/USD FWD 20260617                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $532826.38    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | COCOA FUTURE      May26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        -4 | NC      | $-6620.88     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | COCOA FUTURE      May26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         1 | NC      | $857.59       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | C$ CURRENCY FUT   Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |     -1017 | NC      | $605399.68    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | CAC40 10 EURO FUT Apr26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | FR        |       -27 | NC      | $-24297.44    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | CAC40 10 EURO FUT Apr26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | FR        |       195 | NC      | $201996.29    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | CHF/USD FWD 20260401                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $405.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CHF/USD FWD 20260401                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $1403.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CHF/USD FWD 20260415                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $2900260.73   | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CHF/USD FWD 20260415                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-1510358.37  | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CHF/USD FWD 20260617                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-82208.61    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CHF/USD FWD 20260617                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $552884.25    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | WTI CRUDE FUTURE  May26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        77 | NC      | $505940.70    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | WTI CRUDE FUTURE  Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        11 | NC      | $44789.21     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | WTI CRUDE FUTURE  Jul26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         3 | NC      | $-2865.67     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | CLP/USD FWD 20260415                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-82862.06    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CLP/USD FWD 20260415                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $73972.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | WTI CRUDE FUTURE  Aug26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         1 | NC      | $-1191.89     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | WTI CRUDE FUTURE  Sep26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         1 | NC      | $-2941.89     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | CNH/USD FWD 20260415                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-16652.09    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CNH/USD FWD 20260415                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $50636.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CNH/USD FWD 20260520                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-27668.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CNH/USD FWD 20260520                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $41367.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CAN 10YR BOND FUT Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |       -73 | NC      | $-50296.38    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | CAN 10YR BOND FUT Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |       188 | NC      | $-182802.98   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | BRENT CRUDE FUTR  Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |       130 | NC      | $-49553.17    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | BRENT CRUDE FUTR  Jul26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         6 | NC      | $-14957.62    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | BRENT CRUDE FUTR  Aug26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         1 | NC      | $-5191.27     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | BRENT CRUDE FUTR  Sep26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         2 | NC      | $-8132.54     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | BRENT CRUDE FUTR  Oct26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         2 | NC      | $-10892.54    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | BRENT CRUDE FUTR  Nov26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         1 | NC      | $-1581.27     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | COTTON NO.2 FUTR  May26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |      -126 | NC      | $-368717.72   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | COTTON NO.2 FUTR  May26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        29 | NC      | $11424.37     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | CME Ether Future  Apr26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |        -3 | NC      | $-7128.56     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | DJIA MINI e-CBOT  Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        97 | NC      | $179030.86    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | EURO-SCHATZ FUT   Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |       130 | NC      | $28614.16     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | EURO-SCHATZ FUT   Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |     -3867 | NC      | $4067799.24   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | DOLLAR INDEX      Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |        58 | NC      | $55840.72     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | EURO FX CURR FUT  Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |      -320 | NC      | $-174282.19   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 3MO EURO EURIBOR  Mar27                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |      -116 | NC      | $4132.68      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 3MO EURO EURIBOR  Mar28                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |       -60 | NC      | $29466.56     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 3MO EURO EURIBOR  Jun27                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     -1138 | NC      | $761971.48    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 3MO EURO EURIBOR  Jun28                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |       -37 | NC      | $11674.92     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 3MO EURO EURIBOR  Sep27                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |      -106 | NC      | $102499.55    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 3MO EURO EURIBOR  Dec26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |       -80 | NC      | $-3728.43     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 3MO EURO EURIBOR  Dec27                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |       -69 | NC      | $54169.63     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | S&P500 EMINI FUT  Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |       -19 | NC      | $-120374.35   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | S&P500 EMINI FUT  Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |       140 | NC      | $182999.10    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | EUR/USD FWD 20260401                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-25934.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | EUR/USD FWD 20260401                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $47478.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | EUR/USD FWD 20260415                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-399509.64   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | EUR/USD FWD 20260415                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $488563.60    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | EUR/USD FWD 20260617                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-26639.