# EDGAR Filing Document

**Accession Number:** 0000863520
**File Stem:** 0000940400-26-021647
**Filing Date:** 2026-5
**Character Count:** 864252
**Document Hash:** 83b112381890c10e02cc72072637abb7
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000940400-26-021647.hdr.sgml**: 20260528

**ACCESSION NUMBER**: 0000940400-26-021647

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260528

**DATE AS OF CHANGE**: 20260528

**PERIOD START**: 20261231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** WESTERN ASSET FUNDS INC
- **CENTRAL INDEX KEY:** 0000863520

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-06110
- **FILM NUMBER:** 261031914

**BUSINESS ADDRESS:**
- **STREET 1:** 100 INTERNATIONAL DRIVE
- **CITY:** BALTIMORE
- **STATE:** MD
- **ZIP:** 21202
- **BUSINESS PHONE:** 410-454-2760

**MAIL ADDRESS:**
- **STREET 1:** 100 INTERNATIONAL DRIVE
- **STREET 2:** 7TH FLOOR
- **CITY:** BALTIMORE
- **STATE:** MD
- **ZIP:** 21202

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** LM INSTITUTIONAL FUND ADVISORS I INC
- **DATE OF NAME CHANGE:** 19980818

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** WESTERN ASSET TRUST INC
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### Western Asset Core Plus Bond Fund (Series ID: S000000714)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000002081 | Class I      | WACPX           |
| C000002082 | Class FI     | WACIX           |
| C000066989 | Class IS     | WAPSX           |
| C000113704 | CLASS A      | WAPAX           |
| C000113705 | CLASS C      | WAPCX           |
| C000113706 | CLASS R      | WAPRX           |
| C000117035 | Class C1     | LWCPX           |

## Nport-Ex

Schedule of Investments (unaudited)

March 31, 2026

***If you need assistance accessing this content, please reach out to your sales representative or send an email to*** <u>accessibility@franklintempleton.com.</u>

 **Western Asset Core Plus Bond Fund**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity <br>Date<br>| &nbsp;&nbsp; Face <br>Amount†<br>| Value |
| **Corporate Bonds & Notes — 35.3%** | **Corporate Bonds & Notes — 35.3%** | **Corporate Bonds & Notes — 35.3%** | **Corporate Bonds & Notes — 35.3%** | **Corporate Bonds & Notes — 35.3%** |
| **Communication Services — 5.2%** | **Communication Services — 5.2%** | **Communication Services — 5.2%** | **Communication Services — 5.2%** | **Communication Services — 5.2%** |
| *Diversified Telecommunication Services — 1.1%* | *Diversified Telecommunication Services — 1.1%* | *Diversified Telecommunication Services — 1.1%* | *Diversified Telecommunication Services — 1.1%* | *Diversified Telecommunication Services — 1.1%* |
| &nbsp;&nbsp;&nbsp; Altice Financing SA, Senior Secured Notes | &nbsp;&nbsp; 5.750% | &nbsp;&nbsp; 8/15/29 | &nbsp;&nbsp; 4570000<br>| &nbsp;&nbsp;&nbsp; $3204534<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; AT&T Inc., Senior Notes | &nbsp;&nbsp; 2.250% | &nbsp;&nbsp; 2/1/32 | &nbsp;&nbsp; 6530000<br>| &nbsp;&nbsp;&nbsp; 5706904<br>|
| &nbsp;&nbsp;&nbsp; AT&T Inc., Senior Notes | &nbsp;&nbsp; 2.550% | &nbsp;&nbsp; 12/1/33 | &nbsp;&nbsp; 3450000<br>| &nbsp;&nbsp;&nbsp; 2920953<br>|
| &nbsp;&nbsp;&nbsp; AT&T Inc., Senior Notes | &nbsp;&nbsp; 5.350% | &nbsp;&nbsp; 9/1/40 | &nbsp;&nbsp; 870000<br>| &nbsp;&nbsp;&nbsp; 838521<br>|
| &nbsp;&nbsp;&nbsp; AT&T Inc., Senior Notes | &nbsp;&nbsp; 5.550% | &nbsp;&nbsp; 8/15/41 | &nbsp;&nbsp; 2710000<br>| &nbsp;&nbsp;&nbsp; 2625100<br>|
| &nbsp;&nbsp;&nbsp; AT&T Inc., Senior Notes | &nbsp;&nbsp; 4.350% | &nbsp;&nbsp; 6/15/45 | &nbsp;&nbsp; 149000<br>| &nbsp;&nbsp;&nbsp; 120481<br>|
| &nbsp;&nbsp;&nbsp; AT&T Inc., Senior Notes | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 9/15/53 | &nbsp;&nbsp; 970000<br>| &nbsp;&nbsp;&nbsp; 636539<br>|
| &nbsp;&nbsp;&nbsp; AT&T Inc., Senior Notes | &nbsp;&nbsp; 3.550% | &nbsp;&nbsp; 9/15/55 | &nbsp;&nbsp; 970000<br>| &nbsp;&nbsp;&nbsp; 631331<br>|
| &nbsp;&nbsp;&nbsp; AT&T Inc., Senior Notes | &nbsp;&nbsp; 3.800% | &nbsp;&nbsp; 12/1/57 | &nbsp;&nbsp; 670000<br>| &nbsp;&nbsp;&nbsp; 453416<br>|
| &nbsp;&nbsp;&nbsp; AT&T Inc., Senior Notes | &nbsp;&nbsp; 3.650% | &nbsp;&nbsp; 9/15/59 | &nbsp;&nbsp; 370000<br>| &nbsp;&nbsp;&nbsp; 239941<br>|
| &nbsp;&nbsp;&nbsp; NTT Finance Corp., Senior Notes | &nbsp;&nbsp; 4.620% | &nbsp;&nbsp; 7/16/28 | &nbsp;&nbsp; 1200000<br>| &nbsp;&nbsp;&nbsp; 1204758<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; NTT Finance Corp., Senior Notes | &nbsp;&nbsp; 4.876% | &nbsp;&nbsp; 7/16/30 | &nbsp;&nbsp; 3660000<br>| &nbsp;&nbsp;&nbsp; 3684221<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; NTT Finance Corp., Senior Notes | &nbsp;&nbsp; 5.171% | &nbsp;&nbsp; 7/16/32 | &nbsp;&nbsp; 5410000<br>| &nbsp;&nbsp;&nbsp; 5451110<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Verizon Communications Inc., Senior Notes | &nbsp;&nbsp; 3.150% | &nbsp;&nbsp; 3/22/30 | &nbsp;&nbsp; 5170000<br>| &nbsp;&nbsp;&nbsp; 4925357<br>|
| &nbsp;&nbsp;&nbsp; Verizon Communications Inc., Senior Notes | &nbsp;&nbsp; 2.550% | &nbsp;&nbsp; 3/21/31 | &nbsp;&nbsp; 5013000<br>| &nbsp;&nbsp;&nbsp; 4552309<br>|
| &nbsp;&nbsp;&nbsp; Verizon Communications Inc., Senior Notes | &nbsp;&nbsp; 4.780% | &nbsp;&nbsp; 2/15/35 | &nbsp;&nbsp; 633000<br>| &nbsp;&nbsp;&nbsp; 612897<br>|
| &nbsp;&nbsp;&nbsp; Verizon Communications Inc., Senior Notes | &nbsp;&nbsp; 5.250% | &nbsp;&nbsp; 3/16/37 | &nbsp;&nbsp; 1440000<br>| &nbsp;&nbsp;&nbsp; 1423415<br>|
| &nbsp;&nbsp;&nbsp; Verizon Communications Inc., Senior Notes | &nbsp;&nbsp; 3.400% | &nbsp;&nbsp; 3/22/41 | &nbsp;&nbsp; 490000<br>| &nbsp;&nbsp;&nbsp; 376474<br>|
| &nbsp;&nbsp;&nbsp; Verizon Communications Inc., Senior Notes | &nbsp;&nbsp; 3.850% | &nbsp;&nbsp; 11/1/42 | &nbsp;&nbsp; 350000<br>| &nbsp;&nbsp;&nbsp; 279237<br>|
| &nbsp;&nbsp;&nbsp; Verizon Communications Inc., Senior Notes | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 3/16/47 | &nbsp;&nbsp; 55000<br>| &nbsp;&nbsp;&nbsp; 51927<br>|
| &nbsp;&nbsp;&nbsp; Verizon Communications Inc., Senior Notes | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 3/22/50 | &nbsp;&nbsp; 100000<br>| &nbsp;&nbsp;&nbsp; 75577<br>|
| &nbsp;&nbsp;&nbsp; Verizon Communications Inc., Senior Notes | &nbsp;&nbsp; 3.550% | &nbsp;&nbsp; 3/22/51 | &nbsp;&nbsp; 1380000<br>| &nbsp;&nbsp;&nbsp; 963727<br>|
| *Total Diversified Telecommunication Services* | *Total Diversified Telecommunication Services* | *Total Diversified Telecommunication Services* | *Total Diversified Telecommunication Services* | &nbsp;&nbsp; *40978729* |
| *Entertainment — 0.2%* | *Entertainment — 0.2%* | *Entertainment — 0.2%* | *Entertainment — 0.2%* | *Entertainment — 0.2%* |
| &nbsp;&nbsp;&nbsp; Discovery Global Holdings Inc., Senior Notes | &nbsp;&nbsp; 3.755% | &nbsp;&nbsp; 3/15/27 | &nbsp;&nbsp; 945000<br>| &nbsp;&nbsp;&nbsp; 933934<br>|
| &nbsp;&nbsp;&nbsp; Flutter Treasury DAC, Senior Secured Notes | &nbsp;&nbsp; 5.875% | &nbsp;&nbsp; 6/4/31 | &nbsp;&nbsp; 2700000<br>| &nbsp;&nbsp;&nbsp; 2677050<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Walt Disney Co., Senior Notes | &nbsp;&nbsp; 6.650% | &nbsp;&nbsp; 11/15/37 | &nbsp;&nbsp; 2260000<br>| &nbsp;&nbsp;&nbsp; 2544302<br>|
| *Total Entertainment* | *Total Entertainment* | *Total Entertainment* | *Total Entertainment* | &nbsp;&nbsp; *6155286* |
| *Interactive Media & Services — 0.9%* | *Interactive Media & Services — 0.9%* | *Interactive Media & Services — 0.9%* | *Interactive Media & Services — 0.9%* | *Interactive Media & Services — 0.9%* |
| &nbsp;&nbsp;&nbsp; Alphabet Inc., Senior Notes | &nbsp;&nbsp; 3.700% | &nbsp;&nbsp; 2/15/29 | &nbsp;&nbsp; 1870000<br>| &nbsp;&nbsp;&nbsp; 1854318<br>|
| &nbsp;&nbsp;&nbsp; Alphabet Inc., Senior Notes | &nbsp;&nbsp; 4.100% | &nbsp;&nbsp; 2/15/31 | &nbsp;&nbsp; 740000<br>| &nbsp;&nbsp;&nbsp; 735018<br>|
| &nbsp;&nbsp;&nbsp; Alphabet Inc., Senior Notes | &nbsp;&nbsp; 4.400% | &nbsp;&nbsp; 2/15/33 | &nbsp;&nbsp; 490000<br>| &nbsp;&nbsp;&nbsp; 484039<br>|
| &nbsp;&nbsp;&nbsp; Alphabet Inc., Senior Notes | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 5/15/35 | &nbsp;&nbsp; 160000<br>| &nbsp;&nbsp;&nbsp; 157430<br>|
| &nbsp;&nbsp;&nbsp; Alphabet Inc., Senior Notes | &nbsp;&nbsp; 4.700% | &nbsp;&nbsp; 11/15/35 | &nbsp;&nbsp; 2400000<br>| &nbsp;&nbsp;&nbsp; 2372091<br>|
| &nbsp;&nbsp;&nbsp; Alphabet Inc., Senior Notes | &nbsp;&nbsp; 4.800% | &nbsp;&nbsp; 2/15/36 | &nbsp;&nbsp; 1210000<br>| &nbsp;&nbsp;&nbsp; 1205286<br>|
| &nbsp;&nbsp;&nbsp; Alphabet Inc., Senior Notes | &nbsp;&nbsp; 5.350% | &nbsp;&nbsp; 11/15/45 | &nbsp;&nbsp; 850000<br>| &nbsp;&nbsp;&nbsp; 831619<br>|
| &nbsp;&nbsp;&nbsp; Alphabet Inc., Senior Notes | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 2/15/46 | &nbsp;&nbsp; 2080000<br>| &nbsp;&nbsp;&nbsp; 2064525<br>|
| &nbsp;&nbsp;&nbsp; Alphabet Inc., Senior Notes | &nbsp;&nbsp; 5.250% | &nbsp;&nbsp; 5/15/55 | &nbsp;&nbsp; 80000<br>| &nbsp;&nbsp;&nbsp; 75597<br>|
| &nbsp;&nbsp;&nbsp; Alphabet Inc., Senior Notes | &nbsp;&nbsp; 5.450% | &nbsp;&nbsp; 11/15/55 | &nbsp;&nbsp; 870000<br>| &nbsp;&nbsp;&nbsp; 842941<br>|
| &nbsp;&nbsp;&nbsp; Alphabet Inc., Senior Notes | &nbsp;&nbsp; 5.650% | &nbsp;&nbsp; 2/15/56 | &nbsp;&nbsp; 2070000<br>| &nbsp;&nbsp;&nbsp; 2064821<br>|
| &nbsp;&nbsp;&nbsp; Alphabet Inc., Senior Notes | &nbsp;&nbsp; 5.300% | &nbsp;&nbsp; 5/15/65 | &nbsp;&nbsp; 1430000<br>| &nbsp;&nbsp;&nbsp; 1324760<br>|
| &nbsp;&nbsp;&nbsp; Meta Platforms Inc., Senior Notes | &nbsp;&nbsp; 4.600% | &nbsp;&nbsp; 11/15/32 | &nbsp;&nbsp; 7625000<br>| &nbsp;&nbsp;&nbsp; 7552772<br>|
| &nbsp;&nbsp;&nbsp; Meta Platforms Inc., Senior Notes | &nbsp;&nbsp; 4.875% | &nbsp;&nbsp; 11/15/35 | &nbsp;&nbsp; 1980000<br>| &nbsp;&nbsp;&nbsp; 1943250<br>|
| &nbsp;&nbsp;&nbsp; Meta Platforms Inc., Senior Notes | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 11/15/45 | &nbsp;&nbsp; 2600000<br>| &nbsp;&nbsp;&nbsp; 2462087<br>|

---

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2026 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

March 31, 2026

 **Western Asset Core Plus Bond Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount†<br>| Value |
| *Interactive Media & Services — continued* | *Interactive Media & Services — continued* | *Interactive Media & Services — continued* | *Interactive Media & Services — continued* | *Interactive Media & Services — continued* |
| &nbsp;&nbsp;&nbsp; Meta Platforms Inc., Senior Notes | &nbsp;&nbsp; 5.625% | &nbsp;&nbsp; 11/15/55 | &nbsp;&nbsp; 2180000<br>| &nbsp;&nbsp;&nbsp; $2044971<br>|
| &nbsp;&nbsp;&nbsp; Meta Platforms Inc., Senior Notes | &nbsp;&nbsp; 5.750% | &nbsp;&nbsp; 11/15/65 | &nbsp;&nbsp; 4220000<br>| &nbsp;&nbsp;&nbsp; 3922630<br>|
| *Total Interactive Media & Services* | *Total Interactive Media & Services* | *Total Interactive Media & Services* | *Total Interactive Media & Services* | &nbsp;&nbsp; *31938155* |
| *Media — 1.7%* | *Media — 1.7%* | *Media — 1.7%* | *Media — 1.7%* | *Media — 1.7%* |
| &nbsp;&nbsp;&nbsp; CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 5/1/32 | &nbsp;&nbsp; 4543000<br>| &nbsp;&nbsp;&nbsp; 4062285<br>|
| &nbsp;&nbsp;&nbsp; CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes | &nbsp;&nbsp; 7.375% | &nbsp;&nbsp; 2/1/36 | &nbsp;&nbsp; 2670000<br>| &nbsp;&nbsp;&nbsp; 2661300<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Charter Communications Operating LLC/Charter Communications Operating <br> Capital Corp., Senior Secured Notes | &nbsp;&nbsp; 4.200% | &nbsp;&nbsp; 3/15/28 | &nbsp;&nbsp; 9749000<br>| &nbsp;&nbsp;&nbsp; 9667416<br>|
| &nbsp;&nbsp;&nbsp; Charter Communications Operating LLC/Charter Communications Operating <br> Capital Corp., Senior Secured Notes | &nbsp;&nbsp; 5.050% | &nbsp;&nbsp; 3/30/29 | &nbsp;&nbsp; 6160000<br>| &nbsp;&nbsp;&nbsp; 6192397<br>|
| &nbsp;&nbsp;&nbsp; Charter Communications Operating LLC/Charter Communications Operating <br> Capital Corp., Senior Secured Notes | &nbsp;&nbsp; 6.550% | &nbsp;&nbsp; 6/1/34 | &nbsp;&nbsp; 1620000<br>| &nbsp;&nbsp;&nbsp; 1682772<br>|
| &nbsp;&nbsp;&nbsp; Charter Communications Operating LLC/Charter Communications Operating <br> Capital Corp., Senior Secured Notes | &nbsp;&nbsp; 5.375% | &nbsp;&nbsp; 4/1/38 | &nbsp;&nbsp; 3325000<br>| &nbsp;&nbsp;&nbsp; 2982333<br>|
| &nbsp;&nbsp;&nbsp; Charter Communications Operating LLC/Charter Communications Operating <br> Capital Corp., Senior Secured Notes | &nbsp;&nbsp; 5.750% | &nbsp;&nbsp; 4/1/48 | &nbsp;&nbsp; 2560000<br>| &nbsp;&nbsp;&nbsp; 2136676<br>|
| &nbsp;&nbsp;&nbsp; Comcast Corp., Senior Notes | &nbsp;&nbsp; 6.500% | &nbsp;&nbsp; 11/15/35 | &nbsp;&nbsp; 451000<br>| &nbsp;&nbsp;&nbsp; 492365<br>|
| &nbsp;&nbsp;&nbsp; Comcast Corp., Senior Notes | &nbsp;&nbsp; 3.900% | &nbsp;&nbsp; 3/1/38 | &nbsp;&nbsp; 2160000<br>| &nbsp;&nbsp;&nbsp; 1856151<br>|
| &nbsp;&nbsp;&nbsp; Comcast Corp., Senior Notes | &nbsp;&nbsp; 3.969% | &nbsp;&nbsp; 11/1/47 | &nbsp;&nbsp; 4956000<br>| &nbsp;&nbsp;&nbsp; 3650808<br>|
| &nbsp;&nbsp;&nbsp; Comcast Corp., Senior Notes | &nbsp;&nbsp; 5.350% | &nbsp;&nbsp; 5/15/53 | &nbsp;&nbsp; 3240000<br>| &nbsp;&nbsp;&nbsp; 2867791<br>|
| &nbsp;&nbsp;&nbsp; DISH DBS Corp., Senior Notes | &nbsp;&nbsp; 7.750% | &nbsp;&nbsp; 7/1/26 | &nbsp;&nbsp; 510000<br>| &nbsp;&nbsp;&nbsp; 508884<br>|
| &nbsp;&nbsp;&nbsp; DISH DBS Corp., Senior Secured Notes | &nbsp;&nbsp; 5.250% | &nbsp;&nbsp; 12/1/26 | &nbsp;&nbsp; 6330000<br>| &nbsp;&nbsp;&nbsp; 6279350<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; DISH DBS Corp., Senior Secured Notes | &nbsp;&nbsp; 5.750% | &nbsp;&nbsp; 12/1/28 | &nbsp;&nbsp; 1120000<br>| &nbsp;&nbsp;&nbsp; 1083933<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Fox Corp., Senior Notes | &nbsp;&nbsp; 5.476% | &nbsp;&nbsp; 1/25/39 | &nbsp;&nbsp; 4350000<br>| &nbsp;&nbsp;&nbsp; 4210090<br>|
| &nbsp;&nbsp;&nbsp; Time Warner Cable Enterprises LLC, Senior Secured Notes | &nbsp;&nbsp; 8.375% | &nbsp;&nbsp; 7/15/33 | &nbsp;&nbsp; 2060000<br>| &nbsp;&nbsp;&nbsp; 2333663<br>|
| &nbsp;&nbsp;&nbsp; Time Warner Cable LLC, Senior Secured Notes | &nbsp;&nbsp; 6.550% | &nbsp;&nbsp; 5/1/37 | &nbsp;&nbsp; 3030000<br>| &nbsp;&nbsp;&nbsp; 3057198<br>|
| &nbsp;&nbsp;&nbsp; Time Warner Cable LLC, Senior Secured Notes | &nbsp;&nbsp; 7.300% | &nbsp;&nbsp; 7/1/38 | &nbsp;&nbsp; 1755000<br>| &nbsp;&nbsp;&nbsp; 1837673<br>|
| &nbsp;&nbsp;&nbsp; Time Warner Cable LLC, Senior Secured Notes | &nbsp;&nbsp; 6.750% | &nbsp;&nbsp; 6/15/39 | &nbsp;&nbsp; 1875000<br>| &nbsp;&nbsp;&nbsp; 1862042<br>|
| &nbsp;&nbsp;&nbsp; Time Warner Cable LLC, Senior Secured Notes | &nbsp;&nbsp; 5.875% | &nbsp;&nbsp; 11/15/40 | &nbsp;&nbsp; 1617000<br>| &nbsp;&nbsp;&nbsp; 1466738<br>|
| &nbsp;&nbsp;&nbsp; Versant Media Group Inc., Senior Secured Notes | &nbsp;&nbsp; 7.250% | &nbsp;&nbsp; 1/30/31 | &nbsp;&nbsp; 780000<br>| &nbsp;&nbsp;&nbsp; 798892<br> <sup>(a)</sup><br>|
| *Total Media* | *Total Media* | *Total Media* | *Total Media* | &nbsp;&nbsp; *61690757* |
| *Wireless Telecommunication Services — 1.3%* | *Wireless Telecommunication Services — 1.3%* | *Wireless Telecommunication Services — 1.3%* | *Wireless Telecommunication Services — 1.3%* | *Wireless Telecommunication Services — 1.3%* |
| &nbsp;&nbsp;&nbsp; CSC Holdings LLC, Senior Notes | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 11/15/31 | &nbsp;&nbsp; 15000000<br>| &nbsp;&nbsp;&nbsp; 8915979<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Rogers Communications Inc., Senior Notes | &nbsp;&nbsp; 5.300% | &nbsp;&nbsp; 2/15/34 | &nbsp;&nbsp; 3730000<br>| &nbsp;&nbsp;&nbsp; 3715103<br>|
| &nbsp;&nbsp;&nbsp; Sprint Capital Corp., Senior Notes | &nbsp;&nbsp; 8.750% | &nbsp;&nbsp; 3/15/32 | &nbsp;&nbsp; 4670000<br>| &nbsp;&nbsp;&nbsp; 5555310<br>|
| &nbsp;&nbsp;&nbsp; T-Mobile USA Inc., Senior Notes | &nbsp;&nbsp; 3.750% | &nbsp;&nbsp; 4/15/27 | &nbsp;&nbsp; 1950000<br>| &nbsp;&nbsp;&nbsp; 1938298<br>|
| &nbsp;&nbsp;&nbsp; T-Mobile USA Inc., Senior Notes | &nbsp;&nbsp; 3.875% | &nbsp;&nbsp; 4/15/30 | &nbsp;&nbsp; 15295000<br>| &nbsp;&nbsp;&nbsp; 14899505<br>|
| &nbsp;&nbsp;&nbsp; T-Mobile USA Inc., Senior Notes | &nbsp;&nbsp; 2.550% | &nbsp;&nbsp; 2/15/31 | &nbsp;&nbsp; 6710000<br>| &nbsp;&nbsp;&nbsp; 6099243<br>|
| &nbsp;&nbsp;&nbsp; T-Mobile USA Inc., Senior Notes | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 4/15/31 | &nbsp;&nbsp; 1420000<br>| &nbsp;&nbsp;&nbsp; 1343473<br>|
| &nbsp;&nbsp;&nbsp; T-Mobile USA Inc., Senior Notes | &nbsp;&nbsp; 5.150% | &nbsp;&nbsp; 4/15/34 | &nbsp;&nbsp; 3780000<br>| &nbsp;&nbsp;&nbsp; 3809794<br>|
| &nbsp;&nbsp;&nbsp; T-Mobile USA Inc., Senior Notes | &nbsp;&nbsp; 4.375% | &nbsp;&nbsp; 4/15/40 | &nbsp;&nbsp; 2530000<br>| &nbsp;&nbsp;&nbsp; 2225268<br>|
| &nbsp;&nbsp;&nbsp; T-Mobile USA Inc., Senior Notes | &nbsp;&nbsp; 5.875% | &nbsp;&nbsp; 11/15/55 | &nbsp;&nbsp; 1230000<br>| &nbsp;&nbsp;&nbsp; 1200267<br>|
| *Total Wireless Telecommunication Services* | *Total Wireless Telecommunication Services* | *Total Wireless Telecommunication Services* | *Total Wireless Telecommunication Services* | &nbsp;&nbsp; *49702240* |
| **Total Communication Services** | **Total Communication Services** | **Total Communication Services** | **Total Communication Services** | &nbsp;&nbsp; **190465167** |

---

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2026 Quarterly Report

------

 **Western Asset Core Plus Bond Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount†<br>| Value |
| **Consumer Discretionary — 3.3%** | **Consumer Discretionary — 3.3%** | **Consumer Discretionary — 3.3%** | **Consumer Discretionary — 3.3%** | **Consumer Discretionary — 3.3%** |
| *Automobile Components — 0.2%* | *Automobile Components — 0.2%* | *Automobile Components — 0.2%* | *Automobile Components — 0.2%* | *Automobile Components — 0.2%* |
| &nbsp;&nbsp;&nbsp; Cyprium Corp./Cyprium Holdings Luxembourg SARL, Senior Notes | &nbsp;&nbsp; 6.375% | &nbsp;&nbsp; 4/15/34 | &nbsp;&nbsp; 1230000<br>| &nbsp;&nbsp;&nbsp; $1196965<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; ZF North America Capital Inc., Senior Notes | &nbsp;&nbsp; 6.750% | &nbsp;&nbsp; 4/23/30 | &nbsp;&nbsp; 4360000<br>| &nbsp;&nbsp;&nbsp; 4220839<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; ZF North America Capital Inc., Senior Notes | &nbsp;&nbsp; 7.500% | &nbsp;&nbsp; 3/24/31 | &nbsp;&nbsp; 2090000<br>| &nbsp;&nbsp;&nbsp; 2054658<br> <sup>(a)</sup><br>|
| *Total Automobile Components* | *Total Automobile Components* | *Total Automobile Components* | *Total Automobile Components* | &nbsp;&nbsp; *7472462* |
| *Automobiles — 0.3%* | *Automobiles — 0.3%* | *Automobiles — 0.3%* | *Automobiles — 0.3%* | *Automobiles — 0.3%* |
| &nbsp;&nbsp;&nbsp; Ford Motor Credit Co. LLC, Senior Notes | &nbsp;&nbsp; 7.350% | &nbsp;&nbsp; 11/4/27 | &nbsp;&nbsp; 3260000<br>| &nbsp;&nbsp;&nbsp; 3365640<br>|
| &nbsp;&nbsp;&nbsp; Ford Motor Credit Co. LLC, Senior Notes | &nbsp;&nbsp; 2.900% | &nbsp;&nbsp; 2/16/28 | &nbsp;&nbsp; 1550000<br>| &nbsp;&nbsp;&nbsp; 1486888<br>|
| &nbsp;&nbsp;&nbsp; General Motors Co., Senior Notes | &nbsp;&nbsp; 5.600% | &nbsp;&nbsp; 10/15/32 | &nbsp;&nbsp; 650000<br>| &nbsp;&nbsp;&nbsp; 665766<br>|
| &nbsp;&nbsp;&nbsp; General Motors Co., Senior Notes | &nbsp;&nbsp; 6.600% | &nbsp;&nbsp; 4/1/36 | &nbsp;&nbsp; 1170000<br>| &nbsp;&nbsp;&nbsp; 1245228<br>|
| &nbsp;&nbsp;&nbsp; General Motors Financial Co. Inc., Senior Notes | &nbsp;&nbsp; 4.350% | &nbsp;&nbsp; 1/17/27 | &nbsp;&nbsp; 880000<br>| &nbsp;&nbsp;&nbsp; 878929<br>|
| &nbsp;&nbsp;&nbsp; PM General Purchaser LLC, Senior Secured Notes | &nbsp;&nbsp; 9.500% | &nbsp;&nbsp; 10/1/28 | &nbsp;&nbsp; 4471000<br>| &nbsp;&nbsp;&nbsp; 4240118<br> <sup>(a)</sup><br>|
| *Total Automobiles* | *Total Automobiles* | *Total Automobiles* | *Total Automobiles* | &nbsp;&nbsp; *11882569* |
| *Broadline Retail — 0.8%* | *Broadline Retail — 0.8%* | *Broadline Retail — 0.8%* | *Broadline Retail — 0.8%* | *Broadline Retail — 0.8%* |
| &nbsp;&nbsp;&nbsp; Amazon.com Inc., Senior Notes | &nbsp;&nbsp; 4.100% | &nbsp;&nbsp; 11/20/30 | &nbsp;&nbsp; 6120000<br>| &nbsp;&nbsp;&nbsp; 6050815<br>|
| &nbsp;&nbsp;&nbsp; Amazon.com Inc., Senior Notes | &nbsp;&nbsp; 4.250% | &nbsp;&nbsp; 3/13/31 | &nbsp;&nbsp; 1240000<br>| &nbsp;&nbsp;&nbsp; 1231141<br>|
| &nbsp;&nbsp;&nbsp; Amazon.com Inc., Senior Notes | &nbsp;&nbsp; 4.550% | &nbsp;&nbsp; 3/13/33 | &nbsp;&nbsp; 1200000<br>| &nbsp;&nbsp;&nbsp; 1188801<br>|
| &nbsp;&nbsp;&nbsp; Amazon.com Inc., Senior Notes | &nbsp;&nbsp; 4.350% | &nbsp;&nbsp; 3/20/33 | &nbsp;&nbsp; 1400000<br>| &nbsp;&nbsp;&nbsp; 1375085<br>|
| &nbsp;&nbsp;&nbsp; Amazon.com Inc., Senior Notes | &nbsp;&nbsp; 4.650% | &nbsp;&nbsp; 11/20/35 | &nbsp;&nbsp; 1850000<br>| &nbsp;&nbsp;&nbsp; 1814710<br>|
| &nbsp;&nbsp;&nbsp; Amazon.com Inc., Senior Notes | &nbsp;&nbsp; 4.875% | &nbsp;&nbsp; 3/13/36 | &nbsp;&nbsp; 1250000<br>| &nbsp;&nbsp;&nbsp; 1239091<br>|
| &nbsp;&nbsp;&nbsp; Amazon.com Inc., Senior Notes | &nbsp;&nbsp; 5.650% | &nbsp;&nbsp; 3/13/46 | &nbsp;&nbsp; 1310000<br>| &nbsp;&nbsp;&nbsp; 1306242<br>|
| &nbsp;&nbsp;&nbsp; Amazon.com Inc., Senior Notes | &nbsp;&nbsp; 5.800% | &nbsp;&nbsp; 3/13/56 | &nbsp;&nbsp; 1060000<br>| &nbsp;&nbsp;&nbsp; 1059897<br>|
| &nbsp;&nbsp;&nbsp; Amazon.com Inc., Senior Notes | &nbsp;&nbsp; 4.250% | &nbsp;&nbsp; 8/22/57 | &nbsp;&nbsp; 2970000<br>| &nbsp;&nbsp;&nbsp; 2319020<br>|
| &nbsp;&nbsp;&nbsp; Amazon.com Inc., Senior Notes | &nbsp;&nbsp; 5.950% | &nbsp;&nbsp; 3/13/66 | &nbsp;&nbsp; 1820000<br>| &nbsp;&nbsp;&nbsp; 1827352<br>|
| &nbsp;&nbsp;&nbsp; Prosus NV, Senior Notes | &nbsp;&nbsp; 3.061% | &nbsp;&nbsp; 7/13/31 | &nbsp;&nbsp; 12990000<br>| &nbsp;&nbsp;&nbsp; 11644581<br> <sup>(a)</sup><br>|
| *Total Broadline Retail* | *Total Broadline Retail* | *Total Broadline Retail* | *Total Broadline Retail* | &nbsp;&nbsp; *31056735* |
| *Hotels, Restaurants & Leisure — 1.6%* | *Hotels, Restaurants & Leisure — 1.6%* | *Hotels, Restaurants & Leisure — 1.6%* | *Hotels, Restaurants & Leisure — 1.6%* | *Hotels, Restaurants & Leisure — 1.6%* |
| &nbsp;&nbsp;&nbsp; Carnival Corp., Senior Notes | &nbsp;&nbsp; 5.875% | &nbsp;&nbsp; 6/15/31 | &nbsp;&nbsp; 1470000<br>| &nbsp;&nbsp;&nbsp; 1488994<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Carnival Corp., Senior Notes | &nbsp;&nbsp; 6.125% | &nbsp;&nbsp; 2/15/33 | &nbsp;&nbsp; 2420000<br>| &nbsp;&nbsp;&nbsp; 2445483<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Las Vegas Sands Corp., Senior Notes | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 8/18/26 | &nbsp;&nbsp; 600000<br>| &nbsp;&nbsp;&nbsp; 598048<br>|
| &nbsp;&nbsp;&nbsp; Las Vegas Sands Corp., Senior Notes | &nbsp;&nbsp; 5.625% | &nbsp;&nbsp; 6/15/28 | &nbsp;&nbsp; 1480000<br>| &nbsp;&nbsp;&nbsp; 1499566<br>|
| &nbsp;&nbsp;&nbsp; Las Vegas Sands Corp., Senior Notes | &nbsp;&nbsp; 3.900% | &nbsp;&nbsp; 8/8/29 | &nbsp;&nbsp; 3140000<br>| &nbsp;&nbsp;&nbsp; 3027438<br>|
| &nbsp;&nbsp;&nbsp; Las Vegas Sands Corp., Senior Notes | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 8/15/29 | &nbsp;&nbsp; 4200000<br>| &nbsp;&nbsp;&nbsp; 4317834<br>|
| &nbsp;&nbsp;&nbsp; Las Vegas Sands Corp., Senior Notes | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 6/14/30 | &nbsp;&nbsp; 260000<br>| &nbsp;&nbsp;&nbsp; 267551<br>|
| &nbsp;&nbsp;&nbsp; McDonald's Corp., Senior Notes | &nbsp;&nbsp; 3.600% | &nbsp;&nbsp; 7/1/30 | &nbsp;&nbsp; 80000<br>| &nbsp;&nbsp;&nbsp; 77761<br>|
| &nbsp;&nbsp;&nbsp; McDonald's Corp., Senior Notes | &nbsp;&nbsp; 4.200% | &nbsp;&nbsp; 4/1/50 | &nbsp;&nbsp; 6670000<br>| &nbsp;&nbsp;&nbsp; 5261385<br>|
| &nbsp;&nbsp;&nbsp; Melco Resorts Finance Ltd., Senior Notes | &nbsp;&nbsp; 7.625% | &nbsp;&nbsp; 4/17/32 | &nbsp;&nbsp; 2040000<br>| &nbsp;&nbsp;&nbsp; 2071876<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Melco Resorts Finance Ltd., Senior Notes | &nbsp;&nbsp; 6.500% | &nbsp;&nbsp; 9/24/33 | &nbsp;&nbsp; 3750000<br>| &nbsp;&nbsp;&nbsp; 3602553<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; NCL Corp. Ltd., Senior Notes | &nbsp;&nbsp; 5.875% | &nbsp;&nbsp; 1/15/31 | &nbsp;&nbsp; 830000<br>| &nbsp;&nbsp;&nbsp; 806898<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; NCL Corp. Ltd., Senior Notes | &nbsp;&nbsp; 6.250% | &nbsp;&nbsp; 9/15/33 | &nbsp;&nbsp; 480000<br>| &nbsp;&nbsp;&nbsp; 466096<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Royal Caribbean Cruises Ltd., Senior Notes | &nbsp;&nbsp; 5.625% | &nbsp;&nbsp; 9/30/31 | &nbsp;&nbsp; 2510000<br>| &nbsp;&nbsp;&nbsp; 2535360<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Royal Caribbean Cruises Ltd., Senior Notes | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 2/1/33 | &nbsp;&nbsp; 5790000<br>| &nbsp;&nbsp;&nbsp; 5849273<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Royal Caribbean Cruises Ltd., Senior Notes | &nbsp;&nbsp; 4.750% | &nbsp;&nbsp; 5/15/33 | &nbsp;&nbsp; 1640000<br>| &nbsp;&nbsp;&nbsp; 1583990<br>|
| &nbsp;&nbsp;&nbsp; Royal Caribbean Cruises Ltd., Senior Notes | &nbsp;&nbsp; 5.250% | &nbsp;&nbsp; 2/27/38 | &nbsp;&nbsp; 760000<br>| &nbsp;&nbsp;&nbsp; 723313<br>|
| &nbsp;&nbsp;&nbsp; Sands China Ltd., Senior Notes | &nbsp;&nbsp; 2.300% | &nbsp;&nbsp; 3/8/27 | &nbsp;&nbsp; 6770000<br>| &nbsp;&nbsp;&nbsp; 6611935<br>|
| &nbsp;&nbsp;&nbsp; Sands China Ltd., Senior Notes | &nbsp;&nbsp; 5.400% | &nbsp;&nbsp; 8/8/28 | &nbsp;&nbsp; 3950000<br>| &nbsp;&nbsp;&nbsp; 3982066<br>|

---

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2026 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

March 31, 2026

 **Western Asset Core Plus Bond Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount†<br>| Value |
| *Hotels, Restaurants & Leisure — continued* | *Hotels, Restaurants & Leisure — continued* | *Hotels, Restaurants & Leisure — continued* | *Hotels, Restaurants & Leisure — continued* | *Hotels, Restaurants & Leisure — continued* |
| &nbsp;&nbsp;&nbsp; Sands China Ltd., Senior Notes | &nbsp;&nbsp; 2.850% | &nbsp;&nbsp; 3/8/29 | &nbsp;&nbsp; 3980000<br>| &nbsp;&nbsp;&nbsp; $3750302<br>|
| &nbsp;&nbsp;&nbsp; Sands China Ltd., Senior Notes | &nbsp;&nbsp; 3.250% | &nbsp;&nbsp; 8/8/31 | &nbsp;&nbsp; 1690000<br>| &nbsp;&nbsp;&nbsp; 1530764<br>|
| &nbsp;&nbsp;&nbsp; Viking Cruises Ltd., Senior Notes | &nbsp;&nbsp; 7.000% | &nbsp;&nbsp; 2/15/29 | &nbsp;&nbsp; 2090000<br>| &nbsp;&nbsp;&nbsp; 2094899<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Viking Cruises Ltd., Senior Notes | &nbsp;&nbsp; 5.875% | &nbsp;&nbsp; 10/15/33 | &nbsp;&nbsp; 3040000<br>| &nbsp;&nbsp;&nbsp; 3003601<br> <sup>(a)</sup><br>|
| *Total Hotels, Restaurants & Leisure* | *Total Hotels, Restaurants & Leisure* | *Total Hotels, Restaurants & Leisure* | *Total Hotels, Restaurants & Leisure* | &nbsp;&nbsp; *57596986* |
| *Specialty Retail — 0.4%* | *Specialty Retail — 0.4%* | *Specialty Retail — 0.4%* | *Specialty Retail — 0.4%* | *Specialty Retail — 0.4%* |
| &nbsp;&nbsp;&nbsp; Home Depot Inc., Senior Notes | &nbsp;&nbsp; 2.700% | &nbsp;&nbsp; 4/15/30 | &nbsp;&nbsp; 1480000<br>| &nbsp;&nbsp;&nbsp; 1392821<br>|
| &nbsp;&nbsp;&nbsp; Home Depot Inc., Senior Notes | &nbsp;&nbsp; 3.300% | &nbsp;&nbsp; 4/15/40 | &nbsp;&nbsp; 3220000<br>| &nbsp;&nbsp;&nbsp; 2574792<br>|
| &nbsp;&nbsp;&nbsp; Home Depot Inc., Senior Notes | &nbsp;&nbsp; 3.350% | &nbsp;&nbsp; 4/15/50 | &nbsp;&nbsp; 5295000<br>| &nbsp;&nbsp;&nbsp; 3659330<br>|
| &nbsp;&nbsp;&nbsp; Lowe's Cos. Inc., Senior Notes | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 4/15/30 | &nbsp;&nbsp; 540000<br>| &nbsp;&nbsp;&nbsp; 540724<br>|
| &nbsp;&nbsp;&nbsp; Michaels Cos. Inc., Senior Secured Notes | &nbsp;&nbsp; 8.500% | &nbsp;&nbsp; 3/15/33 | &nbsp;&nbsp; 3390000<br>| &nbsp;&nbsp;&nbsp; 3303721<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Petco Health & Wellness Co. Inc., Senior Secured Notes | &nbsp;&nbsp; 8.250% | &nbsp;&nbsp; 2/1/31 | &nbsp;&nbsp; 3750000<br>| &nbsp;&nbsp;&nbsp; 3747429<br> <sup>(a)</sup><br>|
| *Total Specialty Retail* | *Total Specialty Retail* | *Total Specialty Retail* | *Total Specialty Retail* | &nbsp;&nbsp; *15218817* |
| **Total Consumer Discretionary** | **Total Consumer Discretionary** | **Total Consumer Discretionary** | **Total Consumer Discretionary** | &nbsp;&nbsp; **123227569** |
| **Consumer Staples — 1.3%** | **Consumer Staples — 1.3%** | **Consumer Staples — 1.3%** | **Consumer Staples — 1.3%** | **Consumer Staples — 1.3%** |
| *Beverages — 0.2%* | *Beverages — 0.2%* | *Beverages — 0.2%* | *Beverages — 0.2%* | *Beverages — 0.2%* |
| &nbsp;&nbsp;&nbsp; Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide Inc., Senior Notes | &nbsp;&nbsp; 4.900% | &nbsp;&nbsp; 2/1/46 | &nbsp;&nbsp; 3442000<br>| &nbsp;&nbsp;&nbsp; 3103795<br>|
| &nbsp;&nbsp;&nbsp; Anheuser-Busch InBev Worldwide Inc., Senior Notes | &nbsp;&nbsp; 5.550% | &nbsp;&nbsp; 1/23/49 | &nbsp;&nbsp; 3560000<br>| &nbsp;&nbsp;&nbsp; 3460028<br>|
| *Total Beverages* | *Total Beverages* | *Total Beverages* | *Total Beverages* | &nbsp;&nbsp; *6563823* |
| *Consumer Staples Distribution & Retail — 0.1%* | *Consumer Staples Distribution & Retail — 0.1%* | *Consumer Staples Distribution & Retail — 0.1%* | *Consumer Staples Distribution & Retail — 0.1%* | *Consumer Staples Distribution & Retail — 0.1%* |
| &nbsp;&nbsp;&nbsp; Kroger Co., Senior Notes | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 9/15/34 | &nbsp;&nbsp; 3270000<br>| &nbsp;&nbsp;&nbsp; *3229777*<br>|
| *Food Products — 0.3%* | *Food Products — 0.3%* | *Food Products — 0.3%* | *Food Products — 0.3%* | *Food Products — 0.3%* |
| &nbsp;&nbsp;&nbsp; JBS NV/JBS USA Foods Group Holdings Inc./JBS USA Food Co. Holdings, Senior <br> Notes | &nbsp;&nbsp; 5.625% | &nbsp;&nbsp; 3/10/37 | &nbsp;&nbsp; 2200000<br>| &nbsp;&nbsp;&nbsp; 2208261<br> <sup>(a)(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Mars Inc., Senior Notes | &nbsp;&nbsp; 3.200% | &nbsp;&nbsp; 4/1/30 | &nbsp;&nbsp; 210000<br>| &nbsp;&nbsp;&nbsp; 200427<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Mars Inc., Senior Notes | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 3/1/32 | &nbsp;&nbsp; 780000<br>| &nbsp;&nbsp;&nbsp; 789465<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Mars Inc., Senior Notes | &nbsp;&nbsp; 5.200% | &nbsp;&nbsp; 3/1/35 | &nbsp;&nbsp; 1860000<br>| &nbsp;&nbsp;&nbsp; 1878384<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Mars Inc., Senior Notes | &nbsp;&nbsp; 5.700% | &nbsp;&nbsp; 5/1/55 | &nbsp;&nbsp; 5620000<br>| &nbsp;&nbsp;&nbsp; 5483729<br> <sup>(a)</sup><br>|
| *Total Food Products* | *Total Food Products* | *Total Food Products* | *Total Food Products* | &nbsp;&nbsp; *10560266* |
| *Personal Care Products — 0.0%††* | *Personal Care Products — 0.0%††* | *Personal Care Products — 0.0%††* | *Personal Care Products — 0.0%††* | *Personal Care Products — 0.0%††* |
| &nbsp;&nbsp;&nbsp; Kenvue Inc., Senior Notes | &nbsp;&nbsp; 4.900% | &nbsp;&nbsp; 3/22/33 | &nbsp;&nbsp; 1197000<br>| &nbsp;&nbsp;&nbsp; *1206975*<br>|
| *Tobacco — 0.7%* | *Tobacco — 0.7%* | *Tobacco — 0.7%* | *Tobacco — 0.7%* | *Tobacco — 0.7%* |
| &nbsp;&nbsp;&nbsp; Altria Group Inc., Senior Notes | &nbsp;&nbsp; 4.800% | &nbsp;&nbsp; 2/14/29 | &nbsp;&nbsp; 975000<br>| &nbsp;&nbsp;&nbsp; 983142<br>|
| &nbsp;&nbsp;&nbsp; Altria Group Inc., Senior Notes | &nbsp;&nbsp; 2.450% | &nbsp;&nbsp; 2/4/32 | &nbsp;&nbsp; 3750000<br>| &nbsp;&nbsp;&nbsp; 3291745<br>|
| &nbsp;&nbsp;&nbsp; Altria Group Inc., Senior Notes | &nbsp;&nbsp; 6.875% | &nbsp;&nbsp; 11/1/33 | &nbsp;&nbsp; 1610000<br>| &nbsp;&nbsp;&nbsp; 1783726<br>|
| &nbsp;&nbsp;&nbsp; Altria Group Inc., Senior Notes | &nbsp;&nbsp; 5.800% | &nbsp;&nbsp; 2/14/39 | &nbsp;&nbsp; 3130000<br>| &nbsp;&nbsp;&nbsp; 3143903<br>|
| &nbsp;&nbsp;&nbsp; Altria Group Inc., Senior Notes | &nbsp;&nbsp; 3.875% | &nbsp;&nbsp; 9/16/46 | &nbsp;&nbsp; 2070000<br>| &nbsp;&nbsp;&nbsp; 1518150<br>|
| &nbsp;&nbsp;&nbsp; Altria Group Inc., Senior Notes | &nbsp;&nbsp; 5.950% | &nbsp;&nbsp; 2/14/49 | &nbsp;&nbsp; 10000<br>| &nbsp;&nbsp;&nbsp; 9702<br>|
| &nbsp;&nbsp;&nbsp; Altria Group Inc., Senior Notes | &nbsp;&nbsp; 3.700% | &nbsp;&nbsp; 2/4/51 | &nbsp;&nbsp; 2620000<br>| &nbsp;&nbsp;&nbsp; 1806379<br>|
| &nbsp;&nbsp;&nbsp; Altria Group Inc., Senior Notes | &nbsp;&nbsp; 6.200% | &nbsp;&nbsp; 2/14/59 | &nbsp;&nbsp; 1664000<br>| &nbsp;&nbsp;&nbsp; 1641905<br>|
| &nbsp;&nbsp;&nbsp; BAT Capital Corp., Senior Notes | &nbsp;&nbsp; 3.557% | &nbsp;&nbsp; 8/15/27 | &nbsp;&nbsp; 406000<br>| &nbsp;&nbsp;&nbsp; 401676<br>|
| &nbsp;&nbsp;&nbsp; BAT Capital Corp., Senior Notes | &nbsp;&nbsp; 4.540% | &nbsp;&nbsp; 8/15/47 | &nbsp;&nbsp; 4515000<br>| &nbsp;&nbsp;&nbsp; 3669021<br>|
| &nbsp;&nbsp;&nbsp; BAT Capital Corp., Senior Notes | &nbsp;&nbsp; 7.081% | &nbsp;&nbsp; 8/2/53 | &nbsp;&nbsp; 210000<br>| &nbsp;&nbsp;&nbsp; 232273<br>|
| &nbsp;&nbsp;&nbsp; BAT Capital Corp., Senior Notes | &nbsp;&nbsp; 6.250% | &nbsp;&nbsp; 8/15/55 | &nbsp;&nbsp; 20000<br>| &nbsp;&nbsp;&nbsp; 20249<br>|
| &nbsp;&nbsp;&nbsp; Philip Morris International Inc., Senior Notes | &nbsp;&nbsp; 4.875% | &nbsp;&nbsp; 2/13/29 | &nbsp;&nbsp; 3360000<br>| &nbsp;&nbsp;&nbsp; 3410655<br>|
| &nbsp;&nbsp;&nbsp; Philip Morris International Inc., Senior Notes | &nbsp;&nbsp; 5.125% | &nbsp;&nbsp; 2/13/31 | &nbsp;&nbsp; 930000<br>| &nbsp;&nbsp;&nbsp; 951938<br>|

---

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2026 Quarterly Report

------

 **Western Asset Core Plus Bond Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount†<br>| Value |
| *Tobacco — continued* | *Tobacco — continued* | *Tobacco — continued* | *Tobacco — continued* | *Tobacco — continued* |
| &nbsp;&nbsp;&nbsp; Philip Morris International Inc., Senior Notes | &nbsp;&nbsp; 5.250% | &nbsp;&nbsp; 2/13/34 | &nbsp;&nbsp; 2110000<br>| &nbsp;&nbsp;&nbsp; $2149540<br>|
| &nbsp;&nbsp;&nbsp; Philip Morris International Inc., Senior Notes | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 3/20/42 | &nbsp;&nbsp; 805000<br>| &nbsp;&nbsp;&nbsp; 704298<br>|
| &nbsp;&nbsp;&nbsp; Reynolds American Inc., Senior Notes | &nbsp;&nbsp; 5.850% | &nbsp;&nbsp; 8/15/45 | &nbsp;&nbsp; 2579000<br>| &nbsp;&nbsp;&nbsp; 2499269<br>|
| *Total Tobacco* | *Total Tobacco* | *Total Tobacco* | *Total Tobacco* | &nbsp;&nbsp; *28217571* |
| **Total Consumer Staples** | **Total Consumer Staples** | **Total Consumer Staples** | **Total Consumer Staples** | &nbsp;&nbsp; **49778412** |
| **Energy — 4.7%** | **Energy — 4.7%** | **Energy — 4.7%** | **Energy — 4.7%** | **Energy — 4.7%** |
| *Energy Equipment & Services — 0.1%* | *Energy Equipment & Services — 0.1%* | *Energy Equipment & Services — 0.1%* | *Energy Equipment & Services — 0.1%* | *Energy Equipment & Services — 0.1%* |
| &nbsp;&nbsp;&nbsp; Halliburton Co., Senior Notes | &nbsp;&nbsp; 4.850% | &nbsp;&nbsp; 11/15/35 | &nbsp;&nbsp; 1580000<br>| &nbsp;&nbsp;&nbsp; *1537351*<br>|
| *Oil, Gas & Consumable Fuels — 4.6%* | *Oil, Gas & Consumable Fuels — 4.6%* | *Oil, Gas & Consumable Fuels — 4.6%* | *Oil, Gas & Consumable Fuels — 4.6%* | *Oil, Gas & Consumable Fuels — 4.6%* |
| &nbsp;&nbsp;&nbsp; Blue Racer Midstream LLC/Blue Racer Finance Corp., Senior Notes | &nbsp;&nbsp; 7.250% | &nbsp;&nbsp; 7/15/32 | &nbsp;&nbsp; 5260000<br>| &nbsp;&nbsp;&nbsp; 5467496<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; BP Capital Markets America Inc., Senior Notes | &nbsp;&nbsp; 3.633% | &nbsp;&nbsp; 4/6/30 | &nbsp;&nbsp; 1410000<br>| &nbsp;&nbsp;&nbsp; 1371855<br>|
| &nbsp;&nbsp;&nbsp; BP Capital Markets America Inc., Senior Notes | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 2/24/50 | &nbsp;&nbsp; 1340000<br>| &nbsp;&nbsp;&nbsp; 862089<br>|
| &nbsp;&nbsp;&nbsp; Cameron LNG LLC, Senior Secured Notes | &nbsp;&nbsp; 2.902% | &nbsp;&nbsp; 7/15/31 | &nbsp;&nbsp; 1030000<br>| &nbsp;&nbsp;&nbsp; 943677<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Cameron LNG LLC, Senior Secured Notes | &nbsp;&nbsp; 3.302% | &nbsp;&nbsp; 1/15/35 | &nbsp;&nbsp; 2071000<br>| &nbsp;&nbsp;&nbsp; 1802130<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Cheniere Energy Partners LP, Senior Notes | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 3/1/31 | &nbsp;&nbsp; 2281000<br>| &nbsp;&nbsp;&nbsp; 2190902<br>|
| &nbsp;&nbsp;&nbsp; Cheniere Energy Partners LP, Senior Notes | &nbsp;&nbsp; 3.250% | &nbsp;&nbsp; 1/31/32 | &nbsp;&nbsp; 2620000<br>| &nbsp;&nbsp;&nbsp; 2388677<br>|
| &nbsp;&nbsp;&nbsp; Chord Energy Corp., Senior Notes | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 10/1/30 | &nbsp;&nbsp; 1630000<br>| &nbsp;&nbsp;&nbsp; 1652592<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Columbia Pipelines Operating Co. LLC, Senior Notes | &nbsp;&nbsp; 6.036% | &nbsp;&nbsp; 11/15/33 | &nbsp;&nbsp; 1665000<br>| &nbsp;&nbsp;&nbsp; 1755088<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Continental Resources Inc., Senior Notes | &nbsp;&nbsp; 2.268% | &nbsp;&nbsp; 11/15/26 | &nbsp;&nbsp; 1660000<br>| &nbsp;&nbsp;&nbsp; 1633577<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Continental Resources Inc., Senior Notes | &nbsp;&nbsp; 4.375% | &nbsp;&nbsp; 1/15/28 | &nbsp;&nbsp; 299000<br>| &nbsp;&nbsp;&nbsp; 297077<br>|
| &nbsp;&nbsp;&nbsp; Continental Resources Inc., Senior Notes | &nbsp;&nbsp; 5.750% | &nbsp;&nbsp; 1/15/31 | &nbsp;&nbsp; 429000<br>| &nbsp;&nbsp;&nbsp; 437382<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Coterra Energy Inc., Senior Notes | &nbsp;&nbsp; 3.900% | &nbsp;&nbsp; 5/15/27 | &nbsp;&nbsp; 1739000<br>| &nbsp;&nbsp;&nbsp; 1727047<br>|
| &nbsp;&nbsp;&nbsp; Coterra Energy Inc., Senior Notes | &nbsp;&nbsp; 4.375% | &nbsp;&nbsp; 3/15/29 | &nbsp;&nbsp; 1949000<br>| &nbsp;&nbsp;&nbsp; 1942186<br>|
| &nbsp;&nbsp;&nbsp; Crescent Energy Finance LLC, Senior Notes | &nbsp;&nbsp; 7.375% | &nbsp;&nbsp; 1/15/33 | &nbsp;&nbsp; 1430000<br>| &nbsp;&nbsp;&nbsp; 1430707<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Devon Energy Corp., Senior Notes | &nbsp;&nbsp; 5.250% | &nbsp;&nbsp; 10/15/27 | &nbsp;&nbsp; 588000<br>| &nbsp;&nbsp;&nbsp; 588233<br>|
| &nbsp;&nbsp;&nbsp; Devon Energy Corp., Senior Notes | &nbsp;&nbsp; 5.875% | &nbsp;&nbsp; 6/15/28 | &nbsp;&nbsp; 114000<br>| &nbsp;&nbsp;&nbsp; 114052<br>|
| &nbsp;&nbsp;&nbsp; Devon Energy Corp., Senior Notes | &nbsp;&nbsp; 5.600% | &nbsp;&nbsp; 7/15/41 | &nbsp;&nbsp; 1610000<br>| &nbsp;&nbsp;&nbsp; 1559109<br>|
| &nbsp;&nbsp;&nbsp; Ecopetrol SA, Senior Notes | &nbsp;&nbsp; 8.375% | &nbsp;&nbsp; 1/19/36 | &nbsp;&nbsp; 5740000<br>| &nbsp;&nbsp;&nbsp; 5824560<br>|
| &nbsp;&nbsp;&nbsp; Ecopetrol SA, Senior Notes | &nbsp;&nbsp; 5.875% | &nbsp;&nbsp; 5/28/45 | &nbsp;&nbsp; 6530000<br>| &nbsp;&nbsp;&nbsp; 4812940<br>|
| &nbsp;&nbsp;&nbsp; Energy Transfer LP, Junior Subordinated Notes (6.500% to 11/15/26 then 5 year <br> Treasury Constant Maturity Rate + 5.694%) | &nbsp;&nbsp; 6.500% | &nbsp;&nbsp; 11/15/26 | &nbsp;&nbsp; 4275000<br>| &nbsp;&nbsp;&nbsp; 4269970<br> <sup>(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Energy Transfer LP, Junior Subordinated Notes (7.125% to 5/15/30 then 5 year <br> Treasury Constant Maturity Rate + 5.306%) | &nbsp;&nbsp; 7.125% | &nbsp;&nbsp; 5/15/30 | &nbsp;&nbsp; 15052000<br>| &nbsp;&nbsp;&nbsp; 15359964<br> <sup>(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Energy Transfer LP, Senior Notes | &nbsp;&nbsp; 5.250% | &nbsp;&nbsp; 4/15/29 | &nbsp;&nbsp; 520000<br>| &nbsp;&nbsp;&nbsp; 529737<br>|
| &nbsp;&nbsp;&nbsp; Energy Transfer LP, Senior Notes | &nbsp;&nbsp; 3.750% | &nbsp;&nbsp; 5/15/30 | &nbsp;&nbsp; 2810000<br>| &nbsp;&nbsp;&nbsp; 2717239<br>|
| &nbsp;&nbsp;&nbsp; Energy Transfer LP, Senior Notes | &nbsp;&nbsp; 5.550% | &nbsp;&nbsp; 5/15/34 | &nbsp;&nbsp; 30000<br>| &nbsp;&nbsp;&nbsp; 30558<br>|
| &nbsp;&nbsp;&nbsp; Energy Transfer LP, Senior Notes | &nbsp;&nbsp; 5.300% | &nbsp;&nbsp; 4/1/44 | &nbsp;&nbsp; 1170000<br>| &nbsp;&nbsp;&nbsp; 1049542<br>|
| &nbsp;&nbsp;&nbsp; Energy Transfer LP, Senior Notes | &nbsp;&nbsp; 5.400% | &nbsp;&nbsp; 10/1/47 | &nbsp;&nbsp; 1413000<br>| &nbsp;&nbsp;&nbsp; 1256903<br>|
| &nbsp;&nbsp;&nbsp; Energy Transfer LP, Senior Notes | &nbsp;&nbsp; 6.250% | &nbsp;&nbsp; 4/15/49 | &nbsp;&nbsp; 870000<br>| &nbsp;&nbsp;&nbsp; 853889<br>|
| &nbsp;&nbsp;&nbsp; Enterprise Products Operating LLC, Senior Notes | &nbsp;&nbsp; 3.125% | &nbsp;&nbsp; 7/31/29 | &nbsp;&nbsp; 850000<br>| &nbsp;&nbsp;&nbsp; 819314<br>|
| &nbsp;&nbsp;&nbsp; Enterprise Products Operating LLC, Senior Notes | &nbsp;&nbsp; 2.800% | &nbsp;&nbsp; 1/31/30 | &nbsp;&nbsp; 577000<br>| &nbsp;&nbsp;&nbsp; 544079<br>|
| &nbsp;&nbsp;&nbsp; Enterprise Products Operating LLC, Senior Notes | &nbsp;&nbsp; 6.650% | &nbsp;&nbsp; 10/15/34 | &nbsp;&nbsp; 2105000<br>| &nbsp;&nbsp;&nbsp; 2335387<br>|
| &nbsp;&nbsp;&nbsp; Enterprise Products Operating LLC, Senior Notes | &nbsp;&nbsp; 3.700% | &nbsp;&nbsp; 1/31/51 | &nbsp;&nbsp; 2197000<br>| &nbsp;&nbsp;&nbsp; 1590485<br>|
| &nbsp;&nbsp;&nbsp; Enterprise Products Operating LLC, Senior Notes | &nbsp;&nbsp; 5.550% | &nbsp;&nbsp; 2/16/55 | &nbsp;&nbsp; 1830000<br>| &nbsp;&nbsp;&nbsp; 1761641<br>|
| &nbsp;&nbsp;&nbsp; Enterprise Products Operating LLC, Senior Notes | &nbsp;&nbsp; 3.950% | &nbsp;&nbsp; 1/31/60 | &nbsp;&nbsp; 870000<br>| &nbsp;&nbsp;&nbsp; 628955<br>|

---

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2026 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

March 31, 2026

 **Western Asset Core Plus Bond Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount†<br>| Value |
| *Oil, Gas & Consumable Fuels — continued* | *Oil, Gas & Consumable Fuels — continued* | *Oil, Gas & Consumable Fuels — continued* | *Oil, Gas & Consumable Fuels — continued* | *Oil, Gas & Consumable Fuels — continued* |
| &nbsp;&nbsp;&nbsp; Enterprise Products Operating LLC, Senior Notes (5.375% to 2/15/28 then 3 mo. <br> Term SOFR + 2.832%) | &nbsp;&nbsp; 5.375% | &nbsp;&nbsp; 2/15/78 | &nbsp;&nbsp; 2335000<br>| &nbsp;&nbsp;&nbsp; $2320103<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; EOG Resources Inc., Senior Notes | &nbsp;&nbsp; 3.900% | &nbsp;&nbsp; 4/1/35 | &nbsp;&nbsp; 1400000<br>| &nbsp;&nbsp;&nbsp; 1288718<br>|
| &nbsp;&nbsp;&nbsp; EQT Corp., Senior Notes | &nbsp;&nbsp; 3.125% | &nbsp;&nbsp; 5/15/26 | &nbsp;&nbsp; 600000<br>| &nbsp;&nbsp;&nbsp; 598817<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; EQT Corp., Senior Notes | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 1/15/29 | &nbsp;&nbsp; 1278000<br>| &nbsp;&nbsp;&nbsp; 1286539<br>|
| &nbsp;&nbsp;&nbsp; EQT Corp., Senior Notes | &nbsp;&nbsp; 3.625% | &nbsp;&nbsp; 5/15/31 | &nbsp;&nbsp; 3383000<br>| &nbsp;&nbsp;&nbsp; 3159166<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Expand Energy Corp., Senior Notes | &nbsp;&nbsp; 5.375% | &nbsp;&nbsp; 2/1/29 | &nbsp;&nbsp; 920000<br>| &nbsp;&nbsp;&nbsp; 919542<br>|
| &nbsp;&nbsp;&nbsp; Expand Energy Corp., Senior Notes | &nbsp;&nbsp; 5.375% | &nbsp;&nbsp; 3/15/30 | &nbsp;&nbsp; 2710000<br>| &nbsp;&nbsp;&nbsp; 2733765<br>|
| &nbsp;&nbsp;&nbsp; Expand Energy Corp., Senior Notes | &nbsp;&nbsp; 4.750% | &nbsp;&nbsp; 2/1/32 | &nbsp;&nbsp; 2810000<br>| &nbsp;&nbsp;&nbsp; 2739089<br>|
| &nbsp;&nbsp;&nbsp; Exxon Mobil Corp., Senior Notes | &nbsp;&nbsp; 3.452% | &nbsp;&nbsp; 4/15/51 | &nbsp;&nbsp; 1450000<br>| &nbsp;&nbsp;&nbsp; 1033749<br>|
| &nbsp;&nbsp;&nbsp; Florida Gas Transmission Co. LLC, Senior Notes | &nbsp;&nbsp; 5.750% | &nbsp;&nbsp; 7/15/35 | &nbsp;&nbsp; 4060000<br>| &nbsp;&nbsp;&nbsp; 4167540<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Gulfstream Natural Gas System LLC, Senior Notes | &nbsp;&nbsp; 5.600% | &nbsp;&nbsp; 7/23/35 | &nbsp;&nbsp; 5050000<br>| &nbsp;&nbsp;&nbsp; 5121166<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; KazMunayGas National Co. JSC, Senior Notes | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 4/14/33 | &nbsp;&nbsp; 7610000<br>| &nbsp;&nbsp;&nbsp; 6837727<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Kinder Morgan Energy Partners LP, Senior Notes | &nbsp;&nbsp; 7.300% | &nbsp;&nbsp; 8/15/33 | &nbsp;&nbsp; 1497000<br>| &nbsp;&nbsp;&nbsp; 1690807<br>|
| &nbsp;&nbsp;&nbsp; Kinder Morgan Energy Partners LP, Senior Notes | &nbsp;&nbsp; 6.550% | &nbsp;&nbsp; 9/15/40 | &nbsp;&nbsp; 1450000<br>| &nbsp;&nbsp;&nbsp; 1554106<br>|
| &nbsp;&nbsp;&nbsp; Kinder Morgan Inc., Senior Notes | &nbsp;&nbsp; 7.800% | &nbsp;&nbsp; 8/1/31 | &nbsp;&nbsp; 226000<br>| &nbsp;&nbsp;&nbsp; 257917<br>|
| &nbsp;&nbsp;&nbsp; MPLX LP, Senior Notes | &nbsp;&nbsp; 4.800% | &nbsp;&nbsp; 2/15/29 | &nbsp;&nbsp; 2590000<br>| &nbsp;&nbsp;&nbsp; 2612061<br>|
| &nbsp;&nbsp;&nbsp; MPLX LP, Senior Notes | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 4/15/38 | &nbsp;&nbsp; 1340000<br>| &nbsp;&nbsp;&nbsp; 1204758<br>|
| &nbsp;&nbsp;&nbsp; MPLX LP, Senior Notes | &nbsp;&nbsp; 4.700% | &nbsp;&nbsp; 4/15/48 | &nbsp;&nbsp; 1470000<br>| &nbsp;&nbsp;&nbsp; 1195835<br>|
| &nbsp;&nbsp;&nbsp; Occidental Petroleum Corp., Senior Notes | &nbsp;&nbsp; 3.200% | &nbsp;&nbsp; 8/15/26 | &nbsp;&nbsp; 2617000<br>| &nbsp;&nbsp;&nbsp; 2604873<br>|
| &nbsp;&nbsp;&nbsp; Occidental Petroleum Corp., Senior Notes | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 2/15/27 | &nbsp;&nbsp; 3630000<br>| &nbsp;&nbsp;&nbsp; 3587676<br>|
| &nbsp;&nbsp;&nbsp; Occidental Petroleum Corp., Senior Notes | &nbsp;&nbsp; 7.500% | &nbsp;&nbsp; 5/1/31 | &nbsp;&nbsp; 1130000<br>| &nbsp;&nbsp;&nbsp; 1258236<br>|
| &nbsp;&nbsp;&nbsp; Occidental Petroleum Corp., Senior Notes | &nbsp;&nbsp; 7.875% | &nbsp;&nbsp; 9/15/31 | &nbsp;&nbsp; 3792000<br>| &nbsp;&nbsp;&nbsp; 4315975<br>|
| &nbsp;&nbsp;&nbsp; Occidental Petroleum Corp., Senior Notes | &nbsp;&nbsp; 6.450% | &nbsp;&nbsp; 9/15/36 | &nbsp;&nbsp; 1275000<br>| &nbsp;&nbsp;&nbsp; 1363133<br>|
| &nbsp;&nbsp;&nbsp; Occidental Petroleum Corp., Senior Notes | &nbsp;&nbsp; 4.200% | &nbsp;&nbsp; 3/15/48 | &nbsp;&nbsp; 1530000<br>| &nbsp;&nbsp;&nbsp; 1151133<br>|
| &nbsp;&nbsp;&nbsp; ONEOK Inc., Senior Notes | &nbsp;&nbsp; 5.800% | &nbsp;&nbsp; 11/1/30 | &nbsp;&nbsp; 2410000<br>| &nbsp;&nbsp;&nbsp; 2509081<br>|
| &nbsp;&nbsp;&nbsp; ONEOK Inc., Senior Notes | &nbsp;&nbsp; 6.050% | &nbsp;&nbsp; 9/1/33 | &nbsp;&nbsp; 580000<br>| &nbsp;&nbsp;&nbsp; 608378<br>|
| &nbsp;&nbsp;&nbsp; ONEOK Inc., Senior Notes | &nbsp;&nbsp; 6.625% | &nbsp;&nbsp; 9/1/53 | &nbsp;&nbsp; 570000<br>| &nbsp;&nbsp;&nbsp; 585474<br>|
| &nbsp;&nbsp;&nbsp; Permian Resources Operating LLC, Senior Notes | &nbsp;&nbsp; 6.250% | &nbsp;&nbsp; 2/1/33 | &nbsp;&nbsp; 2360000<br>| &nbsp;&nbsp;&nbsp; 2405609<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Pioneer Natural Resources Co., Senior Notes | &nbsp;&nbsp; 2.150% | &nbsp;&nbsp; 1/15/31 | &nbsp;&nbsp; 1610000<br>| &nbsp;&nbsp;&nbsp; 1451292<br>|
| &nbsp;&nbsp;&nbsp; Reliance Industries Ltd., Senior Notes | &nbsp;&nbsp; 3.625% | &nbsp;&nbsp; 1/12/52 | &nbsp;&nbsp; 3820000<br>| &nbsp;&nbsp;&nbsp; 2701943<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Southern Natural Gas Co. LLC, Senior Notes | &nbsp;&nbsp; 8.000% | &nbsp;&nbsp; 3/1/32 | &nbsp;&nbsp; 2503000<br>| &nbsp;&nbsp;&nbsp; 2861439<br>|
| &nbsp;&nbsp;&nbsp; Targa Resources Corp., Senior Notes | &nbsp;&nbsp; 4.950% | &nbsp;&nbsp; 4/15/52 | &nbsp;&nbsp; 2370000<br>| &nbsp;&nbsp;&nbsp; 1986439<br>|
| &nbsp;&nbsp;&nbsp; Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior <br> Notes | &nbsp;&nbsp; 4.875% | &nbsp;&nbsp; 2/1/31 | &nbsp;&nbsp; 2045000<br>| &nbsp;&nbsp;&nbsp; 2042573<br>|
| &nbsp;&nbsp;&nbsp; Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior <br> Notes | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 1/15/32 | &nbsp;&nbsp; 190000<br>| &nbsp;&nbsp;&nbsp; 180148<br>|
| &nbsp;&nbsp;&nbsp; Tennessee Gas Pipeline Co. LLC, Senior Notes | &nbsp;&nbsp; 2.900% | &nbsp;&nbsp; 3/1/30 | &nbsp;&nbsp; 2350000<br>| &nbsp;&nbsp;&nbsp; 2202625<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Venture Global LNG Inc., Senior Secured Notes | &nbsp;&nbsp; 7.000% | &nbsp;&nbsp; 1/15/30 | &nbsp;&nbsp; 2100000<br>| &nbsp;&nbsp;&nbsp; 2145272<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Venture Global Plaquemines LNG LLC, Senior Secured Notes | &nbsp;&nbsp; 6.500% | &nbsp;&nbsp; 6/15/34 | &nbsp;&nbsp; 1130000<br>| &nbsp;&nbsp;&nbsp; 1176988<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Venture Global Plaquemines LNG LLC, Senior Secured Notes | &nbsp;&nbsp; 6.750% | &nbsp;&nbsp; 1/15/36 | &nbsp;&nbsp; 5240000<br>| &nbsp;&nbsp;&nbsp; 5553362<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Viper Energy Partners LLC, Senior Notes | &nbsp;&nbsp; 5.700% | &nbsp;&nbsp; 8/1/35 | &nbsp;&nbsp; 1870000<br>| &nbsp;&nbsp;&nbsp; 1885717<br>|
| &nbsp;&nbsp;&nbsp; Western Midstream Operating LP, Senior Notes | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 3/1/28 | &nbsp;&nbsp; 413000<br>| &nbsp;&nbsp;&nbsp; 413370<br>|
| &nbsp;&nbsp;&nbsp; Western Midstream Operating LP, Senior Notes | &nbsp;&nbsp; 4.050% | &nbsp;&nbsp; 2/1/30 | &nbsp;&nbsp; 2935000<br>| &nbsp;&nbsp;&nbsp; 2851047<br>|
| &nbsp;&nbsp;&nbsp; Williams Cos. Inc., Senior Notes | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 11/15/30 | &nbsp;&nbsp; 760000<br>| &nbsp;&nbsp;&nbsp; 722555<br>|
| &nbsp;&nbsp;&nbsp; Williams Cos. Inc., Senior Notes | &nbsp;&nbsp; 7.750% | &nbsp;&nbsp; 6/15/31 | &nbsp;&nbsp; 5348000<br>| &nbsp;&nbsp;&nbsp; 6058419<br>|

---

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2026 Quarterly Report

------

 **Western Asset Core Plus Bond Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount†<br>| Value |
| *Oil, Gas & Consumable Fuels — continued* | *Oil, Gas & Consumable Fuels — continued* | *Oil, Gas & Consumable Fuels — continued* | *Oil, Gas & Consumable Fuels — continued* | *Oil, Gas & Consumable Fuels — continued* |
| &nbsp;&nbsp;&nbsp; Williams Cos. Inc., Senior Notes | &nbsp;&nbsp; 8.750% | &nbsp;&nbsp; 3/15/32 | &nbsp;&nbsp; 985000<br>| &nbsp;&nbsp;&nbsp; $1170299<br>|
| &nbsp;&nbsp;&nbsp; Williams Cos. Inc., Senior Notes | &nbsp;&nbsp; 5.150% | &nbsp;&nbsp; 3/15/34 | &nbsp;&nbsp; 2520000<br>| &nbsp;&nbsp;&nbsp; 2524213<br>|
| *Total Oil, Gas & Consumable Fuels* | *Total Oil, Gas & Consumable Fuels* | *Total Oil, Gas & Consumable Fuels* | *Total Oil, Gas & Consumable Fuels* | &nbsp;&nbsp; *171587713* |
| **Total Energy** | **Total Energy** | **Total Energy** | **Total Energy** | &nbsp;&nbsp; **173125064** |
| **Financials — 9.8%** | **Financials — 9.8%** | **Financials — 9.8%** | **Financials — 9.8%** | **Financials — 9.8%** |
| *Banks — 6.2%* | *Banks — 6.2%* | *Banks — 6.2%* | *Banks — 6.2%* | *Banks — 6.2%* |
| &nbsp;&nbsp;&nbsp; BAC Capital Trust XIV, Ltd. GTD (3 mo. Term SOFR + 0.662%) | &nbsp;&nbsp; 4.336% | &nbsp;&nbsp; 4/15/26 | &nbsp;&nbsp; 7226000<br>| &nbsp;&nbsp;&nbsp; 5844064<br> <sup>(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Banco Santander SA, Senior Notes | &nbsp;&nbsp; 4.551% | &nbsp;&nbsp; 11/6/30 | &nbsp;&nbsp; 5800000<br>| &nbsp;&nbsp;&nbsp; 5719412<br>|
| &nbsp;&nbsp;&nbsp; Bank of America Corp., Senior Notes | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 1/21/44 | &nbsp;&nbsp; 2270000<br>| &nbsp;&nbsp;&nbsp; 2113580<br>|
| &nbsp;&nbsp;&nbsp; Bank of America Corp., Senior Notes (2.572% to 10/20/31 then SOFR + 1.210%) | &nbsp;&nbsp; 2.572% | &nbsp;&nbsp; 10/20/32 | &nbsp;&nbsp; 1060000<br>| &nbsp;&nbsp;&nbsp; 943455<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Bank of America Corp., Senior Notes (2.592% to 4/29/30 then SOFR + 2.150%) | &nbsp;&nbsp; 2.592% | &nbsp;&nbsp; 4/29/31 | &nbsp;&nbsp; 8720000<br>| &nbsp;&nbsp;&nbsp; 8058109<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Bank of America Corp., Senior Notes (3.419% to 12/20/27 then 3 mo. Term SOFR <br> + 1.302%) | &nbsp;&nbsp; 3.419% | &nbsp;&nbsp; 12/20/28 | &nbsp;&nbsp; 7641000<br>| &nbsp;&nbsp;&nbsp; 7508980<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Bank of America Corp., Senior Notes (3.970% to 3/5/28 then 3 mo. Term SOFR + <br> 1.332%) | &nbsp;&nbsp; 3.970% | &nbsp;&nbsp; 3/5/29 | &nbsp;&nbsp; 4810000<br>| &nbsp;&nbsp;&nbsp; 4767928<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Bank of America Corp., Senior Notes (4.083% to 3/20/50 then 3 mo. Term SOFR + <br> 3.412%) | &nbsp;&nbsp; 4.083% | &nbsp;&nbsp; 3/20/51 | &nbsp;&nbsp; 6570000<br>| &nbsp;&nbsp;&nbsp; 5085464<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Bank of America Corp., Senior Notes (4.330% to 3/15/49 then 3 mo. Term SOFR + <br> 1.782%) | &nbsp;&nbsp; 4.330% | &nbsp;&nbsp; 3/15/50 | &nbsp;&nbsp; 2690000<br>| &nbsp;&nbsp;&nbsp; 2182472<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Bank of America Corp., Senior Notes (4.376% to 4/27/27 then SOFR + 1.580%) | &nbsp;&nbsp; 4.376% | &nbsp;&nbsp; 4/27/28 | &nbsp;&nbsp; 620000<br>| &nbsp;&nbsp;&nbsp; 619646<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Bank of America Corp., Senior Notes (4.571% to 4/27/32 then SOFR + 1.830%) | &nbsp;&nbsp; 4.571% | &nbsp;&nbsp; 4/27/33 | &nbsp;&nbsp; 6660000<br>| &nbsp;&nbsp;&nbsp; 6546431<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Bank of Montreal, Subordinated Notes (3.803% to 12/15/27 then USD 5 year ICE <br> Swap Rate + 1.432%) | &nbsp;&nbsp; 3.803% | &nbsp;&nbsp; 12/15/32 | &nbsp;&nbsp; 10000<br>| &nbsp;&nbsp;&nbsp; 9844<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Barclays PLC, Subordinated Notes (5.088% to 6/20/29 then 3 mo. USD LIBOR + <br> 3.054%) | &nbsp;&nbsp; 5.088% | &nbsp;&nbsp; 6/20/30 | &nbsp;&nbsp; 2290000<br>| &nbsp;&nbsp;&nbsp; 2298252<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BNP Paribas SA, Junior Subordinated Notes (8.000% to 8/22/31 then 5 year <br> Treasury Constant Maturity Rate + 3.727%) | &nbsp;&nbsp; 8.000% | &nbsp;&nbsp; 8/22/31 | &nbsp;&nbsp; 3110000<br>| &nbsp;&nbsp;&nbsp; 3240984<br> <sup>(a)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BNP Paribas SA, Junior Subordinated Notes (8.500% to 8/14/28 then 5 year <br> Treasury Constant Maturity Rate + 4.354%) | &nbsp;&nbsp; 8.500% | &nbsp;&nbsp; 8/14/28 | &nbsp;&nbsp; 7380000<br>| &nbsp;&nbsp;&nbsp; 7694366<br> <sup>(a)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BNP Paribas SA, Senior Notes | &nbsp;&nbsp; 4.400% | &nbsp;&nbsp; 8/14/28 | &nbsp;&nbsp; 3970000<br>| &nbsp;&nbsp;&nbsp; 3954219<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; BNP Paribas SA, Senior Notes (5.125% to 1/13/28 then 1 year Treasury Constant <br> Maturity Rate + 1.450%) | &nbsp;&nbsp; 5.125% | &nbsp;&nbsp; 1/13/29 | &nbsp;&nbsp; 3510000<br>| &nbsp;&nbsp;&nbsp; 3547111<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BNP Paribas SA, Senior Notes (5.198% to 1/10/29 then 3 mo. Term SOFR + <br> 2.829%) | &nbsp;&nbsp; 5.198% | &nbsp;&nbsp; 1/10/30 | &nbsp;&nbsp; 829000<br>| &nbsp;&nbsp;&nbsp; 841060<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BNP Paribas SA, Senior Notes (5.894% to 12/5/33 then SOFR + 1.866%) | &nbsp;&nbsp; 5.894% | &nbsp;&nbsp; 12/5/34 | &nbsp;&nbsp; 8945000<br>| &nbsp;&nbsp;&nbsp; 9361736<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; CaixaBank SA, Senior Notes (4.885% to 7/3/30 then SOFR + 1.360%) | &nbsp;&nbsp; 4.885% | &nbsp;&nbsp; 7/3/31 | &nbsp;&nbsp; 4710000<br>| &nbsp;&nbsp;&nbsp; 4717257<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Citigroup Inc., Junior Subordinated Notes (6.625% to 2/15/31 then 5 year <br> Treasury Constant Maturity Rate + 3.001%) | &nbsp;&nbsp; 6.625% | &nbsp;&nbsp; 2/15/31 | &nbsp;&nbsp; 5020000<br>| &nbsp;&nbsp;&nbsp; 5027180<br> <sup>(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Citigroup Inc., Senior Notes | &nbsp;&nbsp; 8.125% | &nbsp;&nbsp; 7/15/39 | &nbsp;&nbsp; 1915000<br>| &nbsp;&nbsp;&nbsp; 2386601<br>|
| &nbsp;&nbsp;&nbsp; Citigroup Inc., Senior Notes | &nbsp;&nbsp; 4.650% | &nbsp;&nbsp; 7/30/45 | &nbsp;&nbsp; 2462000<br>| &nbsp;&nbsp;&nbsp; 2159026<br>|
| &nbsp;&nbsp;&nbsp; Citigroup Inc., Senior Notes | &nbsp;&nbsp; 4.650% | &nbsp;&nbsp; 7/23/48 | &nbsp;&nbsp; 1230000<br>| &nbsp;&nbsp;&nbsp; 1041716<br>|
| &nbsp;&nbsp;&nbsp; Citigroup Inc., Senior Notes (2.561% to 5/1/31 then SOFR + 1.167%) | &nbsp;&nbsp; 2.561% | &nbsp;&nbsp; 5/1/32 | &nbsp;&nbsp; 5320000<br>| &nbsp;&nbsp;&nbsp; 4760882<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Citigroup Inc., Senior Notes (3.520% to 10/27/27 then 3 mo. Term SOFR + <br> 1.413%) | &nbsp;&nbsp; 3.520% | &nbsp;&nbsp; 10/27/28 | &nbsp;&nbsp; 6280000<br>| &nbsp;&nbsp;&nbsp; 6188184<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Citigroup Inc., Senior Notes (3.980% to 3/20/29 then 3 mo. Term SOFR + 1.600%) | &nbsp;&nbsp; 3.980% | &nbsp;&nbsp; 3/20/30 | &nbsp;&nbsp; 7640000<br>| &nbsp;&nbsp;&nbsp; 7518549<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Citigroup Inc., Senior Notes (4.412% to 3/31/30 then SOFR + 3.914%) | &nbsp;&nbsp; 4.412% | &nbsp;&nbsp; 3/31/31 | &nbsp;&nbsp; 5260000<br>| &nbsp;&nbsp;&nbsp; 5201117<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Citigroup Inc., Senior Notes (4.910% to 5/24/32 then SOFR + 2.086%) | &nbsp;&nbsp; 4.910% | &nbsp;&nbsp; 5/24/33 | &nbsp;&nbsp; 670000<br>| &nbsp;&nbsp;&nbsp; 667280<br> <sup>(d)</sup><br>|

---

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2026 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

March 31, 2026

 **Western Asset Core Plus Bond Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount†<br>| Value |
| *Banks — continued* | *Banks — continued* | *Banks — continued* | *Banks — continued* | *Banks — continued* |
| &nbsp;&nbsp;&nbsp; Citigroup Inc., Subordinated Notes | &nbsp;&nbsp; 4.450% | &nbsp;&nbsp; 9/29/27 | &nbsp;&nbsp; 4150000<br>| &nbsp;&nbsp;&nbsp; $4151088<br>|
| &nbsp;&nbsp;&nbsp; Cooperatieve Rabobank UA, Senior Notes (3.649% to 4/6/27 then 1 year Treasury <br> Constant Maturity Rate + 1.220%) | &nbsp;&nbsp; 3.649% | &nbsp;&nbsp; 4/6/28 | &nbsp;&nbsp; 960000<br>| &nbsp;&nbsp;&nbsp; 951440<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Cooperatieve Rabobank UA, Senior Notes (3.758% to 4/6/32 then 1 year Treasury <br> Constant Maturity Rate + 1.420%) | &nbsp;&nbsp; 3.758% | &nbsp;&nbsp; 4/6/33 | &nbsp;&nbsp; 5210000<br>| &nbsp;&nbsp;&nbsp; 4881660<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Credit Agricole SA, Senior Notes (4.818% to 9/25/32 then SOFR + 1.360%) | &nbsp;&nbsp; 4.818% | &nbsp;&nbsp; 9/25/33 | &nbsp;&nbsp; 3360000<br>| &nbsp;&nbsp;&nbsp; 3292947<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Credit Agricole SA, Subordinated Notes (4.000% to 1/10/28 then USD 5 year ICE <br> Swap Rate + 1.644%) | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 1/10/33 | &nbsp;&nbsp; 330000<br>| &nbsp;&nbsp;&nbsp; 324682<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Danske Bank A/S, Senior Notes (4.298% to 4/1/27 then 1 year Treasury Constant <br> Maturity Rate + 1.750%) | &nbsp;&nbsp; 4.298% | &nbsp;&nbsp; 4/1/28 | &nbsp;&nbsp; 250000<br>| &nbsp;&nbsp;&nbsp; 249671<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; HSBC Holdings PLC, Senior Notes (5.279% to 3/10/36 then SOFR + 1.550%) | &nbsp;&nbsp; 5.279% | &nbsp;&nbsp; 3/10/37 | &nbsp;&nbsp; 3940000<br>| &nbsp;&nbsp;&nbsp; 3870707<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; HSBC Holdings PLC, Subordinated Notes (4.762% to 3/29/32 then SOFR + <br> 2.530%) | &nbsp;&nbsp; 4.762% | &nbsp;&nbsp; 3/29/33 | &nbsp;&nbsp; 6190000<br>| &nbsp;&nbsp;&nbsp; 6037654<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; JPMorgan Chase & Co., Senior Notes (1.953% to 2/4/31 then SOFR + 1.065%) | &nbsp;&nbsp; 1.953% | &nbsp;&nbsp; 2/4/32 | &nbsp;&nbsp; 6960000<br>| &nbsp;&nbsp;&nbsp; 6130159<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; JPMorgan Chase & Co., Senior Notes (2.522% to 4/22/30 then SOFR + 2.040%) | &nbsp;&nbsp; 2.522% | &nbsp;&nbsp; 4/22/31 | &nbsp;&nbsp; 6130000<br>| &nbsp;&nbsp;&nbsp; 5666257<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; JPMorgan Chase & Co., Senior Notes (3.109% to 4/22/40 then 3 mo. Term SOFR <br> + 2.460%) | &nbsp;&nbsp; 3.109% | &nbsp;&nbsp; 4/22/41 | &nbsp;&nbsp; 5150000<br>| &nbsp;&nbsp;&nbsp; 3930130<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; JPMorgan Chase & Co., Senior Notes (3.109% to 4/22/50 then SOFR + 2.440%) | &nbsp;&nbsp; 3.109% | &nbsp;&nbsp; 4/22/51 | &nbsp;&nbsp; 1420000<br>| &nbsp;&nbsp;&nbsp; 927707<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; JPMorgan Chase & Co., Senior Notes (4.493% to 3/24/30 then 3 mo. Term SOFR <br> + 3.790%) | &nbsp;&nbsp; 4.493% | &nbsp;&nbsp; 3/24/31 | &nbsp;&nbsp; 4150000<br>| &nbsp;&nbsp;&nbsp; 4128884<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; JPMorgan Chase & Co., Subordinated Notes (5.576% to 7/23/35 then SOFR + <br> 1.635%) | &nbsp;&nbsp; 5.576% | &nbsp;&nbsp; 7/23/36 | &nbsp;&nbsp; 4410000<br>| &nbsp;&nbsp;&nbsp; 4467645<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; PNC Financial Services Group Inc., Senior Notes (5.582% to 6/12/28 then SOFR + <br> 1.841%) | &nbsp;&nbsp; 5.582% | &nbsp;&nbsp; 6/12/29 | &nbsp;&nbsp; 4620000<br>| &nbsp;&nbsp;&nbsp; 4734957<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Royal Bank of Canada, Senior Notes | &nbsp;&nbsp; 3.875% | &nbsp;&nbsp; 5/4/32 | &nbsp;&nbsp; 1770000<br>| &nbsp;&nbsp;&nbsp; 1700042<br>|
| &nbsp;&nbsp;&nbsp; Royal Bank of Canada, Senior Notes | &nbsp;&nbsp; 5.150% | &nbsp;&nbsp; 2/1/34 | &nbsp;&nbsp; 1960000<br>| &nbsp;&nbsp;&nbsp; 2004706<br>|
| &nbsp;&nbsp;&nbsp; Santander UK Group Holdings PLC, Senior Notes (5.136% to 9/22/35 then SOFR + <br> 1.578%) | &nbsp;&nbsp; 5.136% | &nbsp;&nbsp; 9/22/36 | &nbsp;&nbsp; 2300000<br>| &nbsp;&nbsp;&nbsp; 2221854<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Toronto-Dominion Bank, Senior Notes | &nbsp;&nbsp; 4.456% | &nbsp;&nbsp; 6/8/32 | &nbsp;&nbsp; 1490000<br>| &nbsp;&nbsp;&nbsp; 1465673<br>|
| &nbsp;&nbsp;&nbsp; Truist Bank, Subordinated Notes (4.632% to 9/17/29 then 5 year Treasury <br> Constant Maturity Rate + 1.150%) | &nbsp;&nbsp; 4.632% | &nbsp;&nbsp; 9/17/29 | &nbsp;&nbsp; 2961000<br>| &nbsp;&nbsp;&nbsp; 2937365<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Truist Financial Corp., Senior Notes (6.047% to 6/8/26 then SOFR + 2.050%) | &nbsp;&nbsp; 6.047% | &nbsp;&nbsp; 6/8/27 | &nbsp;&nbsp; 90000<br>| &nbsp;&nbsp;&nbsp; 90231<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; US Bancorp, Senior Notes (5.775% to 6/12/28 then SOFR + 2.020%) | &nbsp;&nbsp; 5.775% | &nbsp;&nbsp; 6/12/29 | &nbsp;&nbsp; 3240000<br>| &nbsp;&nbsp;&nbsp; 3333125<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; US Bancorp, Senior Notes (5.836% to 6/10/33 then SOFR + 2.260%) | &nbsp;&nbsp; 5.836% | &nbsp;&nbsp; 6/12/34 | &nbsp;&nbsp; 2350000<br>| &nbsp;&nbsp;&nbsp; 2453744<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Wells Fargo & Co., Senior Notes | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 10/23/26 | &nbsp;&nbsp; 2330000<br>| &nbsp;&nbsp;&nbsp; 2314285<br>|
| &nbsp;&nbsp;&nbsp; Wells Fargo & Co., Senior Notes | &nbsp;&nbsp; 4.150% | &nbsp;&nbsp; 1/24/29 | &nbsp;&nbsp; 3180000<br>| &nbsp;&nbsp;&nbsp; 3162850<br>|
| &nbsp;&nbsp;&nbsp; Wells Fargo & Co., Senior Notes (2.393% to 6/2/27 then SOFR + 2.100%) | &nbsp;&nbsp; 2.393% | &nbsp;&nbsp; 6/2/28 | &nbsp;&nbsp; 5400000<br>| &nbsp;&nbsp;&nbsp; 5271612<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Wells Fargo & Co., Senior Notes (2.879% to 10/30/29 then 3 mo. Term SOFR + <br> 1.432%) | &nbsp;&nbsp; 2.879% | &nbsp;&nbsp; 10/30/30 | &nbsp;&nbsp; 3860000<br>| &nbsp;&nbsp;&nbsp; 3642438<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Wells Fargo & Co., Senior Notes (3.350% to 3/2/32 then SOFR + 1.500%) | &nbsp;&nbsp; 3.350% | &nbsp;&nbsp; 3/2/33 | &nbsp;&nbsp; 5770000<br>| &nbsp;&nbsp;&nbsp; 5299535<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Wells Fargo & Co., Senior Notes (4.478% to 4/4/30 then 3 mo. Term SOFR + <br> 4.032%) | &nbsp;&nbsp; 4.478% | &nbsp;&nbsp; 4/4/31 | &nbsp;&nbsp; 6620000<br>| &nbsp;&nbsp;&nbsp; 6564759<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Wells Fargo & Co., Senior Notes (5.013% to 4/4/50 then 3 mo. Term SOFR + <br> 4.502%) | &nbsp;&nbsp; 5.013% | &nbsp;&nbsp; 4/4/51 | &nbsp;&nbsp; 12190000<br>| &nbsp;&nbsp;&nbsp; 10748921<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Wells Fargo & Co., Senior Notes (5.557% to 7/25/33 then SOFR + 1.990%) | &nbsp;&nbsp; 5.557% | &nbsp;&nbsp; 7/25/34 | &nbsp;&nbsp; 1180000<br>| &nbsp;&nbsp;&nbsp; 1209717<br> <sup>(d)</sup><br>|
| *Total Banks* | *Total Banks* | *Total Banks* | *Total Banks* | &nbsp;&nbsp; *228171350* |
| *Capital Markets — 2.4%* | *Capital Markets — 2.4%* | *Capital Markets — 2.4%* | *Capital Markets — 2.4%* | *Capital Markets — 2.4%* |
| &nbsp;&nbsp;&nbsp; Charles Schwab Corp., Senior Notes (6.136% to 8/24/33 then SOFR + 2.010%) | &nbsp;&nbsp; 6.136% | &nbsp;&nbsp; 8/24/34 | &nbsp;&nbsp; 2110000<br>| &nbsp;&nbsp;&nbsp; 2246914<br> <sup>(d)</sup><br>|

---

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2026 Quarterly Report

------

 **Western Asset Core Plus Bond Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount†<br>| Value |
| *Capital Markets — continued* | *Capital Markets — continued* | *Capital Markets — continued* | *Capital Markets — continued* | *Capital Markets — continued* |
| &nbsp;&nbsp;&nbsp; CI Financial Corp., Senior Notes | &nbsp;&nbsp; 7.500% | &nbsp;&nbsp; 5/30/29 | &nbsp;&nbsp; 5360000<br>| &nbsp;&nbsp;&nbsp; $5627622<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Credit Suisse AG AT1 Claim | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 61000000<br>| &nbsp;&nbsp;&nbsp; 0<br> \*<sup>(e)(f)(g)</sup><br>|
| &nbsp;&nbsp;&nbsp; Goldman Sachs Group Inc., Senior Notes | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 11/16/26 | &nbsp;&nbsp; 3153000<br>| &nbsp;&nbsp;&nbsp; 3138276<br>|
| &nbsp;&nbsp;&nbsp; Goldman Sachs Group Inc., Senior Notes | &nbsp;&nbsp; 2.600% | &nbsp;&nbsp; 2/7/30 | &nbsp;&nbsp; 1160000<br>| &nbsp;&nbsp;&nbsp; 1079335<br>|
| &nbsp;&nbsp;&nbsp; Goldman Sachs Group Inc., Senior Notes | &nbsp;&nbsp; 6.250% | &nbsp;&nbsp; 2/1/41 | &nbsp;&nbsp; 4800000<br>| &nbsp;&nbsp;&nbsp; 5057024<br>|
| &nbsp;&nbsp;&nbsp; Goldman Sachs Group Inc., Senior Notes | &nbsp;&nbsp; 4.750% | &nbsp;&nbsp; 10/21/45 | &nbsp;&nbsp; 4434000<br>| &nbsp;&nbsp;&nbsp; 3844110<br>|
| &nbsp;&nbsp;&nbsp; Goldman Sachs Group Inc., Senior Notes (2.615% to 4/22/31 then SOFR + <br> 1.281%) | &nbsp;&nbsp; 2.615% | &nbsp;&nbsp; 4/22/32 | &nbsp;&nbsp; 7070000<br>| &nbsp;&nbsp;&nbsp; 6352903<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Goldman Sachs Group Inc., Senior Notes (2.650% to 10/21/31 then SOFR + <br> 1.264%) | &nbsp;&nbsp; 2.650% | &nbsp;&nbsp; 10/21/32 | &nbsp;&nbsp; 2000000<br>| &nbsp;&nbsp;&nbsp; 1776175<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Goldman Sachs Group Inc., Senior Notes (2.908% to 7/21/41 then SOFR + <br> 1.472%) | &nbsp;&nbsp; 2.908% | &nbsp;&nbsp; 7/21/42 | &nbsp;&nbsp; 1420000<br>| &nbsp;&nbsp;&nbsp; 1001063<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Goldman Sachs Group Inc., Senior Notes (3.210% to 4/22/41 then SOFR + <br> 1.513%) | &nbsp;&nbsp; 3.210% | &nbsp;&nbsp; 4/22/42 | &nbsp;&nbsp; 3096000<br>| &nbsp;&nbsp;&nbsp; 2297208<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Goldman Sachs Group Inc., Senior Notes (3.615% to 3/15/27 then SOFR + <br> 1.846%) | &nbsp;&nbsp; 3.615% | &nbsp;&nbsp; 3/15/28 | &nbsp;&nbsp; 5790000<br>| &nbsp;&nbsp;&nbsp; 5744695<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Goldman Sachs Group Inc., Senior Notes (3.814% to 4/23/28 then 3 mo. Term <br> SOFR + 1.420%) | &nbsp;&nbsp; 3.814% | &nbsp;&nbsp; 4/23/29 | &nbsp;&nbsp; 1765000<br>| &nbsp;&nbsp;&nbsp; 1741352<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; KKR Group Finance Co. II LLC, Senior Notes | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 2/1/43 | &nbsp;&nbsp; 908000<br>| &nbsp;&nbsp;&nbsp; 847065<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Morgan Stanley, Senior Notes (2.511% to 10/20/31 then SOFR + 1.200%) | &nbsp;&nbsp; 2.511% | &nbsp;&nbsp; 10/20/32 | &nbsp;&nbsp; 90000<br>| &nbsp;&nbsp;&nbsp; 79496<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Morgan Stanley, Senior Notes (2.699% to 1/22/30 then SOFR + 1.143%) | &nbsp;&nbsp; 2.699% | &nbsp;&nbsp; 1/22/31 | &nbsp;&nbsp; 9370000<br>| &nbsp;&nbsp;&nbsp; 8702613<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Morgan Stanley, Senior Notes (3.622% to 4/1/30 then SOFR + 3.120%) | &nbsp;&nbsp; 3.622% | &nbsp;&nbsp; 4/1/31 | &nbsp;&nbsp; 5560000<br>| &nbsp;&nbsp;&nbsp; 5333060<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Morgan Stanley, Senior Notes (3.772% to 1/24/28 then 3 mo. Term SOFR + <br> 1.402%) | &nbsp;&nbsp; 3.772% | &nbsp;&nbsp; 1/24/29 | &nbsp;&nbsp; 7533000<br>| &nbsp;&nbsp;&nbsp; 7434109<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Morgan Stanley, Senior Notes (4.431% to 1/23/29 then 3 mo. Term SOFR + <br> 1.890%) | &nbsp;&nbsp; 4.431% | &nbsp;&nbsp; 1/23/30 | &nbsp;&nbsp; 1160000<br>| &nbsp;&nbsp;&nbsp; 1155057<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Morgan Stanley, Senior Notes (4.493% to 1/16/31 then SOFR + 0.950%) | &nbsp;&nbsp; 4.493% | &nbsp;&nbsp; 1/16/32 | &nbsp;&nbsp; 3130000<br>| &nbsp;&nbsp;&nbsp; 3078277<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Morgan Stanley, Senior Notes (4.892% to 10/22/35 then SOFR + 1.314%) | &nbsp;&nbsp; 4.892% | &nbsp;&nbsp; 10/22/36 | &nbsp;&nbsp; 2720000<br>| &nbsp;&nbsp;&nbsp; 2630494<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Morgan Stanley Private Bank NA, Senior Notes (4.734% to 7/18/30 then SOFR + <br> 1.080%) | &nbsp;&nbsp; 4.734% | &nbsp;&nbsp; 7/18/31 | &nbsp;&nbsp; 2600000<br>| &nbsp;&nbsp;&nbsp; 2592445<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; UBS Group AG, Junior Subordinated Notes (7.750% to 4/12/31 then USD 5 year <br> SOFR ICE Swap Rate + 4.160%) | &nbsp;&nbsp; 7.750% | &nbsp;&nbsp; 4/12/31 | &nbsp;&nbsp; 2550000<br>| &nbsp;&nbsp;&nbsp; 2635058<br> <sup>(a)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; UBS Group AG, Junior Subordinated Notes (9.250% to 11/13/28 then 5 year <br> Treasury Constant Maturity Rate + 4.745%) | &nbsp;&nbsp; 9.250% | &nbsp;&nbsp; 11/13/28 | &nbsp;&nbsp; 7010000<br>| &nbsp;&nbsp;&nbsp; 7475851<br> <sup>(a)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; UBS Group AG, Junior Subordinated Notes (9.250% to 11/13/33 then 5 year <br> Treasury Constant Maturity Rate + 4.758%) | &nbsp;&nbsp; 9.250% | &nbsp;&nbsp; 11/13/33 | &nbsp;&nbsp; 2480000<br>| &nbsp;&nbsp;&nbsp; 2793966<br> <sup>(a)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; UBS Group AG, Senior Notes (4.194% to 4/1/30 then SOFR + 3.730%) | &nbsp;&nbsp; 4.194% | &nbsp;&nbsp; 4/1/31 | &nbsp;&nbsp; 1180000<br>| &nbsp;&nbsp;&nbsp; 1154830<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; UBS Group AG, Senior Notes (4.751% to 5/12/27 then 1 year Treasury Constant <br> Maturity Rate + 1.750%) | &nbsp;&nbsp; 4.751% | &nbsp;&nbsp; 5/12/28 | &nbsp;&nbsp; 4430000<br>| &nbsp;&nbsp;&nbsp; 4443057<br> <sup>(a)(d)</sup><br>|
| *Total Capital Markets* | *Total Capital Markets* | *Total Capital Markets* | *Total Capital Markets* | &nbsp;&nbsp; *90262055* |
| *Consumer Finance — 0.3%* | *Consumer Finance — 0.3%* | *Consumer Finance — 0.3%* | *Consumer Finance — 0.3%* | *Consumer Finance — 0.3%* |
| &nbsp;&nbsp;&nbsp; American Express Co., Senior Notes | &nbsp;&nbsp; 4.050% | &nbsp;&nbsp; 5/3/29 | &nbsp;&nbsp; 1690000<br>| &nbsp;&nbsp;&nbsp; 1683803<br>|
| &nbsp;&nbsp;&nbsp; Midcap Financial Issuer Trust, Junior Subordinated Notes (3 mo. Term SOFR + <br> 3.750%) | &nbsp;&nbsp; 7.422% | &nbsp;&nbsp; 1/15/56 | &nbsp;&nbsp; 3000000<br>| &nbsp;&nbsp;&nbsp; 2818558<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Midcap Financial Issuer Trust, Senior Notes | &nbsp;&nbsp; 5.370% | &nbsp;&nbsp; 4/15/29 | &nbsp;&nbsp; 4910000<br>| &nbsp;&nbsp;&nbsp; 4850609<br> <sup>(a)</sup><br>|
| *Total Consumer Finance* | *Total Consumer Finance* | *Total Consumer Finance* | *Total Consumer Finance* | &nbsp;&nbsp; *9352970* |
| *Financial Services — 0.7%* | *Financial Services — 0.7%* | *Financial Services — 0.7%* | *Financial Services — 0.7%* | *Financial Services — 0.7%* |
| &nbsp;&nbsp;&nbsp; AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Senior Notes | &nbsp;&nbsp; 2.450% | &nbsp;&nbsp; 10/29/26 | &nbsp;&nbsp; 12550000<br>| &nbsp;&nbsp;&nbsp; 12413763<br>|