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | EUR/USD FWD 20260617                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $61966.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | S&P MID 400 EMINI Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         2 | NC      | $18666.48     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US 5YR NOTE (CBT) Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     -1411 | NC      | $-1756688.52  | -0.11%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LONG GILT FUTURE  Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |      -411 | NC      | $-420079.89   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LONG GILT FUTURE  Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        82 | NC      | $-469786.14   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | GBP/USD FWD 20260401                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-174.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | GBP/USD FWD 20260401                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $3030.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | GBP/USD FWD 20260415                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-601659.23   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | GBP/USD FWD 20260415                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $409199.51    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | GBP/USD FWD 20260617                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-178223.23   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | GBP/USD FWD 20260617                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $322596.64    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | GOLD 100 OZ FUTR  Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        -6 | NC      | $-65913.32    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | GOLD 100 OZ FUTR  Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        32 | NC      | $565787.95    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | DAX INDEX FUTURE  Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | DE        |        -8 | NC      | $-82634.98    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | DAX INDEX FUTURE  Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | DE        |        27 | NC      | $27265.54     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | HSCEI Futures     Apr26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | HK        |        51 | NC      | $-19179.88    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | COPPER FUTURE     May26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       -16 | NC      | $-101600.42   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | COPPER FUTURE     May26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        16 | NC      | $44270.56     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | HANG SENG IDX FUT Apr26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | HK        |       -38 | NC      | $-32821.95    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | HANG SENG IDX FUT Apr26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | HK        |        39 | NC      | $-8148.95     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NY Harb ULSD Fut  May26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        -1 | NC      | $-2110.21     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NY Harb ULSD Fut  May26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        49 | NC      | $146664.45    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NY Harb ULSD Fut  Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         3 | NC      | $-39.03       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NY Harb ULSD Fut  Jul26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         1 | NC      | $447.59       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NY Harb ULSD Fut  Aug26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         1 | NC      | $2131.79      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | IBEX 35 INDX FUTR Apr26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | ES        |        10 | NC      | $40504.90     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | Euro-BTP Future   Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |       116 | NC      | $186664.30    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | Euro-BTP Future   Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |      -228 | NC      | $-21591.27    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | ILS/USD FWD 20260415                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-1434.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | ILS/USD FWD 20260415                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $40063.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | INR/USD FWD 20260415                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-61415.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | INR/USD FWD 20260415                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $102314.95    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | JPN 10Y BOND(OSE) Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | JP        |       -96 | NC      | $1382336.82   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | IFSC NIFTY 50 FUT Apr26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | IN        |        57 | NC      | $-14419.44    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | JPY/USD FWD 20260401                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-68004.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | JPY/USD FWD 20260401                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $62878.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | JPY/USD FWD 20260415                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-68446.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | JPY/USD FWD 20260415                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $298776.72    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | JPY/USD FWD 20260617                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-62108.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | JPY/USD FWD 20260617                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-38896.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | JPN YEN CURR FUT  Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |      -265 | NC      | $-94745.85    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | JPN YEN CURR FUT  Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |       193 | NC      | $68130.21     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | COFFEE 'C' FUTURE May26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        -4 | NC      | $4414.74      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | COFFEE 'C' FUTURE May26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        14 | NC      | $-45112.68    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | KOSPI2 INX FUT    Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | KR        |        12 | NC      | $-64627.69    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | KRW/USD FWD 20260415                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-133900.16   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | KRW/USD FWD 20260415                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $201530.68    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | KRW/USD FWD 20260520                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-19184.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | KRW/USD FWD 20260520                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $9216.