---

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2026 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

March 31, 2026

 **Western Asset Core Plus Bond Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount†<br>| Value |
| *Financial Services — continued* | *Financial Services — continued* | *Financial Services — continued* | *Financial Services — continued* | *Financial Services — continued* |
| &nbsp;&nbsp;&nbsp; AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Senior Notes | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 10/29/28 | &nbsp;&nbsp; 5360000<br>| &nbsp;&nbsp;&nbsp; $5160808<br>|
| &nbsp;&nbsp;&nbsp; Berkshire Hathaway Energy Co., Senior Notes | &nbsp;&nbsp; 6.125% | &nbsp;&nbsp; 4/1/36 | &nbsp;&nbsp; 6000<br>| &nbsp;&nbsp;&nbsp; 6406<br>|
| &nbsp;&nbsp;&nbsp; Block Inc., Senior Notes | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 8/15/33 | &nbsp;&nbsp; 2010000<br>| &nbsp;&nbsp;&nbsp; 1978872<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; ILFC E-Capital Trust II, Ltd. GTD | &nbsp;&nbsp; 6.630% | &nbsp;&nbsp; 12/21/65 | &nbsp;&nbsp; 2870000<br>| &nbsp;&nbsp;&nbsp; 2507338<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Jane Street Group/JSG Finance Inc., Senior Secured Notes | &nbsp;&nbsp; 7.125% | &nbsp;&nbsp; 4/30/31 | &nbsp;&nbsp; 4230000<br>| &nbsp;&nbsp;&nbsp; 4350834<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Jane Street Group/JSG Finance Inc., Senior Secured Notes | &nbsp;&nbsp; 6.125% | &nbsp;&nbsp; 11/1/32 | &nbsp;&nbsp; 1120000<br>| &nbsp;&nbsp;&nbsp; 1108524<br> <sup>(a)</sup><br>|
| *Total Financial Services* | *Total Financial Services* | *Total Financial Services* | *Total Financial Services* | &nbsp;&nbsp; *27526545* |
| *Insurance — 0.2%* | *Insurance — 0.2%* | *Insurance — 0.2%* | *Insurance — 0.2%* | *Insurance — 0.2%* |
| &nbsp;&nbsp;&nbsp; Aon North America Inc., Senior Notes | &nbsp;&nbsp; 5.450% | &nbsp;&nbsp; 3/1/34 | &nbsp;&nbsp; 1870000<br>| &nbsp;&nbsp;&nbsp; 1910487<br>|
| &nbsp;&nbsp;&nbsp; Asurion LLC/Asurion Co-Issuer Inc., Senior Secured Notes | &nbsp;&nbsp; 8.000% | &nbsp;&nbsp; 12/31/32 | &nbsp;&nbsp; 1360000<br>| &nbsp;&nbsp;&nbsp; 1412072<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; MetLife Inc., Junior Subordinated Notes | &nbsp;&nbsp; 6.400% | &nbsp;&nbsp; 12/15/36 | &nbsp;&nbsp; 1593000<br>| &nbsp;&nbsp;&nbsp; 1627087<br>|
| &nbsp;&nbsp;&nbsp; Teachers Insurance & Annuity Association of America, Subordinated Notes | &nbsp;&nbsp; 4.900% | &nbsp;&nbsp; 9/15/44 | &nbsp;&nbsp; 2385000<br>| &nbsp;&nbsp;&nbsp; 2122989<br> <sup>(a)</sup><br>|
| *Total Insurance* | *Total Insurance* | *Total Insurance* | *Total Insurance* | &nbsp;&nbsp; *7072635* |
| **Total Financials** | **Total Financials** | **Total Financials** | **Total Financials** | &nbsp;&nbsp; **362385555** |
| **Health Care — 2.6%** | **Health Care — 2.6%** | **Health Care — 2.6%** | **Health Care — 2.6%** | **Health Care — 2.6%** |
| *Biotechnology — 0.3%* | *Biotechnology — 0.3%* | *Biotechnology — 0.3%* | *Biotechnology — 0.3%* | *Biotechnology — 0.3%* |
| &nbsp;&nbsp;&nbsp; AbbVie Inc., Senior Notes | &nbsp;&nbsp; 5.050% | &nbsp;&nbsp; 3/15/34 | &nbsp;&nbsp; 4370000<br>| &nbsp;&nbsp;&nbsp; 4436757<br>|
| &nbsp;&nbsp;&nbsp; AbbVie Inc., Senior Notes | &nbsp;&nbsp; 4.550% | &nbsp;&nbsp; 3/15/35 | &nbsp;&nbsp; 140000<br>| &nbsp;&nbsp;&nbsp; 135988<br>|
| &nbsp;&nbsp;&nbsp; AbbVie Inc., Senior Notes | &nbsp;&nbsp; 4.875% | &nbsp;&nbsp; 11/14/48 | &nbsp;&nbsp; 1365000<br>| &nbsp;&nbsp;&nbsp; 1224804<br>|
| &nbsp;&nbsp;&nbsp; AbbVie Inc., Senior Notes | &nbsp;&nbsp; 4.250% | &nbsp;&nbsp; 11/21/49 | &nbsp;&nbsp; 1696000<br>| &nbsp;&nbsp;&nbsp; 1377644<br>|
| &nbsp;&nbsp;&nbsp; Gilead Sciences Inc., Senior Notes | &nbsp;&nbsp; 4.750% | &nbsp;&nbsp; 3/1/46 | &nbsp;&nbsp; 3525000<br>| &nbsp;&nbsp;&nbsp; 3125861<br>|
| *Total Biotechnology* | *Total Biotechnology* | *Total Biotechnology* | *Total Biotechnology* | &nbsp;&nbsp; *10301054* |
| *Health Care Equipment & Supplies — 0.4%* | *Health Care Equipment & Supplies — 0.4%* | *Health Care Equipment & Supplies — 0.4%* | *Health Care Equipment & Supplies — 0.4%* | *Health Care Equipment & Supplies — 0.4%* |
| &nbsp;&nbsp;&nbsp; Abbott Laboratories, Senior Notes | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 3/15/31 | &nbsp;&nbsp; 1100000<br>| &nbsp;&nbsp;&nbsp; 1082815<br>|
| &nbsp;&nbsp;&nbsp; Abbott Laboratories, Senior Notes | &nbsp;&nbsp; 4.300% | &nbsp;&nbsp; 3/15/33 | &nbsp;&nbsp; 2400000<br>| &nbsp;&nbsp;&nbsp; 2349472<br>|
| &nbsp;&nbsp;&nbsp; Abbott Laboratories, Senior Notes | &nbsp;&nbsp; 4.750% | &nbsp;&nbsp; 3/15/38 | &nbsp;&nbsp; 1180000<br>| &nbsp;&nbsp;&nbsp; 1144767<br>|
| &nbsp;&nbsp;&nbsp; Abbott Laboratories, Senior Notes | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 3/15/56 | &nbsp;&nbsp; 910000<br>| &nbsp;&nbsp;&nbsp; 892925<br>|
| &nbsp;&nbsp;&nbsp; Solventum Corp., Senior Notes | &nbsp;&nbsp; 5.400% | &nbsp;&nbsp; 3/1/29 | &nbsp;&nbsp; 1617000<br>| &nbsp;&nbsp;&nbsp; 1654380<br>|
| &nbsp;&nbsp;&nbsp; Solventum Corp., Senior Notes | &nbsp;&nbsp; 5.450% | &nbsp;&nbsp; 3/13/31 | &nbsp;&nbsp; 3300000<br>| &nbsp;&nbsp;&nbsp; 3386578<br>|
| &nbsp;&nbsp;&nbsp; Solventum Corp., Senior Notes | &nbsp;&nbsp; 5.600% | &nbsp;&nbsp; 3/23/34 | &nbsp;&nbsp; 4410000<br>| &nbsp;&nbsp;&nbsp; 4509794<br>|
| &nbsp;&nbsp;&nbsp; Solventum Corp., Senior Notes | &nbsp;&nbsp; 5.900% | &nbsp;&nbsp; 4/30/54 | &nbsp;&nbsp; 1666000<br>| &nbsp;&nbsp;&nbsp; 1628960<br>|
| *Total Health Care Equipment & Supplies* | *Total Health Care Equipment & Supplies* | *Total Health Care Equipment & Supplies* | *Total Health Care Equipment & Supplies* | &nbsp;&nbsp; *16649691* |
| *Health Care Providers & Services — 1.1%* | *Health Care Providers & Services — 1.1%* | *Health Care Providers & Services — 1.1%* | *Health Care Providers & Services — 1.1%* | *Health Care Providers & Services — 1.1%* |
| &nbsp;&nbsp;&nbsp; Centene Corp., Senior Notes | &nbsp;&nbsp; 3.375% | &nbsp;&nbsp; 2/15/30 | &nbsp;&nbsp; 1160000<br>| &nbsp;&nbsp;&nbsp; 1048591<br>|
| &nbsp;&nbsp;&nbsp; Cigna Group, Senior Notes | &nbsp;&nbsp; 4.375% | &nbsp;&nbsp; 10/15/28 | &nbsp;&nbsp; 2680000<br>| &nbsp;&nbsp;&nbsp; 2678308<br>|
| &nbsp;&nbsp;&nbsp; Cigna Group, Senior Notes | &nbsp;&nbsp; 4.800% | &nbsp;&nbsp; 8/15/38 | &nbsp;&nbsp; 1962000<br>| &nbsp;&nbsp;&nbsp; 1845672<br>|
| &nbsp;&nbsp;&nbsp; CommonSpirit Health, Secured Notes | &nbsp;&nbsp; 4.350% | &nbsp;&nbsp; 11/1/42 | &nbsp;&nbsp; 410000<br>| &nbsp;&nbsp;&nbsp; 349093<br>|
| &nbsp;&nbsp;&nbsp; CVS Health Corp., Senior Notes | &nbsp;&nbsp; 4.300% | &nbsp;&nbsp; 3/25/28 | &nbsp;&nbsp; 1660000<br>| &nbsp;&nbsp;&nbsp; 1654463<br>|
| &nbsp;&nbsp;&nbsp; CVS Health Corp., Senior Notes | &nbsp;&nbsp; 2.125% | &nbsp;&nbsp; 9/15/31 | &nbsp;&nbsp; 660000<br>| &nbsp;&nbsp;&nbsp; 572501<br>|
| &nbsp;&nbsp;&nbsp; CVS Health Corp., Senior Notes | &nbsp;&nbsp; 4.125% | &nbsp;&nbsp; 4/1/40 | &nbsp;&nbsp; 1673000<br>| &nbsp;&nbsp;&nbsp; 1397693<br>|
| &nbsp;&nbsp;&nbsp; CVS Health Corp., Senior Notes | &nbsp;&nbsp; 5.125% | &nbsp;&nbsp; 7/20/45 | &nbsp;&nbsp; 2580000<br>| &nbsp;&nbsp;&nbsp; 2266802<br>|
| &nbsp;&nbsp;&nbsp; CVS Pass-Through Trust, Secured Trust | &nbsp;&nbsp; 6.036% | &nbsp;&nbsp; 12/10/28 | &nbsp;&nbsp; 1998501<br>| &nbsp;&nbsp;&nbsp; 2017643<br>|
| &nbsp;&nbsp;&nbsp; Elevance Health Inc., Senior Notes | &nbsp;&nbsp; 4.100% | &nbsp;&nbsp; 5/15/32 | &nbsp;&nbsp; 3100000<br>| &nbsp;&nbsp;&nbsp; 2977706<br>|
| &nbsp;&nbsp;&nbsp; HCA Inc., Senior Notes | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 6/15/47 | &nbsp;&nbsp; 920000<br>| &nbsp;&nbsp;&nbsp; 843949<br>|
| &nbsp;&nbsp;&nbsp; HCA Inc., Senior Notes | &nbsp;&nbsp; 7.500% | &nbsp;&nbsp; 11/15/95 | &nbsp;&nbsp; 8000000<br>| &nbsp;&nbsp;&nbsp; 8524810<br>|
| &nbsp;&nbsp;&nbsp; Humana Inc., Senior Notes | &nbsp;&nbsp; 3.950% | &nbsp;&nbsp; 3/15/27 | &nbsp;&nbsp; 10000<br>| &nbsp;&nbsp;&nbsp; 9958<br>|

---

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2026 Quarterly Report

------

 **Western Asset Core Plus Bond Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount†<br>| Value |
| *Health Care Providers & Services — continued* | *Health Care Providers & Services — continued* | *Health Care Providers & Services — continued* | *Health Care Providers & Services — continued* | *Health Care Providers & Services — continued* |
| &nbsp;&nbsp;&nbsp; Humana Inc., Senior Notes | &nbsp;&nbsp; 2.150% | &nbsp;&nbsp; 2/3/32 | &nbsp;&nbsp; 3750000<br>| &nbsp;&nbsp;&nbsp; $3211798<br>|
| &nbsp;&nbsp;&nbsp; UnitedHealth Group Inc., Senior Notes | &nbsp;&nbsp; 2.000% | &nbsp;&nbsp; 5/15/30 | &nbsp;&nbsp; 5070000<br>| &nbsp;&nbsp;&nbsp; 4591370<br>|
| &nbsp;&nbsp;&nbsp; UnitedHealth Group Inc., Senior Notes | &nbsp;&nbsp; 4.200% | &nbsp;&nbsp; 5/15/32 | &nbsp;&nbsp; 630000<br>| &nbsp;&nbsp;&nbsp; 614334<br>|
| &nbsp;&nbsp;&nbsp; UnitedHealth Group Inc., Senior Notes | &nbsp;&nbsp; 2.900% | &nbsp;&nbsp; 5/15/50 | &nbsp;&nbsp; 1080000<br>| &nbsp;&nbsp;&nbsp; 672920<br>|
| &nbsp;&nbsp;&nbsp; UnitedHealth Group Inc., Senior Notes | &nbsp;&nbsp; 3.875% | &nbsp;&nbsp; 8/15/59 | &nbsp;&nbsp; 4755000<br>| &nbsp;&nbsp;&nbsp; 3320741<br>|
| &nbsp;&nbsp;&nbsp; UnitedHealth Group Inc., Senior Notes | &nbsp;&nbsp; 3.125% | &nbsp;&nbsp; 5/15/60 | &nbsp;&nbsp; 1570000<br>| &nbsp;&nbsp;&nbsp; 935053<br>|
| *Total Health Care Providers & Services* | *Total Health Care Providers & Services* | *Total Health Care Providers & Services* | *Total Health Care Providers & Services* | &nbsp;&nbsp; *39533405* |
| *Pharmaceuticals — 0.8%* | *Pharmaceuticals — 0.8%* | *Pharmaceuticals — 0.8%* | *Pharmaceuticals — 0.8%* | *Pharmaceuticals — 0.8%* |
| &nbsp;&nbsp;&nbsp; 1261229 BC Ltd., Senior Secured Notes | &nbsp;&nbsp; 10.000% | &nbsp;&nbsp; 4/15/32 | &nbsp;&nbsp; 5510000<br>| &nbsp;&nbsp;&nbsp; 5646037<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Bausch Health Cos. Inc., Senior Notes | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 2/15/29 | &nbsp;&nbsp; 1164000<br>| &nbsp;&nbsp;&nbsp; 849103<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Bristol-Myers Squibb Co., Senior Notes | &nbsp;&nbsp; 5.100% | &nbsp;&nbsp; 2/22/31 | &nbsp;&nbsp; 4020000<br>| &nbsp;&nbsp;&nbsp; 4133336<br>|
| &nbsp;&nbsp;&nbsp; Bristol-Myers Squibb Co., Senior Notes | &nbsp;&nbsp; 5.200% | &nbsp;&nbsp; 2/22/34 | &nbsp;&nbsp; 2440000<br>| &nbsp;&nbsp;&nbsp; 2502356<br>|
| &nbsp;&nbsp;&nbsp; Eli Lilly & Co., Senior Notes | &nbsp;&nbsp; 4.700% | &nbsp;&nbsp; 2/9/34 | &nbsp;&nbsp; 4310000<br>| &nbsp;&nbsp;&nbsp; 4304484<br>|
| &nbsp;&nbsp;&nbsp; Eli Lilly & Co., Senior Notes | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 2/9/54 | &nbsp;&nbsp; 1400000<br>| &nbsp;&nbsp;&nbsp; 1276312<br>|
| &nbsp;&nbsp;&nbsp; Eli Lilly & Co., Senior Notes | &nbsp;&nbsp; 5.100% | &nbsp;&nbsp; 2/9/64 | &nbsp;&nbsp; 1860000<br>| &nbsp;&nbsp;&nbsp; 1674602<br>|
| &nbsp;&nbsp;&nbsp; Pfizer Inc., Senior Notes | &nbsp;&nbsp; 1.700% | &nbsp;&nbsp; 5/28/30 | &nbsp;&nbsp; 3680000<br>| &nbsp;&nbsp;&nbsp; 3309394<br>|
| &nbsp;&nbsp;&nbsp; Teva Pharmaceutical Finance Netherlands III BV, Senior Notes | &nbsp;&nbsp; 4.100% | &nbsp;&nbsp; 10/1/46 | &nbsp;&nbsp; 8190000<br>| &nbsp;&nbsp;&nbsp; 6081043<br>|
| *Total Pharmaceuticals* | *Total Pharmaceuticals* | *Total Pharmaceuticals* | *Total Pharmaceuticals* | &nbsp;&nbsp; *29776667* |
| **Total Health Care** | **Total Health Care** | **Total Health Care** | **Total Health Care** | &nbsp;&nbsp; **96260817** |
| **Industrials — 2.4%** | **Industrials — 2.4%** | **Industrials — 2.4%** | **Industrials — 2.4%** | **Industrials — 2.4%** |
| *Aerospace & Defense — 1.3%* | *Aerospace & Defense — 1.3%* | *Aerospace & Defense — 1.3%* | *Aerospace & Defense — 1.3%* | *Aerospace & Defense — 1.3%* |
| &nbsp;&nbsp;&nbsp; Boeing Co., Senior Notes | &nbsp;&nbsp; 3.100% | &nbsp;&nbsp; 5/1/26 | &nbsp;&nbsp; 700000<br>| &nbsp;&nbsp;&nbsp; 699097<br>|
| &nbsp;&nbsp;&nbsp; Boeing Co., Senior Notes | &nbsp;&nbsp; 2.700% | &nbsp;&nbsp; 2/1/27 | &nbsp;&nbsp; 2840000<br>| &nbsp;&nbsp;&nbsp; 2800888<br>|
| &nbsp;&nbsp;&nbsp; Boeing Co., Senior Notes | &nbsp;&nbsp; 2.800% | &nbsp;&nbsp; 3/1/27 | &nbsp;&nbsp; 10000<br>| &nbsp;&nbsp;&nbsp; 9847<br>|
| &nbsp;&nbsp;&nbsp; Boeing Co., Senior Notes | &nbsp;&nbsp; 3.200% | &nbsp;&nbsp; 3/1/29 | &nbsp;&nbsp; 3580000<br>| &nbsp;&nbsp;&nbsp; 3453693<br>|
| &nbsp;&nbsp;&nbsp; Boeing Co., Senior Notes | &nbsp;&nbsp; 3.250% | &nbsp;&nbsp; 2/1/35 | &nbsp;&nbsp; 1094000<br>| &nbsp;&nbsp;&nbsp; 938289<br>|
| &nbsp;&nbsp;&nbsp; Boeing Co., Senior Notes | &nbsp;&nbsp; 3.550% | &nbsp;&nbsp; 3/1/38 | &nbsp;&nbsp; 2720000<br>| &nbsp;&nbsp;&nbsp; 2261323<br>|
| &nbsp;&nbsp;&nbsp; Boeing Co., Senior Notes | &nbsp;&nbsp; 3.750% | &nbsp;&nbsp; 2/1/50 | &nbsp;&nbsp; 1280000<br>| &nbsp;&nbsp;&nbsp; 908615<br>|
| &nbsp;&nbsp;&nbsp; Bombardier Inc., Senior Notes | &nbsp;&nbsp; 7.250% | &nbsp;&nbsp; 7/1/31 | &nbsp;&nbsp; 540000<br>| &nbsp;&nbsp;&nbsp; 566550<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Bombardier Inc., Senior Notes | &nbsp;&nbsp; 6.750% | &nbsp;&nbsp; 6/15/33 | &nbsp;&nbsp; 1200000<br>| &nbsp;&nbsp;&nbsp; 1240750<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; General Dynamics Corp., Senior Notes | &nbsp;&nbsp; 4.250% | &nbsp;&nbsp; 4/1/40 | &nbsp;&nbsp; 1045000<br>| &nbsp;&nbsp;&nbsp; 938999<br>|
| &nbsp;&nbsp;&nbsp; Honeywell Aerospace Inc., Senior Notes | &nbsp;&nbsp; 4.300% | &nbsp;&nbsp; 3/16/31 | &nbsp;&nbsp; 440000<br>| &nbsp;&nbsp;&nbsp; 435388<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Honeywell Aerospace Inc., Senior Notes | &nbsp;&nbsp; 5.622% | &nbsp;&nbsp; 3/16/46 | &nbsp;&nbsp; 800000<br>| &nbsp;&nbsp;&nbsp; 788843<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Honeywell Aerospace Inc., Senior Notes | &nbsp;&nbsp; 5.732% | &nbsp;&nbsp; 3/16/56 | &nbsp;&nbsp; 2370000<br>| &nbsp;&nbsp;&nbsp; 2344287<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Howmet Aerospace Inc., Senior Notes | &nbsp;&nbsp; 4.550% | &nbsp;&nbsp; 11/15/32 | &nbsp;&nbsp; 2450000<br>| &nbsp;&nbsp;&nbsp; 2419247<br>|
| &nbsp;&nbsp;&nbsp; Huntington Ingalls Industries Inc., Senior Notes | &nbsp;&nbsp; 5.749% | &nbsp;&nbsp; 1/15/35 | &nbsp;&nbsp; 1190000<br>| &nbsp;&nbsp;&nbsp; 1233480<br>|
| &nbsp;&nbsp;&nbsp; L3Harris Technologies Inc., Senior Notes | &nbsp;&nbsp; 5.054% | &nbsp;&nbsp; 4/27/45 | &nbsp;&nbsp; 510000<br>| &nbsp;&nbsp;&nbsp; 476746<br>|
| &nbsp;&nbsp;&nbsp; Lockheed Martin Corp., Senior Notes | &nbsp;&nbsp; 3.900% | &nbsp;&nbsp; 6/15/32 | &nbsp;&nbsp; 2230000<br>| &nbsp;&nbsp;&nbsp; 2167984<br>|
| &nbsp;&nbsp;&nbsp; Lockheed Martin Corp., Senior Notes | &nbsp;&nbsp; 4.150% | &nbsp;&nbsp; 6/15/53 | &nbsp;&nbsp; 4630000<br>| &nbsp;&nbsp;&nbsp; 3658135<br>|
| &nbsp;&nbsp;&nbsp; Lockheed Martin Corp., Senior Notes | &nbsp;&nbsp; 5.200% | &nbsp;&nbsp; 2/15/64 | &nbsp;&nbsp; 1570000<br>| &nbsp;&nbsp;&nbsp; 1426647<br>|
| &nbsp;&nbsp;&nbsp; Northrop Grumman Corp., Senior Notes | &nbsp;&nbsp; 3.250% | &nbsp;&nbsp; 1/15/28 | &nbsp;&nbsp; 10000<br>| &nbsp;&nbsp;&nbsp; 9825<br>|
| &nbsp;&nbsp;&nbsp; Northrop Grumman Corp., Senior Notes | &nbsp;&nbsp; 5.250% | &nbsp;&nbsp; 5/1/50 | &nbsp;&nbsp; 8320000<br>| &nbsp;&nbsp;&nbsp; 7722212<br>|
| &nbsp;&nbsp;&nbsp; RTX Corp., Senior Notes | &nbsp;&nbsp; 4.125% | &nbsp;&nbsp; 11/16/28 | &nbsp;&nbsp; 2820000<br>| &nbsp;&nbsp;&nbsp; 2808812<br>|
| &nbsp;&nbsp;&nbsp; RTX Corp., Senior Notes | &nbsp;&nbsp; 2.250% | &nbsp;&nbsp; 7/1/30 | &nbsp;&nbsp; 4430000<br>| &nbsp;&nbsp;&nbsp; 4052422<br>|
| &nbsp;&nbsp;&nbsp; RTX Corp., Senior Notes | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 3/15/31 | &nbsp;&nbsp; 850000<br>| &nbsp;&nbsp;&nbsp; 903804<br>|
| &nbsp;&nbsp;&nbsp; RTX Corp., Senior Notes | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 6/1/42 | &nbsp;&nbsp; 3629000<br>| &nbsp;&nbsp;&nbsp; 3222436<br>|

---

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2026 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

March 31, 2026

 **Western Asset Core Plus Bond Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount†<br>| Value |
| *Aerospace & Defense — continued* | *Aerospace & Defense — continued* | *Aerospace & Defense — continued* | *Aerospace & Defense — continued* | *Aerospace & Defense — continued* |
| &nbsp;&nbsp;&nbsp; RTX Corp., Senior Notes | &nbsp;&nbsp; 3.030% | &nbsp;&nbsp; 3/15/52 | &nbsp;&nbsp; 2200000<br>| &nbsp;&nbsp;&nbsp; $1397869<br>|
| *Total Aerospace & Defense* | *Total Aerospace & Defense* | *Total Aerospace & Defense* | *Total Aerospace & Defense* | &nbsp;&nbsp; *48886188* |
| *Building Products — 0.0%††* | *Building Products — 0.0%††* | *Building Products — 0.0%††* | *Building Products — 0.0%††* | *Building Products — 0.0%††* |
| &nbsp;&nbsp;&nbsp; Quikrete Holdings Inc., Senior Secured Notes | &nbsp;&nbsp; 6.375% | &nbsp;&nbsp; 3/1/32 | &nbsp;&nbsp; 1960000<br>| &nbsp;&nbsp;&nbsp;&nbsp; *1988916*<br> <sup>(a)</sup><br>|
| *Commercial Services & Supplies — 0.2%* | *Commercial Services & Supplies — 0.2%* | *Commercial Services & Supplies — 0.2%* | *Commercial Services & Supplies — 0.2%* | *Commercial Services & Supplies — 0.2%* |
| &nbsp;&nbsp;&nbsp; GFL Environmental Holdings US Inc., Senior Notes | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 2/1/34 | &nbsp;&nbsp; 2100000<br>| &nbsp;&nbsp;&nbsp; 2062296<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; RR Donnelley & Sons Co., Senior Secured Notes | &nbsp;&nbsp; 9.500% | &nbsp;&nbsp; 8/1/29 | &nbsp;&nbsp; 2120000<br>| &nbsp;&nbsp;&nbsp; 2147590<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Waste Connections Inc., Senior Notes | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 3/1/34 | &nbsp;&nbsp; 2330000<br>| &nbsp;&nbsp;&nbsp; 2346257<br>|
| *Total Commercial Services & Supplies* | *Total Commercial Services & Supplies* | *Total Commercial Services & Supplies* | *Total Commercial Services & Supplies* | &nbsp;&nbsp; *6556143* |
| *Electrical Equipment — 0.1%* | *Electrical Equipment — 0.1%* | *Electrical Equipment — 0.1%* | *Electrical Equipment — 0.1%* | *Electrical Equipment — 0.1%* |
| &nbsp;&nbsp;&nbsp; Eaton Corp., Senior Notes | &nbsp;&nbsp; 4.800% | &nbsp;&nbsp; 3/6/36 | &nbsp;&nbsp; 600000<br>| &nbsp;&nbsp;&nbsp; 592607<br>|
| &nbsp;&nbsp;&nbsp; GE Vernova Inc., Senior Notes | &nbsp;&nbsp; 4.250% | &nbsp;&nbsp; 2/4/31 | &nbsp;&nbsp; 1310000<br>| &nbsp;&nbsp;&nbsp; 1295687<br>|
| &nbsp;&nbsp;&nbsp; GE Vernova Inc., Senior Notes | &nbsp;&nbsp; 4.875% | &nbsp;&nbsp; 2/4/36 | &nbsp;&nbsp; 1450000<br>| &nbsp;&nbsp;&nbsp; 1437668<br>|
| &nbsp;&nbsp;&nbsp; GE Vernova Inc., Senior Notes | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 2/4/56 | &nbsp;&nbsp; 770000<br>| &nbsp;&nbsp;&nbsp; 741266<br>|
| *Total Electrical Equipment* | *Total Electrical Equipment* | *Total Electrical Equipment* | *Total Electrical Equipment* | &nbsp;&nbsp; *4067228* |
| *Ground Transportation — 0.3%* | *Ground Transportation — 0.3%* | *Ground Transportation — 0.3%* | *Ground Transportation — 0.3%* | *Ground Transportation — 0.3%* |
| &nbsp;&nbsp;&nbsp; Fedex Freight Holding Co. Inc., Senior Notes | &nbsp;&nbsp; 4.300% | &nbsp;&nbsp; 3/15/29 | &nbsp;&nbsp; 1810000<br>| &nbsp;&nbsp;&nbsp; 1788725<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Fedex Freight Holding Co. Inc., Senior Notes | &nbsp;&nbsp; 4.650% | &nbsp;&nbsp; 3/15/31 | &nbsp;&nbsp; 1660000<br>| &nbsp;&nbsp;&nbsp; 1632294<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Fedex Freight Holding Co. Inc., Senior Notes | &nbsp;&nbsp; 4.950% | &nbsp;&nbsp; 3/15/33 | &nbsp;&nbsp; 1250000<br>| &nbsp;&nbsp;&nbsp; 1219582<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Fedex Freight Holding Co. Inc., Senior Notes | &nbsp;&nbsp; 5.250% | &nbsp;&nbsp; 3/15/36 | &nbsp;&nbsp; 80000<br>| &nbsp;&nbsp;&nbsp; 77429<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Union Pacific Corp., Senior Notes | &nbsp;&nbsp; 2.891% | &nbsp;&nbsp; 4/6/36 | &nbsp;&nbsp; 2540000<br>| &nbsp;&nbsp;&nbsp; 2132716<br>|
| &nbsp;&nbsp;&nbsp; Union Pacific Corp., Senior Notes | &nbsp;&nbsp; 3.839% | &nbsp;&nbsp; 3/20/60 | &nbsp;&nbsp; 2130000<br>| &nbsp;&nbsp;&nbsp; 1508745<br>|
| &nbsp;&nbsp;&nbsp; Union Pacific Corp., Senior Notes | &nbsp;&nbsp; 3.750% | &nbsp;&nbsp; 2/5/70 | &nbsp;&nbsp; 4395000<br>| &nbsp;&nbsp;&nbsp; 2935050<br>|
| *Total Ground Transportation* | *Total Ground Transportation* | *Total Ground Transportation* | *Total Ground Transportation* | &nbsp;&nbsp; *11294541* |
| *Industrial Conglomerates — 0.1%* | *Industrial Conglomerates — 0.1%* | *Industrial Conglomerates — 0.1%* | *Industrial Conglomerates — 0.1%* | *Industrial Conglomerates — 0.1%* |
| &nbsp;&nbsp;&nbsp; Siemens Funding BV, Senior Notes | &nbsp;&nbsp; 4.900% | &nbsp;&nbsp; 5/28/32 | &nbsp;&nbsp; 2780000<br>| &nbsp;&nbsp;&nbsp; 2835593<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Siemens Funding BV, Senior Notes | &nbsp;&nbsp; 5.900% | &nbsp;&nbsp; 5/28/65 | &nbsp;&nbsp; 1030000<br>| &nbsp;&nbsp;&nbsp; 1052821<br> <sup>(a)</sup><br>|
| *Total Industrial Conglomerates* | *Total Industrial Conglomerates* | *Total Industrial Conglomerates* | *Total Industrial Conglomerates* | &nbsp;&nbsp; *3888414* |
| *Passenger Airlines — 0.3%* | *Passenger Airlines — 0.3%* | *Passenger Airlines — 0.3%* | *Passenger Airlines — 0.3%* | *Passenger Airlines — 0.3%* |
| &nbsp;&nbsp;&nbsp; United Airlines Holdings Inc., Senior Notes | &nbsp;&nbsp; 5.375% | &nbsp;&nbsp; 3/1/31 | &nbsp;&nbsp; 1070000<br>| &nbsp;&nbsp;&nbsp; 1049206<br>|
| &nbsp;&nbsp;&nbsp; United Airlines Inc., Senior Secured Notes | &nbsp;&nbsp; 4.625% | &nbsp;&nbsp; 4/15/29 | &nbsp;&nbsp; 9000000<br>| &nbsp;&nbsp;&nbsp; 8836010<br> <sup>(a)</sup><br>|
| *Total Passenger Airlines* | *Total Passenger Airlines* | *Total Passenger Airlines* | *Total Passenger Airlines* | &nbsp;&nbsp; *9885216* |
| *Trading Companies & Distributors — 0.1%* | *Trading Companies & Distributors — 0.1%* | *Trading Companies & Distributors — 0.1%* | *Trading Companies & Distributors — 0.1%* | *Trading Companies & Distributors — 0.1%* |
| &nbsp;&nbsp;&nbsp; Air Lease Corp., Senior Notes | &nbsp;&nbsp; 5.300% | &nbsp;&nbsp; 2/1/28 | &nbsp;&nbsp; 450000<br>| &nbsp;&nbsp;&nbsp; 455246<br>|
| &nbsp;&nbsp;&nbsp; Herc Holdings Inc., Senior Notes | &nbsp;&nbsp; 7.000% | &nbsp;&nbsp; 6/15/30 | &nbsp;&nbsp; 870000<br>| &nbsp;&nbsp;&nbsp; 892693<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Herc Holdings Inc., Senior Notes | &nbsp;&nbsp; 7.250% | &nbsp;&nbsp; 6/15/33 | &nbsp;&nbsp; 1510000<br>| &nbsp;&nbsp;&nbsp; 1548644<br> <sup>(a)</sup><br>|
| *Total Trading Companies & Distributors* | *Total Trading Companies & Distributors* | *Total Trading Companies & Distributors* | *Total Trading Companies & Distributors* | &nbsp;&nbsp; *2896583* |
| **Total Industrials** | **Total Industrials** | **Total Industrials** | **Total Industrials** | &nbsp;&nbsp; **89463229** |
| **Information Technology — 1.8%** | **Information Technology — 1.8%** | **Information Technology — 1.8%** | **Information Technology — 1.8%** | **Information Technology — 1.8%** |
| *Electronic Equipment, Instruments & Components — 0.0%††* | *Electronic Equipment, Instruments & Components — 0.0%††* | *Electronic Equipment, Instruments & Components — 0.0%††* | *Electronic Equipment, Instruments & Components — 0.0%††* | *Electronic Equipment, Instruments & Components — 0.0%††* |
| &nbsp;&nbsp;&nbsp; EquipmentShare.com Inc., Secured Notes | &nbsp;&nbsp; 8.000% | &nbsp;&nbsp; 3/15/33 | &nbsp;&nbsp; 1330000<br>| &nbsp;&nbsp;&nbsp;&nbsp; *1374549*<br> <sup>(a)</sup><br>|
| *Semiconductors & Semiconductor Equipment — 1.0%* | *Semiconductors & Semiconductor Equipment — 1.0%* | *Semiconductors & Semiconductor Equipment — 1.0%* | *Semiconductors & Semiconductor Equipment — 1.0%* | *Semiconductors & Semiconductor Equipment — 1.0%* |
| &nbsp;&nbsp;&nbsp; Broadcom Inc., Senior Notes | &nbsp;&nbsp; 4.150% | &nbsp;&nbsp; 11/15/30 | &nbsp;&nbsp; 1207000<br>| &nbsp;&nbsp;&nbsp; 1188586<br>|
| &nbsp;&nbsp;&nbsp; Broadcom Inc., Senior Notes | &nbsp;&nbsp; 4.600% | &nbsp;&nbsp; 1/15/33 | &nbsp;&nbsp; 3730000<br>| &nbsp;&nbsp;&nbsp; 3674635<br>|
| &nbsp;&nbsp;&nbsp; Broadcom Inc., Senior Notes | &nbsp;&nbsp; 3.137% | &nbsp;&nbsp; 11/15/35 | &nbsp;&nbsp; 10210000<br>| &nbsp;&nbsp;&nbsp; 8678703<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Broadcom Inc., Senior Notes | &nbsp;&nbsp; 4.800% | &nbsp;&nbsp; 2/15/36 | &nbsp;&nbsp; 1900000<br>| &nbsp;&nbsp;&nbsp; 1853096<br>|

---

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2026 Quarterly Report

------

 **Western Asset Core Plus Bond Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount†<br>| Value |
| *Semiconductors & Semiconductor Equipment — continued* | *Semiconductors & Semiconductor Equipment — continued* | *Semiconductors & Semiconductor Equipment — continued* | *Semiconductors & Semiconductor Equipment — continued* | *Semiconductors & Semiconductor Equipment — continued* |
| &nbsp;&nbsp;&nbsp; Broadcom Inc., Senior Notes | &nbsp;&nbsp; 3.187% | &nbsp;&nbsp; 11/15/36 | &nbsp;&nbsp; 154000<br>| &nbsp;&nbsp;&nbsp; $128768<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Broadcom Inc., Senior Notes | &nbsp;&nbsp; 4.926% | &nbsp;&nbsp; 5/15/37 | &nbsp;&nbsp; 145000<br>| &nbsp;&nbsp;&nbsp; 140734<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Foundry JV Holdco LLC, Senior Secured Notes | &nbsp;&nbsp; 5.900% | &nbsp;&nbsp; 1/25/30 | &nbsp;&nbsp; 5930000<br>| &nbsp;&nbsp;&nbsp; 6140009<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Foundry JV Holdco LLC, Senior Secured Notes | &nbsp;&nbsp; 5.875% | &nbsp;&nbsp; 1/25/34 | &nbsp;&nbsp; 2290000<br>| &nbsp;&nbsp;&nbsp; 2320727<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Intel Corp., Senior Notes | &nbsp;&nbsp; 4.750% | &nbsp;&nbsp; 3/25/50 | &nbsp;&nbsp; 4375000<br>| &nbsp;&nbsp;&nbsp; 3542191<br>|
| &nbsp;&nbsp;&nbsp; Intel Corp., Senior Notes | &nbsp;&nbsp; 3.050% | &nbsp;&nbsp; 8/12/51 | &nbsp;&nbsp; 610000<br>| &nbsp;&nbsp;&nbsp; 370587<br>|
| &nbsp;&nbsp;&nbsp; Micron Technology Inc., Senior Notes | &nbsp;&nbsp; 5.300% | &nbsp;&nbsp; 1/15/31 | &nbsp;&nbsp; 3470000<br>| &nbsp;&nbsp;&nbsp; 3633291<br>|
| &nbsp;&nbsp;&nbsp; Micron Technology Inc., Senior Notes | &nbsp;&nbsp; 5.875% | &nbsp;&nbsp; 2/9/33 | &nbsp;&nbsp; 2791000<br>| &nbsp;&nbsp;&nbsp; 2986125<br>|
| &nbsp;&nbsp;&nbsp; Micron Technology Inc., Senior Notes | &nbsp;&nbsp; 6.050% | &nbsp;&nbsp; 11/1/35 | &nbsp;&nbsp; 100000<br>| &nbsp;&nbsp;&nbsp; 107948<br>|
| &nbsp;&nbsp;&nbsp; QUALCOMM Inc., Senior Notes | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 5/20/35 | &nbsp;&nbsp; 2480000<br>| &nbsp;&nbsp;&nbsp; 2477254<br>|
| *Total Semiconductors & Semiconductor Equipment* | *Total Semiconductors & Semiconductor Equipment* | *Total Semiconductors & Semiconductor Equipment* | *Total Semiconductors & Semiconductor Equipment* | &nbsp;&nbsp; *37242654* |
| *Software — 0.7%* | *Software — 0.7%* | *Software — 0.7%* | *Software — 0.7%* | *Software — 0.7%* |
| &nbsp;&nbsp;&nbsp; Oracle Corp., Senior Notes | &nbsp;&nbsp; 2.950% | &nbsp;&nbsp; 4/1/30 | &nbsp;&nbsp; 730000<br>| &nbsp;&nbsp;&nbsp; 666569<br>|
| &nbsp;&nbsp;&nbsp; Oracle Corp., Senior Notes | &nbsp;&nbsp; 4.650% | &nbsp;&nbsp; 5/6/30 | &nbsp;&nbsp; 4800000<br>| &nbsp;&nbsp;&nbsp; 4692994<br>|
| &nbsp;&nbsp;&nbsp; Oracle Corp., Senior Notes | &nbsp;&nbsp; 4.950% | &nbsp;&nbsp; 2/4/31 | &nbsp;&nbsp; 40000<br>| &nbsp;&nbsp;&nbsp; 39151<br>|
| &nbsp;&nbsp;&nbsp; Oracle Corp., Senior Notes | &nbsp;&nbsp; 2.875% | &nbsp;&nbsp; 3/25/31 | &nbsp;&nbsp; 6350000<br>| &nbsp;&nbsp;&nbsp; 5641339<br>|
| &nbsp;&nbsp;&nbsp; Oracle Corp., Senior Notes | &nbsp;&nbsp; 5.350% | &nbsp;&nbsp; 5/4/33 | &nbsp;&nbsp; 590000<br>| &nbsp;&nbsp;&nbsp; 574563<br>|
| &nbsp;&nbsp;&nbsp; Oracle Corp., Senior Notes | &nbsp;&nbsp; 5.200% | &nbsp;&nbsp; 9/26/35 | &nbsp;&nbsp; 580000<br>| &nbsp;&nbsp;&nbsp; 544330<br>|
| &nbsp;&nbsp;&nbsp; Oracle Corp., Senior Notes | &nbsp;&nbsp; 5.700% | &nbsp;&nbsp; 2/4/36 | &nbsp;&nbsp; 660000<br>| &nbsp;&nbsp;&nbsp; 634868<br>|
| &nbsp;&nbsp;&nbsp; Oracle Corp., Senior Notes | &nbsp;&nbsp; 5.875% | &nbsp;&nbsp; 9/26/45 | &nbsp;&nbsp; 1520000<br>| &nbsp;&nbsp;&nbsp; 1312341<br>|
| &nbsp;&nbsp;&nbsp; Oracle Corp., Senior Notes | &nbsp;&nbsp; 3.600% | &nbsp;&nbsp; 4/1/50 | &nbsp;&nbsp; 810000<br>| &nbsp;&nbsp;&nbsp; 489387<br>|
| &nbsp;&nbsp;&nbsp; Oracle Corp., Senior Notes | &nbsp;&nbsp; 5.375% | &nbsp;&nbsp; 9/27/54 | &nbsp;&nbsp; 3400000<br>| &nbsp;&nbsp;&nbsp; 2638296<br>|
| &nbsp;&nbsp;&nbsp; Oracle Corp., Senior Notes | &nbsp;&nbsp; 5.950% | &nbsp;&nbsp; 9/26/55 | &nbsp;&nbsp; 1370000<br>| &nbsp;&nbsp;&nbsp; 1153393<br>|
| &nbsp;&nbsp;&nbsp; Oracle Corp., Senior Notes | &nbsp;&nbsp; 6.700% | &nbsp;&nbsp; 2/4/56 | &nbsp;&nbsp; 10000<br>| &nbsp;&nbsp;&nbsp; 9288<br>|
| &nbsp;&nbsp;&nbsp; Oracle Corp., Senior Notes | &nbsp;&nbsp; 6.850% | &nbsp;&nbsp; 2/4/66 | &nbsp;&nbsp; 1170000<br>| &nbsp;&nbsp;&nbsp; 1076666<br>|
| &nbsp;&nbsp;&nbsp; Synopsys Inc., Senior Notes | &nbsp;&nbsp; 4.850% | &nbsp;&nbsp; 4/1/30 | &nbsp;&nbsp; 1720000<br>| &nbsp;&nbsp;&nbsp; 1733106<br>|
| &nbsp;&nbsp;&nbsp; Synopsys Inc., Senior Notes | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 4/1/32 | &nbsp;&nbsp; 1360000<br>| &nbsp;&nbsp;&nbsp; 1372258<br>|
| &nbsp;&nbsp;&nbsp; Synopsys Inc., Senior Notes | &nbsp;&nbsp; 5.150% | &nbsp;&nbsp; 4/1/35 | &nbsp;&nbsp; 1140000<br>| &nbsp;&nbsp;&nbsp; 1142587<br>|
| &nbsp;&nbsp;&nbsp; Synopsys Inc., Senior Notes | &nbsp;&nbsp; 5.700% | &nbsp;&nbsp; 4/1/55 | &nbsp;&nbsp; 2290000<br>| &nbsp;&nbsp;&nbsp; 2190939<br>|
| *Total Software* | *Total Software* | *Total Software* | *Total Software* | &nbsp;&nbsp; *25912075* |
| *Technology Hardware, Storage & Peripherals — 0.1%* | *Technology Hardware, Storage & Peripherals — 0.1%* | *Technology Hardware, Storage & Peripherals — 0.1%* | *Technology Hardware, Storage & Peripherals — 0.1%* | *Technology Hardware, Storage & Peripherals — 0.1%* |
| &nbsp;&nbsp;&nbsp; Black Pearl Compute LLC, Senior Secured Notes | &nbsp;&nbsp; 6.125% | &nbsp;&nbsp; 2/15/31 | &nbsp;&nbsp; 1760000<br>| &nbsp;&nbsp;&nbsp;&nbsp; *1793523*<br> <sup>(a)</sup><br>|
| **Total Information Technology** | **Total Information Technology** | **Total Information Technology** | **Total Information Technology** | &nbsp;&nbsp; **66322801** |
| **Materials — 2.0%** | **Materials — 2.0%** | **Materials — 2.0%** | **Materials — 2.0%** | **Materials — 2.0%** |
| *Chemicals — 0.4%* | *Chemicals — 0.4%* | *Chemicals — 0.4%* | *Chemicals — 0.4%* | *Chemicals — 0.4%* |
| &nbsp;&nbsp;&nbsp; Equate Petrochemical Co. KSCC, Senior Notes | &nbsp;&nbsp; 4.250% | &nbsp;&nbsp; 11/3/26 | &nbsp;&nbsp; 4790000<br>| &nbsp;&nbsp;&nbsp; 4743664<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; OCP SA, Senior Notes | &nbsp;&nbsp; 6.750% | &nbsp;&nbsp; 5/2/34 | &nbsp;&nbsp; 9390000<br>| &nbsp;&nbsp;&nbsp; 9777967<br> <sup>(a)</sup><br>|
| *Total Chemicals* | *Total Chemicals* | *Total Chemicals* | *Total Chemicals* | &nbsp;&nbsp; *14521631* |
| *Construction Materials — 0.1%* | *Construction Materials — 0.1%* | *Construction Materials — 0.1%* | *Construction Materials — 0.1%* | *Construction Materials — 0.1%* |
| &nbsp;&nbsp;&nbsp; Amrize Finance US LLC, Senior Notes | &nbsp;&nbsp; 4.950% | &nbsp;&nbsp; 4/7/30 | &nbsp;&nbsp; 640000<br>| &nbsp;&nbsp;&nbsp; 647286<br>|
| &nbsp;&nbsp;&nbsp; Amrize Finance US LLC, Senior Notes | &nbsp;&nbsp; 5.400% | &nbsp;&nbsp; 4/7/35 | &nbsp;&nbsp; 1290000<br>| &nbsp;&nbsp;&nbsp; 1312319<br>|
| *Total Construction Materials* | *Total Construction Materials* | *Total Construction Materials* | *Total Construction Materials* | &nbsp;&nbsp; *1959605* |
| *Metals & Mining — 1.2%* | *Metals & Mining — 1.2%* | *Metals & Mining — 1.2%* | *Metals & Mining — 1.2%* | *Metals & Mining — 1.2%* |
| &nbsp;&nbsp;&nbsp; Anglo American Capital PLC, Senior Notes | &nbsp;&nbsp; 5.250% | &nbsp;&nbsp; 3/19/36 | &nbsp;&nbsp; 2050000<br>| &nbsp;&nbsp;&nbsp; 2005348<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Barrick North America Finance LLC, Senior Notes | &nbsp;&nbsp; 5.700% | &nbsp;&nbsp; 5/30/41 | &nbsp;&nbsp; 2334000<br>| &nbsp;&nbsp;&nbsp; 2338992<br>|
| &nbsp;&nbsp;&nbsp; Barrick North America Finance LLC, Senior Notes | &nbsp;&nbsp; 5.750% | &nbsp;&nbsp; 5/1/43 | &nbsp;&nbsp; 1170000<br>| &nbsp;&nbsp;&nbsp; 1160064<br>|

---

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2026 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

March 31, 2026

 **Western Asset Core Plus Bond Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount†<br>| Value |
| *Metals & Mining — continued* | *Metals & Mining — continued* | *Metals & Mining — continued* | *Metals & Mining — continued* | *Metals & Mining — continued* |
| &nbsp;&nbsp;&nbsp; Corp. Nacional del Cobre de Chile, Senior Notes | &nbsp;&nbsp; 5.529% | &nbsp;&nbsp; 1/30/37 | &nbsp;&nbsp; 7590000<br>| &nbsp;&nbsp;&nbsp; $7459604<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; First Quantum Minerals Ltd., Senior Notes | &nbsp;&nbsp; 8.625% | &nbsp;&nbsp; 6/1/31 | &nbsp;&nbsp; 200000<br>| &nbsp;&nbsp;&nbsp; 207619<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; First Quantum Minerals Ltd., Senior Notes | &nbsp;&nbsp; 8.000% | &nbsp;&nbsp; 3/1/33 | &nbsp;&nbsp; 1940000<br>| &nbsp;&nbsp;&nbsp; 2024590<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; First Quantum Minerals Ltd., Senior Notes | &nbsp;&nbsp; 7.250% | &nbsp;&nbsp; 2/15/34 | &nbsp;&nbsp; 3842000<br>| &nbsp;&nbsp;&nbsp; 3914429<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; First Quantum Minerals Ltd., Senior Notes | &nbsp;&nbsp; 6.375% | &nbsp;&nbsp; 2/15/36 | &nbsp;&nbsp; 3090000<br>| &nbsp;&nbsp;&nbsp; 2975011<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Freeport-McMoRan Inc., Senior Notes | &nbsp;&nbsp; 5.450% | &nbsp;&nbsp; 3/15/43 | &nbsp;&nbsp; 3232000<br>| &nbsp;&nbsp;&nbsp; 3060355<br>|
| &nbsp;&nbsp;&nbsp; Glencore Finance Canada Ltd., Senior Notes | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 11/15/41 | &nbsp;&nbsp; 870000<br>| &nbsp;&nbsp;&nbsp; 884573<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Glencore Funding LLC, Senior Notes | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 3/27/27 | &nbsp;&nbsp; 30000<br>| &nbsp;&nbsp;&nbsp; 29875<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Glencore Funding LLC, Senior Notes | &nbsp;&nbsp; 5.673% | &nbsp;&nbsp; 4/1/35 | &nbsp;&nbsp; 5060000<br>| &nbsp;&nbsp;&nbsp; 5171324<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Glencore Funding LLC, Senior Notes | &nbsp;&nbsp; 6.141% | &nbsp;&nbsp; 4/1/55 | &nbsp;&nbsp; 2170000<br>| &nbsp;&nbsp;&nbsp; 2184602<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Southern Copper Corp., Senior Notes | &nbsp;&nbsp; 7.500% | &nbsp;&nbsp; 7/27/35 | &nbsp;&nbsp; 4720000<br>| &nbsp;&nbsp;&nbsp; 5400454<br>|
| &nbsp;&nbsp;&nbsp; Teck Resources Ltd., Senior Notes | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 8/15/40 | &nbsp;&nbsp; 641000<br>| &nbsp;&nbsp;&nbsp; 645355<br>|
| &nbsp;&nbsp;&nbsp; Yamana Gold Inc., Senior Notes | &nbsp;&nbsp; 4.625% | &nbsp;&nbsp; 12/15/27 | &nbsp;&nbsp; 6860000<br>| &nbsp;&nbsp;&nbsp; 6846995<br>|
| *Total Metals & Mining* | *Total Metals & Mining* | *Total Metals & Mining* | *Total Metals & Mining* | &nbsp;&nbsp; *46309190* |
| *Paper & Forest Products — 0.3%* | *Paper & Forest Products — 0.3%* | *Paper & Forest Products — 0.3%* | *Paper & Forest Products — 0.3%* | *Paper & Forest Products — 0.3%* |
| &nbsp;&nbsp;&nbsp; Suzano Austria GmbH, Senior Notes | &nbsp;&nbsp; 3.750% | &nbsp;&nbsp; 1/15/31 | &nbsp;&nbsp; 10050000<br>| &nbsp;&nbsp;&nbsp; *9347910*<br>|
| **Total Materials** | **Total Materials** | **Total Materials** | **Total Materials** | &nbsp;&nbsp; **72138336** |
| **Real Estate — 0.1%** | **Real Estate — 0.1%** | **Real Estate — 0.1%** | **Real Estate — 0.1%** | **Real Estate — 0.1%** |
| *Specialized REITs — 0.1%* | *Specialized REITs — 0.1%* | *Specialized REITs — 0.1%* | *Specialized REITs — 0.1%* | *Specialized REITs — 0.1%* |
| &nbsp;&nbsp;&nbsp; Millrose Properties Inc., Senior Notes | &nbsp;&nbsp; 6.375% | &nbsp;&nbsp; 8/1/30 | &nbsp;&nbsp; 1780000<br>| &nbsp;&nbsp;&nbsp; 1780648<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Millrose Properties Inc., Senior Notes | &nbsp;&nbsp; 6.250% | &nbsp;&nbsp; 9/15/32 | &nbsp;&nbsp; 520000<br>| &nbsp;&nbsp;&nbsp; 511125<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; SV RNO Property Owner 1 LLC, Senior Secured Notes | &nbsp;&nbsp; 5.875% | &nbsp;&nbsp; 3/1/31 | &nbsp;&nbsp; 2110000<br>| &nbsp;&nbsp;&nbsp; 2086975<br> <sup>(a)</sup><br>|
| **Total Real Estate** | **Total Real Estate** | **Total Real Estate** | **Total Real Estate** | &nbsp;&nbsp; **4378748** |
| **Utilities — 2.1%** | **Utilities — 2.1%** | **Utilities — 2.1%** | **Utilities — 2.1%** | **Utilities — 2.1%** |
| *Electric Utilities — 1.9%* | *Electric Utilities — 1.9%* | *Electric Utilities — 1.9%* | *Electric Utilities — 1.9%* | *Electric Utilities — 1.9%* |
| &nbsp;&nbsp;&nbsp; American Transmission Systems Inc., Senior Notes | &nbsp;&nbsp; 2.650% | &nbsp;&nbsp; 1/15/32 | &nbsp;&nbsp; 3100000<br>| &nbsp;&nbsp;&nbsp; 2779077<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Comision Federal de Electricidad, Senior Notes | &nbsp;&nbsp; 3.348% | &nbsp;&nbsp; 2/9/31 | &nbsp;&nbsp; 3859000<br>| &nbsp;&nbsp;&nbsp; 3459744<br> <sup>(h)</sup><br>|
| &nbsp;&nbsp;&nbsp; Comision Federal de Electricidad, Senior Notes | &nbsp;&nbsp; 6.045% | &nbsp;&nbsp; 1/28/34 | &nbsp;&nbsp; 6220000<br>| &nbsp;&nbsp;&nbsp; 6035577<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Constellation Energy Generation LLC, Senior Notes | &nbsp;&nbsp; 3.900% | &nbsp;&nbsp; 1/8/28 | &nbsp;&nbsp; 1270000<br>| &nbsp;&nbsp;&nbsp; 1260389<br>|
| &nbsp;&nbsp;&nbsp; Constellation Energy Generation LLC, Senior Notes | &nbsp;&nbsp; 4.400% | &nbsp;&nbsp; 1/15/31 | &nbsp;&nbsp; 730000<br>| &nbsp;&nbsp;&nbsp; 720784<br>|
| &nbsp;&nbsp;&nbsp; Duke Energy Carolinas LLC, First Mortgage Bonds | &nbsp;&nbsp; 5.300% | &nbsp;&nbsp; 2/15/40 | &nbsp;&nbsp; 220000<br>| &nbsp;&nbsp;&nbsp; 217520<br>|
| &nbsp;&nbsp;&nbsp; Exelon Corp., Senior Notes | &nbsp;&nbsp; 5.625% | &nbsp;&nbsp; 6/15/35 | &nbsp;&nbsp; 2726000<br>| &nbsp;&nbsp;&nbsp; 2792298<br>|
| &nbsp;&nbsp;&nbsp; FirstEnergy Corp., Senior Notes | &nbsp;&nbsp; 3.900% | &nbsp;&nbsp; 7/15/27 | &nbsp;&nbsp; 6522000<br>| &nbsp;&nbsp;&nbsp; 6470497<br>|
| &nbsp;&nbsp;&nbsp; FirstEnergy Corp., Senior Notes | &nbsp;&nbsp; 4.850% | &nbsp;&nbsp; 7/15/47 | &nbsp;&nbsp; 5044000<br>| &nbsp;&nbsp;&nbsp; 4312340<br>|
| &nbsp;&nbsp;&nbsp; Georgia Power Co., Senior Notes | &nbsp;&nbsp; 5.200% | &nbsp;&nbsp; 3/15/35 | &nbsp;&nbsp; 2410000<br>| &nbsp;&nbsp;&nbsp; 2448978<br>|
| &nbsp;&nbsp;&nbsp; NRG Energy Inc., Senior Notes | &nbsp;&nbsp; 5.750% | &nbsp;&nbsp; 1/15/34 | &nbsp;&nbsp; 1150000<br>| &nbsp;&nbsp;&nbsp; 1135147<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; NRG Energy Inc., Senior Notes | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 1/15/36 | &nbsp;&nbsp; 5670000<br>| &nbsp;&nbsp;&nbsp; 5621817<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; NRG Energy Inc., Senior Secured Notes | &nbsp;&nbsp; 5.407% | &nbsp;&nbsp; 10/15/35 | &nbsp;&nbsp; 1700000<br>| &nbsp;&nbsp;&nbsp; 1668618<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Oglethorpe Power Corp., First Mortgage Bonds | &nbsp;&nbsp; 5.900% | &nbsp;&nbsp; 2/1/55 | &nbsp;&nbsp; 2340000<br>| &nbsp;&nbsp;&nbsp; 2282216<br>|
| &nbsp;&nbsp;&nbsp; Oncor Electric Delivery Co. LLC, Senior Secured Notes | &nbsp;&nbsp; 5.350% | &nbsp;&nbsp; 4/1/35 | &nbsp;&nbsp; 1320000<br>| &nbsp;&nbsp;&nbsp; 1349511<br>|
| &nbsp;&nbsp;&nbsp; Oncor Electric Delivery Co. LLC, Senior Secured Notes | &nbsp;&nbsp; 5.800% | &nbsp;&nbsp; 4/1/55 | &nbsp;&nbsp; 1630000<br>| &nbsp;&nbsp;&nbsp; 1614365<br>|
| &nbsp;&nbsp;&nbsp; Pacific Gas and Electric Co., First Mortgage Bonds | &nbsp;&nbsp; 2.100% | &nbsp;&nbsp; 8/1/27 | &nbsp;&nbsp; 4340000<br>| &nbsp;&nbsp;&nbsp; 4207865<br>|
| &nbsp;&nbsp;&nbsp; Pacific Gas and Electric Co., First Mortgage Bonds | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 2/1/31 | &nbsp;&nbsp; 3850000<br>| &nbsp;&nbsp;&nbsp; 3451451<br>|
| &nbsp;&nbsp;&nbsp; Pacific Gas and Electric Co., First Mortgage Bonds | &nbsp;&nbsp; 3.300% | &nbsp;&nbsp; 8/1/40 | &nbsp;&nbsp; 1070000<br>| &nbsp;&nbsp;&nbsp; 800884<br>|
| &nbsp;&nbsp;&nbsp; Pacific Gas and Electric Co., First Mortgage Bonds | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 8/1/50 | &nbsp;&nbsp; 4040000<br>| &nbsp;&nbsp;&nbsp; 2673422<br>|
| &nbsp;&nbsp;&nbsp; Progress Energy Inc., Senior Notes | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 12/1/39 | &nbsp;&nbsp; 4800000<br>| &nbsp;&nbsp;&nbsp; 4988706<br>|

---

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2026 Quarterly Report

------

 **Western Asset Core Plus Bond Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount†<br>| Value |
| *Electric Utilities — continued* | *Electric Utilities — continued* | *Electric Utilities — continued* | *Electric Utilities — continued* | *Electric Utilities — continued* |
| &nbsp;&nbsp;&nbsp; RWE Finance US LLC, Senior Notes | &nbsp;&nbsp; 5.125% | &nbsp;&nbsp; 9/18/35 | &nbsp;&nbsp; 4710000<br>| &nbsp;&nbsp;&nbsp; $4581366<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Talen Energy Supply LLC, Senior Notes | &nbsp;&nbsp; 6.500% | &nbsp;&nbsp; 2/1/36 | &nbsp;&nbsp; 2670000<br>| &nbsp;&nbsp;&nbsp; 2689974<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Vistra Operations Co. LLC, Senior Secured Notes | &nbsp;&nbsp; 5.350% | &nbsp;&nbsp; 1/31/36 | &nbsp;&nbsp; 3280000<br>| &nbsp;&nbsp;&nbsp; 3210672<br> <sup>(a)</sup><br>|
| *Total Electric Utilities* | *Total Electric Utilities* | *Total Electric Utilities* | *Total Electric Utilities* | &nbsp;&nbsp; *70773218* |
| *Gas Utilities — 0.1%* | *Gas Utilities — 0.1%* | *Gas Utilities — 0.1%* | *Gas Utilities — 0.1%* | *Gas Utilities — 0.1%* |
| &nbsp;&nbsp;&nbsp; Snam SpA, Senior Notes | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 5/28/30 | &nbsp;&nbsp; 1680000<br>| &nbsp;&nbsp;&nbsp; 1697940<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Snam SpA, Senior Notes | &nbsp;&nbsp; 5.750% | &nbsp;&nbsp; 5/28/35 | &nbsp;&nbsp; 3880000<br>| &nbsp;&nbsp;&nbsp; 3958541<br> <sup>(a)</sup><br>|
| *Total Gas Utilities* | *Total Gas Utilities* | *Total Gas Utilities* | *Total Gas Utilities* | &nbsp;&nbsp; *5656481* |
| *Multi-Utilities — 0.1%* | *Multi-Utilities — 0.1%* | *Multi-Utilities — 0.1%* | *Multi-Utilities — 0.1%* | *Multi-Utilities — 0.1%* |
| &nbsp;&nbsp;&nbsp; Consolidated Edison Co. of New York Inc., Senior Notes | &nbsp;&nbsp; 3.350% | &nbsp;&nbsp; 4/1/30 | &nbsp;&nbsp; 880000<br>| &nbsp;&nbsp;&nbsp; 844468<br>|
| &nbsp;&nbsp;&nbsp; Consolidated Edison Co. of New York Inc., Senior Notes | &nbsp;&nbsp; 3.950% | &nbsp;&nbsp; 4/1/50 | &nbsp;&nbsp; 380000<br>| &nbsp;&nbsp;&nbsp; 291814<br>|
| &nbsp;&nbsp;&nbsp; Dominion Energy Inc., Senior Notes | &nbsp;&nbsp; 7.000% | &nbsp;&nbsp; 6/15/38 | &nbsp;&nbsp; 1350000<br>| &nbsp;&nbsp;&nbsp; 1491023<br>|
| *Total Multi-Utilities* | *Total Multi-Utilities* | *Total Multi-Utilities* | *Total Multi-Utilities* | &nbsp;&nbsp; *2627305* |
| **Total Utilities** | **Total Utilities** | **Total Utilities** | **Total Utilities** | &nbsp;&nbsp; **79057004** |
| **Total Corporate Bonds & Notes (Cost — $1,367,288,263)** | **Total Corporate Bonds & Notes (Cost — $1,367,288,263)** | **Total Corporate Bonds & Notes (Cost — $1,367,288,263)** | **Total Corporate Bonds & Notes (Cost — $1,367,288,263)** | &nbsp;&nbsp; **1306602702** |
| **Mortgage-Backed Securities — 29.8%** | **Mortgage-Backed Securities — 29.8%** | **Mortgage-Backed Securities — 29.8%** | **Mortgage-Backed Securities — 29.8%** | **Mortgage-Backed Securities — 29.8%** |
| *FHLMC — 7.2%* | *FHLMC — 7.2%* | *FHLMC — 7.2%* | *FHLMC — 7.2%* | *FHLMC — 7.2%* |
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) | &nbsp;&nbsp; 4.600% | &nbsp;&nbsp; 3/1/35 | &nbsp;&nbsp; 5600000<br>| &nbsp;&nbsp;&nbsp; 5579161<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) | &nbsp;&nbsp; 1.500% | &nbsp;&nbsp; 11/1/40 | &nbsp;&nbsp; 19411136<br>| &nbsp;&nbsp;&nbsp; 16559170<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) | &nbsp;&nbsp; 2.000% | &nbsp;&nbsp; 3/1/41- <br>4/1/51<br>| &nbsp;&nbsp; 70398496 | &nbsp;&nbsp;&nbsp; 60984376<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 10/1/42- <br>6/1/46<br>| &nbsp;&nbsp; 11149532 | &nbsp;&nbsp;&nbsp; 10488198<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 7/1/47 | &nbsp;&nbsp; 266680<br>| &nbsp;&nbsp;&nbsp; 262534<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 1/1/50 | &nbsp;&nbsp; 866880<br>| &nbsp;&nbsp;&nbsp; 779762<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 7/1/50- <br>1/1/52<br>| &nbsp;&nbsp; 54375698 | &nbsp;&nbsp;&nbsp; 46885339<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 1/1/53- <br>4/1/54<br>| &nbsp;&nbsp; 28040395 | &nbsp;&nbsp;&nbsp; 28561750<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) | &nbsp;&nbsp; 6.500% | &nbsp;&nbsp; 5/1/53- <br>8/1/55<br>| &nbsp;&nbsp; 18011514 | &nbsp;&nbsp;&nbsp; 18773366<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 7/1/53- <br>5/1/54<br>| &nbsp;&nbsp; 19132176 | &nbsp;&nbsp;&nbsp; 19860644<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 1/1/55 | &nbsp;&nbsp; 6824711 | &nbsp;&nbsp;&nbsp; 7001568<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer <br> Cash Fallbacks + 1.627%) | &nbsp;&nbsp; 3.007% | &nbsp;&nbsp; 11/1/48 | &nbsp;&nbsp; 20352160<br>| &nbsp;&nbsp;&nbsp; 20393548<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Gold | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 4/1/39- <br>1/1/40<br>| &nbsp;&nbsp; 16399 | &nbsp;&nbsp;&nbsp; 16577<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Gold | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 2/1/43- <br>5/1/47<br>| &nbsp;&nbsp; 25260530 | &nbsp;&nbsp;&nbsp; 22911017<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Gold | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 5/1/43- <br>3/1/45<br>| &nbsp;&nbsp; 6430277 | &nbsp;&nbsp;&nbsp; 6059402<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Gold | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 8/1/47 | &nbsp;&nbsp; 147881<br>| &nbsp;&nbsp;&nbsp; 141888<br>|
| *Total FHLMC* | *Total FHLMC* | *Total FHLMC* | *Total FHLMC* | &nbsp;&nbsp; *265258300* |
| *FNMA — 14.3%* | *FNMA — 14.3%* | *FNMA — 14.3%* | *FNMA — 14.3%* | *FNMA — 14.3%* |
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 6.500% | &nbsp;&nbsp; 2/1/29- <br>7/1/55<br>| &nbsp;&nbsp; 5205636 | &nbsp;&nbsp;&nbsp; 5392655<br>|

---

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2026 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

March 31, 2026

 **Western Asset Core Plus Bond Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount†<br>| Value |
| *FNMA — continued* | *FNMA — continued* | *FNMA — continued* | *FNMA — continued* | *FNMA — continued* |
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 5/1/29- <br>9/1/55<br>| &nbsp;&nbsp; 17286825 | &nbsp;&nbsp;&nbsp; $17806485<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 10/1/33- <br>7/1/52<br>| &nbsp;&nbsp; 18133056 | &nbsp;&nbsp;&nbsp; 18277701<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 4.350% | &nbsp;&nbsp; 10/1/34 | &nbsp;&nbsp; 3200000<br>| &nbsp;&nbsp;&nbsp; 3166541<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 7/1/35- <br>3/1/52<br>| &nbsp;&nbsp; 77953396 | &nbsp;&nbsp;&nbsp; 71222405<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 4.360% | &nbsp;&nbsp; 12/1/35 | &nbsp;&nbsp; 3600000<br>| &nbsp;&nbsp;&nbsp; 3529941<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 5/1/37- <br>9/1/56<br>| &nbsp;&nbsp; 35710859 | &nbsp;&nbsp;&nbsp; 36390975<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 3/1/38- <br>2/1/52<br>| &nbsp;&nbsp; 62716747 | &nbsp;&nbsp;&nbsp; 55131573<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 2.000% | &nbsp;&nbsp; 8/1/40- <br>3/1/52<br>| &nbsp;&nbsp; 48610239 | &nbsp;&nbsp;&nbsp; 40852386<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 10/1/41- <br>8/1/58<br>| &nbsp;&nbsp; 1872338 | &nbsp;&nbsp;&nbsp; 1814851<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 1.500% | &nbsp;&nbsp; 1/1/42 | &nbsp;&nbsp; 693078<br>| &nbsp;&nbsp;&nbsp; 583547<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 4/1/42- <br>1/1/57<br>| &nbsp;&nbsp; 24528289 | &nbsp;&nbsp;&nbsp; 23305044<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 8/1/42- <br>12/1/46<br>| &nbsp;&nbsp; 26490851 | &nbsp;&nbsp;&nbsp; 24962978<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 9/1/55 | &nbsp;&nbsp; 14380861<br>| &nbsp;&nbsp;&nbsp; 14670697<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 2.000% | &nbsp;&nbsp; 4/1/56 | &nbsp;&nbsp; 16200000<br>| &nbsp;&nbsp;&nbsp; 13052390<br> <sup>(i)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 4/1/56 | &nbsp;&nbsp; 29000000<br>| &nbsp;&nbsp;&nbsp; 27368983<br> <sup>(i)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 4/1/56 | &nbsp;&nbsp; 38900000<br>| &nbsp;&nbsp;&nbsp; 37547838<br> <sup>(i)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 4/1/56 | &nbsp;&nbsp; 60500000<br>| &nbsp;&nbsp;&nbsp; 59674842<br> <sup>(i)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 4/1/56 | &nbsp;&nbsp; 51100000<br>| &nbsp;&nbsp;&nbsp; 51343346<br> <sup>(i)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 4/1/56 | &nbsp;&nbsp; 18800000<br>| &nbsp;&nbsp;&nbsp; 19166304<br> <sup>(i)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 6.500% | &nbsp;&nbsp; 4/1/56 | &nbsp;&nbsp; 3600000<br>| &nbsp;&nbsp;&nbsp; 3724776<br> <sup>(i)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) (12 mo. Moving Treasury Average <br> + 1.827%) | &nbsp;&nbsp; 5.752% | &nbsp;&nbsp; 11/1/35 | &nbsp;&nbsp; 5362<br>| &nbsp;&nbsp;&nbsp; 5463<br> <sup>(d)</sup><br>|
| *Total FNMA* | *Total FNMA* | *Total FNMA* | *Total FNMA* | &nbsp;&nbsp; *528991721* |
| *GNMA — 8.3%* | *GNMA — 8.3%* | *GNMA — 8.3%* | *GNMA — 8.3%* | *GNMA — 8.3%* |
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) | &nbsp;&nbsp; 6.500% | &nbsp;&nbsp; 4/15/28- <br>1/15/39<br>| &nbsp;&nbsp; 570765 | &nbsp;&nbsp;&nbsp; 592295<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 1/15/29- <br>2/15/37<br>| &nbsp;&nbsp; 1752359 | &nbsp;&nbsp;&nbsp; 1792575<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 7/15/33- <br>6/15/36<br>| &nbsp;&nbsp; 1535426 | &nbsp;&nbsp;&nbsp; 1579738<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 9/15/42- <br>11/15/42<br>| &nbsp;&nbsp; 18082792 | &nbsp;&nbsp;&nbsp; 16507764<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 5/15/47- <br>3/15/50<br>| &nbsp;&nbsp; 6468272 | &nbsp;&nbsp;&nbsp; 6286687<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 6/15/48- <br>5/15/50<br>| &nbsp;&nbsp; 5912615 | &nbsp;&nbsp;&nbsp; 5493580<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 7/20/40- <br>5/20/53<br>| &nbsp;&nbsp; 17237571 | &nbsp;&nbsp;&nbsp; 17220184<br>|

---

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2026 Quarterly Report

------

 **Western Asset Core Plus Bond Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount†<br>| Value |
| *GNMA — continued* | *GNMA — continued* | *GNMA — continued* | *GNMA — continued* | *GNMA — continued* |
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 7/20/41- <br>9/20/52<br>| &nbsp;&nbsp; 20621888 | &nbsp;&nbsp;&nbsp; $20119259<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 10/20/45- <br>6/20/52<br>| &nbsp;&nbsp; 23013124 | &nbsp;&nbsp;&nbsp; 21031528<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 10/20/49- <br>2/20/50<br>| &nbsp;&nbsp; 4334892 | &nbsp;&nbsp;&nbsp; 4079805<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 1/20/50- <br>3/20/52<br>| &nbsp;&nbsp; 21510044 | &nbsp;&nbsp;&nbsp; 19017153<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 12/20/50- <br>8/20/51<br>| &nbsp;&nbsp; 25072832 | &nbsp;&nbsp;&nbsp; 21571053<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 7/20/53- <br>8/20/53<br>| &nbsp;&nbsp; 16825170 | &nbsp;&nbsp;&nbsp; 17115709<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 2.000% | &nbsp;&nbsp; 4/1/56 | &nbsp;&nbsp; 36000000<br>| &nbsp;&nbsp;&nbsp; 29747812<br> <sup>(i)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 4/1/56 | &nbsp;&nbsp; 18800000<br>| &nbsp;&nbsp;&nbsp; 16176812<br> <sup>(i)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 4/1/56 | &nbsp;&nbsp; 3500000<br>| &nbsp;&nbsp;&nbsp; 3125171<br> <sup>(i)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 4/1/56 | &nbsp;&nbsp; 10100000<br>| &nbsp;&nbsp;&nbsp; 9462576<br> <sup>(i)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 4/1/56 | &nbsp;&nbsp; 7700000<br>| &nbsp;&nbsp;&nbsp; 7439845<br> <sup>(i)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 4/1/56 | &nbsp;&nbsp; 31000000<br>| &nbsp;&nbsp;&nbsp; 30706638<br> <sup>(i)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 4/1/56 | &nbsp;&nbsp; 32900000<br>| &nbsp;&nbsp;&nbsp; 33114672<br> <sup>(i)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 4/1/56 | &nbsp;&nbsp; 20600000<br>| &nbsp;&nbsp;&nbsp; 20949426<br> <sup>(i)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 6.500% | &nbsp;&nbsp; 4/1/56 | &nbsp;&nbsp; 2700000<br>| &nbsp;&nbsp;&nbsp; 2806345<br> <sup>(i)</sup><br>|
| *Total GNMA* | *Total GNMA* | *Total GNMA* | *Total GNMA* | &nbsp;&nbsp; *305936627* |
| **Total Mortgage-Backed Securities (Cost — $1,146,962,329)** | **Total Mortgage-Backed Securities (Cost — $1,146,962,329)** | **Total Mortgage-Backed Securities (Cost — $1,146,962,329)** | **Total Mortgage-Backed Securities (Cost — $1,146,962,329)** | &nbsp;&nbsp; **1100186648** |
| **Collateralized Mortgage Obligations**<sup>(j)</sup> **— 17.0%** | **Collateralized Mortgage Obligations**<sup>(j)</sup> **— 17.0%** | **Collateralized Mortgage Obligations**<sup>(j)</sup> **— 17.0%** | **Collateralized Mortgage Obligations**<sup>(j)</sup> **— 17.0%** | **Collateralized Mortgage Obligations**<sup>(j)</sup> **— 17.0%** |
| &nbsp;&nbsp;&nbsp; 245 Park Avenue Trust, 2017-245P A | &nbsp;&nbsp; 3.508% | &nbsp;&nbsp; 6/5/37 | &nbsp;&nbsp; 9410000<br>| &nbsp;&nbsp;&nbsp; 9259449<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; 280 Park Avenue Mortgage Trust, 2017-280P E (1 mo. Term SOFR + 2.419%) | &nbsp;&nbsp; 6.089% | &nbsp;&nbsp; 9/15/34 | &nbsp;&nbsp; 880000<br>| &nbsp;&nbsp;&nbsp; 863033<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; 280 Park Avenue Mortgage Trust, 2017-280P F (1 mo. Term SOFR + 3.127%) | &nbsp;&nbsp; 6.797% | &nbsp;&nbsp; 9/15/34 | &nbsp;&nbsp; 1780000<br>| &nbsp;&nbsp;&nbsp; 1730971<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Alternative Loan Trust, 2006-6CB 1A4 | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 5/25/36 | &nbsp;&nbsp; 2147196<br>| &nbsp;&nbsp;&nbsp; 1741580<br>|
| &nbsp;&nbsp;&nbsp; Alternative Loan Trust, 2006-23CB 2A6, PAC (-4.000 x 1 mo. Term SOFR + <br> 27.942%) | &nbsp;&nbsp; 13.228% | &nbsp;&nbsp; 8/25/36 | &nbsp;&nbsp; 2350610<br>| &nbsp;&nbsp;&nbsp; 1198473<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Alternative Loan Trust, 2006-OA9 2A1B (1 mo. Term SOFR + 0.514%) | &nbsp;&nbsp; 4.190% | &nbsp;&nbsp; 7/20/46 | &nbsp;&nbsp; 160442<br>| &nbsp;&nbsp;&nbsp; 141391<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Angel Oak Mortgage Trust, 2025-6 A1 | &nbsp;&nbsp; 5.515% | &nbsp;&nbsp; 4/25/70 | &nbsp;&nbsp; 5901945<br>| &nbsp;&nbsp;&nbsp; 5926135<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Banc of America Funding Trust, 2015-R2 3A2 (1 mo. Term SOFR + 0.374%) | &nbsp;&nbsp; 4.053% | &nbsp;&nbsp; 4/29/37 | &nbsp;&nbsp; 233180<br>| &nbsp;&nbsp;&nbsp; 233221<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BANK5, 2023-5YR1 A2 | &nbsp;&nbsp; 5.779% | &nbsp;&nbsp; 4/15/56 | &nbsp;&nbsp; 1798522<br>| &nbsp;&nbsp;&nbsp; 1822179<br>|
| &nbsp;&nbsp;&nbsp; Bear Stearns Asset Backed Securities Trust, 2004-AC6 A1 | &nbsp;&nbsp; 5.750% | &nbsp;&nbsp; 11/25/34 | &nbsp;&nbsp; 1157977<br>| &nbsp;&nbsp;&nbsp; 1031184<br>|
| &nbsp;&nbsp;&nbsp; Bear Stearns Asset Backed Securities Trust, 2006-AC4 A2 (-4.333 x 1 mo. Term <br> SOFR + 35.754%) | &nbsp;&nbsp; 19.815% | &nbsp;&nbsp; 7/25/36 | &nbsp;&nbsp; 1075126<br>| &nbsp;&nbsp;&nbsp; 1330938<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Benchmark Mortgage Trust, 2019-B12 WMA | &nbsp;&nbsp; 4.246% | &nbsp;&nbsp; 8/15/52 | &nbsp;&nbsp; 4000000<br>| &nbsp;&nbsp;&nbsp; 3679657<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Benchmark Mortgage Trust, 2020-IG1 AS | &nbsp;&nbsp; 2.909% | &nbsp;&nbsp; 9/15/43 | &nbsp;&nbsp; 13500000<br>| &nbsp;&nbsp;&nbsp; 11496562<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BX Commercial Mortgage Trust, 2022-LP2 G (1 mo. Term SOFR + 4.106%) | &nbsp;&nbsp; 7.778% | &nbsp;&nbsp; 2/15/39 | &nbsp;&nbsp; 9254000<br>| &nbsp;&nbsp;&nbsp; 9254567<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BX Commercial Mortgage Trust, 2024-BIO2 D | &nbsp;&nbsp; 7.713% | &nbsp;&nbsp; 8/13/41 | &nbsp;&nbsp; 2950000<br>| &nbsp;&nbsp;&nbsp; 2857153<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BX Commercial Mortgage Trust, 2025-COPT A (1 mo. Term SOFR + 1.750%) | &nbsp;&nbsp; 5.423% | &nbsp;&nbsp; 8/15/42 | &nbsp;&nbsp; 9750000<br>| &nbsp;&nbsp;&nbsp; 9769471<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BX Commercial Mortgage Trust, 2026-CSMO C (1 mo. Term SOFR + 2.000%) | &nbsp;&nbsp; 5.673% | &nbsp;&nbsp; 2/15/43 | &nbsp;&nbsp; 7740000<br>| &nbsp;&nbsp;&nbsp; 7763457<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BX Commercial Mortgage Trust, 2026-CSMO D (1 mo. Term SOFR + 2.450%) | &nbsp;&nbsp; 6.123% | &nbsp;&nbsp; 2/15/43 | &nbsp;&nbsp; 2270000<br>| &nbsp;&nbsp;&nbsp; 2279212<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BX Commercial Mortgage Trust, 2026-VLT9 A (1 mo. Term SOFR + 1.700%) | &nbsp;&nbsp; 5.373% | &nbsp;&nbsp; 3/15/45 | &nbsp;&nbsp; 4870000<br>| &nbsp;&nbsp;&nbsp; 4855896<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BXMT Ltd., 2026-FL6 A (1 mo. Term SOFR + 1.450%) | &nbsp;&nbsp; 5.127% | &nbsp;&nbsp; 8/19/43 | &nbsp;&nbsp; 7040000<br>| &nbsp;&nbsp;&nbsp; 7027477<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; CD Mortgage Trust, 2017-CD3 A4 | &nbsp;&nbsp; 3.631% | &nbsp;&nbsp; 2/10/50 | &nbsp;&nbsp; 3140000<br>| &nbsp;&nbsp;&nbsp; 3073568<br>|

---

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2026 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

March 31, 2026

 **Western Asset Core Plus Bond Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount†<br>| Value |
| **Collateralized Mortgage Obligations**<sup>(j)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(j)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(j)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(j)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(j)</sup> **— continued** |
| &nbsp;&nbsp;&nbsp; Chevy Chase Funding LLC Mortgage-Backed Certificates Series, 2005-4A A1 (1 <br> mo. Term SOFR + 0.314%) | &nbsp;&nbsp; 3.993% | &nbsp;&nbsp; 10/25/36 | &nbsp;&nbsp; 165096<br>| &nbsp;&nbsp;&nbsp; $160891<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Citigroup Commercial Mortgage Trust, 2017-P7 B | &nbsp;&nbsp; 4.137% | &nbsp;&nbsp; 4/14/50 | &nbsp;&nbsp; 9194000<br>| &nbsp;&nbsp;&nbsp; 8683582<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Commercial Mortgage Trust, 2015-DC1 B | &nbsp;&nbsp; 4.035% | &nbsp;&nbsp; 2/10/48 | &nbsp;&nbsp; 7160000<br>| &nbsp;&nbsp;&nbsp; 6867873<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Commercial Mortgage Trust, 2020-CX A | &nbsp;&nbsp; 2.173% | &nbsp;&nbsp; 11/10/46 | &nbsp;&nbsp; 10440000<br>| &nbsp;&nbsp;&nbsp; 8904562<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; CSMC Trust, 2022-CNTR A (1 mo. Term SOFR + 3.944%) | &nbsp;&nbsp; 7.617% | &nbsp;&nbsp; 1/9/28 | &nbsp;&nbsp; 17014194<br>| &nbsp;&nbsp;&nbsp; 1829026<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Deephaven Residential Mortgage Trust, 2026-INV1 A1 | &nbsp;&nbsp; 4.797% | &nbsp;&nbsp; 12/25/70 | &nbsp;&nbsp; 6786000<br>| &nbsp;&nbsp;&nbsp; 6736148<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; DTP Commercial Mortgage Trust, 2023-STE2 A | &nbsp;&nbsp; 5.454% | &nbsp;&nbsp; 1/15/41 | &nbsp;&nbsp; 3110000<br>| &nbsp;&nbsp;&nbsp; 3148568<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Extended Stay America Trust, 2025-ESH A (1 mo. Term SOFR + 1.300%) | &nbsp;&nbsp; 4.973% | &nbsp;&nbsp; 10/15/42 | &nbsp;&nbsp; 3790000<br>| &nbsp;&nbsp;&nbsp; 3794977<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multiclass Certificates, 2020-RR02 <br> BX, IO | &nbsp;&nbsp; 1.666% | &nbsp;&nbsp; 8/27/28 | &nbsp;&nbsp; 15503008<br>| &nbsp;&nbsp;&nbsp; 506336<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multiclass Certificates, 2020-RR07 <br> AX, IO | &nbsp;&nbsp; 2.468% | &nbsp;&nbsp; 9/27/28 | &nbsp;&nbsp; 34072000<br>| &nbsp;&nbsp;&nbsp; 1652136<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multifamily ML Certificates, 2020-<br> ML07 XUS, IO | &nbsp;&nbsp; 1.971% | &nbsp;&nbsp; 10/25/36 | &nbsp;&nbsp; 31929525<br>| &nbsp;&nbsp;&nbsp; 3778540<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multifamily PC REMIC Trust, 2019-<br> RR01 X, IO | &nbsp;&nbsp; 1.534% | &nbsp;&nbsp; 6/25/28 | &nbsp;&nbsp; 23500000<br>| &nbsp;&nbsp;&nbsp; 619601<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-<br> Through Certificates, K095 XAM, IO | &nbsp;&nbsp; 1.235% | &nbsp;&nbsp; 6/25/29 | &nbsp;&nbsp; 6300000<br>| &nbsp;&nbsp;&nbsp; 240373<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-<br> Through Certificates, K104 XAM, IO | &nbsp;&nbsp; 1.380% | &nbsp;&nbsp; 1/25/30 | &nbsp;&nbsp; 16296000<br>| &nbsp;&nbsp;&nbsp; 767797<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-<br> Through Certificates, K159 X1, IO | &nbsp;&nbsp; 0.123% | &nbsp;&nbsp; 11/25/33 | &nbsp;&nbsp; 20558630<br>| &nbsp;&nbsp;&nbsp; 157103<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-<br> Through Certificates, K737 X1, IO | &nbsp;&nbsp; 0.604% | &nbsp;&nbsp; 10/25/26 | &nbsp;&nbsp; 37140581<br>| &nbsp;&nbsp;&nbsp; 71592<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-<br> Through Certificates, K1520 X1, IO | &nbsp;&nbsp; 0.469% | &nbsp;&nbsp; 2/25/36 | &nbsp;&nbsp; 12822329<br>| &nbsp;&nbsp;&nbsp; 416986<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-<br> Through Certificates, KC05 X1, IO | &nbsp;&nbsp; 1.184% | &nbsp;&nbsp; 6/25/27 | &nbsp;&nbsp; 8629415<br>| &nbsp;&nbsp;&nbsp; 69538<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 2957 ZA, PAC | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 3/15/35 | &nbsp;&nbsp; 3171339<br>| &nbsp;&nbsp;&nbsp; 3235272<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 3639 EY | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 2/15/30 | &nbsp;&nbsp; 686750<br>| &nbsp;&nbsp;&nbsp; 693824<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4391 MZ | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 9/15/44 | &nbsp;&nbsp; 10849120<br>| &nbsp;&nbsp;&nbsp; 9916077<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4992 PI, IO, PAC | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 7/25/50 | &nbsp;&nbsp; 8525173<br>| &nbsp;&nbsp;&nbsp; 1094999<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5063 AI, IO | &nbsp;&nbsp; 2.000% | &nbsp;&nbsp; 1/25/51 | &nbsp;&nbsp; 18916437<br>| &nbsp;&nbsp;&nbsp; 2523190<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5129 KI, IO | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 11/25/49 | &nbsp;&nbsp; 6698287<br>| &nbsp;&nbsp;&nbsp; 1082607<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5168 CI, IO | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 11/25/51 | &nbsp;&nbsp; 7847566<br>| &nbsp;&nbsp;&nbsp; 1543304<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5179 GI, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 1/25/52 | &nbsp;&nbsp; 17579571<br>| &nbsp;&nbsp;&nbsp; 2957308<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5180 IN, IO | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 7/25/51 | &nbsp;&nbsp; 18992942<br>| &nbsp;&nbsp;&nbsp; 3852587<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5206 IJ, IO | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 4/15/48 | &nbsp;&nbsp; 3511107<br>| &nbsp;&nbsp;&nbsp; 719363<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5261 IB, IO | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 1/25/50 | &nbsp;&nbsp; 8521667<br>| &nbsp;&nbsp;&nbsp; 1457337<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5282 GI, IO | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 2/25/50 | &nbsp;&nbsp; 14596500<br>| &nbsp;&nbsp;&nbsp; 3124298<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5397 IC, IO | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 4/25/52 | &nbsp;&nbsp; 21821556<br>| &nbsp;&nbsp;&nbsp; 3809581<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5449 FQ (30 Day Average <br> SOFR + 1.500%) | &nbsp;&nbsp; 5.162% | &nbsp;&nbsp; 9/25/54 | &nbsp;&nbsp; 3786183<br>| &nbsp;&nbsp;&nbsp; 3808211<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5482 FC (30 Day Average <br> SOFR + 1.300%) | &nbsp;&nbsp; 4.962% | &nbsp;&nbsp; 12/25/54 | &nbsp;&nbsp; 3824468<br>| &nbsp;&nbsp;&nbsp; 3849865<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit <br> Risk Trust, 2026-DNA2 B1 (30 Day Average SOFR + 2.100%) | &nbsp;&nbsp; 5.772% | &nbsp;&nbsp; 3/25/46 | &nbsp;&nbsp; 5680000<br>| &nbsp;&nbsp;&nbsp; 5686694<br> <sup>(a)(d)</sup><br>|

---

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2026 Quarterly Report

------

 **Western Asset Core Plus Bond Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount†<br>| Value |
| **Collateralized Mortgage Obligations**<sup>(j)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(j)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(j)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(j)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(j)</sup> **— continued** |
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit <br> Risk Trust, 2021-DNA2 B1 (30 Day Average SOFR + 3.400%) | &nbsp;&nbsp; 7.062% | &nbsp;&nbsp; 8/25/33 | &nbsp;&nbsp; 10010000<br>| &nbsp;&nbsp;&nbsp; $11119298<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit <br> Risk Trust, 2021-DNA5 B1 (30 Day Average SOFR + 3.050%) | &nbsp;&nbsp; 6.712% | &nbsp;&nbsp; 1/25/34 | &nbsp;&nbsp; 13330000<br>| &nbsp;&nbsp;&nbsp; 14210324<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit <br> Risk Trust, 2022-DNA5 M1B (30 Day Average SOFR + 4.500%) | &nbsp;&nbsp; 8.162% | &nbsp;&nbsp; 6/25/42 | &nbsp;&nbsp; 16500000<br>| &nbsp;&nbsp;&nbsp; 17126640<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit <br> Risk Trust, 2022-DNA5 M2 (30 Day Average SOFR + 6.750%) | &nbsp;&nbsp; 10.412% | &nbsp;&nbsp; 6/25/42 | &nbsp;&nbsp; 7600000<br>| &nbsp;&nbsp;&nbsp; 8063498<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit <br> Risk Trust, 2022-DNA6 M1B (30 Day Average SOFR + 3.700%) | &nbsp;&nbsp; 7.362% | &nbsp;&nbsp; 9/25/42 | &nbsp;&nbsp; 5000000<br>| &nbsp;&nbsp;&nbsp; 5159222<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit <br> Risk Trust, 2023-DNA2 B1 (30 Day Average SOFR + 7.600%) | &nbsp;&nbsp; 11.262% | &nbsp;&nbsp; 4/25/43 | &nbsp;&nbsp; 5000000<br>| &nbsp;&nbsp;&nbsp; 5562854<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust, <br> 2024-1 MT | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 11/25/63 | &nbsp;&nbsp; 8359789<br>| &nbsp;&nbsp;&nbsp; 7081694<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) STRIPS, 390 C14, IO | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 11/15/52 | &nbsp;&nbsp; 3781762<br>| &nbsp;&nbsp;&nbsp; 935709<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) STRIPS, 390 C17, IO | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 11/15/52 | &nbsp;&nbsp; 601408<br>| &nbsp;&nbsp;&nbsp; 155980<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) STRIPS, 400 C1, IO | &nbsp;&nbsp; 1.500% | &nbsp;&nbsp; 2/25/52 | &nbsp;&nbsp; 5725276<br>| &nbsp;&nbsp;&nbsp; 587399<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) — CAS, 2019-R05 1B1 (30 Day <br> Average SOFR + 4.214%) | &nbsp;&nbsp; 7.876% | &nbsp;&nbsp; 7/25/39 | &nbsp;&nbsp; 2967478<br>| &nbsp;&nbsp;&nbsp; 2992129<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) — CAS, 2020-R02 2B1 (30 Day <br> Average SOFR + 3.114%) | &nbsp;&nbsp; 6.776% | &nbsp;&nbsp; 1/25/40 | &nbsp;&nbsp; 2450000<br>| &nbsp;&nbsp;&nbsp; 2481951<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) ACES, 2019-M4 A2 | &nbsp;&nbsp; 3.610% | &nbsp;&nbsp; 2/25/31 | &nbsp;&nbsp; 4273569<br>| &nbsp;&nbsp;&nbsp; 4152358<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) ACES, 2020-M6 A | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 10/25/37 | &nbsp;&nbsp; 2836180<br>| &nbsp;&nbsp;&nbsp; 2520819<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2011-59 NZ | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 7/25/41 | &nbsp;&nbsp; 318444<br>| &nbsp;&nbsp;&nbsp; 326855<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2012-46 BA | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 5/25/42 | &nbsp;&nbsp; 1193775<br>| &nbsp;&nbsp;&nbsp; 1248390<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2012-51 B | &nbsp;&nbsp; 7.000% | &nbsp;&nbsp; 5/25/42 | &nbsp;&nbsp; 1818118<br>| &nbsp;&nbsp;&nbsp; 1958175<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2012-118 VZ | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 11/25/42 | &nbsp;&nbsp; 7565339<br>| &nbsp;&nbsp;&nbsp; 6936919<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2013-29 QI, IO | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 4/25/43 | &nbsp;&nbsp; 1691192<br>| &nbsp;&nbsp;&nbsp; 279871<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2014-6 Z | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 2/25/44 | &nbsp;&nbsp; 8436571<br>| &nbsp;&nbsp;&nbsp; 7503777<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2015-65 CZ | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 9/25/45 | &nbsp;&nbsp; 8869476<br>| &nbsp;&nbsp;&nbsp; 7852992<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2020-45 AI, IO | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 7/25/50 | &nbsp;&nbsp; 7337640<br>| &nbsp;&nbsp;&nbsp; 1407784<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2021-3 NI, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 2/25/51 | &nbsp;&nbsp; 11014774<br>| &nbsp;&nbsp;&nbsp; 1665965<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2021-3 QI, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 2/25/51 | &nbsp;&nbsp; 33365366<br>| &nbsp;&nbsp;&nbsp; 5157698<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2021-8 DI, IO, PAC | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 3/25/51 | &nbsp;&nbsp; 3723863<br>| &nbsp;&nbsp;&nbsp; 827538<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2024-18 IO, IO | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 11/25/49 | &nbsp;&nbsp; 6596297<br>| &nbsp;&nbsp;&nbsp; 1137202<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2024-22 IC, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 10/25/51 | &nbsp;&nbsp; 22142252<br>| &nbsp;&nbsp;&nbsp; 2998347<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2025-53 FA (30 Day <br> Average SOFR + 1.930%) | &nbsp;&nbsp; 5.592% | &nbsp;&nbsp; 7/25/55 | &nbsp;&nbsp; 246059<br>| &nbsp;&nbsp;&nbsp; 250096<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) STRIPS, 427 C73, IO | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 12/25/48 | &nbsp;&nbsp; 40806141<br>| &nbsp;&nbsp;&nbsp; 6520746<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) STRIPS, 440 C6, IO | &nbsp;&nbsp; 2.000% | &nbsp;&nbsp; 10/25/52 | &nbsp;&nbsp; 2731365<br>| &nbsp;&nbsp;&nbsp; 350680<br>|
| &nbsp;&nbsp;&nbsp; First Horizon Alternative Mortgage Securities Trust, 2007-FA3 A1 (1 mo. Term <br> SOFR + 0.444%) | &nbsp;&nbsp; 4.123% | &nbsp;&nbsp; 6/25/37 | &nbsp;&nbsp; 6395540<br>| &nbsp;&nbsp;&nbsp; 1317277<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; FREMF Mortgage Trust, 2019-K103 X2A, IO | &nbsp;&nbsp; 0.100% | &nbsp;&nbsp; 12/25/51 | &nbsp;&nbsp; 663797434<br>| &nbsp;&nbsp;&nbsp; 1929925<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2010-116 MH | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 7/20/40 | &nbsp;&nbsp; 15516096<br>| &nbsp;&nbsp;&nbsp; 15853279<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2012-152 IO, IO | &nbsp;&nbsp; 0.693% | &nbsp;&nbsp; 1/16/54 | &nbsp;&nbsp; 13301347<br>| &nbsp;&nbsp;&nbsp; 391763<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2013-50 IO, IO | &nbsp;&nbsp; 0.067% | &nbsp;&nbsp; 10/16/48 | &nbsp;&nbsp; 17922663<br>| &nbsp;&nbsp;&nbsp; 33367<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2013-72 IO, IO | &nbsp;&nbsp; 0.559% | &nbsp;&nbsp; 11/16/47 | &nbsp;&nbsp; 6159651<br>| &nbsp;&nbsp;&nbsp; 120467<br> <sup>(d)</sup><br>|