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | KC HRW WHEAT FUT  May26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       -24 | NC      | $-21920.34    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | KC HRW WHEAT FUT  Jul26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       231 | NC      | $222667.60    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME PRI ALUM FUTR Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |       -92 | NC      | $-519091.53   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME PRI ALUM FUTR Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |       247 | NC      | $1974770.82   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LIVE CATTLE FUTR  Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        -4 | NC      | $-9949.56     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LIVE CATTLE FUTR  Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        11 | NC      | $18890.43     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LEAN HOGS FUTURE  Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       -37 | NC      | $10384.89     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME LEAD FUTURE   Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |       -10 | NC      | $13989.80     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME LEAD FUTURE   Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         9 | NC      | $-12012.33    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ALUMINUM                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -1 | NC      | $-10321.27    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ALUMINUM                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         1 | NC      | $9965.48      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ALUMINUM                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -1 | NC      | $-6726.77     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ALUMINUM                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         1 | NC      | $6282.73      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ALUMINUM                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -1 | NC      | $-1995.27     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ALUMINUM                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         1 | NC      | $3136.48      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ALUMINUM                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -1 | NC      | $-6401.52     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ALUMINUM                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         1 | NC      | $5486.98      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -1 | NC      | $15385.98     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         1 | NC      | $-20293.02    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -1 | NC      | $10128.48     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         1 | NC      | $-9645.27     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -1 | NC      | $21795.23     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         1 | NC      | $-24832.02    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -1 | NC      | $17202.98     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         1 | NC      | $-13157.52    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -1 | NC      | $24404.48     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         1 | NC      | $-16859.27    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -1 | NC      | $28305.98     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         1 | NC      | $-25969.52    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -1 | NC      | $15188.24     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         1 | NC      | $-11558.03    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -1 | NC      | $13492.49     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         1 | NC      | $-11935.53    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -1 | NC      | $-1733.52     | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| N/A                            | LME COPPER                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         1 | NC      | $3164.48      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                            | LME COPPER                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -1 | NC      | $-4451.02     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         1 | NC      | $10771.98     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -1 | NC      | $-2856.02     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         1 | NC      | $3510.98      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME NICKEL                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -1 | NC      | $2471.29      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME NICKEL                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         1 | NC      | $-5162.75     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME LEAD                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -1 | NC      | $3820.63      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME LEAD                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         1 | NC      | $-4024.62     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME LEAD                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -1 | NC      | $2992.88      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME LEAD                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         1 | NC      | $-3239.62     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME LEAD                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -1 | NC      | $1999.13      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME LEAD                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         1 | NC      | $-2030.87     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ZINC   ($)                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -1 | NC      | $-1408.37     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ZINC   ($)                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         1 | NC      | $375.38       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ZINC   ($)                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -1 | NC      | $-23.12       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ZINC   ($)                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         1 | NC      | $-1491.62     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ZINC   ($)                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -1 | NC      | $-447.62      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ZINC   ($)                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         1 | NC      | $-91.62       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ZINC   ($)                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -1 | NC      | $-4263.62     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ZINC   ($)                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         1 | NC      | $3615.63      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME NICKEL FUTURE Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |       -16 | NC      | $18911.20     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME NICKEL FUTURE Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        17 | NC      | $-29487.07    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER FUTURE Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |       -59 | NC      | $598648.33    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER FUTURE Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |       105 | NC      | $-1624513.92  | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ZINC FUTURE   Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |       -70 | NC      | $-145444.04   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ZINC FUTURE   Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |       127 | NC      | $-302060.81   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | MSCI EmgMkt       Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        87 | NC      | $149022.54    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | MSCI EAFE         Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        40 | NC      | $141600.20    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | ECX EMISSION      Dec26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               |  | NL        |         4 | NC      | $-5764.71     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | MXN/USD FWD 20260401                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $4145.