---

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2026 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

March 31, 2026

 **Western Asset Core Plus Bond Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount†<br>| Value |
| **Collateralized Mortgage Obligations**<sup>(j)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(j)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(j)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(j)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(j)</sup> **— continued** |
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2014-17 AM | &nbsp;&nbsp; 3.535% | &nbsp;&nbsp; 6/16/48 | &nbsp;&nbsp; 211525<br>| &nbsp;&nbsp;&nbsp; $204538<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2016-21 ST, IO (-1.000 x 1 <br> mo. Term SOFR + 6.036%) | &nbsp;&nbsp; 2.360% | &nbsp;&nbsp; 2/20/46 | &nbsp;&nbsp; 8723943<br>| &nbsp;&nbsp;&nbsp; 979376<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2016-84 IG, IO, PAC | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 11/16/45 | &nbsp;&nbsp; 1652874<br>| &nbsp;&nbsp;&nbsp; 315994<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2016-113 IO, IO | &nbsp;&nbsp; 1.137% | &nbsp;&nbsp; 2/16/58 | &nbsp;&nbsp; 8534356<br>| &nbsp;&nbsp;&nbsp; 507053<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2016-152 IO, IO | &nbsp;&nbsp; 0.767% | &nbsp;&nbsp; 8/15/58 | &nbsp;&nbsp; 14206985<br>| &nbsp;&nbsp;&nbsp; 637858<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2017-7 IO, IO | &nbsp;&nbsp; 0.541% | &nbsp;&nbsp; 12/16/58 | &nbsp;&nbsp; 25125597<br>| &nbsp;&nbsp;&nbsp; 675075<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2017-8 IO, IO | &nbsp;&nbsp; 0.442% | &nbsp;&nbsp; 8/16/58 | &nbsp;&nbsp; 11475965<br>| &nbsp;&nbsp;&nbsp; 200948<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2017-28 IO, IO | &nbsp;&nbsp; 0.646% | &nbsp;&nbsp; 2/16/57 | &nbsp;&nbsp; 10467637<br>| &nbsp;&nbsp;&nbsp; 359308<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2017-53 IO, IO | &nbsp;&nbsp; 0.515% | &nbsp;&nbsp; 11/16/56 | &nbsp;&nbsp; 20422477<br>| &nbsp;&nbsp;&nbsp; 541390<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2017-111 IO, IO | &nbsp;&nbsp; 0.527% | &nbsp;&nbsp; 2/16/59 | &nbsp;&nbsp; 4332844<br>| &nbsp;&nbsp;&nbsp; 126330<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2017-132 IA, IO | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 9/20/47 | &nbsp;&nbsp; 1457204<br>| &nbsp;&nbsp;&nbsp; 258401<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2017-145 IO, IO | &nbsp;&nbsp; 0.484% | &nbsp;&nbsp; 4/16/57 | &nbsp;&nbsp; 19640771<br>| &nbsp;&nbsp;&nbsp; 453372<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2017-157 IO, IO | &nbsp;&nbsp; 0.520% | &nbsp;&nbsp; 12/16/59 | &nbsp;&nbsp; 13749731<br>| &nbsp;&nbsp;&nbsp; 435541<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2017-171 IO, IO | &nbsp;&nbsp; 0.621% | &nbsp;&nbsp; 9/16/59 | &nbsp;&nbsp; 9001637<br>| &nbsp;&nbsp;&nbsp; 309614<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2017-H11 IO, IO | &nbsp;&nbsp; 2.251% | &nbsp;&nbsp; 5/20/67 | &nbsp;&nbsp; 9439236<br>| &nbsp;&nbsp;&nbsp; 298035<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2017-H15 KI, IO | &nbsp;&nbsp; 2.270% | &nbsp;&nbsp; 7/20/67 | &nbsp;&nbsp; 11167160<br>| &nbsp;&nbsp;&nbsp; 565394<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2017-H18 BI, IO | &nbsp;&nbsp; 1.524% | &nbsp;&nbsp; 9/20/67 | &nbsp;&nbsp; 7517760<br>| &nbsp;&nbsp;&nbsp; 199323<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2017-H20 IB, IO | &nbsp;&nbsp; 2.211% | &nbsp;&nbsp; 10/20/67 | &nbsp;&nbsp; 3460545<br>| &nbsp;&nbsp;&nbsp; 107129<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2017-H22 IC, IO | &nbsp;&nbsp; 2.521% | &nbsp;&nbsp; 11/20/67 | &nbsp;&nbsp; 781343<br>| &nbsp;&nbsp;&nbsp; 29455<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2018-37 QA | &nbsp;&nbsp; 2.750% | &nbsp;&nbsp; 3/20/48 | &nbsp;&nbsp; 2385720<br>| &nbsp;&nbsp;&nbsp; 2123466<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2018-H17 DI, IO | &nbsp;&nbsp; 2.167% | &nbsp;&nbsp; 9/20/68 | &nbsp;&nbsp; 23445370<br>| &nbsp;&nbsp;&nbsp; 789096<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2019-137 PI, IO, PAC | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 11/20/49 | &nbsp;&nbsp; 2227355<br>| &nbsp;&nbsp;&nbsp; 435366<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2019-H16 ID, IO | &nbsp;&nbsp; 1.620% | &nbsp;&nbsp; 10/20/69 | &nbsp;&nbsp; 17563595<br>| &nbsp;&nbsp;&nbsp; 992213<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-49 IO, IO | &nbsp;&nbsp; 1.050% | &nbsp;&nbsp; 7/16/62 | &nbsp;&nbsp; 9822734<br>| &nbsp;&nbsp;&nbsp; 735588<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-118 IO, IO | &nbsp;&nbsp; 0.887% | &nbsp;&nbsp; 6/16/62 | &nbsp;&nbsp; 20129946<br>| &nbsp;&nbsp;&nbsp; 1240590<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-155 IO, IO | &nbsp;&nbsp; 1.271% | &nbsp;&nbsp; 9/16/60 | &nbsp;&nbsp; 18680649<br>| &nbsp;&nbsp;&nbsp; 1616976<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2021-21 AH | &nbsp;&nbsp; 1.400% | &nbsp;&nbsp; 6/16/63 | &nbsp;&nbsp; 23683544<br>| &nbsp;&nbsp;&nbsp; 17991457<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2021-63 IO, IO | &nbsp;&nbsp; 0.816% | &nbsp;&nbsp; 4/16/61 | &nbsp;&nbsp; 22207610<br>| &nbsp;&nbsp;&nbsp; 1308055<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2021-110 IO, IO | &nbsp;&nbsp; 0.876% | &nbsp;&nbsp; 11/16/63 | &nbsp;&nbsp; 10807893<br>| &nbsp;&nbsp;&nbsp; 711391<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2021-134 HI, IO | &nbsp;&nbsp; 1.433% | &nbsp;&nbsp; 6/16/61 | &nbsp;&nbsp; 25685251<br>| &nbsp;&nbsp;&nbsp; 2339500<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2021-159 JI, IO, PAC | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 6/20/51 | &nbsp;&nbsp; 4194311<br>| &nbsp;&nbsp;&nbsp; 380732<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2021-191 NI, IO | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 10/20/51 | &nbsp;&nbsp; 1373616<br>| &nbsp;&nbsp;&nbsp; 255681<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2021-218 IO, IO | &nbsp;&nbsp; 0.969% | &nbsp;&nbsp; 10/16/61 | &nbsp;&nbsp; 2642326<br>| &nbsp;&nbsp;&nbsp; 189724<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2022-4 Z | &nbsp;&nbsp; 1.900% | &nbsp;&nbsp; 3/16/64 | &nbsp;&nbsp; 2613521<br>| &nbsp;&nbsp;&nbsp; 1065017<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2023-80 IA, IO | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 10/20/47 | &nbsp;&nbsp; 8392204<br>| &nbsp;&nbsp;&nbsp; 1517273<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2023-92 AH | &nbsp;&nbsp; 2.000% | &nbsp;&nbsp; 6/16/64 | &nbsp;&nbsp; 34952655<br>| &nbsp;&nbsp;&nbsp; 26773622<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2024-151 KS, IO (-1.000 x <br> 30 Day Average SOFR + 6.050%) | &nbsp;&nbsp; 2.377% | &nbsp;&nbsp; 9/20/54 | &nbsp;&nbsp; 3290948<br>| &nbsp;&nbsp;&nbsp; 270916<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2025-55 SD, IO (-1.000 x 30 <br> Day Average SOFR + 5.950%) | &nbsp;&nbsp; 2.277% | &nbsp;&nbsp; 3/20/55 | &nbsp;&nbsp; 14232371<br>| &nbsp;&nbsp;&nbsp; 1231749<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2025-169 SA, IO (-1.000 x <br> 30 Day Average SOFR + 6.600%) | &nbsp;&nbsp; 2.927% | &nbsp;&nbsp; 10/20/55 | &nbsp;&nbsp; 14352801<br>| &nbsp;&nbsp;&nbsp; 1436002<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2025-175 LS, IO (-1.000 x <br> 30 Day Average SOFR + 5.950%) | &nbsp;&nbsp; 2.277% | &nbsp;&nbsp; 10/20/55 | &nbsp;&nbsp; 13169144<br>| &nbsp;&nbsp;&nbsp; 1275250<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2025-214 S, IO (-1.000 x 30 <br> Day Average SOFR + 6.600%) | &nbsp;&nbsp; 2.927% | &nbsp;&nbsp; 12/20/55 | &nbsp;&nbsp; 9376583<br>| &nbsp;&nbsp;&nbsp; 955443<br> <sup>(d)</sup><br>|

---

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2026 Quarterly Report

------

 **Western Asset Core Plus Bond Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount†<br>| Value |
| **Collateralized Mortgage Obligations**<sup>(j)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(j)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(j)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(j)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(j)</sup> **— continued** |
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2026-5 SM, IO (-1.000 x 30 <br> Day Average SOFR + 5.700%) | &nbsp;&nbsp; 2.027% | &nbsp;&nbsp; 12/20/55 | &nbsp;&nbsp; 10645841<br>| &nbsp;&nbsp;&nbsp; $780816<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; GreenPoint Mortgage Funding Trust, 2005-AR4 1A2A (1 mo. Term SOFR + 0.754%) | &nbsp;&nbsp; 4.433% | &nbsp;&nbsp; 10/25/45 | &nbsp;&nbsp; 542437<br>| &nbsp;&nbsp;&nbsp; 514492<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; GreenPoint Mortgage Funding Trust, 2006-AR3 3A1 (1 mo. Term SOFR + 0.574%) | &nbsp;&nbsp; 4.253% | &nbsp;&nbsp; 4/25/36 | &nbsp;&nbsp; 48534<br>| &nbsp;&nbsp;&nbsp; 48291<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; GS Mortgage Securities Corp. II, 2024-70P E | &nbsp;&nbsp; 8.367% | &nbsp;&nbsp; 3/10/41 | &nbsp;&nbsp; 8125000<br>| &nbsp;&nbsp;&nbsp; 8307191<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; GS Mortgage Securities Corp. Trust, 2018-LUAU G (1 mo. Term SOFR + 4.747%) | &nbsp;&nbsp; 8.420% | &nbsp;&nbsp; 11/15/32 | &nbsp;&nbsp; 10448000<br>| &nbsp;&nbsp;&nbsp; 10411830<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; GS Mortgage Securities Trust, 2015-GC30 B | &nbsp;&nbsp; 3.887% | &nbsp;&nbsp; 5/10/50 | &nbsp;&nbsp; 7418372<br>| &nbsp;&nbsp;&nbsp; 7219931<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; GS Mortgage Securities Trust, 2017-GS8 A4 | &nbsp;&nbsp; 3.469% | &nbsp;&nbsp; 11/10/50 | &nbsp;&nbsp; 4690000<br>| &nbsp;&nbsp;&nbsp; 4617115<br>|
| &nbsp;&nbsp;&nbsp; GS Mortgage-Backed Securities Trust, 2022-NQM1 A4 | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 5/25/62 | &nbsp;&nbsp; 9525983<br>| &nbsp;&nbsp;&nbsp; 8876000<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; GS Mortgage-Backed Securities Trust, 2025-NQM4 A2 | &nbsp;&nbsp; 5.310% | &nbsp;&nbsp; 10/25/65 | &nbsp;&nbsp; 5173380<br>| &nbsp;&nbsp;&nbsp; 5172230<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; GSR Mortgage Loan Trust, 2005-AR7 1A1 | &nbsp;&nbsp; 6.118% | &nbsp;&nbsp; 11/25/35 | &nbsp;&nbsp; 501870<br>| &nbsp;&nbsp;&nbsp; 242016<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; HarborView Mortgage Loan Trust, 2005-3 2A1A (1 mo. Term SOFR + 0.594%) | &nbsp;&nbsp; 4.271% | &nbsp;&nbsp; 6/19/35 | &nbsp;&nbsp; 683175<br>| &nbsp;&nbsp;&nbsp; 676841<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; HarborView Mortgage Loan Trust, 2005-7 1A1 (Enterprise 11th District COFI <br> Replacement Index + 1.850%) | &nbsp;&nbsp; 4.679% | &nbsp;&nbsp; 6/19/45 | &nbsp;&nbsp; 1499739<br>| &nbsp;&nbsp;&nbsp; 578074<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; HOMES Trust, 2023-NQM1 A1 | &nbsp;&nbsp; 6.182% | &nbsp;&nbsp; 1/25/68 | &nbsp;&nbsp; 5703850<br>| &nbsp;&nbsp;&nbsp; 5681853<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; HOMES Trust, 2026-NQM1 A1 | &nbsp;&nbsp; 4.800% | &nbsp;&nbsp; 9/25/70 | &nbsp;&nbsp; 3259491<br>| &nbsp;&nbsp;&nbsp; 3236050<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; IndyMac INDX Mortgage Loan Trust, 2005-AR13 1A1 | &nbsp;&nbsp; 3.915% | &nbsp;&nbsp; 8/25/35 | &nbsp;&nbsp; 97001<br>| &nbsp;&nbsp;&nbsp; 47901<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; JPMorgan Chase Commercial Mortgage Securities Trust, 2015-FL7 D (PRIME + <br> 0.693%) | &nbsp;&nbsp; 7.443% | &nbsp;&nbsp; 5/15/28 | &nbsp;&nbsp; 10807152<br>| &nbsp;&nbsp;&nbsp; 9481606<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; JPMorgan Mortgage Trust, 2022-LTV1 A3 | &nbsp;&nbsp; 3.514% | &nbsp;&nbsp; 7/25/52 | &nbsp;&nbsp; 10002035<br>| &nbsp;&nbsp;&nbsp; 8964251<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Legacy Mortgage Asset Trust, 2021-GS1 A1 | &nbsp;&nbsp; 5.892% | &nbsp;&nbsp; 10/25/66 | &nbsp;&nbsp; 8257310<br>| &nbsp;&nbsp;&nbsp; 8266906<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; MASTR Adjustable Rate Mortgages Trust, 2004-6 5A1 | &nbsp;&nbsp; 6.226% | &nbsp;&nbsp; 7/25/34 | &nbsp;&nbsp; 20047<br>| &nbsp;&nbsp;&nbsp; 19764<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; MASTR Adjustable Rate Mortgages Trust, 2006-OA1 1A1 (1 mo. Term SOFR + <br> 0.324%) | &nbsp;&nbsp; 4.003% | &nbsp;&nbsp; 4/25/46 | &nbsp;&nbsp; 57613<br>| &nbsp;&nbsp;&nbsp; 54383<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; MASTR Reperforming Loan Trust, 2005-2 1A1F (1 mo. Term SOFR + 0.464%) | &nbsp;&nbsp; 4.143% | &nbsp;&nbsp; 5/25/35 | &nbsp;&nbsp; 1500661<br>| &nbsp;&nbsp;&nbsp; 695700<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; MHC Commercial Mortgage Trust, 2021-MHC E (1 mo. Term SOFR + 2.215%) | &nbsp;&nbsp; 5.888% | &nbsp;&nbsp; 4/15/38 | &nbsp;&nbsp; 2173<br>| &nbsp;&nbsp;&nbsp; 2173<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; MLTI Trust, 2026-SF75 A (1 mo. Term SOFR + 1.400%) | &nbsp;&nbsp; 5.073% | &nbsp;&nbsp; 3/15/31 | &nbsp;&nbsp; 3980000<br>| &nbsp;&nbsp;&nbsp; 3966618<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; MLTI Trust, 2026-SF75 E (1 mo. Term SOFR + 3.250%) | &nbsp;&nbsp; 6.923% | &nbsp;&nbsp; 3/15/31 | &nbsp;&nbsp; 5480000<br>| &nbsp;&nbsp;&nbsp; 5467838<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Morgan Stanley Mortgage Loan Trust, 2005-3AR 2A2 | &nbsp;&nbsp; 3.468% | &nbsp;&nbsp; 7/25/35 | &nbsp;&nbsp; 433455<br>| &nbsp;&nbsp;&nbsp; 391053<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Morgan Stanley Residential Mortgage Loan Trust, 2025-SPL1 A3 | &nbsp;&nbsp; 4.250% | &nbsp;&nbsp; 2/25/65 | &nbsp;&nbsp; 7710082<br>| &nbsp;&nbsp;&nbsp; 7448673<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Mortgage Loan Resecuritization Trust, 2009-RS1 A85 (1 mo. Term SOFR + 0.454%) | &nbsp;&nbsp; 4.122% | &nbsp;&nbsp; 4/16/36 | &nbsp;&nbsp; 13064928<br>| &nbsp;&nbsp;&nbsp; 12891564<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Multifamily Trust, 2016-1 B | &nbsp;&nbsp; 17.785% | &nbsp;&nbsp; 4/25/46 | &nbsp;&nbsp; 681641<br>| &nbsp;&nbsp;&nbsp; 663321<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Nomura Asset Acceptance Corp. Alternative Loan Trust, 2005-AP2 A5 | &nbsp;&nbsp; 5.476% | &nbsp;&nbsp; 5/25/35 | &nbsp;&nbsp; 36681<br>| &nbsp;&nbsp;&nbsp; 17299<br>|
| &nbsp;&nbsp;&nbsp; NYC Commercial Mortgage Trust, 2025-28L F | &nbsp;&nbsp; 8.130% | &nbsp;&nbsp; 11/5/38 | &nbsp;&nbsp; 9200000<br>| &nbsp;&nbsp;&nbsp; 9292747<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; PFP Ltd., 2024-11 A (1 mo. Term SOFR + 1.832%) | &nbsp;&nbsp; 5.501% | &nbsp;&nbsp; 9/17/39 | &nbsp;&nbsp; 2988021<br>| &nbsp;&nbsp;&nbsp; 2993829<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Prime Mortgage Trust, 2006-DR1 2A2 | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 5/25/35 | &nbsp;&nbsp; 6523211<br>| &nbsp;&nbsp;&nbsp; 5538788<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; PRKCM Trust, 2021-AFC1 A1 | &nbsp;&nbsp; 1.510% | &nbsp;&nbsp; 8/25/56 | &nbsp;&nbsp; 9432941<br>| &nbsp;&nbsp;&nbsp; 8131479<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; PRPM Trust, 2026-RCF1 A1 | &nbsp;&nbsp; 4.845% | &nbsp;&nbsp; 1/25/56 | &nbsp;&nbsp; 6049720<br>| &nbsp;&nbsp;&nbsp; 6020502<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; RAMP Trust, 2004-SL4 A5 | &nbsp;&nbsp; 7.500% | &nbsp;&nbsp; 7/25/32 | &nbsp;&nbsp; 296066<br>| &nbsp;&nbsp;&nbsp; 78375<br>|
| &nbsp;&nbsp;&nbsp; RBSSP Resecuritization Trust, 2009-12 9A2 | &nbsp;&nbsp; 4.341% | &nbsp;&nbsp; 3/25/36 | &nbsp;&nbsp; 3316975<br>| &nbsp;&nbsp;&nbsp; 2204807<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Reperforming Loan REMIC Trust, 2006-R2 AS, IO | &nbsp;&nbsp; 2.131% | &nbsp;&nbsp; 7/25/36 | &nbsp;&nbsp; 3437628<br>| &nbsp;&nbsp;&nbsp; 163695<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; ROCK Trust, 2024-CNTR E | &nbsp;&nbsp; 8.819% | &nbsp;&nbsp; 11/13/41 | &nbsp;&nbsp; 5000000<br>| &nbsp;&nbsp;&nbsp; 5216120<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Santander Mortgage Asset Receivable Trust, 2025-NQM5 A3 | &nbsp;&nbsp; 5.473% | &nbsp;&nbsp; 8/25/65 | &nbsp;&nbsp; 3642585<br>| &nbsp;&nbsp;&nbsp; 3630906<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; SCOTT Trust, 2023-SFS A | &nbsp;&nbsp; 5.910% | &nbsp;&nbsp; 3/10/40 | &nbsp;&nbsp; 9300000<br>| &nbsp;&nbsp;&nbsp; 9471849<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; SHOW Trust, 2022 BIZ A (1 mo. Term SOFR + 2.984%) | &nbsp;&nbsp; 6.654% | &nbsp;&nbsp; 1/15/27 | &nbsp;&nbsp; 10600000<br>| &nbsp;&nbsp;&nbsp; 4271524<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Soho Trust, 2021-SOHO B | &nbsp;&nbsp; 2.697% | &nbsp;&nbsp; 8/10/38 | &nbsp;&nbsp; 6280000<br>| &nbsp;&nbsp;&nbsp; 5090541<br> <sup>(a)(d)</sup><br>|

---

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2026 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

March 31, 2026

 **Western Asset Core Plus Bond Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount†<br>| Value |
| **Collateralized Mortgage Obligations**<sup>(j)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(j)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(j)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(j)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(j)</sup> **— continued** |
| &nbsp;&nbsp;&nbsp; Structured Adjustable Rate Mortgage Loan Trust, 2004-8 1A1 | &nbsp;&nbsp; 5.444% | &nbsp;&nbsp; 7/25/34 | &nbsp;&nbsp; 285<br>| &nbsp;&nbsp;&nbsp; $282<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Structured Asset Mortgage Investments II Trust, 2006-AR6 1A1 (1 mo. Term SOFR <br> + 0.474%) | &nbsp;&nbsp; 4.153% | &nbsp;&nbsp; 7/25/46 | &nbsp;&nbsp; 50334<br>| &nbsp;&nbsp;&nbsp; 45688<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; SunTrust Alternative Loan Trust, 2006-1F 3A (1 mo. Term SOFR + 0.464%) | &nbsp;&nbsp; 4.143% | &nbsp;&nbsp; 4/25/36 | &nbsp;&nbsp; 15437859<br>| &nbsp;&nbsp;&nbsp; 3461582<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; SWCH Commercial Mortgage Trust, 2025-DATA A (1 mo. Term SOFR + 1.443%) | &nbsp;&nbsp; 5.115% | &nbsp;&nbsp; 2/15/42 | &nbsp;&nbsp; 8270000<br>| &nbsp;&nbsp;&nbsp; 8179422<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; UBS Commercial Mortgage Trust, 2017-C1 A4 | &nbsp;&nbsp; 3.460% | &nbsp;&nbsp; 6/15/50 | &nbsp;&nbsp; 4740000<br>| &nbsp;&nbsp;&nbsp; 4681657<br>|
| &nbsp;&nbsp;&nbsp; UBS Commercial Mortgage Trust, 2017-C3 A4 | &nbsp;&nbsp; 3.426% | &nbsp;&nbsp; 8/15/50 | &nbsp;&nbsp; 4700000<br>| &nbsp;&nbsp;&nbsp; 4617790<br>|
| &nbsp;&nbsp;&nbsp; VLS Commercial Mortgage Trust, 2020-LAB A | &nbsp;&nbsp; 2.130% | &nbsp;&nbsp; 10/10/42 | &nbsp;&nbsp; 17345000<br>| &nbsp;&nbsp;&nbsp; 14808070<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Wells Fargo Commercial Mortgage Trust, 2017-C41 XA, IO | &nbsp;&nbsp; 1.142% | &nbsp;&nbsp; 11/15/50 | &nbsp;&nbsp; 28093732<br>| &nbsp;&nbsp;&nbsp; 360791<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Wells Fargo Commercial Mortgage Trust, 2022-JS2 G | &nbsp;&nbsp; 3.454% | &nbsp;&nbsp; 12/15/39 | &nbsp;&nbsp; 8750000<br>| &nbsp;&nbsp;&nbsp; 7098957<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Wells Fargo Commercial Mortgage Trust, 2024-C63 A5 | &nbsp;&nbsp; 5.309% | &nbsp;&nbsp; 8/15/57 | &nbsp;&nbsp; 2500000<br>| &nbsp;&nbsp;&nbsp; 2555352<br>|
| **Total Collateralized Mortgage Obligations (Cost — $688,289,271)** | **Total Collateralized Mortgage Obligations (Cost — $688,289,271)** | **Total Collateralized Mortgage Obligations (Cost — $688,289,271)** | **Total Collateralized Mortgage Obligations (Cost — $688,289,271)** | &nbsp;&nbsp; **628810482** |
| **U.S. Government & Agency Obligations — 10.4%** | **U.S. Government & Agency Obligations — 10.4%** | **U.S. Government & Agency Obligations — 10.4%** | **U.S. Government & Agency Obligations — 10.4%** | **U.S. Government & Agency Obligations — 10.4%** |
| *U.S. Government Obligations — 10.4%* | *U.S. Government Obligations — 10.4%* | *U.S. Government Obligations — 10.4%* | *U.S. Government Obligations — 10.4%* | *U.S. Government Obligations — 10.4%* |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | &nbsp;&nbsp; 4.750% | &nbsp;&nbsp; 2/15/41 | &nbsp;&nbsp; 31090000 | &nbsp;&nbsp;&nbsp; 31272168<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | &nbsp;&nbsp; 4.750% | &nbsp;&nbsp; 11/15/43 | &nbsp;&nbsp; 940000 | &nbsp;&nbsp;&nbsp; 928984<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | &nbsp;&nbsp; 3.625% | &nbsp;&nbsp; 2/15/44 | &nbsp;&nbsp; 33156000 | &nbsp;&nbsp;&nbsp; 28174829<br> <sup>(k)(l)</sup><br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 5/15/45 | &nbsp;&nbsp; 6340000 | &nbsp;&nbsp;&nbsp; 6424203<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | &nbsp;&nbsp; 2.875% | &nbsp;&nbsp; 8/15/45 | &nbsp;&nbsp; 52040000 | &nbsp;&nbsp;&nbsp; 38653930<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | &nbsp;&nbsp; 4.875% | &nbsp;&nbsp; 8/15/45 | &nbsp;&nbsp; 2760000 | &nbsp;&nbsp;&nbsp; 2751591<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 2/15/49 | &nbsp;&nbsp; 26870000 | &nbsp;&nbsp;&nbsp; 19632943<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | &nbsp;&nbsp; 2.000% | &nbsp;&nbsp; 2/15/50 | &nbsp;&nbsp; 2000000 | &nbsp;&nbsp;&nbsp; 1164844<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | &nbsp;&nbsp; 4.750% | &nbsp;&nbsp; 11/15/53 | &nbsp;&nbsp; 13156000 | &nbsp;&nbsp;&nbsp; 12795238<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | &nbsp;&nbsp; 4.250% | &nbsp;&nbsp; 2/15/54 | &nbsp;&nbsp; 6490000 | &nbsp;&nbsp;&nbsp; 5814761<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | &nbsp;&nbsp; 4.250% | &nbsp;&nbsp; 8/15/54 | &nbsp;&nbsp; 12420000 | &nbsp;&nbsp;&nbsp; 11126573<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 11/15/54 | &nbsp;&nbsp; 2350000 | &nbsp;&nbsp;&nbsp; 2195965<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | &nbsp;&nbsp; 4.625% | &nbsp;&nbsp; 2/15/55 | &nbsp;&nbsp; 1050000 | &nbsp;&nbsp;&nbsp; 1001725<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | &nbsp;&nbsp; 4.750% | &nbsp;&nbsp; 5/15/55 | &nbsp;&nbsp; 5340000 | &nbsp;&nbsp;&nbsp; 5201285<br> <sup>(k)</sup><br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | &nbsp;&nbsp; 4.750% | &nbsp;&nbsp; 8/15/55 | &nbsp;&nbsp; 3980000 | &nbsp;&nbsp;&nbsp; 3879256<br> <sup>(m)</sup><br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Notes | &nbsp;&nbsp; 3.875% | &nbsp;&nbsp; 5/31/27 | &nbsp;&nbsp; 2160000 | &nbsp;&nbsp;&nbsp; 2161603<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Notes | &nbsp;&nbsp; 3.875% | &nbsp;&nbsp; 6/30/30 | &nbsp;&nbsp; 890000 | &nbsp;&nbsp;&nbsp; 888731<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Notes | &nbsp;&nbsp; 3.875% | &nbsp;&nbsp; 7/31/30 | &nbsp;&nbsp; 2890000 | &nbsp;&nbsp;&nbsp; 2885541<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Notes | &nbsp;&nbsp; 3.750% | &nbsp;&nbsp; 1/31/31 | &nbsp;&nbsp; 1000000 | &nbsp;&nbsp;&nbsp; 991563<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Notes | &nbsp;&nbsp; 4.125% | &nbsp;&nbsp; 5/31/32 | &nbsp;&nbsp; 1110000 | &nbsp;&nbsp;&nbsp; 1113057<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Notes | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 6/30/32 | &nbsp;&nbsp; 53730000 | &nbsp;&nbsp;&nbsp; 53494931<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Notes | &nbsp;&nbsp; 3.750% | &nbsp;&nbsp; 10/31/32 | &nbsp;&nbsp; 1490000 | &nbsp;&nbsp;&nbsp; 1459152<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Notes | &nbsp;&nbsp; 3.750% | &nbsp;&nbsp; 2/28/33 | &nbsp;&nbsp; 1690000 | &nbsp;&nbsp;&nbsp; 1651579<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Notes | &nbsp;&nbsp; 4.250% | &nbsp;&nbsp; 5/15/35 | &nbsp;&nbsp; 3210000 | &nbsp;&nbsp;&nbsp; 3202038<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Notes | &nbsp;&nbsp; 4.250% | &nbsp;&nbsp; 8/15/35 | &nbsp;&nbsp; 97330000 | &nbsp;&nbsp;&nbsp; 96980220<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Notes | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 11/15/35 | &nbsp;&nbsp; 410000 | &nbsp;&nbsp;&nbsp; 399974<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Strip Principal (STRIPS) | &nbsp;&nbsp; 0.000% | &nbsp;&nbsp; 5/15/49 | &nbsp;&nbsp; 152060000 | &nbsp;&nbsp;&nbsp; 47373676<br>|
| **Total U.S. Government & Agency Obligations (Cost — $449,627,708)** | **Total U.S. Government & Agency Obligations (Cost — $449,627,708)** | **Total U.S. Government & Agency Obligations (Cost — $449,627,708)** | **Total U.S. Government & Agency Obligations (Cost — $449,627,708)** | &nbsp;&nbsp; **383620360** |

---

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2026 Quarterly Report

------

 **Western Asset Core Plus Bond Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face <br>Amount†/ <br>Units<br>| Value |
| **Asset-Backed Securities — 8.0%** | **Asset-Backed Securities — 8.0%** | **Asset-Backed Securities — 8.0%** | **Asset-Backed Securities — 8.0%** | **Asset-Backed Securities — 8.0%** |
| &nbsp;&nbsp;&nbsp; 522 Funding CLO Ltd., 2019-5A AR2 (3 mo. Term SOFR + 1.020%) | &nbsp;&nbsp; 4.680% | &nbsp;&nbsp; 4/15/35 | &nbsp;&nbsp; 5790000<br>| &nbsp;&nbsp;&nbsp; $5791540<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Abry Liquid Credit CLO Ltd., 2025-2A A1 (3 mo. Term SOFR + 1.310%) | &nbsp;&nbsp; 4.995% | &nbsp;&nbsp; 1/15/38 | &nbsp;&nbsp; 6180000<br>| &nbsp;&nbsp;&nbsp; 6163939<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; AIMCO CLO Ltd., 2021-15A AR (3 mo. Term SOFR + 1.200%) | &nbsp;&nbsp; 4.868% | &nbsp;&nbsp; 4/17/38 | &nbsp;&nbsp; 11560000<br>| &nbsp;&nbsp;&nbsp; 11563143<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; AIMCO CLO Ltd., 2024-22A A (3 mo. Term SOFR + 1.500%) | &nbsp;&nbsp; 5.168% | &nbsp;&nbsp; 4/19/37 | &nbsp;&nbsp; 5350000<br>| &nbsp;&nbsp;&nbsp; 5363817<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Avis Budget Rental Car Funding AESOP LLC, 2025-4A A | &nbsp;&nbsp; 4.400% | &nbsp;&nbsp; 2/20/32 | &nbsp;&nbsp; 2130000<br>| &nbsp;&nbsp;&nbsp; 2105081<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Balboa Bay Loan Funding Ltd., 2025-2A A1 (3 mo. Term SOFR + 1.250%) | &nbsp;&nbsp; 4.981% | &nbsp;&nbsp; 1/20/39 | &nbsp;&nbsp; 5440000<br>| &nbsp;&nbsp;&nbsp; 5435160<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Bayfront Iabs Pte Ltd., 7A A (SOFR + 1.280%) | &nbsp;&nbsp; 4.960% | &nbsp;&nbsp; 4/11/48 | &nbsp;&nbsp; 6410000<br>| &nbsp;&nbsp;&nbsp; 6409385<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Bayswater Park CLO Ltd., 2023-1A AR (3 mo. Term SOFR + 1.210%) | &nbsp;&nbsp; 4.878% | &nbsp;&nbsp; 1/20/39 | &nbsp;&nbsp; 6300000<br>| &nbsp;&nbsp;&nbsp; 6301070<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Bear Stearns Asset-Backed Securities Trust, 2005-CL1 A1 (1 mo. Term SOFR + <br> 0.614%) | &nbsp;&nbsp; 2.249% | &nbsp;&nbsp; 9/25/34 | &nbsp;&nbsp; 158371<br>| &nbsp;&nbsp;&nbsp; 160537<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; CLI Funding LLC, 2024-1A A | &nbsp;&nbsp; 5.630% | &nbsp;&nbsp; 7/20/49 | &nbsp;&nbsp; 7039413<br>| &nbsp;&nbsp;&nbsp; 7078175<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; College Ave Student Loans LLC, 2019-A A1 (1 mo. Term SOFR + 1.514%) | &nbsp;&nbsp; 5.193% | &nbsp;&nbsp; 12/28/48 | &nbsp;&nbsp; 7884430<br>| &nbsp;&nbsp;&nbsp; 7916307<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; College Ave Student Loans LLC, 2024-B A1A | &nbsp;&nbsp; 5.690% | &nbsp;&nbsp; 8/25/54 | &nbsp;&nbsp; 4833834<br>| &nbsp;&nbsp;&nbsp; 4936108<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Conseco Finance Corp., 1999-3 A9 | &nbsp;&nbsp; 6.530% | &nbsp;&nbsp; 2/1/31 | &nbsp;&nbsp; 3353684<br>| &nbsp;&nbsp;&nbsp; 3020735<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; DB Master Finance LLC, 2021-1A A23 | &nbsp;&nbsp; 2.791% | &nbsp;&nbsp; 11/20/51 | &nbsp;&nbsp; 7573825<br>| &nbsp;&nbsp;&nbsp; 6714316<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Elmwood CLO Ltd., 2019-1A A1R3 (3 mo. Term SOFR + 1.120%) | &nbsp;&nbsp; 4.780% | &nbsp;&nbsp; 4/20/37 | &nbsp;&nbsp; 7660000<br>| &nbsp;&nbsp;&nbsp; 7625523<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Fortress Credit BSL Ltd., 2025-1A A (3 mo. Term SOFR + 1.270%) | &nbsp;&nbsp; 4.938% | &nbsp;&nbsp; 4/20/38 | &nbsp;&nbsp; 6390000<br>| &nbsp;&nbsp;&nbsp; 6388431<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; GGAM Master Trust International Ltd., 2025-1A A | &nbsp;&nbsp; 5.923% | &nbsp;&nbsp; 9/30/60 | &nbsp;&nbsp; 6341562<br>| &nbsp;&nbsp;&nbsp; 6338860<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; GMAC Mortgage Corp. Loan Trust, 2004-HE3 A2VN (1 mo. Term SOFR + 0.614%) | &nbsp;&nbsp; 4.293% | &nbsp;&nbsp; 10/25/34 | &nbsp;&nbsp; 433039<br>| &nbsp;&nbsp;&nbsp; 413908<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; GoldenTree Loan Management US CLO Ltd., 2024-20A A (3 mo. Term SOFR + <br> 1.450%) | &nbsp;&nbsp; 5.118% | &nbsp;&nbsp; 7/20/37 | &nbsp;&nbsp; 5936000<br>| &nbsp;&nbsp;&nbsp; 5951703<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; GSRPM Mortgage Loan Trust, 2007-1 A (1 mo. Term SOFR + 0.914%) | &nbsp;&nbsp; 4.593% | &nbsp;&nbsp; 10/25/46 | &nbsp;&nbsp; 3049364<br>| &nbsp;&nbsp;&nbsp; 2910487<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; HalseyPoint CLO Ltd., 2020-3A A1R (3 mo. Term SOFR + 1.480%) | &nbsp;&nbsp; 5.147% | &nbsp;&nbsp; 7/30/37 | &nbsp;&nbsp; 10000000<br>| &nbsp;&nbsp;&nbsp; 10026403<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Hildene Community Funding CDO Ltd., 2015-1A ARR | &nbsp;&nbsp; 2.600% | &nbsp;&nbsp; 11/1/35 | &nbsp;&nbsp; 4280690<br>| &nbsp;&nbsp;&nbsp; 3819625<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Jimmy Johns Funding LLC, 2017-1A A2II | &nbsp;&nbsp; 4.846% | &nbsp;&nbsp; 7/30/47 | &nbsp;&nbsp; 5969075<br>| &nbsp;&nbsp;&nbsp; 5941914<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Kings Park CLO Ltd., 2021-1A A1R (3 mo. Term SOFR + 1.200%) | &nbsp;&nbsp; 4.870% | &nbsp;&nbsp; 1/21/39 | &nbsp;&nbsp; 5910000<br>| &nbsp;&nbsp;&nbsp; 5902672<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Loanpal Solar Loan Ltd., 2020-3GS A | &nbsp;&nbsp; 2.470% | &nbsp;&nbsp; 12/20/47 | &nbsp;&nbsp; 10102528<br>| &nbsp;&nbsp;&nbsp; 8406627<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Loanpal Solar Loan Ltd., 2021-1GS A | &nbsp;&nbsp; 2.290% | &nbsp;&nbsp; 1/20/48 | &nbsp;&nbsp; 2158065<br>| &nbsp;&nbsp;&nbsp; 1791112<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Long Beach Mortgage Loan Trust, 2006-9 2A3 (1 mo. Term SOFR + 0.434%) | &nbsp;&nbsp; 4.113% | &nbsp;&nbsp; 10/25/36 | &nbsp;&nbsp; 2887893<br>| &nbsp;&nbsp;&nbsp; 879237<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; M&T Equipment Notes, 2024-1A A4 | &nbsp;&nbsp; 4.940% | &nbsp;&nbsp; 8/18/31 | &nbsp;&nbsp; 9460000<br>| &nbsp;&nbsp;&nbsp; 9591813<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Magnetite Ltd., 2021-29A BR (3 mo. Term SOFR + 1.750%) | &nbsp;&nbsp; 5.422% | &nbsp;&nbsp; 7/15/37 | &nbsp;&nbsp; 4840000<br>| &nbsp;&nbsp;&nbsp; 4849286<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Man Capital CLO Ltd., 2021-2RA A1R (3 mo. Term SOFR + 1.320%) | &nbsp;&nbsp; 4.990% | &nbsp;&nbsp; 4/17/39 | &nbsp;&nbsp; 7800000<br>| &nbsp;&nbsp;&nbsp; 7782308<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; MAPS Trust, 2026-1A A | &nbsp;&nbsp; 5.201% | &nbsp;&nbsp; 1/15/51 | &nbsp;&nbsp; 4830724<br>| &nbsp;&nbsp;&nbsp; 4729354<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Morgan Stanley Resecuritization Trust, 2015-R7 1BXA | &nbsp;&nbsp; 7.060% | &nbsp;&nbsp; 2/26/29 | &nbsp;&nbsp; 7032171<br>| &nbsp;&nbsp;&nbsp; 6343581<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; National Collegiate Student Loan Trust, 2005-2 A51 (1 mo. Term SOFR + 0.484%) | &nbsp;&nbsp; 4.163% | &nbsp;&nbsp; 6/25/33 | &nbsp;&nbsp; 1809448<br>| &nbsp;&nbsp;&nbsp; 1798556<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; National Collegiate Student Loan Trust, 2006-4 A4 (1 mo. Term SOFR + 0.424%) | &nbsp;&nbsp; 4.103% | &nbsp;&nbsp; 5/25/32 | &nbsp;&nbsp; 302168<br>| &nbsp;&nbsp;&nbsp; 301196<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Oak Street Investment Grade Net Lease Fund, 2020-1A A1 | &nbsp;&nbsp; 1.850% | &nbsp;&nbsp; 11/20/50 | &nbsp;&nbsp; 4618399<br>| &nbsp;&nbsp;&nbsp; 4229282<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; OHA Loan Funding Ltd., 2013-2A AR2 (3 mo. Term SOFR + 1.220%) | &nbsp;&nbsp; 5.349% | &nbsp;&nbsp; 10/20/38 | &nbsp;&nbsp; 1030000<br>| &nbsp;&nbsp;&nbsp; 1029903<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Option One Mortgage Loan Trust, 2007-FXD2 1A1 | &nbsp;&nbsp; 5.820% | &nbsp;&nbsp; 3/25/37 | &nbsp;&nbsp; 11720137<br>| &nbsp;&nbsp;&nbsp; 10615151<br>|
| &nbsp;&nbsp;&nbsp; Origen Manufactured Housing Contract Trust, 2007-A A2 | &nbsp;&nbsp; 5.072% | &nbsp;&nbsp; 4/15/37 | &nbsp;&nbsp; 1691645<br>| &nbsp;&nbsp;&nbsp; 1559314<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Palmer Square CLO Ltd., 2021-1A A1AR (3 mo. Term SOFR + 1.150%) | &nbsp;&nbsp; 4.818% | &nbsp;&nbsp; 4/20/38 | &nbsp;&nbsp; 9460000<br>| &nbsp;&nbsp;&nbsp; 9434248<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Point Au Roche Park CLO Ltd., 2021-1A AR (3 mo. Term SOFR + 1.170%) | &nbsp;&nbsp; 4.829% | &nbsp;&nbsp; 1/20/39 | &nbsp;&nbsp; 7465000<br>| &nbsp;&nbsp;&nbsp; 7440740<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Renaissance Home Equity Loan Trust, 2003-4 A3 (1 mo. Term SOFR + 1.354%) | &nbsp;&nbsp; 5.033% | &nbsp;&nbsp; 3/25/34 | &nbsp;&nbsp; 2981472<br>| &nbsp;&nbsp;&nbsp; 2725126<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Sagard-Halseypoint CLO Ltd., 2024-8A A1 (3 mo. Term SOFR + 1.390%) | &nbsp;&nbsp; 5.057% | &nbsp;&nbsp; 1/30/38 | &nbsp;&nbsp; 2190000<br>| &nbsp;&nbsp;&nbsp; 2195066<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; SEB Funding LLC, 2024-1A A2 | &nbsp;&nbsp; 7.386% | &nbsp;&nbsp; 4/30/54 | &nbsp;&nbsp; 11060000<br>| &nbsp;&nbsp;&nbsp; 11266634<br> <sup>(a)</sup><br>|

---

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2026 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

March 31, 2026

 **Western Asset Core Plus Bond Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount†/<br> Units<br>| Value |
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp; Silver Point CLO Ltd., 2025-8A A1 (3 mo. Term SOFR + 1.210%) | &nbsp;&nbsp; 4.882% | &nbsp;&nbsp; 4/15/38 | &nbsp;&nbsp; 9410000<br>| &nbsp;&nbsp;&nbsp; $9412569<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; SMB Private Education Loan Trust, 2015-C R | &nbsp;&nbsp; 1.801% | &nbsp;&nbsp; 9/18/46 | &nbsp;&nbsp; 24595<br>| &nbsp;&nbsp;&nbsp; 6934238<br> <sup>(a)(n)</sup><br>|
| &nbsp;&nbsp;&nbsp; SMB Private Education Loan Trust, 2025-B A1A | &nbsp;&nbsp; 5.020% | &nbsp;&nbsp; 3/17/53 | &nbsp;&nbsp; 4554869<br>| &nbsp;&nbsp;&nbsp; 4561594<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; SpringCastle America Funding LLC, 2020-AA A | &nbsp;&nbsp; 1.970% | &nbsp;&nbsp; 9/25/37 | &nbsp;&nbsp; 4435471<br>| &nbsp;&nbsp;&nbsp; 4183043<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Store Master Funding, 2023-1A A1 | &nbsp;&nbsp; 6.190% | &nbsp;&nbsp; 6/20/53 | &nbsp;&nbsp; 6368483<br>| &nbsp;&nbsp;&nbsp; 6380596<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Store Master Funding, 2024-1A A2 | &nbsp;&nbsp; 5.700% | &nbsp;&nbsp; 5/20/54 | &nbsp;&nbsp; 10419183<br>| &nbsp;&nbsp;&nbsp; 10597879<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Structured Asset Securities Corp. Mortgage Loan Trust, 2006-ARS1 A1 (1 mo. <br> Term SOFR + 0.334%) | &nbsp;&nbsp; 4.013% | &nbsp;&nbsp; 2/25/36 | &nbsp;&nbsp; 1069197<br>| &nbsp;&nbsp;&nbsp; 18199<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Structured Asset Securities Corp. Trust, 2005-SC1 1A2 | &nbsp;&nbsp; 5.972% | &nbsp;&nbsp; 5/25/31 | &nbsp;&nbsp; 2378844<br>| &nbsp;&nbsp;&nbsp; 1680632<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Sunrun Atlas Issuer LLC, 2019-2 A | &nbsp;&nbsp; 3.610% | &nbsp;&nbsp; 2/1/55 | &nbsp;&nbsp; 2072223<br>| &nbsp;&nbsp;&nbsp; 2000815<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Sunrun Demeter Issuer LLC, 2021-2A A | &nbsp;&nbsp; 2.270% | &nbsp;&nbsp; 1/30/57 | &nbsp;&nbsp; 5051232<br>| &nbsp;&nbsp;&nbsp; 4591539<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Sycamore Tree CLO Ltd., 2025-6A A1 (3 mo. Term SOFR + 1.200%) | &nbsp;&nbsp; 4.868% | &nbsp;&nbsp; 4/20/38 | &nbsp;&nbsp; 8200000<br>| &nbsp;&nbsp;&nbsp; 8202187<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Taco Bell Funding LLC, 2025-1A A2I | &nbsp;&nbsp; 4.821% | &nbsp;&nbsp; 8/25/55 | &nbsp;&nbsp; 3730000<br>| &nbsp;&nbsp;&nbsp; 3680926<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Thrust Engine Leasing DAC, 2021-1A A | &nbsp;&nbsp; 4.163% | &nbsp;&nbsp; 7/15/40 | &nbsp;&nbsp; 3893092<br>| &nbsp;&nbsp;&nbsp; 3853047<br> <sup>(a)</sup><br>|
| **Total Asset-Backed Securities (Cost — $332,817,030)** | **Total Asset-Backed Securities (Cost — $332,817,030)** | **Total Asset-Backed Securities (Cost — $332,817,030)** | **Total Asset-Backed Securities (Cost — $332,817,030)** | &nbsp;&nbsp; **297344637** |
|  |  |  | &nbsp;&nbsp; Face <br>Amount†<br>|  |
| **Sovereign Bonds — 5.1%** | **Sovereign Bonds — 5.1%** | **Sovereign Bonds — 5.1%** | **Sovereign Bonds — 5.1%** | **Sovereign Bonds — 5.1%** |
| *Angola — 0.1%* | *Angola — 0.1%* | *Angola — 0.1%* | *Angola — 0.1%* | *Angola — 0.1%* |
| &nbsp;&nbsp;&nbsp; Angolan Government International Bond, Senior Notes | &nbsp;&nbsp; 9.375% | &nbsp;&nbsp; 3/31/33 | &nbsp;&nbsp; 4870000<br>| &nbsp;&nbsp;&nbsp;&nbsp; *4823882*<br> <sup>(a)</sup><br>|
| *Argentina — 0.4%* | *Argentina — 0.4%* | *Argentina — 0.4%* | *Argentina — 0.4%* | *Argentina — 0.4%* |
| &nbsp;&nbsp;&nbsp; Argentine Republic Government International Bond, Senior Notes, Step bond <br> (0.750% to 7/9/27 then 1.750%) | &nbsp;&nbsp; 0.750% | &nbsp;&nbsp; 7/9/30 | &nbsp;&nbsp; 2221129<br>| &nbsp;&nbsp;&nbsp; 1862416<br>|
| &nbsp;&nbsp;&nbsp; Argentine Republic Government International Bond, Senior Notes, Step bond <br> (4.125% to 7/9/27 then 4.750%) | &nbsp;&nbsp; 4.125% | &nbsp;&nbsp; 7/9/35 | &nbsp;&nbsp; 4970000<br>| &nbsp;&nbsp;&nbsp; 3590825<br>|
| &nbsp;&nbsp;&nbsp; Provincia de Buenos Aires, Senior Notes | &nbsp;&nbsp; 6.625% | &nbsp;&nbsp; 9/1/37 | &nbsp;&nbsp; 11609688<br>| &nbsp;&nbsp;&nbsp; 8779827<br> <sup>(a)</sup><br>|
| *Total Argentina* | *Total Argentina* | *Total Argentina* | *Total Argentina* | &nbsp;&nbsp; *14233068* |
| *Bahamas — 0.0%††* | *Bahamas — 0.0%††* | *Bahamas — 0.0%††* | *Bahamas — 0.0%††* | *Bahamas — 0.0%††* |
| &nbsp;&nbsp;&nbsp; Bahamas Government International Bond, Senior Notes | &nbsp;&nbsp; 8.250% | &nbsp;&nbsp; 6/24/36 | &nbsp;&nbsp; 1610000<br>| &nbsp;&nbsp;&nbsp;&nbsp; *1722829*<br> <sup>(a)</sup><br>|
| *Brazil — 2.0%* | *Brazil — 2.0%* | *Brazil — 2.0%* | *Brazil — 2.0%* | *Brazil — 2.0%* |
| &nbsp;&nbsp;&nbsp; Brazil Notas do Tesouro Nacional Serie F, Notes | &nbsp;&nbsp; 10.000% | &nbsp;&nbsp; 1/1/27 | &nbsp;&nbsp; 140000000 <br><sup>BRL</sup><br>| &nbsp;&nbsp;&nbsp; 26336911<br>|
| &nbsp;&nbsp;&nbsp; Brazil Notas do Tesouro Nacional Serie F, Notes | &nbsp;&nbsp; 10.000% | &nbsp;&nbsp; 1/1/33 | &nbsp;&nbsp; 245741000 <br><sup>BRL</sup><br>| &nbsp;&nbsp;&nbsp; 39787296<br>|
| &nbsp;&nbsp;&nbsp; Brazilian Government International Bond, Senior Notes | &nbsp;&nbsp; 6.125% | &nbsp;&nbsp; 3/15/34 | &nbsp;&nbsp; 7580000<br>| &nbsp;&nbsp;&nbsp; 7585306<br>|
| *Total Brazil* | *Total Brazil* | *Total Brazil* | *Total Brazil* | &nbsp;&nbsp; *73709513* |
| *Chile — 0.3%* | *Chile — 0.3%* | *Chile — 0.3%* | *Chile — 0.3%* | *Chile — 0.3%* |
| &nbsp;&nbsp;&nbsp; Bonos de la Tesoreria de la Republica en pesos, Bonds | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 4/1/33 | &nbsp;&nbsp; 4105000000 <br><sup>CLP</sup><br>| &nbsp;&nbsp;&nbsp; 4560323<br> <sup>(h)</sup><br>|
| &nbsp;&nbsp;&nbsp; Chile Government International Bond, Senior Notes | &nbsp;&nbsp; 2.550% | &nbsp;&nbsp; 7/27/33 | &nbsp;&nbsp; 6510000<br>| &nbsp;&nbsp;&nbsp; 5555634<br>|
| *Total Chile* | *Total Chile* | *Total Chile* | *Total Chile* | &nbsp;&nbsp; *10115957* |
| *Costa Rica — 0.2%* | *Costa Rica — 0.2%* | *Costa Rica — 0.2%* | *Costa Rica — 0.2%* | *Costa Rica — 0.2%* |
| &nbsp;&nbsp;&nbsp; Costa Rica Government International Bond, Senior Notes | &nbsp;&nbsp; 6.550% | &nbsp;&nbsp; 4/3/34 | &nbsp;&nbsp; 8590000<br>| &nbsp;&nbsp;&nbsp;&nbsp; *9078385*<br> <sup>(a)</sup><br>|
| *Ecuador — 0.1%* | *Ecuador — 0.1%* | *Ecuador — 0.1%* | *Ecuador — 0.1%* | *Ecuador — 0.1%* |
| &nbsp;&nbsp;&nbsp; Ecuador Government International Bond, Senior Notes | &nbsp;&nbsp; 8.750% | &nbsp;&nbsp; 1/29/34 | &nbsp;&nbsp; 4590000<br>| &nbsp;&nbsp;&nbsp;&nbsp; *4509675*<br> <sup>(a)</sup><br>|
| *Malaysia — 0.1%* | *Malaysia — 0.1%* | *Malaysia — 0.1%* | *Malaysia — 0.1%* | *Malaysia — 0.1%* |
| &nbsp;&nbsp;&nbsp; Malaysia Government Bond | &nbsp;&nbsp; 4.254% | &nbsp;&nbsp; 5/31/35 | &nbsp;&nbsp; 18640000 <br><sup>MYR</sup><br>| &nbsp;&nbsp;&nbsp; *4820917*<br>|

---

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2026 Quarterly Report

------

 **Western Asset Core Plus Bond Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount†<br>| Value |
| *Mexico — 0.6%* | *Mexico — 0.6%* | *Mexico — 0.6%* | *Mexico — 0.6%* | *Mexico — 0.6%* |
| &nbsp;&nbsp;&nbsp; Eagle Funding Luxco Sarl, Senior Notes | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 8/17/30 | &nbsp;&nbsp; 17520000<br>| &nbsp;&nbsp;&nbsp; $17633880<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Mexican Bonos, Senior Notes | &nbsp;&nbsp; 7.750% | &nbsp;&nbsp; 11/13/42 | &nbsp;&nbsp; 97170000 <br><sup>MXN</sup><br>| &nbsp;&nbsp;&nbsp; 4504832<br>|
| *Total Mexico* | *Total Mexico* | *Total Mexico* | *Total Mexico* | &nbsp;&nbsp; *22138712* |
| *Panama — 0.1%* | *Panama — 0.1%* | *Panama — 0.1%* | *Panama — 0.1%* | *Panama — 0.1%* |
| &nbsp;&nbsp;&nbsp; Panama Government International Bond, Senior Notes | &nbsp;&nbsp; 2.252% | &nbsp;&nbsp; 9/29/32 | &nbsp;&nbsp; 4000000<br>| &nbsp;&nbsp;&nbsp; *3294800*<br>|
| *Paraguay — 0.1%* | *Paraguay — 0.1%* | *Paraguay — 0.1%* | *Paraguay — 0.1%* | *Paraguay — 0.1%* |
| &nbsp;&nbsp;&nbsp; Paraguay Government International Bond, Senior Notes | &nbsp;&nbsp; 3.849% | &nbsp;&nbsp; 6/28/33 | &nbsp;&nbsp; 5000000<br>| &nbsp;&nbsp;&nbsp;&nbsp; *4641250*<br> <sup>(h)</sup><br>|
| *Peru — 0.3%* | *Peru — 0.3%* | *Peru — 0.3%* | *Peru — 0.3%* | *Peru — 0.3%* |
| &nbsp;&nbsp;&nbsp; Peru Government Bond, Senior Notes | &nbsp;&nbsp; 5.400% | &nbsp;&nbsp; 8/12/34 | &nbsp;&nbsp; 7860000 <br><sup>PEN</sup><br>| &nbsp;&nbsp;&nbsp; 2144201<br>|
| &nbsp;&nbsp;&nbsp; Peruvian Government International Bond, Senior Notes | &nbsp;&nbsp; 5.375% | &nbsp;&nbsp; 2/8/35 | &nbsp;&nbsp; 4770000<br>| &nbsp;&nbsp;&nbsp; 4767853<br>|
| &nbsp;&nbsp;&nbsp; Peruvian Government International Bond, Senior Notes | &nbsp;&nbsp; 6.550% | &nbsp;&nbsp; 3/14/37 | &nbsp;&nbsp; 2430000<br>| &nbsp;&nbsp;&nbsp; 2629868<br>|
| *Total Peru* | *Total Peru* | *Total Peru* | *Total Peru* | &nbsp;&nbsp; *9541922* |
| *Poland — 0.2%* | *Poland — 0.2%* | *Poland — 0.2%* | *Poland — 0.2%* | *Poland — 0.2%* |
| &nbsp;&nbsp;&nbsp; Republic of Poland Government International Bond, Senior Notes | &nbsp;&nbsp; 5.125% | &nbsp;&nbsp; 9/18/34 | &nbsp;&nbsp; 7240000<br>| &nbsp;&nbsp;&nbsp; *7285717*<br>|
| *South Africa — 0.1%* | *South Africa — 0.1%* | *South Africa — 0.1%* | *South Africa — 0.1%* | *South Africa — 0.1%* |
| &nbsp;&nbsp;&nbsp; Republic of South Africa Government Bond | &nbsp;&nbsp; 8.750% | &nbsp;&nbsp; 1/31/44 | &nbsp;&nbsp; 81010000 <br><sup>ZAR</sup><br>| &nbsp;&nbsp;&nbsp; *4341310*<br>|
| *Supranational — 0.4%* | *Supranational — 0.4%* | *Supranational — 0.4%* | *Supranational — 0.4%* | *Supranational — 0.4%* |
| &nbsp;&nbsp;&nbsp; Inter-American Development Bank, Senior Notes | &nbsp;&nbsp; 7.350% | &nbsp;&nbsp; 10/6/30 | &nbsp;&nbsp; 1317000000 <br><sup>INR</sup><br>| &nbsp;&nbsp;&nbsp; *13643179*<br>|
| *Uruguay — 0.1%* | *Uruguay — 0.1%* | *Uruguay — 0.1%* | *Uruguay — 0.1%* | *Uruguay — 0.1%* |
| &nbsp;&nbsp;&nbsp; Uruguay Government International Bond, Senior Notes | &nbsp;&nbsp; 8.250% | &nbsp;&nbsp; 5/21/31 | &nbsp;&nbsp; 85490000 <br><sup>UYU</sup><br>| &nbsp;&nbsp;&nbsp; 2182874<br>|
| &nbsp;&nbsp;&nbsp; Uruguay Government International Bond, Senior Notes | &nbsp;&nbsp; 7.875% | &nbsp;&nbsp; 1/15/33 | &nbsp;&nbsp; 1<br>| &nbsp;&nbsp;&nbsp; 1<br>|
| *Total Uruguay* | *Total Uruguay* | *Total Uruguay* | *Total Uruguay* | &nbsp;&nbsp; *2182875* |
| **Total Sovereign Bonds (Cost — $190,740,808)** | **Total Sovereign Bonds (Cost — $190,740,808)** | **Total Sovereign Bonds (Cost — $190,740,808)** | **Total Sovereign Bonds (Cost — $190,740,808)** | &nbsp;&nbsp; **190083991** |
| **Senior Loans — 2.9%** | **Senior Loans — 2.9%** | **Senior Loans — 2.9%** | **Senior Loans — 2.9%** | **Senior Loans — 2.9%** |
| **Communication Services — 0.1%** | **Communication Services — 0.1%** | **Communication Services — 0.1%** | **Communication Services — 0.1%** | **Communication Services — 0.1%** |
| *Media — 0.1%* | *Media — 0.1%* | *Media — 0.1%* | *Media — 0.1%* | *Media — 0.1%* |
| &nbsp;&nbsp;&nbsp; Nexstar Media Inc., Term Loan B5 (1 mo. Term SOFR + 2.500%)  | 6.168% | &nbsp;&nbsp; 6/28/32 | &nbsp;&nbsp; 2497450<br>| &nbsp;&nbsp;&nbsp;&nbsp; **2474923**<br> <sup>(d)(o)(p)</sup><br>|
| **Consumer Discretionary — 0.4%** | **Consumer Discretionary — 0.4%** | **Consumer Discretionary — 0.4%** | **Consumer Discretionary — 0.4%** | **Consumer Discretionary — 0.4%** |
| *Automobile Components — 0.0%††* | *Automobile Components — 0.0%††* | *Automobile Components — 0.0%††* | *Automobile Components — 0.0%††* | *Automobile Components — 0.0%††* |
| &nbsp;&nbsp;&nbsp; Clarios Global LP, 2024 Term Loan B (1 mo. Term SOFR + 2.500%)  | 6.168% | &nbsp;&nbsp; 5/6/30 | &nbsp;&nbsp; 1318659<br>| &nbsp;&nbsp;&nbsp;&nbsp; *1316187*<br> <sup>(d)(o)(p)</sup><br>|
| *Automobiles — 0.1%* | *Automobiles — 0.1%* | *Automobiles — 0.1%* | *Automobiles — 0.1%* | *Automobiles — 0.1%* |
| &nbsp;&nbsp;&nbsp; Belron Finance 2019 LLC, Term Loan (3 mo. Term SOFR + 2.000%)  | 5.660% | &nbsp;&nbsp; 10/16/31 | &nbsp;&nbsp; 3692770<br>| &nbsp;&nbsp;&nbsp;&nbsp; *3696001*<br> <sup>(d)(o)(p)</sup><br>|
| *Broadline Retail — 0.1%* | *Broadline Retail — 0.1%* | *Broadline Retail — 0.1%* | *Broadline Retail — 0.1%* | *Broadline Retail — 0.1%* |
| &nbsp;&nbsp;&nbsp; Peer Holding III BV, Term Loan B5 (3 mo. Term SOFR + 2.500%)  | 6.200% | &nbsp;&nbsp; 7/1/31 | &nbsp;&nbsp; 2465037<br>| &nbsp;&nbsp;&nbsp;&nbsp; *2463115*<br> <sup>(d)(o)(p)</sup><br>|
| *Hotels, Restaurants & Leisure — 0.0%††* | *Hotels, Restaurants & Leisure — 0.0%††* | *Hotels, Restaurants & Leisure — 0.0%††* | *Hotels, Restaurants & Leisure — 0.0%††* | *Hotels, Restaurants & Leisure — 0.0%††* |
| &nbsp;&nbsp;&nbsp; PCI Gaming Authority, 2024 Term Loan B (1 mo. Term SOFR + 2.000%)  | 5.668% | &nbsp;&nbsp; 7/18/31 | &nbsp;&nbsp; 2021564<br>| &nbsp;&nbsp;&nbsp;&nbsp; *2023727*<br> <sup>(d)(o)(p)</sup><br>|
| *Specialty Retail — 0.2%* | *Specialty Retail — 0.2%* | *Specialty Retail — 0.2%* | *Specialty Retail — 0.2%* | *Specialty Retail — 0.2%* |
| &nbsp;&nbsp;&nbsp; Harbor Freight Tools USA Inc., Initial Term Loan (1 mo. Term SOFR + 2.250%) | 5.918% | &nbsp;&nbsp; 6/11/31 | &nbsp;&nbsp; 2955096<br>| &nbsp;&nbsp;&nbsp; 2928840<br> <sup>(d)(o)(p)(q)</sup><br>|
| &nbsp;&nbsp;&nbsp; Petco Health & Wellness Co. Inc., 2026 Term Loan (3 mo. Term SOFR + 4.250%) | 7.950% | &nbsp;&nbsp; 1/22/31 | &nbsp;&nbsp; 3560000<br>| &nbsp;&nbsp;&nbsp; 3487589<br> <sup>(d)(o)(p)</sup><br>|
| *Total Specialty Retail* | *Total Specialty Retail* | *Total Specialty Retail* | *Total Specialty Retail* | &nbsp;&nbsp; *6416429* |
| **Total Consumer Discretionary** | **Total Consumer Discretionary** | **Total Consumer Discretionary** | **Total Consumer Discretionary** | &nbsp;&nbsp; **15915459** |
| **Consumer Staples — 0.0%††** | **Consumer Staples — 0.0%††** | **Consumer Staples — 0.0%††** | **Consumer Staples — 0.0%††** | **Consumer Staples — 0.0%††** |
| *Beverages — 0.0%††* | *Beverages — 0.0%††* | *Beverages — 0.0%††* | *Beverages — 0.0%††* | *Beverages — 0.0%††* |
| &nbsp;&nbsp;&nbsp; Triton Water Holdings Inc., 2026 Refinancing Term Loan  |  | &nbsp;&nbsp; 3/19/31 | &nbsp;&nbsp; 1880000<br>| &nbsp;&nbsp;&nbsp;&nbsp; **1885283**<br> <sup>(q)</sup><br>|

---

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2026 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

March 31, 2026

 **Western Asset Core Plus Bond Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount†<br>| Value |
| **Financials — 1.2%** | **Financials — 1.2%** | **Financials — 1.2%** | **Financials — 1.2%** | **Financials — 1.2%** |
| *Banks — 0.0%††* | *Banks — 0.0%††* | *Banks — 0.0%††* | *Banks — 0.0%††* | *Banks — 0.0%††* |
| &nbsp;&nbsp;&nbsp; Ascensus Group Holdings Inc., 2024 Term Loan B (1 mo. Term SOFR + 3.000%)  | 6.668% | &nbsp;&nbsp; 11/24/32 | &nbsp;&nbsp; 2010000<br>| &nbsp;&nbsp;&nbsp; $*1981106*<br> <sup>(d)(o)(p)</sup><br>|
| *Capital Markets — 0.2%* | *Capital Markets — 0.2%* | *Capital Markets — 0.2%* | *Capital Markets — 0.2%* | *Capital Markets — 0.2%* |
| &nbsp;&nbsp;&nbsp; Focus Financial Partners LLC, Incremental Term Loan B (1 mo. Term SOFR + <br> 2.500%) | 6.168% | &nbsp;&nbsp; 9/15/31 | &nbsp;&nbsp; 4930200<br>| &nbsp;&nbsp;&nbsp; 4782023<br> <sup>(d)(o)(p)</sup><br>|
| &nbsp;&nbsp;&nbsp; GIP Pilot Acquisition Partners LP, Amendment No. 2 Refinancing Term Loan (3 mo. <br> Term SOFR + 2.000%) | 5.646% | &nbsp;&nbsp; 10/4/30 | &nbsp;&nbsp; 2447939<br>| &nbsp;&nbsp;&nbsp; 2454059<br> <sup>(d)(o)(p)</sup><br>|
| *Total Capital Markets* | *Total Capital Markets* | *Total Capital Markets* | *Total Capital Markets* | &nbsp;&nbsp; *7236082* |
| *Financial Services — 0.3%* | *Financial Services — 0.3%* | *Financial Services — 0.3%* | *Financial Services — 0.3%* | *Financial Services — 0.3%* |
| &nbsp;&nbsp;&nbsp; Citadel Securities LP, 2024 Term Loan Facility (3 mo. Term SOFR + 2.000%) | 5.700% | &nbsp;&nbsp; 10/31/31 | &nbsp;&nbsp; 5535084<br>| &nbsp;&nbsp;&nbsp; 5547787<br> <sup>(d)(o)(p)</sup><br>|
| &nbsp;&nbsp;&nbsp; Jane Street Group LLC, Extended Term Loan (3 mo. Term SOFR + 2.000%) | 5.673% | &nbsp;&nbsp; 12/15/31 | &nbsp;&nbsp; 5815647<br>| &nbsp;&nbsp;&nbsp; 5716520<br> <sup>(d)(o)(p)</sup><br>|
| *Total Financial Services* | *Total Financial Services* | *Total Financial Services* | *Total Financial Services* | &nbsp;&nbsp; *11264307* |
| *Insurance — 0.6%* | *Insurance — 0.6%* | *Insurance — 0.6%* | *Insurance — 0.6%* | *Insurance — 0.6%* |
| &nbsp;&nbsp;&nbsp; AmWINS Group Inc., 2026 Refinancing Term Loan (1 mo. Term SOFR + 2.000%) | 5.668% | &nbsp;&nbsp; 1/30/32 | &nbsp;&nbsp; 3751780<br>| &nbsp;&nbsp;&nbsp; 3731183<br> <sup>(d)(o)(p)</sup><br>|
| &nbsp;&nbsp;&nbsp; Asurion LLC, New Term Loan B14 (1 mo. Term SOFR + 3.750%) | 7.418% | &nbsp;&nbsp; 3/11/33 | &nbsp;&nbsp; 6873821<br>| &nbsp;&nbsp;&nbsp; 6654753<br> <sup>(d)(o)(p)</sup><br>|
| &nbsp;&nbsp;&nbsp; Asurion LLC, New Term Loan B12 (1 mo. Term SOFR + 4.250%) | 7.918% | &nbsp;&nbsp; 9/19/30 | &nbsp;&nbsp; 251347<br>| &nbsp;&nbsp;&nbsp; 249102<br> <sup>(d)(o)(p)</sup><br>|
| &nbsp;&nbsp;&nbsp; HUB International Ltd., 2025 Incremental Term Loan (3 mo. Term SOFR + 2.250%) | 5.920% | &nbsp;&nbsp; 6/20/30 | &nbsp;&nbsp; 5074966<br>| &nbsp;&nbsp;&nbsp; 5069358<br> <sup>(d)(o)(p)(q)</sup><br>|
| &nbsp;&nbsp;&nbsp; Sedgwick Claims Management Services Inc., 2024 Term Loan (1 mo. Term SOFR + <br> 2.500%) | 6.168% | &nbsp;&nbsp; 7/31/31 | &nbsp;&nbsp; 2952563<br>| &nbsp;&nbsp;&nbsp; 2903004<br> <sup>(d)(o)(p)</sup><br>|
| &nbsp;&nbsp;&nbsp; Truist Insurance Holdings LLC, 2024 Term Loan B (3 mo. Term SOFR + 2.750%) | 6.450% | &nbsp;&nbsp; 5/6/31 | &nbsp;&nbsp; 2680000<br>| &nbsp;&nbsp;&nbsp; 2649019<br> <sup>(d)(o)(p)</sup><br>|
| *Total Insurance* | *Total Insurance* | *Total Insurance* | *Total Insurance* | &nbsp;&nbsp; *21256419* |
| *Mortgage Real Estate Investment Trusts (REITs) — 0.1%* | *Mortgage Real Estate Investment Trusts (REITs) — 0.1%* | *Mortgage Real Estate Investment Trusts (REITs) — 0.1%* | *Mortgage Real Estate Investment Trusts (REITs) — 0.1%* | *Mortgage Real Estate Investment Trusts (REITs) — 0.1%* |
| &nbsp;&nbsp;&nbsp; Starwood Property Mortgage LLC, 2025 Repricing Term Loan (1 mo. Term SOFR + <br> 1.750%)  | 5.418% | &nbsp;&nbsp; 11/18/27 | &nbsp;&nbsp; 2465116<br>| &nbsp;&nbsp;&nbsp;&nbsp; *2465116*<br> <sup>(d)(f)(o)(p)</sup><br>|
| **Total Financials** | **Total Financials** | **Total Financials** | **Total Financials** | &nbsp;&nbsp; **44203030** |
| **Health Care — 0.3%** | **Health Care — 0.3%** | **Health Care — 0.3%** | **Health Care — 0.3%** | **Health Care — 0.3%** |
| *Health Care Equipment & Supplies — 0.1%* | *Health Care Equipment & Supplies — 0.1%* | *Health Care Equipment & Supplies — 0.1%* | *Health Care Equipment & Supplies — 0.1%* | *Health Care Equipment & Supplies — 0.1%* |
| &nbsp;&nbsp;&nbsp; Medline Borrower LP, 2028 Refinancing Term Loan (1 mo. Term SOFR + 1.750%)  | 5.418% | &nbsp;&nbsp; 10/23/28 | &nbsp;&nbsp; 2099553<br>| &nbsp;&nbsp;&nbsp;&nbsp; *2105064*<br> <sup>(d)(o)(p)(q)</sup><br>|
| *Health Care Providers & Services — 0.1%* | *Health Care Providers & Services — 0.1%* | *Health Care Providers & Services — 0.1%* | *Health Care Providers & Services — 0.1%* | *Health Care Providers & Services — 0.1%* |
| &nbsp;&nbsp;&nbsp; Phoenix Guarantor Inc., Term Loan B5 (1 mo. Term SOFR + 2.500%) | 6.168% | &nbsp;&nbsp; 2/21/31 | &nbsp;&nbsp; 337<br>| &nbsp;&nbsp;&nbsp; 337<br> <sup>(d)(o)(p)</sup><br>|
| &nbsp;&nbsp;&nbsp; Sotera Health Holdings LLC, 2025 Term Loan (1 mo. Term SOFR + 2.500%) | 6.168% | &nbsp;&nbsp; 5/30/31 | &nbsp;&nbsp; 3562906<br>| &nbsp;&nbsp;&nbsp; 3570709<br> <sup>(d)(o)(p)</sup><br>|
| *Total Health Care Providers & Services* | *Total Health Care Providers & Services* | *Total Health Care Providers & Services* | *Total Health Care Providers & Services* | &nbsp;&nbsp; *3571046* |
| *Health Care Technology — 0.1%* | *Health Care Technology — 0.1%* | *Health Care Technology — 0.1%* | *Health Care Technology — 0.1%* | *Health Care Technology — 0.1%* |
| &nbsp;&nbsp;&nbsp; AthenaHealth Group Inc., Initial Term Loan (1 mo. Term SOFR + 2.750%) | 6.418% | &nbsp;&nbsp; 2/15/29 | &nbsp;&nbsp; 2673249<br>| &nbsp;&nbsp;&nbsp; 2628138<br> <sup>(d)(o)(p)</sup><br>|
| &nbsp;&nbsp;&nbsp; Cotiviti Inc., Initial Term Loan (1 mo. Term SOFR + 2.750%) | 6.418% | &nbsp;&nbsp; 5/1/31 | &nbsp;&nbsp; 2571337<br>| &nbsp;&nbsp;&nbsp; 2375286<br> <sup>(d)(o)(p)</sup><br>|
| *Total Health Care Technology* | *Total Health Care Technology* | *Total Health Care Technology* | *Total Health Care Technology* | &nbsp;&nbsp; *5003424* |
| *Pharmaceuticals — 0.0%††* | *Pharmaceuticals — 0.0%††* | *Pharmaceuticals — 0.0%††* | *Pharmaceuticals — 0.0%††* | *Pharmaceuticals — 0.0%††* |
| &nbsp;&nbsp;&nbsp; Jazz Financing Lux Sarl, Dollar Term Loan Facility B2 (1 mo. Term SOFR + 2.250%)  | 5.918% | &nbsp;&nbsp; 5/5/28 | &nbsp;&nbsp; 17029<br>| &nbsp;&nbsp;&nbsp;&nbsp; *17114*<br> <sup>(d)(o)(p)</sup><br>|
| **Total Health Care** | **Total Health Care** | **Total Health Care** | **Total Health Care** | &nbsp;&nbsp; **10696648** |
| **Industrials — 0.4%** | **Industrials — 0.4%** | **Industrials — 0.4%** | **Industrials — 0.4%** | **Industrials — 0.4%** |
| *Machinery — 0.1%* | *Machinery — 0.1%* | *Machinery — 0.1%* | *Machinery — 0.1%* | *Machinery — 0.1%* |
| &nbsp;&nbsp;&nbsp; Chart Industries Inc., 2024 Term Loan B (3 mo. Term SOFR + 2.500%)  | 6.161% | &nbsp;&nbsp; 3/15/30 | &nbsp;&nbsp; 3317128<br>| &nbsp;&nbsp;&nbsp;&nbsp; *3319202*<br> <sup>(d)(o)(p)</sup><br>|
| *Passenger Airlines — 0.2%* | *Passenger Airlines — 0.2%* | *Passenger Airlines — 0.2%* | *Passenger Airlines — 0.2%* | *Passenger Airlines — 0.2%* |
| &nbsp;&nbsp;&nbsp; Spirit Airlines LLC, Contingent DIP Facility |  | &nbsp;&nbsp; 7/14/26 | &nbsp;&nbsp; 2097999<br>| &nbsp;&nbsp;&nbsp; 262,250<br> \*<sup>(f)(r)</sup><br>|
| &nbsp;&nbsp;&nbsp; Spirit Airlines LLC, New Money Term Loan (1 mo. Term SOFR + 8.000%) | 11.678% | &nbsp;&nbsp; 1/2/40 | &nbsp;&nbsp; 886576<br>| &nbsp;&nbsp;&nbsp; 877710<br> <sup>(d)(o)(p)</sup><br>|
| &nbsp;&nbsp;&nbsp; Spirit Airlines LLC, Roll Up Term Loan |  | &nbsp;&nbsp; 10/14/26 | &nbsp;&nbsp; 5506755<br>| &nbsp;&nbsp;&nbsp; 3854728<br> <sup>(f)(q)</sup><br>|

---

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2026 Quarterly Report

------

 **Western Asset Core Plus Bond Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount†<br>| Value |
| *Passenger Airlines — continued* | *Passenger Airlines — continued* | *Passenger Airlines — continued* | *Passenger Airlines — continued* | *Passenger Airlines — continued* |
| &nbsp;&nbsp;&nbsp; Spirit Airlines LLC, Second New Money Term Loan (1 mo. Term SOFR + 8.000%) | 11.678% | &nbsp;&nbsp; 7/14/26 | &nbsp;&nbsp; 219877<br>| &nbsp;&nbsp;&nbsp; $217678<br> <sup>(d)(o)(p)</sup><br>|
| &nbsp;&nbsp;&nbsp; Spirit Airlines LLC, Third DIP New Money Term Loan (1 mo. Term SOFR + 8.000%) | 11.678% | &nbsp;&nbsp; 7/14/26 | &nbsp;&nbsp; 434265<br>| &nbsp;&nbsp;&nbsp; 429922<br> <sup>(d)(o)(p)</sup><br>|
| *Total Passenger Airlines* | *Total Passenger Airlines* | *Total Passenger Airlines* | *Total Passenger Airlines* | &nbsp;&nbsp; *5642288* |
| *Professional Services — 0.1%* | *Professional Services — 0.1%* | *Professional Services — 0.1%* | *Professional Services — 0.1%* | *Professional Services — 0.1%* |
| &nbsp;&nbsp;&nbsp; CoreLogic Inc., First Lien Initial Term Loan (1 mo. Term SOFR + 3.614%)  | 7.282% | &nbsp;&nbsp; 6/2/28 | &nbsp;&nbsp; 5146528<br>| &nbsp;&nbsp;&nbsp;&nbsp; *4934259*<br> <sup>(d)(o)(p)</sup><br>|
| **Total Industrials** | **Total Industrials** | **Total Industrials** | **Total Industrials** | &nbsp;&nbsp; **13895749** |
| **Information Technology — 0.2%** | **Information Technology — 0.2%** | **Information Technology — 0.2%** | **Information Technology — 0.2%** | **Information Technology — 0.2%** |
| *Software — 0.2%* | *Software — 0.2%* | *Software — 0.2%* | *Software — 0.2%* | *Software — 0.2%* |
| &nbsp;&nbsp;&nbsp; Cloud Software Group Inc., Tenth Amendment Term Loan B2 (3 mo. Term SOFR + <br> 3.250%) | 6.950% | &nbsp;&nbsp; 3/21/31 | &nbsp;&nbsp; 3022406<br>| &nbsp;&nbsp;&nbsp; 2777591<br> <sup>(d)(o)(p)(q)</sup><br>|
| &nbsp;&nbsp;&nbsp; Cloudera Inc., Term Loan (1 mo. Term SOFR + 3.850%) | 7.518% | &nbsp;&nbsp; 10/8/28 | &nbsp;&nbsp; 2680000<br>| &nbsp;&nbsp;&nbsp; 2400275<br> <sup>(d)(o)(p)</sup><br>|
| &nbsp;&nbsp;&nbsp; UKG Inc., Term Loan B |  | &nbsp;&nbsp; 2/10/31 | &nbsp;&nbsp; 3002456<br>| &nbsp;&nbsp;&nbsp; 2873170<br> <sup>(q)</sup><br>|
| **Total Information Technology** | **Total Information Technology** | **Total Information Technology** | **Total Information Technology** | &nbsp;&nbsp; **8051036** |
| **Real Estate — 0.1%** | **Real Estate — 0.1%** | **Real Estate — 0.1%** | **Real Estate — 0.1%** | **Real Estate — 0.1%** |
| *Specialized REITs — 0.1%* | *Specialized REITs — 0.1%* | *Specialized REITs — 0.1%* | *Specialized REITs — 0.1%* | *Specialized REITs — 0.1%* |
| &nbsp;&nbsp;&nbsp; Iron Mountain Information Management LLC, Amendment No. 1 Incremental Term <br> Loan B (1 mo. Term SOFR + 2.000%)  | 5.668% | &nbsp;&nbsp; 1/31/31 | &nbsp;&nbsp; 3692228<br>| &nbsp;&nbsp;&nbsp;&nbsp; **3677237**<br> <sup>(d)(o)(p)</sup><br>|
| **Utilities — 0.2%** | **Utilities — 0.2%** | **Utilities — 0.2%** | **Utilities — 0.2%** | **Utilities — 0.2%** |
| *Independent Power and Renewable Electricity Producers — 0.2%* | *Independent Power and Renewable Electricity Producers — 0.2%* | *Independent Power and Renewable Electricity Producers — 0.2%* | *Independent Power and Renewable Electricity Producers — 0.2%* | *Independent Power and Renewable Electricity Producers — 0.2%* |
| &nbsp;&nbsp;&nbsp; Calpine Construction Finance Co. LP, 2025 Refinancing Term Loan (1 mo. Term <br> SOFR + 1.750%) | 5.418% | &nbsp;&nbsp; 7/31/30 | &nbsp;&nbsp; 4980000<br>| &nbsp;&nbsp;&nbsp; 4987769<br> <sup>(d)(o)(p)</sup><br>|
| &nbsp;&nbsp;&nbsp; Lightning Power LLC, Initial Term Loan B (1 mo. Term SOFR + 2.250%) | 5.918% | &nbsp;&nbsp; 8/18/31 | &nbsp;&nbsp; 2464975<br>| &nbsp;&nbsp;&nbsp; 2473257<br> <sup>(d)(o)(p)</sup><br>|
| **Total Utilities** | **Total Utilities** | **Total Utilities** | **Total Utilities** | &nbsp;&nbsp; **7461026** |
| **Total Senior Loans (Cost — $109,261,305)** | **Total Senior Loans (Cost — $109,261,305)** | **Total Senior Loans (Cost — $109,261,305)** | **Total Senior Loans (Cost — $109,261,305)** | &nbsp;&nbsp; **108260391** |
| **U.S. Treasury Inflation Protected Securities — 0.9%** | **U.S. Treasury Inflation Protected Securities — 0.9%** | **U.S. Treasury Inflation Protected Securities — 0.9%** | **U.S. Treasury Inflation Protected Securities — 0.9%** | **U.S. Treasury Inflation Protected Securities — 0.9%** |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Notes, Inflation Indexed (Cost — $32,982,312) | &nbsp;&nbsp; 1.875% | &nbsp;&nbsp; 7/15/34 | &nbsp;&nbsp; 32298898<br>| &nbsp;&nbsp;&nbsp; **32469957**<br>|
|  | Expiration <br>Date<br>| Contracts | &nbsp;&nbsp; Notional <br>Amount†<br>|  |
| **Purchased Options — 0.1%** | **Purchased Options — 0.1%** | **Purchased Options — 0.1%** | **Purchased Options — 0.1%** | **Purchased Options — 0.1%** |
| **Exchange-Traded Purchased Options — 0.1%** | **Exchange-Traded Purchased Options — 0.1%** | **Exchange-Traded Purchased Options — 0.1%** | **Exchange-Traded Purchased Options — 0.1%** | **Exchange-Traded Purchased Options — 0.1%** |
| &nbsp;&nbsp;&nbsp; 3-Month SOFR Futures, Call @ $96.750 | 6/12/26 | &nbsp;&nbsp; 7831 | &nbsp;&nbsp; 19577500 | &nbsp;&nbsp;&nbsp; 538381<br>|
| &nbsp;&nbsp;&nbsp; 3-Month SOFR Futures, Call @ $96.500 | 9/11/26 | &nbsp;&nbsp; 3466 | &nbsp;&nbsp; 8665000 | &nbsp;&nbsp;&nbsp; 1191438<br>|
| &nbsp;&nbsp;&nbsp; 3-Month SOFR Futures, Call @ $96.875 | 9/11/26 | &nbsp;&nbsp; 3161 | &nbsp;&nbsp; 7902500 | &nbsp;&nbsp;&nbsp; 612444<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury 10-Year Notes Futures, Call @ $112.500 | 4/24/26 | &nbsp;&nbsp; 1258 | &nbsp;&nbsp; 1258000 | &nbsp;&nbsp;&nbsp; 255531<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury 10-Year Notes Futures, Call @ $113.000 | 4/24/26 | &nbsp;&nbsp; 1 | &nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp; 141<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury 10-Year Notes Futures, Put @ $109.000 | 4/24/26 | &nbsp;&nbsp; 1258 | &nbsp;&nbsp; 1258000 | &nbsp;&nbsp;&nbsp; 216219<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury 10-Year Notes Futures, Put @ $113.000 | 4/24/26 | &nbsp;&nbsp; 1 | &nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp; 2093<br>|
| **Total Purchased Options (Cost — $6,002,465)** | **Total Purchased Options (Cost — $6,002,465)** | **Total Purchased Options (Cost — $6,002,465)** | **Total Purchased Options (Cost — $6,002,465)** | &nbsp;&nbsp; **2816247** |
|  |  |  | Shares |  |
| **Common Stocks — 0.0%††** | **Common Stocks — 0.0%††** | **Common Stocks — 0.0%††** | **Common Stocks — 0.0%††** | **Common Stocks — 0.0%††** |
| **Industrials — 0.0%††** | **Industrials — 0.0%††** | **Industrials — 0.0%††** | **Industrials — 0.0%††** | **Industrials — 0.0%††** |
| *Passenger Airlines — 0.0%††* | *Passenger Airlines — 0.0%††* | *Passenger Airlines — 0.0%††* | *Passenger Airlines — 0.0%††* | *Passenger Airlines — 0.0%††* |
| &nbsp;&nbsp;&nbsp; Spirit Airlines LLC | &nbsp;&nbsp;&nbsp; Spirit Airlines LLC |  | &nbsp;&nbsp; 1685 | &nbsp;&nbsp;&nbsp; 421<br> \*<sup>(e)(s)</sup><br>|
| &nbsp;&nbsp;&nbsp; Spirit Aviation Holdings Inc. | &nbsp;&nbsp;&nbsp; Spirit Aviation Holdings Inc. |  | &nbsp;&nbsp; 290376 | &nbsp;&nbsp;&nbsp; 72,594<br> \*<br>|
| **Total Common Stocks (Cost — $4,078,435)** | **Total Common Stocks (Cost — $4,078,435)** | **Total Common Stocks (Cost — $4,078,435)** | **Total Common Stocks (Cost — $4,078,435)** | &nbsp;&nbsp;&nbsp; **73015**<br>|

---

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2026 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

March 31, 2026

 **Western Asset Core Plus Bond Fund**

(Percentages shown based on Fund net assets)

---

| | | | |
|:---|:---|:---|:---|
| Security | &nbsp;&nbsp; Expiration <br>Date<br>| Warrants | Value |
| **Warrants — 0.0%††** | **Warrants — 0.0%††** | **Warrants — 0.0%††** | **Warrants — 0.0%††** |
| **Industrials — 0.0%††** | **Industrials — 0.0%††** | **Industrials — 0.0%††** | **Industrials — 0.0%††** |
| *Passenger Airlines — 0.0%††* | *Passenger Airlines — 0.0%††* | *Passenger Airlines — 0.0%††* | *Passenger Airlines — 0.0%††* |
| &nbsp;&nbsp;&nbsp; Spirit Airlines LLC (Cost — $2,511,486) | &nbsp;&nbsp; 3/12/30 | &nbsp;&nbsp; 206310<br>| &nbsp;&nbsp;&nbsp; **$51,578**<br> \*<sup>(a)(e)(s)</sup><br>|
| **Total Investments — 109.5% (Cost — $4,330,561,412)** | **Total Investments — 109.5% (Cost — $4,330,561,412)** | **Total Investments — 109.5% (Cost — $4,330,561,412)** | &nbsp;&nbsp; **4050320008** |
| &nbsp;&nbsp;&nbsp; Liabilities in Excess of Other Assets — (9.5)% | &nbsp;&nbsp;&nbsp; Liabilities in Excess of Other Assets — (9.5)% | &nbsp;&nbsp;&nbsp; Liabilities in Excess of Other Assets — (9.5)% | &nbsp;&nbsp;&nbsp; (351779007)<br>|
| **Total Net Assets — 100.0%** | **Total Net Assets — 100.0%** | **Total Net Assets — 100.0%** | &nbsp;&nbsp; **$3698541001** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| † | Face amount/notional amount denominated in U.S. dollars, unless otherwise noted. |
| †† | Represents less than 0.1%. |
| \* | Non-income producing security. |
| <sup>(a)</sup> | Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from <br> registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Directors.<br>|
| <sup>(b)</sup> | Securities traded on a when-issued or delayed delivery basis. |
| <sup>(c)</sup> | Security has no maturity date. The date shown represents the next call date. |
| <sup>(d)</sup> | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published <br> reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a <br> reference rate and spread in their description above.<br>|
| <sup>(e)</sup> | Security is fair valued in accordance with procedures approved by the Board of Directors (Note 1). |
| <sup>(f)</sup> | Security is valued using significant unobservable inputs (Note 1). |
| <sup>(g)</sup> | Value is less than $1. |
| <sup>(h)</sup> | Security is exempt from registration under Regulation S of the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of <br> the United States and do not involve direct selling efforts in the United States. This security has been deemed liquid pursuant to guidelines approved by the <br> Board of Directors.<br>|
| <sup>(i)</sup> | This security is traded on a to-be-announced ("TBA") basis. At March 31, 2026, the Fund held TBA securities with a total cost of $365,512,184. |
| <sup>(j)</sup> | Collateralized mortgage obligations are secured by an underlying pool of mortgages or mortgage pass-through certificates that are structured to direct <br> payments on underlying collateral to different series or classes of the obligations. The interest rate may change positively or inversely in relation to one or <br> more interest rates, financial indices or other financial indicators and may be subject to an upper and/or lower limit.<br>|
| <sup>(k)</sup> | All or a portion of this security is held at the broker as collateral for open centrally cleared swap contracts. |
| <sup>(l)</sup> | All or a portion of this security is held at the broker as collateral for open futures contracts and exchange-traded options.  |
| <sup>(m)</sup> | All or a portion of this security is held at the broker as collateral for OTC derivatives. |
| <sup>(n)</sup> | Rate shown is the current yield based on income received over the trailing twelve months. |
| <sup>(o)</sup> | Interest rates disclosed represent the effective rates on senior loans. Ranges in interest rates are attributable to multiple contracts under the same loan. |
| <sup>(p)</sup> | Senior loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the agent bank and/or borrower <br> prior to the disposition of a senior loan. <br>|
| <sup>(q)</sup> | All or a portion of this loan has not settled as of March 31, 2026. Interest rates are not effective until settlement date. Interest rates shown, if any, are for <br> the settled portion of the loan.<br>|
| <sup>(r)</sup> | The coupon payment on this security is currently in default as of March 31, 2026. |
| <sup>(s)</sup> | Restricted security (Note 3). |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2026 Quarterly Report

------

 **Western Asset Core Plus Bond Fund**

---

| | | |
|:---|:---|:---|
| **Abbreviation(s) used in this schedule:** | **Abbreviation(s) used in this schedule:** | **Abbreviation(s) used in this schedule:** |
| ACES |  | Alternative Credit Enhancement Securities |
| BRL |  | Brazilian Real |
| CAS |  | Connecticut Avenue Securities |
| CD |  | Certificate of Deposit |
| CDO |  | Collateralized Debt Obligation |
| CLO |  | Collateralized Loan Obligation |
| CLP |  | Chilean Peso |
| DAC |  | Designated Activity Company |
| DIP |  | Debtor-in-possession |
| GTD |  | Guaranteed |
| IBOR |  | Interbank Offered Rate |
| ICE |  | Intercontinental Exchange |
| INR |  | Indian Rupee |
| IO |  | Interest Only |
| JSC |  | Joint Stock Company |
| LIBOR |  | London Interbank Offered Rate |
| MXN |  | Mexican Peso |
| MYR |  | Malaysian Ringgit |
| PAC |  | Planned Amortization Class |
| PEN |  | Peruvian Nuevo Sol |
| REMIC |  | Real Estate Mortgage Investment Conduit |
| SOFR |  | Secured Overnight Financing Rate |
| STRIPS |  | Separate Trading of Registered Interest and Principal Securities |
| USD |  | United States Dollar |
| UYU |  | Uruguayan Peso |
| ZAR |  | South African Rand |

---

At March 31, 2026, the Fund had the following open written options contracts:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Exchange-Traded Written Options** | **Exchange-Traded Written Options** | **Exchange-Traded Written Options** | **Exchange-Traded Written Options** | **Exchange-Traded Written Options** | **Exchange-Traded Written Options** |
| Security | &nbsp;&nbsp;&nbsp; Expiration <br>Date<br>| &nbsp;&nbsp;&nbsp; Strike <br>Price<br>| Contracts | &nbsp;&nbsp;&nbsp; Notional <br>Amount<br>| Value |
| 3-Month SOFR Futures, Call | &nbsp;&nbsp;&nbsp;&nbsp; 6/12/26 | &nbsp;&nbsp;&nbsp;&nbsp; $97.000 | &nbsp;&nbsp;&nbsp;&nbsp; 1889 | &nbsp;&nbsp;&nbsp;&nbsp; $4722500 | &nbsp;&nbsp;&nbsp;&nbsp; $(94450) |
| 3-Month SOFR Futures, Call | &nbsp;&nbsp;&nbsp;&nbsp; 6/12/26 | &nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;97.250 | &nbsp;&nbsp;&nbsp;&nbsp; 3163 | &nbsp;&nbsp;&nbsp;&nbsp; 7907500 | &nbsp;&nbsp;&nbsp;&nbsp; (118612) |
| 3-Month SOFR Futures, Call | &nbsp;&nbsp;&nbsp;&nbsp; 9/11/26 | &nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;97.000 | &nbsp;&nbsp;&nbsp;&nbsp; 1581 | &nbsp;&nbsp;&nbsp;&nbsp; 3952500 | &nbsp;&nbsp;&nbsp;&nbsp; (266794) |
| 3-Month SOFR Futures, Call | &nbsp;&nbsp;&nbsp;&nbsp; 9/11/26 | &nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;97.125 | &nbsp;&nbsp;&nbsp;&nbsp; 1885 | &nbsp;&nbsp;&nbsp;&nbsp; 4712500 | &nbsp;&nbsp;&nbsp;&nbsp; (270969) |
| 3-Month SOFR Futures, Call | &nbsp;&nbsp;&nbsp;&nbsp; 12/11/26 | &nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;97.500 | &nbsp;&nbsp;&nbsp;&nbsp; 1942 | &nbsp;&nbsp;&nbsp;&nbsp; 4855000 | &nbsp;&nbsp;&nbsp;&nbsp; (351987) |
| 3-Month SOFR Futures, Call | &nbsp;&nbsp;&nbsp;&nbsp; 12/11/26 | &nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;98.000 | &nbsp;&nbsp;&nbsp;&nbsp; 3152 | &nbsp;&nbsp;&nbsp;&nbsp; 7880000 | &nbsp;&nbsp;&nbsp;&nbsp; (394000) |
| 3-Month SOFR Futures, Call | &nbsp;&nbsp;&nbsp;&nbsp; 3/12/27 | &nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;97.500 | &nbsp;&nbsp;&nbsp;&nbsp; 1435 | &nbsp;&nbsp;&nbsp;&nbsp; 3587500 | &nbsp;&nbsp;&nbsp;&nbsp; (394625) |
| 3-Month SOFR Futures, Put | &nbsp;&nbsp;&nbsp;&nbsp; 9/11/26 | &nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;95.625 | &nbsp;&nbsp;&nbsp;&nbsp; 1885 | &nbsp;&nbsp;&nbsp;&nbsp; 4712500 | &nbsp;&nbsp;&nbsp;&nbsp; (235625) |
| 3-Month SOFR Futures, Put | &nbsp;&nbsp;&nbsp;&nbsp; 12/11/26 | &nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;96.500 | &nbsp;&nbsp;&nbsp;&nbsp; 1261 | &nbsp;&nbsp;&nbsp;&nbsp; 3152500 | &nbsp;&nbsp;&nbsp;&nbsp; (1197950) |
| SOFR 2-Year Mid-Curve Futures, Call | &nbsp;&nbsp;&nbsp;&nbsp; 9/11/26 | &nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;97.125 | &nbsp;&nbsp;&nbsp;&nbsp; 2374 | &nbsp;&nbsp;&nbsp;&nbsp; 5935000 | &nbsp;&nbsp;&nbsp;&nbsp; (489637) |
| SOFR 2-Year Mid-Curve Futures, Call | &nbsp;&nbsp;&nbsp;&nbsp; 9/11/26 | &nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;97.250 | &nbsp;&nbsp;&nbsp;&nbsp; 791 | &nbsp;&nbsp;&nbsp;&nbsp; 1977500 | &nbsp;&nbsp;&nbsp;&nbsp; (123594) |
| U.S. Treasury 5-Year Notes Futures, Call | &nbsp;&nbsp;&nbsp;&nbsp; 4/24/26 | &nbsp;&nbsp;&nbsp;&nbsp;108.500 | &nbsp;&nbsp;&nbsp;&nbsp; 531 | &nbsp;&nbsp;&nbsp;&nbsp; 531000 | &nbsp;&nbsp;&nbsp;&nbsp; (178383) |
| U.S. Treasury 5-Year Notes Futures, Call | &nbsp;&nbsp;&nbsp;&nbsp; 4/24/26 | &nbsp;&nbsp;&nbsp;&nbsp;109.000 | &nbsp;&nbsp;&nbsp;&nbsp; 686 | &nbsp;&nbsp;&nbsp;&nbsp; 686000 | &nbsp;&nbsp;&nbsp;&nbsp; (123266) |
| U.S. Treasury 5-Year Notes Futures, Put | &nbsp;&nbsp;&nbsp;&nbsp; 4/24/26 | &nbsp;&nbsp;&nbsp;&nbsp;107.000 | &nbsp;&nbsp;&nbsp;&nbsp; 686 | &nbsp;&nbsp;&nbsp;&nbsp; 686000 | &nbsp;&nbsp;&nbsp;&nbsp; (96469) |
| U.S. Treasury 5-Year Notes Futures, Put | &nbsp;&nbsp;&nbsp;&nbsp; 4/24/26 | &nbsp;&nbsp;&nbsp;&nbsp;108.500 | &nbsp;&nbsp;&nbsp;&nbsp; 531 | &nbsp;&nbsp;&nbsp;&nbsp; 531000 | &nbsp;&nbsp;&nbsp;&nbsp; (348469) |
| U.S. Treasury 5-Year Notes Futures, Put | &nbsp;&nbsp;&nbsp;&nbsp; 4/24/26 | &nbsp;&nbsp;&nbsp;&nbsp;109.250 | &nbsp;&nbsp;&nbsp;&nbsp; 1262 | &nbsp;&nbsp;&nbsp;&nbsp; 1262000 | &nbsp;&nbsp;&nbsp;&nbsp; (1518344) |
| U.S. Treasury 10-Year Notes Futures, Call | &nbsp;&nbsp;&nbsp;&nbsp; 4/24/26 | &nbsp;&nbsp;&nbsp;&nbsp;112.000 | &nbsp;&nbsp;&nbsp;&nbsp; 630 | &nbsp;&nbsp;&nbsp;&nbsp; 630000 | &nbsp;&nbsp;&nbsp;&nbsp; (206719) |
| U.S. Treasury 10-Year Notes Futures, Call | &nbsp;&nbsp;&nbsp;&nbsp; 4/24/26 | &nbsp;&nbsp;&nbsp;&nbsp;113.500 | &nbsp;&nbsp;&nbsp;&nbsp; 2516 | &nbsp;&nbsp;&nbsp;&nbsp; 2516000 | &nbsp;&nbsp;&nbsp;&nbsp; (235875) |
| U.S. Treasury 10-Year Notes Futures, Put | &nbsp;&nbsp;&nbsp;&nbsp; 4/24/26 | &nbsp;&nbsp;&nbsp;&nbsp;107.500 | &nbsp;&nbsp;&nbsp;&nbsp; 2516 | &nbsp;&nbsp;&nbsp;&nbsp; 2516000 | &nbsp;&nbsp;&nbsp;&nbsp; (157250) |
| U.S. Treasury 10-Year Notes Futures, Put | &nbsp;&nbsp;&nbsp;&nbsp; 4/24/26 | &nbsp;&nbsp;&nbsp;&nbsp;112.000 | &nbsp;&nbsp;&nbsp;&nbsp; 630 | &nbsp;&nbsp;&nbsp;&nbsp; 630000 | &nbsp;&nbsp;&nbsp;&nbsp; (807187) |
| **Total Exchange-Traded Written Options (Premiums received — $7,916,071)** | **Total Exchange-Traded Written Options (Premiums received — $7,916,071)** | **Total Exchange-Traded Written Options (Premiums received — $7,916,071)** | **Total Exchange-Traded Written Options (Premiums received — $7,916,071)** | **Total Exchange-Traded Written Options (Premiums received — $7,916,071)** | &nbsp;&nbsp;&nbsp; **$(7610205)** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2026 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