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | MXN/USD FWD 20260401                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-5147.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | MXN/USD FWD 20260415                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-514666.49   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | MXN/USD FWD 20260415                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $672677.21    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | MXN/USD FWD 20260617                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-526220.30   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | MXN/USD FWD 20260617                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $7831.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | NATURAL GAS FUTR  May26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |      -102 | NC      | $11620.63     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NATURAL GAS FUTR  Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       -11 | NC      | $-231.89      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NATURAL GAS FUTR  Jul26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        -6 | NC      | $2418.06      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NATURAL GAS FUTR  Sep26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        -2 | NC      | $1776.02      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NIKKEI 225  (SGX) Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | SG        |        -9 | NC      | $22860.35     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NIKKEI 225  (SGX) Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | SG        |        13 | NC      | $-6330.59     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NIKKEI 225  (OSE) Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | JP        |       104 | NC      | $-1816121.85  | -0.11%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NOK/USD FWD 20260415                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $78321.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | NOK/USD FWD 20260415                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $83804.56     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | NASDAQ 100 E-MINI Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |       -25 | NC      | $-241208.00   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NASDAQ 100 E-MINI Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        99 | NC      | $354077.64    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NEW ZEALAND $ FUT Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |      -173 | NC      | $54753.78     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NZD/USD FWD 20260401                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-1207.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | NZD/USD FWD 20260401                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $1616.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | NZD/USD FWD 20260415                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-1177229.75  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | NZD/USD FWD 20260415                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $1472070.65   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | NZD/USD FWD 20260617                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-321607.52   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | NZD/USD FWD 20260617                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $236484.01    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | Euro-OAT Future   Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |      -283 | NC      | $-73580.18    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | Euro-OAT Future   Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |        91 | NC      | $95743.95     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | EURO-BOBL FUTURE  Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |     -1347 | NC      | $-840798.28   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | MEXICAN PESO FUT  Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |       432 | NC      | $-23216.21    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | PLATINUM FUTURE   Jul26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        -2 | NC      | $-9939.69     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | PLATINUM FUTURE   Jul26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         1 | NC      | $897.98       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | PLN/USD FWD 20260415                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-217057.40   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | PLN/USD FWD 20260415                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $78613.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | S&P/TSX 60 IX FUT Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | CA        |        11 | NC      | $61661.60     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | COCOA FUTURE - IC May26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |       -34 | NC      | $221329.75    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | Low Su Gasoil G   Apr26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         9 | NC      | $10063.57     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | Low Su Gasoil G   May26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |       112 | NC      | $756082.71    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | Low Su Gasoil G   Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         4 | NC      | $19744.92     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | MSCI SING IX ETS  Apr26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | SG        |        -5 | NC      | $-1652.78     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | E-Mini Russ 2000  Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |       248 | NC      | $131140.04    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | E-Mini Russ 2000  Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |       -48 | NC      | $-130052.75   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | EURO-BUND FUTURE  Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |      -487 | NC      | $-502868.13   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | EURO-BUND FUTURE  Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |       257 | NC      | $181859.58    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | SOYBEAN FUTURE    May26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       -19 | NC      | $-7215.60     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | SOYBEAN FUTURE    May26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       459 | NC      | $-14911.30    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | SUGAR #11 (WORLD) May26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |      -260 | NC      | $-477478.33   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | SUGAR #11 (WORLD) May26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        76 | NC      | $261.74       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | SEK/USD FWD 20260415                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-708259.53   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | SEK/USD FWD 20260415                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $1001768.67   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | SEK/USD FWD 20260520                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-78577.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | SEK/USD FWD 20260520                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $5902.