March 31, 2026

 **Western Asset Core Plus Bond Fund**

---

| | | |
|:---|:---|:---|
| **Abbreviation(s) used in this schedule:** | **Abbreviation(s) used in this schedule:** | **Abbreviation(s) used in this schedule:** |
| SOFR |  | Secured Overnight Financing Rate |

---

At March 31, 2026, the Fund had the following open futures contracts:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | &nbsp;&nbsp;&nbsp; <br> Number of <br>Contracts<br>| &nbsp;&nbsp;&nbsp; <br> Expiration <br>Date<br>| &nbsp;&nbsp;&nbsp; <br> Notional <br>Amount<br>| &nbsp;&nbsp;&nbsp; <br> Market <br>Value<br>| &nbsp;&nbsp;&nbsp; <br> Unrealized <br>Depreciation<br>|
| **Contracts to Buy:** |  |  |  |  |  |
| 3-Month SOFR | &nbsp;&nbsp;&nbsp;&nbsp; 1734 | &nbsp;&nbsp;&nbsp;&nbsp; 6/26 | &nbsp;&nbsp;&nbsp;&nbsp; $418374492 | &nbsp;&nbsp;&nbsp;&nbsp; $417568875 | &nbsp;&nbsp;&nbsp;&nbsp; $(805617) |
| Australian 10-Year Bonds | &nbsp;&nbsp;&nbsp;&nbsp; 367 | &nbsp;&nbsp;&nbsp;&nbsp; 6/26 | &nbsp;&nbsp;&nbsp;&nbsp; 27513623 | &nbsp;&nbsp;&nbsp;&nbsp; 27284512 | &nbsp;&nbsp;&nbsp;&nbsp; (229111) |
| U.S. Treasury 2-Year Notes | &nbsp;&nbsp;&nbsp;&nbsp; 5691 | &nbsp;&nbsp;&nbsp;&nbsp; 6/26 | &nbsp;&nbsp;&nbsp;&nbsp; 1181222150 | &nbsp;&nbsp;&nbsp;&nbsp; 1180571271 | &nbsp;&nbsp;&nbsp;&nbsp; (650879) |
| U.S. Treasury 10-Year Notes | &nbsp;&nbsp;&nbsp;&nbsp; 2210 | &nbsp;&nbsp;&nbsp;&nbsp; 6/26 | &nbsp;&nbsp;&nbsp;&nbsp; 249230977 | &nbsp;&nbsp;&nbsp;&nbsp; 245413605 | &nbsp;&nbsp;&nbsp;&nbsp; (3817372) |
| U.S. Treasury Long-Term Bonds | &nbsp;&nbsp;&nbsp;&nbsp; 51 | &nbsp;&nbsp;&nbsp;&nbsp; 6/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5814063 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5807625 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (6438) |
| U.S. Treasury Ultra 10-Year Notes | &nbsp;&nbsp;&nbsp;&nbsp; 122 | &nbsp;&nbsp;&nbsp;&nbsp; 6/26 | &nbsp;&nbsp;&nbsp;&nbsp; 14155945 | &nbsp;&nbsp;&nbsp;&nbsp; 13848906 | &nbsp;&nbsp;&nbsp;&nbsp; (307039) |
| U.S. Treasury Ultra Long-Term Bonds | &nbsp;&nbsp;&nbsp;&nbsp; 64 | &nbsp;&nbsp;&nbsp;&nbsp; 6/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7675622 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7460000 | &nbsp;&nbsp;&nbsp;&nbsp; (215622) |
| United Kingdom Long Gilt Bonds | &nbsp;&nbsp;&nbsp;&nbsp; 149 | &nbsp;&nbsp;&nbsp;&nbsp; 6/26 | &nbsp;&nbsp;&nbsp;&nbsp; 18228984 | &nbsp;&nbsp;&nbsp;&nbsp; 17313628 | &nbsp;&nbsp;&nbsp;&nbsp; (915356) |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; (6947434) |
| **Contracts to Sell:** |  |  |  |  |  |
| U.S. Treasury 5-Year Notes | &nbsp;&nbsp;&nbsp;&nbsp; 146 | &nbsp;&nbsp;&nbsp;&nbsp; 6/26 | &nbsp;&nbsp;&nbsp;&nbsp; 15767820 | &nbsp;&nbsp;&nbsp;&nbsp; 15794234 | &nbsp;&nbsp;&nbsp;&nbsp; (26414) |
| **Net unrealized depreciation on open futures contracts** | **Net unrealized depreciation on open futures contracts** | **Net unrealized depreciation on open futures contracts** | **Net unrealized depreciation on open futures contracts** | **Net unrealized depreciation on open futures contracts** | &nbsp;&nbsp;&nbsp; **$(6973848)** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
| **Abbreviation(s) used in this table:** | **Abbreviation(s) used in this table:** | **Abbreviation(s) used in this table:** |
| SOFR |  | Secured Overnight Financing Rate |

---

At March 31, 2026, the Fund had the following open forward foreign currency contracts:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| Currency <br>Purchased | Currency <br>Purchased | Currency <br>Sold | Currency <br>Sold | Counterparty | Settlement <br>Date<br>| Unrealized <br>Appreciation <br>(Depreciation)<br>|
| AUD | &nbsp;&nbsp;&nbsp; 2374843 | &nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 1631821 | Bank of America N.A. | &nbsp;&nbsp; 4/16/26 | &nbsp;&nbsp; $6367 |
| AUD | &nbsp;&nbsp;&nbsp; 2390000 | &nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 1644631 | Bank of America N.A. | &nbsp;&nbsp; 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp; 4013 |
| AUD | &nbsp;&nbsp;&nbsp; 4770000 | &nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 3260171 | Bank of America N.A. | &nbsp;&nbsp; 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp; 30218 |
| EUR | &nbsp;&nbsp; 18253815 | &nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 21647199 | Bank of America N.A. | &nbsp;&nbsp; 4/16/26 | &nbsp;&nbsp; (531768) |
| INR | &nbsp;&nbsp; 105581737 | &nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 1144307 | Bank of America N.A. | &nbsp;&nbsp; 4/16/26 | &nbsp;&nbsp;&nbsp; (32999) |
| INR | &nbsp;&nbsp; 213407246 | &nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 2315994 | Bank of America N.A. | &nbsp;&nbsp; 4/16/26 | &nbsp;&nbsp;&nbsp; (69763) |
| JPY | &nbsp;&nbsp; 355380000 | &nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 2229386 | Bank of America N.A. | &nbsp;&nbsp; 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp; 13285 |
| AUD | &nbsp;&nbsp;&nbsp; 2530000 | &nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 1787987 | BNP Paribas SA | &nbsp;&nbsp; 4/16/26 | &nbsp;&nbsp;&nbsp; (42770) |
| AUD | &nbsp;&nbsp;&nbsp; 5080000 | &nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 3600560 | BNP Paribas SA | &nbsp;&nbsp; 4/16/26 | &nbsp;&nbsp;&nbsp; (96330) |
| AUD | &nbsp;&nbsp;&nbsp; 7620000 | &nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 5411540 | BNP Paribas SA | &nbsp;&nbsp; 4/16/26 | &nbsp;&nbsp; (155195) |
| EUR | &nbsp;&nbsp;&nbsp; 2310000 | &nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 2749420 | BNP Paribas SA | &nbsp;&nbsp; 4/16/26 | &nbsp;&nbsp;&nbsp; (77285) |
| EUR | &nbsp;&nbsp;&nbsp; 3520000 | &nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 4168793 | BNP Paribas SA | &nbsp;&nbsp; 4/16/26 | &nbsp;&nbsp;&nbsp; (96969) |
| EUR | &nbsp;&nbsp;&nbsp; 6608941 | &nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 7763136 | BNP Paribas SA | &nbsp;&nbsp; 4/16/26 | &nbsp;&nbsp; (118123) |
| USD | &nbsp;&nbsp;&nbsp; 4550817 | &nbsp;&nbsp; EUR | &nbsp;&nbsp;&nbsp;&nbsp; 3860000 | BNP Paribas SA | &nbsp;&nbsp; 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp; 85693 |
| USD | &nbsp;&nbsp;&nbsp; 4551519 | &nbsp;&nbsp; EUR | &nbsp;&nbsp;&nbsp;&nbsp; 3860000 | BNP Paribas SA | &nbsp;&nbsp; 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp; 86394 |
| USD | &nbsp;&nbsp;&nbsp; 6341777 | &nbsp;&nbsp; EUR | &nbsp;&nbsp;&nbsp;&nbsp; 5349791 | BNP Paribas SA | &nbsp;&nbsp; 4/16/26 | &nbsp;&nbsp; 153309 |
| USD | &nbsp;&nbsp;&nbsp; 4736607 | &nbsp;&nbsp; GBP | &nbsp;&nbsp;&nbsp;&nbsp; 3517077 | BNP Paribas SA | &nbsp;&nbsp; 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp; 81524 |
| USD | &nbsp;&nbsp;&nbsp; 1584301 | &nbsp;&nbsp; JPY | &nbsp;&nbsp; 245800336 | BNP Paribas SA | &nbsp;&nbsp; 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp; 33147 |
| CNH | &nbsp;&nbsp; 34531577 | &nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 4990268 | Citibank N.A. | &nbsp;&nbsp; 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp; 29676 |
| EUR | &nbsp;&nbsp;&nbsp; 2570000 | &nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 2992147 | Citibank N.A. | &nbsp;&nbsp; 4/16/26 | &nbsp;&nbsp;&nbsp; (19253) |
| EUR | &nbsp;&nbsp;&nbsp; 3145629 | &nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 3691234 | Citibank N.A. | &nbsp;&nbsp; 4/16/26 | &nbsp;&nbsp;&nbsp; (52471) |
| EUR | &nbsp;&nbsp;&nbsp; 3350000 | &nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 3900598 | Citibank N.A. | &nbsp;&nbsp; 4/16/26 | &nbsp;&nbsp;&nbsp; (25425) |
| JPY | &nbsp;&nbsp; 262270000 | &nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 1667595 | Citibank N.A. | &nbsp;&nbsp; 4/16/26 | &nbsp;&nbsp;&nbsp; (12507) |
| JPY | &nbsp;&nbsp; 262280000 | &nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 1667685 | Citibank N.A. | &nbsp;&nbsp; 4/16/26 | &nbsp;&nbsp;&nbsp; (12533) |
| JPY | &nbsp;&nbsp; 262280000 | &nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 1668259 | Citibank N.A. | &nbsp;&nbsp; 4/16/26 | &nbsp;&nbsp;&nbsp; (13107) |

---

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2026 Quarterly Report

------

 **Western Asset Core Plus Bond Fund**

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| Currency<br> Purchased | Currency<br> Purchased | Currency<br> Sold | Currency<br> Sold | Counterparty | Settlement<br> Date<br>| Unrealized<br> Appreciation<br> (Depreciation)<br>|
| JPY | &nbsp;&nbsp; 314670000 | &nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 2000147 | Citibank N.A. | &nbsp;&nbsp; 4/16/26 | &nbsp;&nbsp; $(14381) |
| JPY | &nbsp;&nbsp; 655690000 | &nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 4181662 | Citibank N.A. | &nbsp;&nbsp; 4/16/26 | &nbsp;&nbsp;&nbsp; (43845) |
| JPY | &nbsp;&nbsp; 655700000 | &nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 4180015 | Citibank N.A. | &nbsp;&nbsp; 4/16/26 | &nbsp;&nbsp;&nbsp; (42135) |
| JPY | &nbsp;&nbsp; 655700000 | &nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 4181268 | Citibank N.A. | &nbsp;&nbsp; 4/16/26 | &nbsp;&nbsp;&nbsp; (43389) |
| USD | &nbsp;&nbsp;&nbsp; 2596011 | &nbsp;&nbsp; AUD | &nbsp;&nbsp;&nbsp;&nbsp; 3770000 | Citibank N.A. | &nbsp;&nbsp; 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp; (4570) |
| USD | &nbsp;&nbsp;&nbsp; 4332671 | &nbsp;&nbsp; CAD | &nbsp;&nbsp;&nbsp;&nbsp; 5959880 | Citibank N.A. | &nbsp;&nbsp; 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp; 45347 |
| USD | &nbsp;&nbsp;&nbsp; 3560382 | &nbsp;&nbsp; EUR | &nbsp;&nbsp;&nbsp;&nbsp; 3020000 | Citibank N.A. | &nbsp;&nbsp; 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp; 66942 |
| USD | &nbsp;&nbsp;&nbsp; 4019806 | &nbsp;&nbsp; EUR | &nbsp;&nbsp;&nbsp;&nbsp; 3414293 | Citibank N.A. | &nbsp;&nbsp; 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp; 70261 |
| USD | &nbsp;&nbsp;&nbsp; 5186513 | &nbsp;&nbsp; EUR | &nbsp;&nbsp;&nbsp;&nbsp; 4400000 | Citibank N.A. | &nbsp;&nbsp; 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp; 96733 |
| USD | &nbsp;&nbsp; 18973650 | &nbsp;&nbsp; INR | &nbsp;&nbsp; 1719676772 | Citibank N.A. | &nbsp;&nbsp; 4/16/26 | &nbsp;&nbsp; 873084 |
| USD | &nbsp;&nbsp;&nbsp; 1894071 | &nbsp;&nbsp; MXN | &nbsp;&nbsp;&nbsp;&nbsp; 33953000 | Goldman Sachs Group Inc. | &nbsp;&nbsp; 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp; 2227 |
| AUD | &nbsp;&nbsp;&nbsp; 1121750 | &nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 785448 | JPMorgan Chase & Co. | &nbsp;&nbsp; 4/16/26 | &nbsp;&nbsp;&nbsp; (11655) |
| AUD | &nbsp;&nbsp;&nbsp; 2060000 | &nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 1454439 | JPMorgan Chase & Co. | &nbsp;&nbsp; 4/16/26 | &nbsp;&nbsp;&nbsp; (33433) |
| AUD | &nbsp;&nbsp;&nbsp; 2060000 | &nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 1452391 | JPMorgan Chase & Co. | &nbsp;&nbsp; 4/16/26 | &nbsp;&nbsp;&nbsp; (31385) |
| AUD | &nbsp;&nbsp;&nbsp; 3090000 | &nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 2185279 | JPMorgan Chase & Co. | &nbsp;&nbsp; 4/16/26 | &nbsp;&nbsp;&nbsp; (53769) |
| AUD | &nbsp;&nbsp;&nbsp; 3090000 | &nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 2164321 | JPMorgan Chase & Co. | &nbsp;&nbsp; 4/16/26 | &nbsp;&nbsp;&nbsp; (32811) |
| AUD | &nbsp;&nbsp; 25832060 | &nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 17408561 | JPMorgan Chase & Co. | &nbsp;&nbsp; 4/16/26 | &nbsp;&nbsp; 410628 |
| CNH | &nbsp;&nbsp; 34460000 | &nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 4979625 | JPMorgan Chase & Co. | &nbsp;&nbsp; 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp; 29914 |
| EUR | &nbsp;&nbsp;&nbsp; 1800000 | &nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 2088269 | JPMorgan Chase & Co. | &nbsp;&nbsp; 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp; (6086) |
| JPY | &nbsp;&nbsp; 358740000 | &nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 2252571 | JPMorgan Chase & Co. | &nbsp;&nbsp; 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp; 11304 |
| JPY | &nbsp;&nbsp; 448430000 | &nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 2823114 | JPMorgan Chase & Co. | &nbsp;&nbsp; 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp; 6761 |
| USD | &nbsp;&nbsp;&nbsp;&nbsp; 888979 | &nbsp;&nbsp; AUD | &nbsp;&nbsp;&nbsp;&nbsp; 1300000 | JPMorgan Chase & Co. | &nbsp;&nbsp; 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp; (7773) |
| USD | &nbsp;&nbsp;&nbsp;&nbsp; 968544 | &nbsp;&nbsp; AUD | &nbsp;&nbsp;&nbsp;&nbsp; 1416228 | JPMorgan Chase & Co. | &nbsp;&nbsp; 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp; (8383) |
| USD | &nbsp;&nbsp;&nbsp; 1772004 | &nbsp;&nbsp; AUD | &nbsp;&nbsp;&nbsp;&nbsp; 2600000 | JPMorgan Chase & Co. | &nbsp;&nbsp; 4/16/26 | &nbsp;&nbsp;&nbsp; (21500) |
| USD | &nbsp;&nbsp;&nbsp; 2650282 | &nbsp;&nbsp; AUD | &nbsp;&nbsp;&nbsp;&nbsp; 3890000 | JPMorgan Chase & Co. | &nbsp;&nbsp; 4/16/26 | &nbsp;&nbsp;&nbsp; (33075) |
| USD | &nbsp;&nbsp;&nbsp; 4305715 | &nbsp;&nbsp; AUD | &nbsp;&nbsp;&nbsp;&nbsp; 6410000 | JPMorgan Chase & Co. | &nbsp;&nbsp; 4/16/26 | &nbsp;&nbsp; (115961) |
| USD | &nbsp;&nbsp;&nbsp; 7308443 | &nbsp;&nbsp; AUD | &nbsp;&nbsp;&nbsp;&nbsp; 10570625 | JPMorgan Chase & Co. | &nbsp;&nbsp; 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp; 16730 |
| USD | &nbsp;&nbsp;&nbsp; 9954972 | &nbsp;&nbsp; CNH | &nbsp;&nbsp;&nbsp;&nbsp; 68991577 | JPMorgan Chase & Co. | &nbsp;&nbsp; 4/16/26 | &nbsp;&nbsp;&nbsp; (74512) |
| USD | &nbsp;&nbsp; 54661833 | &nbsp;&nbsp; BRL | &nbsp;&nbsp; 288849523 | JPMorgan Chase & Co. | &nbsp;&nbsp; 6/2/26 | &nbsp;&nbsp; (345214) |
| **Net unrealized depreciation on open forward foreign currency contracts** | **Net unrealized depreciation on open forward foreign currency contracts** | **Net unrealized depreciation on open forward foreign currency contracts** | **Net unrealized depreciation on open forward foreign currency contracts** | **Net unrealized depreciation on open forward foreign currency contracts** | **Net unrealized depreciation on open forward foreign currency contracts** | &nbsp;&nbsp; **$(126818)** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
| **Abbreviation(s) used in this table:** | **Abbreviation(s) used in this table:** | **Abbreviation(s) used in this table:** |
| AUD |  | Australian Dollar |
| BRL |  | Brazilian Real |
| CAD |  | Canadian Dollar |
| CNH |  | Chinese Offshore Yuan |
| EUR |  | Euro |
| GBP |  | British Pound |
| INR |  | Indian Rupee |
| JPY |  | Japanese Yen |
| MXN |  | Mexican Peso |
| USD |  | United States Dollar |

---

At March 31, 2026, the Fund had the following open swap contracts:

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| <br> **OTC INTEREST RATE SWAPS**  | <br> **OTC INTEREST RATE SWAPS**  | <br> **OTC INTEREST RATE SWAPS**  | <br> **OTC INTEREST RATE SWAPS**  | <br> **OTC INTEREST RATE SWAPS**  | <br> **OTC INTEREST RATE SWAPS**  | <br> **OTC INTEREST RATE SWAPS**  | <br> **OTC INTEREST RATE SWAPS**  |
| Swap Counterparty | Notional <br>Amount\*<br>| &nbsp;&nbsp;&nbsp; Termination <br>Date<br>| &nbsp;&nbsp;&nbsp; Payments <br>Made by <br>the Fund<sup>†</sup> <br>| &nbsp;&nbsp;&nbsp; Payments <br>Received by <br>the Fund<sup>†</sup> <br>| &nbsp;&nbsp;&nbsp; Market <br>Value<br>| &nbsp;&nbsp;&nbsp; Upfront <br>Premiums <br>Paid <br>&nbsp;&nbsp;&nbsp;&nbsp;(Received)<br>| &nbsp;&nbsp;&nbsp; Unrealized <br>Depreciation<br>|
| JPMorgan Chase & Co. | 157419000<sup>BRL</sup> <br>| &nbsp;&nbsp;&nbsp;&nbsp; 1/2/31 | &nbsp;&nbsp;&nbsp;&nbsp; BRL-CDI\*\* | &nbsp;&nbsp;&nbsp;&nbsp; 13.250%\*\* | &nbsp;&nbsp;&nbsp; **$(390368)** | &nbsp;&nbsp;&nbsp; **$—** | &nbsp;&nbsp;&nbsp; **$(390368)** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2026 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

March 31, 2026

 **Western Asset Core Plus Bond Fund**

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| <br> **CENTRALLY CLEARED INTEREST RATE SWAPS**  | <br> **CENTRALLY CLEARED INTEREST RATE SWAPS**  | <br> **CENTRALLY CLEARED INTEREST RATE SWAPS**  | <br> **CENTRALLY CLEARED INTEREST RATE SWAPS**  | <br> **CENTRALLY CLEARED INTEREST RATE SWAPS**  | <br> **CENTRALLY CLEARED INTEREST RATE SWAPS**  | <br> **CENTRALLY CLEARED INTEREST RATE SWAPS**  | <br> **CENTRALLY CLEARED INTEREST RATE SWAPS**  |
|  | &nbsp;&nbsp;&nbsp;&nbsp; Notional <br>Amount\*<br>| &nbsp;&nbsp;&nbsp;&nbsp; Termination <br>Date<br>| &nbsp;&nbsp;&nbsp;&nbsp; Payments <br>Made by <br>the Fund<sup>†</sup> <br>| &nbsp;&nbsp;&nbsp;&nbsp; Payments <br>Received by <br>the Fund<sup>†</sup> <br>| &nbsp;&nbsp;&nbsp; Market <br>Value<br>| &nbsp;&nbsp;&nbsp; Upfront <br>Premiums <br>Paid <br>&nbsp;&nbsp;&nbsp;&nbsp;(Received)<br>| &nbsp;&nbsp;&nbsp; Unrealized <br>Appreciation <br>&nbsp;&nbsp;&nbsp;&nbsp;(Depreciation)<br>|
|  | &nbsp;&nbsp;&nbsp;&nbsp; 658112000 | &nbsp;&nbsp;&nbsp;&nbsp; 12/15/27 | &nbsp;&nbsp;&nbsp;&nbsp; 3.320% <br>annually<br>| &nbsp;&nbsp;&nbsp;&nbsp; Daily SOFR <br>Compound <br>annually<br>| &nbsp;&nbsp;&nbsp;&nbsp; $3613302 | &nbsp;&nbsp;&nbsp;&nbsp; $(52980) | &nbsp;&nbsp;&nbsp;&nbsp; $3666282 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; 413440000<sup>MXN</sup> <br>| &nbsp;&nbsp;&nbsp;&nbsp; 3/14/28 | &nbsp;&nbsp;&nbsp;&nbsp; 28-Day MXN TIIE - Banxico <br>every 28 days<br>| &nbsp;&nbsp;&nbsp;&nbsp; 7.225% <br>every 28 days<br>| &nbsp;&nbsp;&nbsp;&nbsp; (142789) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (142789) |
|  | &nbsp;&nbsp;&nbsp;&nbsp; 173860000 | &nbsp;&nbsp;&nbsp;&nbsp; 11/21/30 | 2.452%\*\* | CPURNSA\*\* | &nbsp;&nbsp;&nbsp;&nbsp; 467688 | &nbsp;&nbsp;&nbsp;&nbsp; (82840) | &nbsp;&nbsp;&nbsp;&nbsp; 550528 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; 330234000 | &nbsp;&nbsp;&nbsp;&nbsp; 1/31/33 | &nbsp;&nbsp;&nbsp;&nbsp; 3.520% <br>annually<br>| &nbsp;&nbsp;&nbsp;&nbsp; Daily SOFR <br>Compound <br>annually<br>| &nbsp;&nbsp;&nbsp;&nbsp; 3478127 | &nbsp;&nbsp;&nbsp;&nbsp; 724874 | &nbsp;&nbsp;&nbsp;&nbsp; 2753253 |
| **Total** |  |  |  |  | &nbsp;&nbsp;&nbsp; **$7416328** | &nbsp;&nbsp;&nbsp; **$589054** | &nbsp;&nbsp;&nbsp; **$6827274** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| <br> **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — SELL PROTECTION**<sup>1</sup>  | <br> **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — SELL PROTECTION**<sup>1</sup>  | <br> **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — SELL PROTECTION**<sup>1</sup>  | <br> **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — SELL PROTECTION**<sup>1</sup>  | <br> **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — SELL PROTECTION**<sup>1</sup>  | <br> **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — SELL PROTECTION**<sup>1</sup>  | <br> **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — SELL PROTECTION**<sup>1</sup>  |
| Reference Entity | Notional <br>Amount<sup>2</sup> <br>| &nbsp;&nbsp;&nbsp; Termination <br>Date<br>| &nbsp;&nbsp;&nbsp;&nbsp; Periodic <br>Payments <br>Received by <br>the Fund<sup>†</sup> <br>| &nbsp;&nbsp;&nbsp; Market <br>Value<sup>3</sup> <br>| &nbsp;&nbsp;&nbsp; Upfront <br>Premiums <br>Paid <br>&nbsp;&nbsp;&nbsp;&nbsp;(Received)<br>| &nbsp;&nbsp;&nbsp; Unrealized <br>Appreciation<br>|
| Markit CDX.NA.IG.46 Index | $13960000 | &nbsp;&nbsp;&nbsp;&nbsp; 6/20/31 | 1.000% quarterly | &nbsp;&nbsp;&nbsp; **$240963** | &nbsp;&nbsp;&nbsp; **$227687** | &nbsp;&nbsp;&nbsp; **$13276** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| <br> **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — BUY PROTECTION**<sup>4</sup>  | <br> **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — BUY PROTECTION**<sup>4</sup>  | <br> **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — BUY PROTECTION**<sup>4</sup>  | <br> **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — BUY PROTECTION**<sup>4</sup>  | <br> **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — BUY PROTECTION**<sup>4</sup>  | <br> **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — BUY PROTECTION**<sup>4</sup>  | <br> **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — BUY PROTECTION**<sup>4</sup>  |
| Reference Entity | Notional <br>Amount<sup>2</sup> <br>| &nbsp;&nbsp;&nbsp; Termination <br>Date<br>| &nbsp;&nbsp;&nbsp;&nbsp; Periodic <br>Payments <br>Made by <br>the Fund<sup>†</sup> <br>| &nbsp;&nbsp;&nbsp; Market <br>Value<sup>3</sup> <br>| &nbsp;&nbsp;&nbsp; Upfront <br>Premiums <br>Paid <br>&nbsp;&nbsp;&nbsp;&nbsp;(Received)<br>| &nbsp;&nbsp;&nbsp; Unrealized <br>Depreciation<br>|
| Markit CDX.NA.HY.46 Index | $14749500 | &nbsp;&nbsp;&nbsp;&nbsp; 6/20/31 | 5.000% quarterly | &nbsp;&nbsp;&nbsp; **$(706659)** | &nbsp;&nbsp;&nbsp; **$(580483)** | &nbsp;&nbsp;&nbsp; **$(126176)** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| <br> **OTC TOTAL RETURN SWAPS**  | <br> **OTC TOTAL RETURN SWAPS**  | <br> **OTC TOTAL RETURN SWAPS**  | <br> **OTC TOTAL RETURN SWAPS**  | <br> **OTC TOTAL RETURN SWAPS**  | <br> **OTC TOTAL RETURN SWAPS**  | <br> **OTC TOTAL RETURN SWAPS**  | <br> **OTC TOTAL RETURN SWAPS**  |
| Swap <br>Counterparty<br>| Notional <br>Amount<br>| &nbsp;&nbsp;&nbsp; Termination <br>Date<br>| &nbsp;&nbsp;&nbsp;&nbsp; Periodic <br>Payments <br>Made by <br>the Fund<sup>†</sup> <br>| &nbsp;&nbsp;&nbsp;&nbsp; Periodic <br>Payments <br>Received by <br>the Fund<sup>‡</sup> <br>| &nbsp;&nbsp;&nbsp; Market <br>Value<br>| &nbsp;&nbsp;&nbsp; Upfront <br>Premiums <br>Paid <br>&nbsp;&nbsp;&nbsp;&nbsp;(Received)<br>| &nbsp;&nbsp;&nbsp; Unrealized <br>Depreciation<br>|
| JPMorgan Chase & Co. | $97560 | &nbsp;&nbsp;&nbsp;&nbsp; 4/9/26 | &nbsp;&nbsp;&nbsp;&nbsp; Daily SOFR <br>Compound + <br>1.100%\*\*<br>| JPEIFNTR^\*\* | &nbsp;&nbsp;&nbsp; **$(594461)** | &nbsp;&nbsp;&nbsp; **—** | &nbsp;&nbsp;&nbsp; **$(594461)** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

See Notes to Schedule of Investments.

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Western Asset Core Plus Bond Fund 2026 Quarterly Report

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 **Western Asset Core Plus Bond Fund**

---

| | |
|:---|:---|
| <sup>1</sup> | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to <br> the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities <br> comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the <br> recovery value of the referenced obligation or underlying securities comprising the referenced index.<br>|
| <sup>2</sup> | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event <br> occurs as defined under the terms of that particular swap agreement.<br>|
| <sup>3</sup> | The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the <br> current status of the payment/performance risk and represent the likelihood of an expected loss (or profit) for the credit derivative had the notional amount <br> of the swap agreement been closed/sold as of the period end. Decreasing market values (sell protection) or increasing market values (buy protection), when <br> compared to the notional amount of the swap, represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of <br> default or other credit event occurring as defined under the terms of the agreement.<br>|
| <sup>4</sup> | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive <br> from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or the underlying securities <br> comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the <br> recovery value of the referenced obligation or the underlying securities comprising the referenced index.<br>|
| † | Percentage shown is an annual percentage rate. |
| ‡ | Periodic payments made/received by the Fund are based on the total return of the referenced entity. |
| ^ | Custom emerging markets debt basket is comprised of 41 bonds in the Sovereign Frontier sector. |
| \* | Notional amount denominated in U.S. dollars, unless otherwise noted. |
| \*\* | One time payment made at termination date. |

---

Reference rate(s) and their value(s) as of period end used in this table:

---

| | |
|:---|:---|
| Reference Index | Reference <br>Rate<br>|
| &nbsp;&nbsp;&nbsp; 28-Day MXN TIIE - Banxico | 7.057% |
| &nbsp;&nbsp;&nbsp; BRL-CDI | 14.650% |
| &nbsp;&nbsp;&nbsp; CPURNSA | 3.302% |
| &nbsp;&nbsp;&nbsp; Daily SOFR Compound | 3.680% |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
| **Abbreviation(s) used in this table:** | **Abbreviation(s) used in this table:** | **Abbreviation(s) used in this table:** |
| BRL |  | Brazilian Real |
| BRL-CDI |  | Brazilian Cetip InterBank Deposit Rate |
| CDI |  | Clearing House Electronic Subregister System Depositary Interest |
| CPURNSA |  | U.S. CPI Urban Consumers NSA Index |
| JPEIFNTR |  | Western Asset Management Emerging Markets Frontier Custom Basket |
| MXN |  | Mexican Peso |
| SOFR |  | Secured Overnight Financing Rate |
| TIIE |  | Tasa de Intere's Interbancaria de Equilibrio (Equilibrium Interbanking Interest Rate) |

---

This Schedule of Investments is unaudited and is intended to provide information about the Fund's investments as of the date of the schedule. Other information regarding the Fund is available in the Fund's most recent annual or semi-annual shareholder report.

See Notes to Schedule of Investments.

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Western Asset Core Plus Bond Fund 2026 Quarterly Report

------

Notes to Schedule of Investments (unaudited)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

**1. Organization and significant accounting policies** 

Western Asset Core Plus Bond Fund (the "Fund") is a separate diversified investment series of Western Asset Funds, Inc. (the "Corporation"). The Corporation, a Maryland corporation, is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company.

The Fund follows the accounting and reporting guidance in Financial Accounting Standards Board ("FASB") Accounting Standards Codification Topic 946, *Financial Services – Investment Companies* ("ASC 946"). The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S. generally accepted accounting principles ("GAAP"), including, but not limited to, ASC 946.

**(a) Investment valuation.** The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services typically use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. Investments in open-end funds are valued at the closing net asset value per share of each fund on the day of valuation. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. When the Fund holds securities or other assets that are denominated in a foreign currency, the Fund will normally use the currency exchange rates as of 4:00 p.m. (Eastern Time). If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the manager to be unreliable, the market price may be determined by the manager using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved by the Fund's Board of Directors (the "Board").

Pursuant to policies adopted by the Board, the Fund's manager has been designated as the valuation designee and is responsible for the oversight of the daily valuation process. The Fund's manager is assisted by the Global Fund Valuation Committee (the "Valuation Committee"). The Valuation Committee is responsible for making fair value determinations, evaluating the effectiveness of the Fund's pricing policies, and reporting to the Fund's manager and the Board. When determining the reliability of third party pricing information for investments owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of pricing vendors, monitors the daily change in prices and reviews transactions among market participants.

The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making fair value determinations. Examples of possible methodologies include, but are not limited to, multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or a multiple thereof; risk premium/yield analysis; yield to maturity; and/or fundamental investment analysis. The Valuation Committee will also consider factors it deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to, the type of security; the issuer's financial statements; the purchase price of the security; the discount from market value of unrestricted securities of the same class at the time of purchase; analysts' research and observations from financial institutions; information regarding any transactions or offers with respect to the security; the existence of merger proposals or tender offers affecting the security; the price and extent of public trading in similar securities of the issuer or comparable companies; and the existence of a shelf registration for restricted securities.

For each portfolio security that has been fair valued pursuant to the policies adopted by the Board, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such back testing monthly and fair valuation occurrences are reported to the Board quarterly.

The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.

------

Western Asset Core Plus Bond Fund 2026 Quarterly Report

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GAAP establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:

• Level 1 — unadjusted quoted prices in active markets for identical investments

• Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

• Level 3 — significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments)

The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used in valuing the Fund's assets and liabilities carried at fair value: <br>

---

| | | | | |
|:---|:---|:---|:---|:---|
| **ASSETS** | **ASSETS** | **ASSETS** | **ASSETS** | **ASSETS** |
| Description | &nbsp;&nbsp; Quoted Prices <br>(Level 1)<br>| &nbsp;&nbsp; Other Significant <br>Observable Inputs <br>(Level 2)<br>| &nbsp;&nbsp; Significant <br>Unobservable <br>Inputs <br>(Level 3)<br>| Total |
| Long-Term Investments†: |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Corporate Bonds & Notes: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Financials | &nbsp;&nbsp; — | &nbsp;&nbsp; $362385555 | &nbsp;&nbsp; $0<br> \*<br>| &nbsp;&nbsp; $362385555 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Other Corporate Bonds & Notes | &nbsp;&nbsp; — | &nbsp;&nbsp; 944217147 | &nbsp;&nbsp; — | &nbsp;&nbsp; 944217147 |
| &nbsp;&nbsp;&nbsp; Mortgage-Backed Securities | &nbsp;&nbsp; — | &nbsp;&nbsp; 1100186648 | &nbsp;&nbsp; — | &nbsp;&nbsp; 1100186648 |
| &nbsp;&nbsp;&nbsp; Collateralized Mortgage Obligations | &nbsp;&nbsp; — | &nbsp;&nbsp; 628810482 | &nbsp;&nbsp; — | &nbsp;&nbsp; 628810482 |
| &nbsp;&nbsp;&nbsp; U.S. Government & Agency Obligations | &nbsp;&nbsp; — | &nbsp;&nbsp; 383620360 | &nbsp;&nbsp; — | &nbsp;&nbsp; 383620360 |
| &nbsp;&nbsp;&nbsp; Asset-Backed Securities | &nbsp;&nbsp; — | &nbsp;&nbsp; 297344637 | &nbsp;&nbsp; — | &nbsp;&nbsp; 297344637 |
| &nbsp;&nbsp;&nbsp; Sovereign Bonds | &nbsp;&nbsp; — | &nbsp;&nbsp; 190083991 | &nbsp;&nbsp; — | &nbsp;&nbsp; 190083991 |
| &nbsp;&nbsp;&nbsp; Senior Loans: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Financials | &nbsp;&nbsp; — | &nbsp;&nbsp; 41737914 | &nbsp;&nbsp; 2465116 | &nbsp;&nbsp; 44203030 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Industrials | &nbsp;&nbsp; — | &nbsp;&nbsp; 9778771 | &nbsp;&nbsp; 4116978 | &nbsp;&nbsp; 13895749 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Other Senior Loans | &nbsp;&nbsp; — | &nbsp;&nbsp; 50161612 | &nbsp;&nbsp; — | &nbsp;&nbsp; 50161612 |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Inflation Protected Securities | &nbsp;&nbsp; — | &nbsp;&nbsp; 32469957 | &nbsp;&nbsp; — | &nbsp;&nbsp; 32469957 |
| &nbsp;&nbsp;&nbsp; Purchased Options | &nbsp;&nbsp; $2816247 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 2816247 |
| &nbsp;&nbsp;&nbsp; Common Stocks: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Industrials | &nbsp;&nbsp; 72594 | &nbsp;&nbsp; 421 | &nbsp;&nbsp; — | &nbsp;&nbsp; 73015 |
| &nbsp;&nbsp;&nbsp; Warrants | &nbsp;&nbsp; — | &nbsp;&nbsp; 51578 | &nbsp;&nbsp; — | &nbsp;&nbsp; 51578 |
| **Total Investments** | &nbsp;&nbsp; **$2888841** | &nbsp;&nbsp; **$4040849073** | &nbsp;&nbsp; **$6582094** | &nbsp;&nbsp; **$4050320008** |
| Other Financial Instruments: |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Forward Foreign Currency Contracts†† | &nbsp;&nbsp; — | &nbsp;&nbsp; $2153557 | &nbsp;&nbsp; — | &nbsp;&nbsp; $2153557 |
| &nbsp;&nbsp;&nbsp; Centrally Cleared Interest Rate Swaps†† | &nbsp;&nbsp; — | &nbsp;&nbsp; 6970063 | &nbsp;&nbsp; — | &nbsp;&nbsp; 6970063 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Centrally Cleared Credit Default Swaps on Credit Indices — Sell <br> Protection††<br>| &nbsp;&nbsp; — | &nbsp;&nbsp; 13276 | &nbsp;&nbsp; — | &nbsp;&nbsp; 13276 |
| **Total Other Financial Instruments** | &nbsp;&nbsp; **—** | &nbsp;&nbsp; **$9136896** | &nbsp;&nbsp; **—** | &nbsp;&nbsp; **$9136896** |
| **Total** | &nbsp;&nbsp; **$2888841** | &nbsp;&nbsp; **$4049985969** | &nbsp;&nbsp; **$6582094** | &nbsp;&nbsp; **$4059456904** |

---

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Western Asset Core Plus Bond Fund 2026 Quarterly Report

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Notes to Schedule of Investments (unaudited) (cont'd)

---

| | | | | |
|:---|:---|:---|:---|:---|
| **LIABILITIES**  | **LIABILITIES**  | **LIABILITIES**  | **LIABILITIES**  | **LIABILITIES**  |
| Description | &nbsp;&nbsp; Quoted Prices <br>(Level 1)<br>| &nbsp;&nbsp; Other Significant <br>Observable Inputs <br>(Level 2)<br>| &nbsp;&nbsp; Significant <br>Unobservable <br>Inputs <br>(Level 3)<br>| Total |
| Other Financial Instruments: |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Written Options | &nbsp;&nbsp; $7610205 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; $7610205 |
| &nbsp;&nbsp;&nbsp; Futures Contracts†† | &nbsp;&nbsp; 6973848 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 6973848 |
| &nbsp;&nbsp;&nbsp; Forward Foreign Currency Contracts†† | &nbsp;&nbsp; — | &nbsp;&nbsp; $2280375 | &nbsp;&nbsp; — | &nbsp;&nbsp; 2280375 |
| &nbsp;&nbsp;&nbsp; OTC Interest Rate Swaps | &nbsp;&nbsp; — | &nbsp;&nbsp; 390368 | &nbsp;&nbsp; — | &nbsp;&nbsp; 390368 |
| &nbsp;&nbsp;&nbsp; Centrally Cleared Interest Rate Swaps†† | &nbsp;&nbsp; — | &nbsp;&nbsp; 142789 | &nbsp;&nbsp; — | &nbsp;&nbsp; 142789 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Centrally Cleared Credit Default Swaps on Credit Indices — Buy <br> Protection††<br>| &nbsp;&nbsp; — | &nbsp;&nbsp; 126176 | &nbsp;&nbsp; — | &nbsp;&nbsp; 126176 |
| &nbsp;&nbsp;&nbsp; OTC Total Return Swaps | &nbsp;&nbsp; — | &nbsp;&nbsp; 594461 | &nbsp;&nbsp; — | &nbsp;&nbsp; 594461 |
| **Total** | &nbsp;&nbsp; **$14584053** | &nbsp;&nbsp; **$3534169** | &nbsp;&nbsp; **—** | &nbsp;&nbsp; **$18118222** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| † | See Schedule of Investments for additional detailed categorizations. |
| \* | Amount represents less than $1. |
| †† | Reflects the unrealized appreciation (depreciation) of the instruments. |

---

**2. Transactions with affiliated company**

As defined by the 1940 Act, an affiliated company is one in which the Fund owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control with the Fund. The following company was considered an affiliated company for all or some portion of the period ended March 31, 2026. The following transactions were effected in such company for the period ended March 31, 2026. <br>

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | Affiliate <br>Value at <br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>December 31, <br>2025 | Purchased | Purchased | Sold | Sold |
|  | Affiliate <br>Value at <br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>December 31, <br>2025 | Cost | Shares | Proceeds | Shares |
| Western Asset Premier <br> Institutional Government <br> Reserves, Premium <br> Shares<br>| $246082140 | $144644104 | 144644104 | $390726244 | 390726244 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

---

| | | | | |
|:---|:---|:---|:---|:---|
| (cont'd) | Realized <br>Gain (Loss)<br>| Dividend <br>Income<br>| Net Increase <br>(Decrease) in <br>Unrealized <br>Appreciation <br>(Depreciation)<br>| Affiliate <br>Value at <br>March 31, <br>2026<br>|
| Western Asset Premier <br> Institutional Government <br> Reserves, Premium Shares<br>|  | $1378546 |  |  |

---

**3. Restricted securities** 

The following Fund investments are restricted as to resale and, in the absence of readily ascertainable market values, are fair valued in accordance with procedures approved by the Board. <br>

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| Security | &nbsp;&nbsp; Number of <br>Shares/Warrants<br>| Acquisition <br>Date<br>| Cost | Fair Value <br>at 3/31/2026<br>| Value Per <br>Share/Warrant<br>|
| Spirit Airlines LLC, Common Shares | &nbsp;&nbsp; 1685 | 3/25 | $20512 | $421 | &nbsp;&nbsp; $0.25<br> 0.00 %<sup>(a)</sup><br>|
| Spirit Airlines LLC, Warrants | &nbsp;&nbsp; 206310 | 3/25 | 2511486 | 51578 <br><sup>(b)</sup><br>| 0.25<br> 0.00 <br><sup>(a)</sup><br>|
| **Total** |  |  | **$2531998** | **$51999** | &nbsp;&nbsp; <br> &nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**0.00%** <br><sup>(a)</sup><br>|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

<sup>(a)</sup> Amount represents less than 0.005%.

<sup>(b)</sup> Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board. 