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | ICE 3MTH SONIA FU Mar27                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |       -38 | NC      | $-4305.80     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | ICE 3MTH SONIA FU Mar28                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |       -31 | NC      | $14479.52     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | ICE 3MTH SONIA FU Jun27                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |       -60 | NC      | $-17893.20    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | ICE 3MTH SONIA FU Jun28                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |       -21 | NC      | $11163.78     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | ICE 3MTH SONIA FU Sep27                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |       -37 | NC      | $-1558.32     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | ICE 3MTH SONIA FU Dec26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |       -25 | NC      | $-8462.40     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | ICE 3MTH SONIA FU Dec27                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |       -31 | NC      | $1491.77      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | CHF CURRENCY FUT  Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |      -108 | NC      | $134825.16    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | CHF CURRENCY FUT  Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |        20 | NC      | $-6519.64     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 3 MONTH SOFR FUT  Mar27                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -162 | NC      | $134390.34    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 3 MONTH SOFR FUT  Mar28                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -79 | NC      | $9942.28      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 3 MONTH SOFR FUT  Jun27                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     -1176 | NC      | $553943.76    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 3 MONTH SOFR FUT  Jun28                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -63 | NC      | $-1818.34     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 3 MONTH SOFR FUT  Sep28                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -68 | NC      | $-13155.11    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 3 MONTH SOFR FUT  Sep27                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -156 | NC      | $88700.42     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 3 MONTH SOFR FUT  Dec26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -149 | NC      | $131149.68    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 3 MONTH SOFR FUT  Dec27                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -83 | NC      | $25010.56     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | SGD/USD FWD 20260415                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-102498.70   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | SGD/USD FWD 20260415                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $79246.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | SGD/USD FWD 20260520                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-8967.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | SILVER FUTURE     May26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        -7 | NC      | $-140731.29   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | SILVER FUTURE     May26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         1 | NC      | $27943.03     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | SOYBEAN MEAL FUTR May26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       -49 | NC      | $-10097.10    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | SOYBEAN MEAL FUTR May26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       218 | NC      | $-193465.50   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | FTSE/MIB IDX FUT  Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | IT        |        15 | NC      | $97445.49     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | TOPIX INDX FUTR   Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | JP        |       176 | NC      | $-1642700.95  | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US 2YR NOTE (CBT) Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     -2123 | NC      | $792272.32    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | FTSE Taiwan Index Apr26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | SG        |       -17 | NC      | $61233.74     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US 10YR NOTE (CBT)Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -901 | NC      | $-1422152.85  | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US 10YR NOTE (CBT)Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       704 | NC      | $439651.24    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | TTF NAT GAS F     May26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | NL        |        20 | NC      | $-77454.62    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | EURO-BUXL 30Y BND Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |       -61 | NC      | $-184301.04   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | USD/ZAR FWD 20260415                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-279704.35   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | USD/ZAR FWD 20260415                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $482409.60    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | USD/ZAR FWD 20260520                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $113847.08    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | US LONG BOND(CBT) Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -312 | NC      | $-523683.52   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US LONG BOND(CBT) Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       503 | NC      | $810238.92    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US 10yr Ultra Fut Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       117 | NC      | $142409.02    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | EURO STOXX 50     Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | DE        |       455 | NC      | $175305.10    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | EURO STOXX 50     Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | DE        |       -21 | NC      | $-14748.21    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | WHEAT FUTURE(CBT) May26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       180 | NC      | $136212.60    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | WHEAT FUTURE(CBT) May26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       -75 | NC      | $-86305.75    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US ULTRA BOND CBT Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -73 | NC      | $15570.84     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US ULTRA BOND CBT Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       104 | NC      | $65497.33     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | GASOLINE RBOB FUT May26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        81 | NC      | $289895.90    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | GASOLINE RBOB FUT Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         4 | NC      | $-2699.44     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | GASOLINE RBOB FUT Jul26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         2 | NC      | $-4489.22     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | GASOLINE RBOB FUT Aug26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         1 | NC      | $-2295.01     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | AUST 10Y BOND FUT Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | AU        |     -1130 | NC      | $1094629.05   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | SPI 200 FUTURES   Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | AU        |        29 | NC      | $12903.53     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | FTSE CHINA A50    Apr26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | SG        |      -183 | NC      | $2630.19      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | AUST 3YR BOND FUT Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | AU        |      -102 | NC      | $-36126.16    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | FTSE 100 IDX FUT  Jun26                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | GB        |       379 | NC      | $124960.70    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2026-05-26

**Name of Applicant:** LoCorr Investment Trust

**Signature:** Jon Essen

**Name of Signer:** Jon Essen

**Title:** Treasurer