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Western Asset Core Plus Bond Fund 2026 Quarterly Report

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## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Western Asset Funds Inc

- **b. Investment Company Act file number:** 811-06110

- **c. CIK number of Registrant:** 0000863520

- **d. LEI of Registrant:** 5493004NC00X8WKL1P34

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

  - **Street Address 1:** One Madison Avenue

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10010

  - **Telephone number:** 1-877-721-1926

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

- **a. Name of Series:** Western Asset Core Plus Bond Fund

- **b. EDGAR series identifier (if any):** S000000714

- **c. LEI of Series:** 549300M92SFKO7RZX103

**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:** $4343683018.25

**Total Liabilities:** $647631466.83

**Net Assets:** $3696051551.42

**Delayed Delivery Securities:** $23927198.03

**Stand-by Commitments:** $509291254.97

**Cash Not Reported:** $23028456.05

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 1939.63000000 | **1-Year:** 177389.34000000 | **5-Year:** 947887.41000000 | **10-Year:** 429624.08000000 | **30-Year:** 42981.46000000

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

- **3-Month:** 918.54000000 | **1-Year:** 36855.15000000 | **5-Year:** 84047.90000000 | **10-Year:** 17659.77000000 | **30-Year:** 712.24000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000117035 | 2.17%                | 3.55%                | 0.75%                |
| Class ID C000113704 | 0.36%                | 1.52%                | -2.39%               |
| Class ID C000113706 | 0.44%                | 1.39%                | -2.42%               |
| Class ID C000002081 | 0.39%                | 1.55%                | -2.35%               |
| Class ID C000002082 | 0.36%                | 1.52%                | -2.39%               |
| Class ID C000066989 | 0.39%                | 1.44%                | -2.25%               |
| Class ID C000113705 | 0.40%                | 1.36%                | -2.45%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-10819591.77            | $17498627.94                               |
| Month 2  | $-4944622.67             | $45821584.58                               |
| Month 3  | $-433654.96              | $-86295786.83                              |

**Designated Index Information**

- **Index Name:** Bloomberg US Aggregate

- **Index Identifier:** BM0838

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| GOLDENTREE LN MGM 20 LTD/LLC                                                         | GLM 2024-20A A                                                              | CUSIP: 38139MAC9<br>LEI: 984500CF2B1A04F63R63 | Long             | ABS-CBDO         | CORP              | JE        |    5936000 | PA      | $5951703.09   | 0.16%             | 2037-07-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Melco Resorts Finance Limited                                                        | MPEL 6.5 09/24/33 144A                                                      | CUSIP: 58547DAJ8<br>LEI: 5493000FQDBWKDBZEF60 | Long             | DBT              | CORP              | KY        |    3750000 | PA      | $3602552.74   | 0.10%             | 2033-09-24      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 4.25 02/15/54                                                             | CUSIP: 912810TX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6490000 | PA      | $5814761.12   | 0.16%             | 2054-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                                     | Options on Three-Month SOFR Futures                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -1889 | NC      | $-94450.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CVS Health Corp                                                                      | CVS 4.3 03/25/28                                                            | CUSIP: 126650CX6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    1660000 | PA      | $1654463.25   | 0.04%             | 2028-03-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                          | 10-Year T-Note Options                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -630 | NC      | $-206718.75   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Amazon.com, Inc.                                                                     | AMZN 5.8 03/13/56                                                           | CUSIP: 023135DH6<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    1060000 | PA      | $1059896.63   | 0.03%             | 2056-03-13      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 579627                                                                   | CUSIP: 36201C4L5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3090 | PA      | $3165.74      | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association                                            | JPY/USD FORWARD                                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $18064.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN 484965                                                                   | CUSIP: 31382KW20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8272 | PA      | $8605.55      | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                          | U.S. Treasury Bond Futures, Jun-2026,ETH                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         51 | NC      | $-6437.73     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BR7744                                                                   | CUSIP: 3140L6TA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2090033 | PA      | $1723707.66   | 0.05%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Panama (Republic of)                                                                 | PANAMA 2.252 09/29/32                                                       | CUSIP: 698299BN3<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |    4000000 | PA      | $3294800.00   | 0.09%             | 2032-09-29      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE BACKED SECURITIES TRUST 2025-NQM4                                        | GSMBS 2025-NQM4 A2                                                          | CUSIP: 36272UAB4<br>LEI: 25490076N7JFR2Y3CU63 | Long             | ABS-O            | CORP              | US        |    5173380 | PA      | $5172229.95   | 0.14%             | 2065-10-25      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| Broadcom Inc                                                                         | AVGO 4.15 11/15/30                                                          | CUSIP: 11135FAQ4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    1207000 | PA      | $1188586.08   | 0.03%             | 2030-11-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Florida Gas Transmission Co.                                                         | CITCOR 5.75 07/15/35 144A                                                   | CUSIP: 340711BC3<br>LEI: 549300Q0UQF87NXNOC32 | Long             | DBT              | CORP              | US        |    4060000 | PA      | $4167539.94   | 0.11%             | 2035-07-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| M&T EQUIPMENT (2024-LEAF1) LLC                                                       | MTLRF 2024-1A A4                                                            | CUSIP: 55376YAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9460000 | PA      | $9591812.80   | 0.26%             | 2031-08-18      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| Truist Insurance Holdings, LLC                                                       | Truist Insurance Holdings Term Loan B 275 2031-05-01                        | CUSIP: 89788VAG7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    2680000 | PA      | $2649019.20   | 0.07%             | 2031-05-06      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                                     | Three-Month SOFR Futures, Mar-2026,ETH                                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       1734 | NC      | $-805616.40   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                                   | CUSIP: 01F052649<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   -8000000 | PA      | $-8038097.28  | -0.22%            | 2056-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2017-171 IO                                                             | CUSIP: 38380JGF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    9001637 | PA      | $309614.02    | 0.01%             | 2059-09-16      | Variable      | 0.62%                 | No            |                  2 | On Loan: No      |
| McDonald's Corp.                                                                     | MCD 4.2 04/01/50 MTN                                                        | CUSIP: 58013MFR0<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    6670000 | PA      | $5261385.38   | 0.14%             | 2050-04-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Amazon.com, Inc.                                                                     | AMZN 4.25 08/22/57                                                          | CUSIP: 023135BM7<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    2970000 | PA      | $2319020.22   | 0.06%             | 2057-08-22      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR QB8773                                                                   | CUSIP: 3133AFXA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1796180 | PA      | $1481735.75   | 0.04%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 580942                                                                   | CUSIP: 36201ELX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4408 | PA      | $4448.58      | 0.00%             | 2032-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2017-H15 KI                                                             | CUSIP: 38376R5X0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   11167160 | PA      | $565394.43    | 0.02%             | 2067-07-20      | Variable      | 2.27%                 | No            |                  2 | On Loan: No      |
| Boeing Co.                                                                           | BA 2.8 03/01/27                                                             | CUSIP: 097023BU8<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      10000 | PA      | $9847.39      | 0.00%             | 2027-03-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR RB5084                                                                   | CUSIP: 3133KYUH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19411136 | PA      | $16559170.08  | 0.45%             | 2040-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                                    | EPD 6.65 10/15/34 H                                                         | CUSIP: 293791AP4<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    2105000 | PA      | $2335387.05   | 0.06%             | 2034-10-15      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AI2433                                                                   | CUSIP: 3138AFV31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32284 | PA      | $32643.53     | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION I MORTGAGE-BACKED SECURITIES                | GN 552390                                                                   | CUSIP: 36213EUP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       2431 | PA      | $2536.55      | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Duke Energy Carolinas LLC                                                            | DUK 5.3 02/15/40                                                            | CUSIP: 26442CAH7<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |     220000 | PA      | $217520.42    | 0.01%             | 2040-02-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Bank of Montreal                                                                     | BMO V3.803 12/15/32                                                         | CUSIP: 06368BGS1<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |      10000 | PA      | $9844.04      | 0.00%             | 2032-12-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Discovery Global Holdings Inc.                                                       | WBD 3.755 03/15/27 *                                                        | CUSIP: 55903VBL6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |     945000 | PA      | $933934.05    | 0.03%             | 2027-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| RTX Corp.                                                                            | RTX 4.5 06/01/42                                                            | CUSIP: 913017BT5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    3629000 | PA      | $3222436.49   | 0.09%             | 2042-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                              | MPLX 4.8 02/15/29                                                           | CUSIP: 55336VAS9<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    2590000 | PA      | $2612060.89   | 0.07%             | 2029-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                                     | IRS USD                                                                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          1 | NC      | $3478126.85   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 446729                                                                   | CUSIP: 36208CHE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        115 | PA      | $118.23       | 0.00%             | 2028-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 604647                                                                   | CUSIP: 36200MWG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14317 | PA      | $14569.07     | 0.00%             | 2033-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 532785                                                                   | CUSIP: 36212F2S2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6496 | PA      | $6635.46      | 0.00%             | 2034-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 611446                                                                   | CUSIP: 36202WHX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      46611 | PA      | $47003.39     | 0.00%             | 2033-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 611543                                                                   | CUSIP: 36202WLY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13284 | PA      | $13478.93     | 0.00%             | 2033-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION I MORTGAGE-BACKED SECURITIES                | GN 605463                                                                   | CUSIP: 36200NTU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       1101 | PA      | $1144.86      | 0.00%             | 2034-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Alphabet Inc.                                                                        | GOOGL 5.65 02/15/56                                                         | CUSIP: 02079KBP1<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    2070000 | PA      | $2064820.74   | 0.06%             | 2056-02-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                                   | TMUS 4.375 04/15/40                                                         | CUSIP: 87264AAX3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    2530000 | PA      | $2225268.13   | 0.06%             | 2040-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN FS0551                                                                   | CUSIP: 3140XFTH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2378047 | PA      | $2049043.90   | 0.06%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                                              | FR SD7265                                                                   | CUSIP: 3132DVCA1<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-MBS          | USGSE             | US        |    1599060 | PA      | $1660725.81   | 0.04%             | 2054-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Yamana Gold Inc                                                                      | YRICN 4.625 12/15/27                                                        | CUSIP: 98462YAD2<br>LEI: 54930002VY22NXG01418 | Long             | DBT              | CORP              | CA        |    6860000 | PA      | $6846995.43   | 0.19%             | 2027-12-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Bausch Health Companies Inc.                                                         | BHCCN 5 02/15/29 144A                                                       | CUSIP: 071734AM9<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |    1164000 | PA      | $849103.08    | 0.02%             | 2029-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Herc Holdings Inc                                                                    | HRI 7 06/15/30 144A                                                         | CUSIP: 42704LAF1<br>LEI: 549300TP80QLITMSBP82 | Long             | DBT              | CORP              | US        |     870000 | PA      | $892693.08    | 0.02%             | 2030-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Buenos Aires (Province Of)                                                           | BUENOS 6.625 09/01/37 144A                                                  | CUSIP: 000000000<br>LEI: 549300L6AYROPOTQ4L07 | Long             | DBT              | NUSS              | AR        |   11609689 | PA      | $8779827.02   | 0.24%             | 2037-09-01      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SL3013                                                                   | CUSIP: 31427QK35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2660421 | PA      | $2769788.90   | 0.07%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                                     | Two-Year Mid-Curve Options on Three-Month SOFR Futures                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       -791 | NC      | $-123593.75   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                                             | GN 639469                                                                   | CUSIP: 36291VMS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13791 | PA      | $13874.73     | 0.00%             | 2034-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ecuador (Republic Of)                                                                | ECUA 8.75 01/29/34 144A                                                     | CUSIP: 27927WAQ5<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |    4590000 | PA      | $4509675.00   | 0.12%             | 2034-01-29      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| NYC COMMERCIAL MORTGAGE TRUST 2025-28L                                               | NYC 2025-28L F                                                              | CUSIP: 67123JAL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9200000 | PA      | $9292747.04   | 0.25%             | 2038-11-05      | Variable      | 8.13%                 | No            |                  2 | On Loan: No      |
| Alphabet Inc.                                                                        | GOOGL 4.7 11/15/35                                                          | CUSIP: 02079KAY3<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    2400000 | PA      | $2372091.46   | 0.06%             | 2035-11-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BM4897                                                                   | CUSIP: 3140J9NP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11384045 | PA      | $10738673.43  | 0.29%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Boeing Co.                                                                           | BA 2.7 02/01/27                                                             | CUSIP: 097023CM5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    2840000 | PA      | $2800887.78   | 0.08%             | 2027-02-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                                     | Options on Three-Month SOFR Futures                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -1581 | NC      | $-266793.75   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| GE Vernova Inc.                                                                      | GEV 5.5 02/04/56                                                            | CUSIP: 36828AAC5<br>LEI: 254900DP080RU6OK2553 | Long             | DBT              | CORP              | US        |     770000 | PA      | $741266.25    | 0.02%             | 2056-02-04      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN 485311                                                                   | CUSIP: 31382LDQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7088 | PA      | $7330.20      | 0.00%             | 2029-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ROCK TRUST 2024-CNTR                                                                 | ROCC 2024-CNTR E                                                            | CUSIP: 74970WAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5000000 | PA      | $5216120.00   | 0.14%             | 2041-11-15      | Fixed         | 8.82%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BR8478                                                                   | CUSIP: 3140L7M41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1703144 | PA      | $1403445.05   | 0.04%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Bahamas (Commonwealth of)                                                            | BAHAMA 8.25 06/24/36 144A                                                   | CUSIP: 056732AP5<br>LEI: 549300W13SXC7EKNJC20 | Long             | DBT              | NUSS              | BS        |    1610000 | PA      | $1722828.80   | 0.05%             | 2036-06-24      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BR6515                                                                   | CUSIP: 3140L5GZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1484594 | PA      | $1213652.33   | 0.03%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2020-118 IO                                                             | CUSIP: 38380P2F0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   20129946 | PA      | $1240590.45   | 0.03%             | 2062-06-16      | Variable      | 0.89%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN FS7902                                                                   | CUSIP: 3140XPX87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1011230 | PA      | $1046158.50   | 0.03%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc.                                                                          | ABBV 4.25 11/21/49                                                          | CUSIP: 00287YCB3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    1696000 | PA      | $1377644.54   | 0.04%             | 2049-11-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| 522 FDG CLO LTD 2019-5R                                                              | MORGN 2019-5A AR2                                                           | CUSIP: 33829WAL3<br>LEI: 549300HKB0UTKU91DG08 | Long             | ABS-CBDO         | CORP              | KY        |    5790000 | PA      | $5791540.14   | 0.16%             | 2035-04-15      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2024-70P                                           | GSMS 2024-70P E                                                             | CUSIP: 36269JAL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8125000 | PA      | $8307190.94   | 0.22%             | 2041-03-12      | Variable      | 8.37%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN FS1074                                                                   | CUSIP: 3140XGFQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14983406 | PA      | $13440102.82  | 0.36%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Alphabet Inc.                                                                        | GOOGL 3.7 02/15/29                                                          | CUSIP: 02079KBJ5<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    1870000 | PA      | $1854318.46   | 0.05%             | 2029-02-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                          | 10-Year T-Note Options                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          1 | NC      | $140.63       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| KINGS PARK CLO LTD 2021                                                              | KINGP 2021-1A A1R                                                           | CUSIP: 496094AQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5910000 | PA      | $5902672.19   | 0.16%             | 2039-01-21      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 580436                                                                   | CUSIP: 36201DY97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36468 | PA      | $36801.07     | 0.00%             | 2035-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FG C04484                                                                   | CUSIP: 31292L6V2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     408482 | PA      | $374993.27    | 0.01%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Abbott Laboratories                                                                  | ABT 4 03/15/31                                                              | CUSIP: 002824BS8<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1082814.47   | 0.03%             | 2031-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN 613156                                                                   | CUSIP: 31388SE50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5043 | PA      | $5215.89      | 0.00%             | 2031-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Melco Resorts Finance Limited                                                        | MPEL 7.625 04/17/32 144A                                                    | CUSIP: 58547DAH2<br>LEI: 5493000FQDBWKDBZEF60 | Long             | DBT              | CORP              | KY        |    2040000 | PA      | $2071875.75   | 0.06%             | 2032-04-17      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| Altria Group, Inc.                                                                   | MO 5.8 02/14/39                                                             | CUSIP: 02209SBE2<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    3130000 | PA      | $3143902.43   | 0.09%             | 2039-02-14      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                          | 5-Year T-Note Options                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -1271 | NC      | $-9929.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                                   | ET 6.25 04/15/49                                                            | CUSIP: 29279FAA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     870000 | PA      | $853889.22    | 0.02%             | 2049-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 565047                                                                   | CUSIP: 36213UWG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2507 | PA      | $2521.66      | 0.00%             | 2031-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AI1892                                                                   | CUSIP: 3138AFC65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      90678 | PA      | $91693.63     | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2022-LP2                                                | BX 2022-LP2 G                                                               | CUSIP: 05610HAN3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9254000 | PA      | $9254567.27   | 0.25%             | 2039-02-15      | Floating      | 7.78%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc.                                                          | VZ 3.4 03/22/41                                                             | CUSIP: 92343VGK4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     490000 | PA      | $376474.19    | 0.01%             | 2041-03-22      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Cameron LNG LLC                                                                      | CAMLNG 2.902 07/15/31 144A                                                  | CUSIP: 133434AA8<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |    1030000 | PA      | $943676.78    | 0.03%             | 2031-07-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA2579                                                                   | CUSIP: 31418B2M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6112263 | PA      | $5827668.99   | 0.16%             | 2036-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                       | BNP V5.894 12/05/34 144A                                                    | CUSIP: 05581KAG6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    8945000 | PA      | $9361736.37   | 0.25%             | 2034-12-05      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 656042                                                                   | CUSIP: 36294PZF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        573 | PA      | $591.31       | 0.00%             | 2036-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                                   | TMUS 3.875 04/15/30                                                         | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   15295000 | PA      | $14899505.25  | 0.40%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| PCI Gaming Authority                                                                 | PCI Gaming Term Loan B 200 2031-05-29                                       | CUSIP: 70455DAG9<br>LEI: 549300KPXAJ1LRW5LP59 | Long             | LON              | CORP              | US        |    2021564 | PA      | $2023726.79   | 0.05%             | 2031-07-18      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION II MORTGAGE-BACKED SECURITIES               | GN 564821                                                                   | CUSIP: 36213UPE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       3607 | PA      | $3652.76      | 0.00%             | 2031-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 783669                                                                   | CUSIP: 3622A2CE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4947380 | PA      | $4531289.22   | 0.12%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Huntington Ingalls Industries, Inc.                                                  | HII 5.749 01/15/35                                                          | CUSIP: 446413BB1<br>LEI: 5TZLZ6WJTBVJ0QWBG121 | Long             | DBT              | CORP              | US        |    1190000 | PA      | $1233480.32   | 0.03%             | 2035-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 607706                                                                   | CUSIP: 36202SDK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36822 | PA      | $37375.29     | 0.00%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Broadcom Inc                                                                         | AVGO 3.137 11/15/35 144A                                                    | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   10210000 | PA      | $8678703.18   | 0.23%             | 2035-11-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| Sprint Capital Corporation                                                           | S 8.75 03/15/32                                                             | CUSIP: 852060AT9<br>LEI: 549300L17W0GQBR1PO80 | Long             | DBT              | CORP              | US        |    4670000 | PA      | $5555310.49   | 0.15%             | 2032-03-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                | FNR 2021-3 NI                                                               | CUSIP: 3136BDQ84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   11014774 | PA      | $1665964.78   | 0.05%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 486591                                                                   | CUSIP: 36210ARL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15524 | PA      | $16032.93     | 0.00%             | 2035-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                                                                  | KMI 7.8 08/01/31 GMTN                                                       | CUSIP: 28368EAD8<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |     226000 | PA      | $257916.70    | 0.01%             | 2031-08-01      | Fixed         | 7.80%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                                     | Options on Three-Month SOFR Futures                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -1942 | NC      | $-351987.50   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Altria Group, Inc.                                                                   | MO 3.7 02/04/51                                                             | CUSIP: 02209SBN2<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    2620000 | PA      | $1806378.83   | 0.05%             | 2051-02-04      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                            | GS 4.75 10/21/45                                                            | CUSIP: 38141GVS0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    4434000 | PA      | $3844110.26   | 0.10%             | 2045-10-21      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Bayswater Park CLO Ltd. / Bayswater Park CLO LLC                                     | BAYPK 2023-1A AR                                                            | CUSIP: 072929AQ5<br>LEI: 254900BXH0PMWI87VS84 | Long             | ABS-CBDO         | CORP              | JE        |    6300000 | PA      | $6301069.74   | 0.17%             | 2039-01-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Bombardier Inc.                                                                      | BBDBCN 6.75 06/15/33 144A                                                   | CUSIP: 097751CD1<br>LEI: W7L3VLU8EHQY34Z36697 | Long             | DBT              | CORP              | CA        |    1200000 | PA      | $1240749.60   | 0.03%             | 2033-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AT3070                                                                   | CUSIP: 3138WQMU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4097799 | PA      | $3869486.21   | 0.10%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                               | FHR 5261 IB                                                                 | CUSIP: 3137H9AM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    8521667 | PA      | $1457337.08   | 0.04%             | 2050-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Suntrust Alternative Loan Trust Series 2006-1F                                       | STALT 2006-1F 3A                                                            | CUSIP: 86800RAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15437859 | PA      | $3461581.77   | 0.09%             | 2036-04-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust 2017-P7                                          | CGCMT 2017-P7 B                                                             | CUSIP: 17325HBS2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9194000 | PA      | $8683582.22   | 0.23%             | 2050-04-15      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| Las Vegas Sands Corp                                                                 | LVS 5.625 06/15/28                                                          | CUSIP: 517834AM9<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    1480000 | PA      | $1499566.56   | 0.04%             | 2028-06-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Peru (Republic Of)                                                                   | PERU 5.375 02/08/35                                                         | CUSIP: 715638EB4<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    4770000 | PA      | $4767853.50   | 0.13%             | 2035-02-08      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 603864                                                                   | CUSIP: 36200KZ59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42768 | PA      | $43371.50     | 0.00%             | 2033-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                          | 10-Year T-Note Futures, Jun-2026,ETH                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       2210 | NC      | $-3817372.25  | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHR 5063 AI                                                                 | CUSIP: 3137F8UQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   18916437 | PA      | $2523189.78   | 0.07%             | 2051-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MORTGAGE LOAN RESEC 2009-RS1                                                         | MLRT 2009-RS1 A85                                                           | CUSIP: 61914WAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13064928 | PA      | $12891564.34  | 0.35%             | 2036-04-15      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| Alphabet Inc.                                                                        | GOOGL 4.4 02/15/33                                                          | CUSIP: 02079KBL0<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     490000 | PA      | $484039.05    | 0.01%             | 2033-02-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                                   | SANTAN 4.551 11/06/30                                                       | CUSIP: 05971KAR0<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    5800000 | PA      | $5719411.49   | 0.15%             | 2030-11-06      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                                              | FR SD7548                                                                   | CUSIP: 3132DVL52<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-MBS          | USGSE             | US        |    3427359 | PA      | $2950516.18   | 0.08%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Viper Energy Partners LLC                                                            | VNOM 5.7 08/01/35                                                           | CUSIP: 92764MAB0<br>LEI: 54930010ZZ02MRGRI973 | Long             | DBT              | CORP              | US        |    1870000 | PA      | $1885717.35   | 0.05%             | 2035-08-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 593272                                                                   | CUSIP: 36201UCH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7817 | PA      | $7937.35      | 0.00%             | 2032-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHR 4992 PI                                                                 | CUSIP: 3137FUHY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    8525173 | PA      | $1094998.85   | 0.03%             | 2050-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Alphabet Inc.                                                                        | GOOGL 5.35 11/15/45                                                         | CUSIP: 02079KAZ0<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     850000 | PA      | $831619.41    | 0.02%             | 2045-11-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Spirit Airlines, LLC                                                                 | Spirit Airlines, LLC Second DIP New Money Delayed TL                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     219877 | PA      | $217678.23    | 0.01%             | 2026-07-14      | Floating      | 11.68%                | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AI4261                                                                   | CUSIP: 3138AHWX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13490 | PA      | $13635.36     | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                      | SCRT 2024-1 MT                                                              | CUSIP: 35563PR43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    8359789 | PA      | $7081693.98   | 0.19%             | 2063-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Exxon Mobil Corp.                                                                    | XOM 3.452 04/15/51                                                          | CUSIP: 30231GBM3<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |    1450000 | PA      | $1033748.70   | 0.03%             | 2051-04-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Venture Global Plaquemines Lng LLC                                                   | VEGLPL 6.75 01/15/36 144A                                                   | CUSIP: 922966AD8<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |    5240000 | PA      | $5553362.48   | 0.15%             | 2036-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| SPIRIT AVIATION HOLDINGS INC                                                         | Spirit Aviation Holdings Inc. COM                                           | CUSIP: 84863V101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     290376 | NS      | $72594.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Solventum Corp.                                                                      | SOLV 5.45 03/13/31                                                          | CUSIP: 83444MAQ4<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |    3300000 | PA      | $3386577.81   | 0.09%             | 2031-03-13      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| B.A.T. Capital Corporation                                                           | BATSLN 6.25 08/15/55                                                        | CUSIP: 05526DCD5<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |      20000 | PA      | $20249.38     | 0.00%             | 2055-08-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2022-DNA5                                              | STACR 2022-DNA5 M1B                                                         | CUSIP: 35564KYP8<br>LEI: 5493000IS349P4O9HR58 | Long             | ABS-O            | USGSE             | US        |   16500000 | PA      | $17126640.30  | 0.46%             | 2042-06-25      | Floating      | 8.16%                 | No            |                  2 | On Loan: No      |
| UKG Inc                                                                              | UKG Term Loan B 350 2031-01-20                                              | CUSIP: 89841EAB1<br>LEI: 529900FKHWSTQ1GXK240 | Long             | LON              | CORP              | US        |    3002456 | PA      | $2873170.38   | 0.08%             | 2031-02-10      | Floating      | 7.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                | FR ZN0480                                                                   | CUSIP: 3131Y6Q93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1652762 | PA      | $1555130.73   | 0.04%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                       | BNP V5.125 01/13/29 144A                                                    | CUSIP: 09659W2V5<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    3510000 | PA      | $3547110.60   | 0.10%             | 2029-01-13      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2005-4                                                | HVMLT 2005-7 1A1                                                            | CUSIP: 41161PPN7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1499739 | PA      | $578074.04    | 0.02%             | 2045-06-19      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 538312                                                                   | CUSIP: 36212NAM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        121 | PA      | $123.55       | 0.00%             | 2032-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Centene Corp.                                                                        | CNC 3.375 02/15/30                                                          | CUSIP: 15135BAV3<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    1160000 | PA      | $1048591.16   | 0.03%             | 2030-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES TRUST 2007-FA3                         | FHAMS 2007-FA3 A1                                                           | CUSIP: 32053GAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6395540 | PA      | $1317277.28   | 0.04%             | 2037-06-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHR 4391 MZ                                                                 | CUSIP: 3137BDMP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   10849120 | PA      | $9916077.00   | 0.27%             | 2044-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SD2138                                                                   | CUSIP: 3132DPLT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3878192 | PA      | $3957099.20   | 0.11%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Iron Mountain Information Management LLC                                             | Iron Mountain Term Loan B (Incremental) 225 2030-11-29                      | CUSIP: 46284NAV1<br>LEI: 5493009M0X1LQXGBWV02 | Long             | LON              | CORP              | US        |    3692228 | PA      | $3677237.39   | 0.10%             | 2031-01-31      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AQ7120                                                                   | CUSIP: 3138MN4E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51093 | PA      | $49390.00     | 0.00%             | 2042-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Private Bank National Association                                     | MS V4.734 07/18/31                                                          | CUSIP: 61776NVG5<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |    2600000 | PA      | $2592445.28   | 0.07%             | 2031-07-18      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                            | GS V3.21 04/22/42                                                           | CUSIP: 38141GYC2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    3096000 | PA      | $2297208.47   | 0.06%             | 2042-04-22      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| Prosus NV                                                                            | PRXNA 3.061 07/13/31 144A                                                   | CUSIP: 74365PAF5<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |   12990000 | PA      | $11644580.62  | 0.32%             | 2031-07-13      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc.                                                          | VZ 3.85 11/01/42                                                            | CUSIP: 92343VBG8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     350000 | PA      | $279237.37    | 0.01%             | 2042-11-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2-30YR-Multi                                                               | CUSIP: 21H030641<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3500000 | PA      | $3125171.04   | 0.08%             | 2056-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST 2025-ESH                                                 | ESA 2025-ESH A                                                              | CUSIP: 30227TAA8<br>LEI: 549300IESZBC3BJUJW64 | Long             | ABS-O            | CORP              | US        |    3790000 | PA      | $3794977.03   | 0.10%             | 2042-10-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 481579                                                                   | CUSIP: 36209T6Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4419 | PA      | $4581.81      | 0.00%             | 2028-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN 992262                                                                   | CUSIP: 31415XJF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2343 | PA      | $2368.73      | 0.00%             | 2039-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group Inc.                                                    | PNC V5.582 06/12/29                                                         | CUSIP: 693475BR5<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    4620000 | PA      | $4734956.83   | 0.13%             | 2029-06-12      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| HUB International Ltd                                                                | Hub International Term Loan B 250 2030-06-01                                | CUSIP: 44332EAZ9<br>LEI: 549300JQT6ATTUNS5E06 | Long             | LON              | CORP              | US        |    5074966 | PA      | $5069358.51   | 0.14%             | 2030-06-20      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Fremf 2019-K103 Mortgage Trust                                                       | FREMF 2019-K103 X2A                                                         | CUSIP: 30315DAN8<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |  663797434 | PA      | $1929924.66   | 0.05%             | 2051-12-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHR 2957 ZA                                                                 | CUSIP: 31395TLN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    3171339 | PA      | $3235272.30   | 0.09%             | 2035-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANKS FUNDING CORP                                               | FR SD0573                                                                   | CUSIP: 3132DMT62<br>LEI: 254900C5LP6DN9OP9V83 | Long             | ABS-MBS          | USGSE             | US        |    3090547 | PA      | $2552951.02   | 0.07%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 781990                                                                   | CUSIP: 36241KF78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        932 | PA      | $964.91       | 0.00%             | 2035-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RTX Corp.                                                                            | RTX 2.25 07/01/30                                                           | CUSIP: 75513EAD3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    4430000 | PA      | $4052421.93   | 0.11%             | 2030-07-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AL9397                                                                   | CUSIP: 3138ERNP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     494959 | PA      | $446312.51    | 0.01%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BD9654                                                                   | CUSIP: 3140FHWQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     871030 | PA      | $787267.08    | 0.02%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corp.                                                           | OXY 3 02/15/27                                                              | CUSIP: 674599CM5<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    3630000 | PA      | $3587676.02   | 0.10%             | 2027-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Jazz Financing Lux Sarl                                                              | Jazz Pharmaceuticals Term Loan B 225 2028-05-01                             | CUSIP: 000000000<br>LEI: 635400WUEO2NSG5OIU34 | Long             | LON              | CORP              | US        |      17029 | PA      | $17113.82     | 0.00%             | 2028-05-05      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR QB9485                                                                   | CUSIP: 3133AGRE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2068757 | PA      | $1707449.20   | 0.05%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Paraguay (Republic of)                                                               | PARGUY 3.849 06/28/33 REGS                                                  | CUSIP: 000000000<br>LEI: 529900UXKJTJPCU0HK83 | Long             | DBT              | NUSS              | PY        |    5000000 | PA      | $4641250.00   | 0.13%             | 2033-06-28      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                          | 5-Year T-Note Options                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -531 | NC      | $-178382.81   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| UBS Group AG                                                                         | UBS V4.194 04/01/31 144A                                                    | CUSIP: 225401AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    1180000 | PA      | $1154829.62   | 0.03%             | 2031-04-01      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| Broadcom Inc                                                                         | AVGO 4.926 05/15/37 144A                                                    | CUSIP: 11135FBV2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     145000 | PA      | $140734.33    | 0.00%             | 2037-05-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                                   | TMUS 3.5 04/15/31                                                           | CUSIP: 87264ABW4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    1420000 | PA      | $1343472.51   | 0.04%             | 2031-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                                                   | Long Gilt Future - ICEU                                                     | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |        149 | NC      | $-915356.25   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| QUALCOMM Inc.                                                                        | QCOM 5 05/20/35                                                             | CUSIP: 747525BW2<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |    2480000 | PA      | $2477254.29   | 0.07%             | 2035-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP                                                                            | ET 5.4 10/01/47                                                             | CUSIP: 86765BAV1<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |    1413000 | PA      | $1256902.97   | 0.03%             | 2047-10-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 3.75 01/31/31                                                             | CUSIP: 91282CPW5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1000000 | PA      | $991562.50    | 0.03%             | 2031-01-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Southern Natural Gas Co LLC                                                          | SONGAS 8 03/01/32                                                           | CUSIP: 843452AZ6<br>LEI: 254900KDLS1X42SY7037 | Long             | DBT              | CORP              | US        |    2503000 | PA      | $2861439.36   | 0.08%             | 2032-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 781668                                                                   | CUSIP: 36225BZ92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5016 | PA      | $5186.77      | 0.00%             | 2033-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                                       | LBMLT 2006-9 2A3                                                            | CUSIP: 54251WAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2887893 | PA      | $879237.04    | 0.02%             | 2036-10-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 2 02/15/50                                                                | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2000000 | PA      | $1164843.76   | 0.03%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Honeywell Aerospace Inc.                                                             | HONA 4.3 03/16/31 144A                                                      | CUSIP: 43849RAE5<br>LEI: 213800ZUAQRBYL67JS90 | Long             | DBT              | CORP              | US        |     440000 | PA      | $435388.23    | 0.01%             | 2031-03-16      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 BB9820                                                                   | CUSIP: 3617B14D2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     500132 | PA      | $463184.67    | 0.01%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE (H) 23-85                                                                 | GNR 2026-5 SM                                                               | CUSIP: 38385LCG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   10645841 | PA      | $780816.00    | 0.02%             | 2055-12-20      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| Las Vegas Sands Corp                                                                 | LVS 3.5 08/18/26                                                            | CUSIP: 517834AE7<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |     600000 | PA      | $598048.56    | 0.02%             | 2026-08-18      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                 | JPM V1.953 02/04/32                                                         | CUSIP: 46647PBX3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    6960000 | PA      | $6130159.27   | 0.17%             | 2032-02-04      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Suzano Austria GmbH                                                                  | SUZANO 3.75 01/15/31                                                        | CUSIP: 86964WAJ1<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |   10050000 | PA      | $9347909.81   | 0.25%             | 2031-01-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                          | GSR 2005-AR7 1A1                                                            | CUSIP: 362341WX3<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |     501870 | PA      | $242016.39    | 0.01%             | 2035-11-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR QA5770                                                                   | CUSIP: 3133A0MT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     866880 | PA      | $779762.25    | 0.02%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| OHA LOAN FUNDING 2013-2 LTD                                                          | OHALF 2013-2A AR2                                                           | CUSIP: 67104LAK3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1030000 | PA      | $1029903.49   | 0.03%             | 2038-10-20      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                                         | GBP/USD FORWARD                                                             | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $81524.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN FA1134                                                                   | CUSIP: 3140W1HL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1586009 | PA      | $1646443.61   | 0.04%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BE1289                                                                   | CUSIP: 3140FLNF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2129989 | PA      | $1925154.27   | 0.05%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Micron Technology Inc.                                                               | MU 5.3 01/15/31                                                             | CUSIP: 595112CD3<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |    3470000 | PA      | $3633290.60   | 0.10%             | 2031-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHS 400 C1                                                                  | CUSIP: 3142G4Z20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5725276 | PA      | $587399.22    | 0.02%             | 2052-02-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BQ6341                                                                   | CUSIP: 3140KSBK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     646142 | PA      | $575301.24    | 0.02%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| First Quantum Minerals Ltd.                                                          | FMCN 7.25 02/15/34 144A                                                     | CUSIP: 335934AX3<br>LEI: 549300I7UVBGWRYMYZ18 | Long             | DBT              | CORP              | CA        |    3842000 | PA      | $3914429.38   | 0.11%             | 2034-02-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                             | T 3.65 09/15/59                                                             | CUSIP: 00206RLV2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     370000 | PA      | $239940.15    | 0.01%             | 2059-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Phoenix Guarantor Inc                                                                | PHOENIX GUARANTOR INC                                                       | CUSIP: 71913BAK8<br>LEI: 254900JIOIDL3GSUFE55 | Long             | LON              | CORP              | US        |        337 | PA      | $337.70       | 0.00%             | 2031-02-21      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                          | 10-Year T-Note Options                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -630 | NC      | $-807187.50   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| CoreLogic Inc                                                                        | CoreLogic Term Loan B 350 2028-03-28                                        | CUSIP: 21870FBA6<br>LEI: 54930086CD8K2UIL0516 | Long             | LON              | CORP              | US        |    5146527 | PA      | $4934258.90   | 0.13%             | 2028-06-02      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                             | T 5.35 09/01/40                                                             | CUSIP: 04650NAB0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     870000 | PA      | $838521.45    | 0.02%             | 2040-09-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SC0319                                                                   | CUSIP: 3132D9K86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5321651 | PA      | $4639785.72   | 0.13%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2025-B                                              | SMB 2025-B A1A                                                              | CUSIP: 83208BAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4554869 | PA      | $4561594.47   | 0.12%             | 2053-03-17      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| DEEPHAVEN RESIDENTIAL MORTGAGE TRUST 2017-2                                          | DRMT 2026-INV1 A1                                                           | CUSIP: 24381GAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6786000 | PA      | $6736148.12   | 0.18%             | 2070-12-25      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                      | FR SD5416                                                                   | CUSIP: 3132DTAR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4445940 | PA      | $4542249.57   | 0.12%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| U.S. Bancorp.                                                                        | USB V5.775 06/12/29                                                         | CUSIP: 91159HJM3<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    3240000 | PA      | $3333125.18   | 0.09%             | 2029-06-12      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                      | FHR 5168 CI                                                                 | CUSIP: 3137H4BA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    7847566 | PA      | $1543303.88   | 0.04%             | 2051-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2017-C41                                       | WFCM 2017-C41 XA                                                            | CUSIP: 95001ABE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   28093732 | PA      | $360790.94    | 0.01%             | 2050-11-17      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN BE1637                                                                   | CUSIP: 3617BUZA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2003806 | PA      | $1952174.61   | 0.05%             | 2047-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                                    | WFC V5.013 04/04/51 MTN                                                     | CUSIP: 95000U2M4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   12190000 | PA      | $10748920.87  | 0.29%             | 2051-04-04      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                                     | Options on Three-Month SOFR Futures                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -3152 | NC      | $-394000.00   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CVS Health Corp                                                                      | CVS 5.125 07/20/45                                                          | CUSIP: 126650CN8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    2580000 | PA      | $2266801.49   | 0.06%             | 2045-07-20      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Jimmy John's Funding Llc                                                             | JIMMY 2017-1A A2II                                                          | CUSIP: 47760QAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5969075 | PA      | $5941913.92   | 0.16%             | 2047-07-30      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Sands China Ltd.                                                                     | SANLTD 2.85 03/08/29                                                        | CUSIP: 80007RAQ8<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |    3980000 | PA      | $3750301.86   | 0.10%             | 2029-03-08      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                                   | TMUS 5.875 11/15/55                                                         | CUSIP: 87264ADU6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    1230000 | PA      | $1200267.37   | 0.03%             | 2055-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                             | AOMT 2025-6 A1                                                              | CUSIP: 034937AA0<br>LEI: 254900GRN1I3WMM1H095 | Long             | ABS-O            | CORP              | US        |    5901945 | PA      | $5926134.99   | 0.16%             | 2070-04-25      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                                        | DISH 5.25 12/01/26 144A                                                     | CUSIP: 25470XBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6330000 | PA      | $6279349.62   | 0.17%             | 2026-12-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 781829                                                                   | CUSIP: 36241KA65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10273 | PA      | $10600.88     | 0.00%             | 2034-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AV1095                                                                   | CUSIP: 3138XCGD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6855 | PA      | $6763.57      | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                                    | WFC 3 10/23/26                                                              | CUSIP: 949746SH5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    2330000 | PA      | $2314284.97   | 0.06%             | 2026-10-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                          | 10-Year T-Note Options                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         -3 | NC      | $-3.00        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 785568                                                                   | CUSIP: 3622ABCD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   21495448 | PA      | $18518873.59  | 0.50%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Expand Energy Corp.                                                                  | EXE 5.375 02/01/29                                                          | CUSIP: 845467AR0<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |     920000 | PA      | $919541.84    | 0.02%             | 2029-02-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                              | MPLX 4.7 04/15/48                                                           | CUSIP: 55336VAN0<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    1470000 | PA      | $1195835.43   | 0.03%             | 2048-04-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 645457                                                                   | CUSIP: 36292DB27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18558 | PA      | $19366.84     | 0.00%             | 2035-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Amazon.com, Inc.                                                                     | AMZN 5.65 03/13/46                                                          | CUSIP: 023135DG8<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    1310000 | PA      | $1306242.34   | 0.04%             | 2046-03-13      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BD6249                                                                   | CUSIP: 3140FD5K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1362883 | PA      | $1232118.50   | 0.03%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Spirit Airlines Contingent                                                           | SPIRIT FUNDED ROLL UP TL                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5506755 | PA      | $3854728.58   | 0.10%             | 2026-07-14      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association                                             | GN 637344                                                                   | CUSIP: 36291TBM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      39998 | PA      | $40890.24     | 0.00%             | 2034-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                                                       | USD/CNH FORWARD                                                             | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $29676.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 783050                                                                   | CUSIP: 36241LL79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21702 | PA      | $21886.93     | 0.00%             | 2040-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO 22 LTD                                                                     | AIMCO 2024-22A A                                                            | CUSIP: 00901UAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    5350000 | PA      | $5363817.45   | 0.15%             | 2037-04-20      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 3 02/15/49                                                                | CUSIP: 912810SF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   26870000 | PA      | $19632943.29  | 0.53%             | 2049-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN 930390                                                                   | CUSIP: 31412NUP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32648 | PA      | $33012.99     | 0.00%             | 2039-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Alphabet Inc.                                                                        | GOOGL 5.3 05/15/65                                                          | CUSIP: 02079KAN7<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    1430000 | PA      | $1324759.64   | 0.04%             | 2065-05-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                                     | Options on Three-Month SOFR Futures                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -1885 | NC      | $-270968.75   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Enterprise Products Operating LLC                                                    | EPD 3.95 01/31/60                                                           | CUSIP: 29379VBZ5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     870000 | PA      | $628955.44    | 0.02%             | 2060-01-31      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                          | 5-Year T-Note Options                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        964 | NC      | $964.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PFP 2024-11 LTD                                                                      | PFP 2024-11 A                                                               | CUSIP: 69291WAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2988021 | PA      | $2993829.14   | 0.08%             | 2039-09-19      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Amazon.com, Inc.                                                                     | AMZN 4.65 11/20/35                                                          | CUSIP: 023135CV6<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    1850000 | PA      | $1814709.96   | 0.05%             | 2035-11-20      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                | FN MA4519                                                                   | CUSIP: 31418EAV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     693078 | PA      | $583546.85    | 0.02%             | 2042-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                                      | CVS 4.125 04/01/40                                                          | CUSIP: 126650DK3<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    1673000 | PA      | $1397692.76   | 0.04%             | 2040-04-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fedex Freight Holding Co. Inc.                                                       | FDX 4.3 03/15/29 144A                                                       | CUSIP: 314352AA3<br>LEI: 984500Y1DA5A58ICE336 | Long             | DBT              | CORP              | US        |    1810000 | PA      | $1788725.37   | 0.05%             | 2029-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN BS1754                                                                   | CUSIP: 3617MB5P0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     514395 | PA      | $486209.24    | 0.01%             | 2050-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Altria Group, Inc.                                                                   | MO 6.2 02/14/59                                                             | CUSIP: 02209SBG7<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    1664000 | PA      | $1641904.64   | 0.04%             | 2059-02-14      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Credit Agricole S.A.                                                                 | ACAFP V4 01/10/33 144A                                                      | CUSIP: 225313AK1<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |     330000 | PA      | $324681.69    | 0.01%             | 2033-01-10      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 781798                                                                   | CUSIP: 36225B7K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        433 | PA      | $450.75       | 0.00%             | 2034-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Philip Morris International Inc.                                                     | PM 5.25 02/13/34                                                            | CUSIP: 718172DJ5<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    2110000 | PA      | $2149540.01   | 0.06%             | 2034-02-13      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CSC Holdings, LLC                                                                    | CSCHLD 4.5 11/15/31 144a                                                    | CUSIP: 126307BH9<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |   15000000 | PA      | $8915979.00   | 0.24%             | 2031-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PRKCM 2021-AFC1 TRUST                                                                | PRKCM 2021-AFC1 A1                                                          | CUSIP: 69357TAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9432941 | PA      | $8131478.71   | 0.22%             | 2056-08-25      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 641391                                                                   | CUSIP: 36291XRL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      81285 | PA      | $81640.32     | 0.00%             | 2035-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS INC                                                           | CWALT 2006-23CB 2A6                                                         | CUSIP: 02147RAT7<br>LEI: 5493008WNOU8I3M5WW38 | Long             | ABS-O            | CORP              | US        |    2350610 | PA      | $1198473.39   | 0.03%             | 2036-08-25      | Floating      | 13.23%                | No            |                  2 | On Loan: No      |
| CONSECO FINANCE CORP                                                                 | GT 1999-3 A9                                                                | CUSIP: 393505X98<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3353684 | PA      | $3020735.30   | 0.08%             | 2031-02-01      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| Altria Group, Inc.                                                                   | MO 3.875 09/16/46                                                           | CUSIP: 02209SAV5<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    2070000 | PA      | $1518150.25   | 0.04%             | 2046-09-16      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| The Kroger Co.                                                                       | KR 5 09/15/34                                                               | CUSIP: 501044DV0<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    3270000 | PA      | $3229776.45   | 0.09%             | 2034-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Coterra Energy Inc                                                                   | CTRA 4.375 03/15/29                                                         | CUSIP: 127097AK9<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |    1949000 | PA      | $1942185.65   | 0.05%             | 2029-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| L3 Harris Technologies Inc                                                           | LHX 5.054 04/27/45                                                          | CUSIP: 413875AT2<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |     510000 | PA      | $476745.80    | 0.01%             | 2045-04-27      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Exelon Corp.                                                                         | EXC 5.625 06/15/35                                                          | CUSIP: 30161NAC5<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |    2726000 | PA      | $2792298.42   | 0.08%             | 2035-06-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust 2015-C                                              | SMB 2015-C R                                                                | CUSIP: 78448R106<br>LEI: 549300GD7VLLBVPDNJ81 | Long             | ABS-O            | CORP              | US        |      24595 | PA      | $6934237.61   | 0.19%             | 2046-09-17      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FRETE 2020-ML07 TRUST                                                                | OT FEDMFH 10/25/2036                                                        | CUSIP: 35833FAC9<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |   31929525 | PA      | $3778540.03   | 0.10%             | 2036-10-25      | Variable      | 1.97%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                                                 | RY 5.15 02/01/34 GMTN                                                       | CUSIP: 78016HZW3<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    1960000 | PA      | $2004706.19   | 0.05%             | 2034-02-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2010-116 MH                                                             | CUSIP: 38377LAC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   15516096 | PA      | $15853278.91  | 0.43%             | 2040-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN FS8001                                                                   | CUSIP: 3140XP3K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4759124 | PA      | $4835014.36   | 0.13%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION II MORTGAGE-BACKED SECURITIES               | GN 781340                                                                   | CUSIP: 36225BPZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |        225 | PA      | $231.01       | 0.00%             | 2031-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2-30YR-Multi                                                               | CUSIP: 21H040640<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10100000 | PA      | $9462575.87   | 0.26%             | 2056-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Viking Cruises, Ltd.                                                                 | VIKCRU 5.875 10/15/33 144A                                                  | CUSIP: 92676XAH0<br>LEI: 549300IJP90T4MV2GL84 | Long             | DBT              | CORP              | BM        |    3040000 | PA      | $3003601.59   | 0.08%             | 2033-10-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc.                                                              | UNH 3.125 05/15/60                                                          | CUSIP: 91324PEA6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    1570000 | PA      | $935052.58    | 0.03%             | 2060-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AD0588                                                                   | CUSIP: 31418MUN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2087801 | PA      | $2111161.21   | 0.06%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Royal Caribbean Group                                                                | RCL 6 02/01/33 144A                                                         | CUSIP: 780153BV3<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |    5790000 | PA      | $5849272.98   | 0.16%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN 740361                                                                   | CUSIP: 31402WQN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6094 | PA      | $6154.09      | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 586225                                                                   | CUSIP: 36201LHA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29014 | PA      | $29716.43     | 0.00%             | 2034-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Peer Holding III BV                                                                  | PEER HOLDING III BV                                                         | CUSIP: 000000000<br>LEI: 7245002S0K5Q59JCVQ03 | Long             | LON              | CORP              | NL        |    2465038 | PA      | $2463114.87   | 0.07%             | 2031-07-01      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 619016                                                                   | CUSIP: 36290VVH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5916 | PA      | $6123.46      | 0.00%             | 2034-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AQ8305                                                                   | CUSIP: 3138MQGP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48407 | PA      | $46675.46     | 0.00%             | 2042-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 4.5 11/15/54                                                              | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2350000 | PA      | $2195964.83   | 0.06%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| KKR GROUP FINANCE CO II LLC                                                          | KKR 5.5 02/01/43 144A                                                       | CUSIP: 48249DAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     908000 | PA      | $847064.63    | 0.02%             | 2043-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Eli Lilly & Co.                                                                      | LLY 4.7 02/09/34                                                            | CUSIP: 532457CL0<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |    4310000 | PA      | $4304483.72   | 0.12%             | 2034-02-09      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Barrick North America Finance LLC                                                    | ABXCN 5.7 05/30/41                                                          | CUSIP: 06849RAG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2334000 | PA      | $2338992.36   | 0.06%             | 2041-05-30      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN 797544                                                                   | CUSIP: 31405SBM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1680 | PA      | $1713.42      | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fedex Freight Holding Co. Inc.                                                       | FDX 5.25 03/15/36 144A                                                      | CUSIP: 314352AG0<br>LEI: 984500Y1DA5A58ICE336 | Long             | DBT              | CORP              | US        |      80000 | PA      | $77429.22     | 0.00%             | 2036-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AL0476                                                                   | CUSIP: 3138EGQ64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     152746 | PA      | $154456.09    | 0.00%             | 2040-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FG V83342                                                                   | CUSIP: 3132L8WB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     147881 | PA      | $141887.84    | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 3.875 07/31/30                                                            | CUSIP: 91282CNN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2890000 | PA      | $2885540.82   | 0.08%             | 2030-07-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Petco Health and Wellness Company Inc                                                | WOOF 8.25 02/01/31 144A                                                     | CUSIP: 71601VAA3<br>LEI: 2549007TYGV6RVSE9M61 | Long             | DBT              | CORP              | US        |    3750000 | PA      | $3747428.70   | 0.10%             | 2031-02-01      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Oneok Inc.                                                                           | OKE 6.625 09/01/53                                                          | CUSIP: 682680BN2<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     570000 | PA      | $585474.23    | 0.02%             | 2053-09-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 607728                                                                   | CUSIP: 36202SD96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10768 | PA      | $10794.95     | 0.00%             | 2033-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fedex Freight Holding Co. Inc.                                                       | FDX 4.95 03/15/33 144A                                                      | CUSIP: 314352AE5<br>LEI: 984500Y1DA5A58ICE336 | Long             | DBT              | CORP              | US        |    1250000 | PA      | $1219582.18   | 0.03%             | 2033-03-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Peru (Republic Of)                                                                   | PERUGB 5.4 08/12/34                                                         | CUSIP: 000000000<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    7860000 | PA      | $2144201.36   | 0.06%             | 2034-08-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-DNA5                                              | STACR 2021-DNA5 B1                                                          | CUSIP: 35564KJA8<br>LEI: 5493000ISU5NYXNHD479 | Long             | ABS-O            | USGSE             | US        |   13330000 | PA      | $14210323.86  | 0.38%             | 2034-01-25      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| SPECTRUM MANAGEMENT HOLDING COMPANY LLC                                              | CHTR 6.75 06/15/39                                                          | CUSIP: 88732JAU2<br>LEI: B1WXCWLJVJXMWJX6O298 | Long             | DBT              | CORP              | US        |    1875000 | PA      | $1862042.34   | 0.05%             | 2039-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Pfizer Inc.                                                                          | PFE 1.7 05/28/30                                                            | CUSIP: 717081EY5<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |    3680000 | PA      | $3309394.38   | 0.09%             | 2030-05-28      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| Amazon.com, Inc.                                                                     | AMZN 4.25 03/13/31                                                          | CUSIP: 023135DD5<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    1240000 | PA      | $1231140.81   | 0.03%             | 2031-03-13      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Continental Resources, Inc.                                                          | CLR 2.268 11/15/26 144A                                                     | CUSIP: 212015AU5<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |    1660000 | PA      | $1633576.54   | 0.04%             | 2026-11-15      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2024-151 KS                                                             | CUSIP: 38384WFF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    3290948 | PA      | $270916.09    | 0.01%             | 2054-09-20      | Floating      | 2.38%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN PLC                                                                   | AALLN 5.25 03/19/36 144A                                                    | CUSIP: 034863BJ8<br>LEI: 549300S9XF92D1X8ME43 | Long             | DBT              | CORP              | GB        |    2050000 | PA      | $2005347.66   | 0.05%             | 2036-03-19      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                                                       | JPY/USD FORWARD                                                             | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-181898.16   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN 879772                                                                   | CUSIP: 31409VMV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1603 | PA      | $1652.71      | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 651957                                                                   | CUSIP: 36292LJA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        306 | PA      | $318.01       | 0.00%             | 2036-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                            | GS 6.25 02/01/41                                                            | CUSIP: 38141GGM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    4800000 | PA      | $5057024.45   | 0.14%             | 2041-02-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AW1606                                                                   | CUSIP: 3138XQYC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     118803 | PA      | $115526.18    | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                                | BAC 5 01/21/44 MTN                                                          | CUSIP: 06051GFC8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    2270000 | PA      | $2113580.22   | 0.06%             | 2044-01-21      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Argentina (Republic Of)                                                              | ARGENT 0.75 07/09/30                                                        | CUSIP: 040114HS2<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    2221129 | PA      | $1862416.40   | 0.05%             | 2030-07-09      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BQ0254                                                                   | CUSIP: 3140KKH80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2324854 | PA      | $1914994.13   | 0.05%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 586974                                                                   | CUSIP: 36201MCK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3416 | PA      | $3557.89      | 0.00%             | 2032-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 577558                                                                   | CUSIP: 36201ATP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2170 | PA      | $2201.33      | 0.00%             | 2032-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                                                 | GLENLN 6.141 04/01/55 144a                                                  | CUSIP: 378272CB2<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    2170000 | PA      | $2184601.69   | 0.06%             | 2055-04-01      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 4.75 02/15/41                                                             | CUSIP: 912810QN1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   31090000 | PA      | $31272168.12  | 0.85%             | 2041-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Lowes Companies, Inc.                                                                | LOW 4.5 04/15/30                                                            | CUSIP: 548661DU8<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |     540000 | PA      | $540723.96    | 0.01%             | 2030-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2025-169 SA                                                             | CUSIP: 38385HKU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   14352801 | PA      | $1436002.03   | 0.04%             | 2055-10-20      | Floating      | 2.93%                 | No            |                  2 | On Loan: No      |
| Boeing Co.                                                                           | BA 3.25 02/01/35                                                            | CUSIP: 097023CP8<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    1094000 | PA      | $938289.03    | 0.03%             | 2035-02-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2013-72 IO                                                              | CUSIP: 38378KQR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    6159651 | PA      | $120466.75    | 0.00%             | 2047-11-16      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 538313                                                                   | CUSIP: 36212NAN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16390 | PA      | $16843.41     | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Carnival Corporation                                                                 | CCL 5.875 06/15/31 144A                                                     | CUSIP: 143658BZ4<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |    1470000 | PA      | $1488993.87   | 0.04%             | 2031-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage                                                      | WFCM 2022-JS2 G                                                             | CUSIP: 95003GAQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8750000 | PA      | $7098957.25   | 0.19%             | 2039-12-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Devon Energy Corporation                                                             | DVN 5.25 10/15/27                                                           | CUSIP: 25179MBD4<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |     588000 | PA      | $588232.70    | 0.02%             | 2027-10-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. | CHTR 6.55 06/01/34                                                          | CUSIP: 161175CR3<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |    1620000 | PA      | $1682772.31   | 0.05%             | 2034-06-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORP                                                                     | PXD 2.15 01/15/31                                                           | CUSIP: 723787AR8<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |    1610000 | PA      | $1451292.46   | 0.04%             | 2031-01-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION II MORTGAGE-BACKED SECURITIES               | GN 571266                                                                   | CUSIP: 36200STX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       3344 | PA      | $3387.84      | 0.00%             | 2031-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Point Au Roche Park Clo Ltd.                                                         | PARPK 2021-1A AR                                                            | CUSIP: 73052VAN5<br>LEI: 5493000RMLD359CPH591 | Long             | ABS-CBDO         | CORP              | KY        |    7465000 | PA      | $7440740.24   | 0.20%             | 2039-01-20      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN CB4103                                                                   | CUSIP: 3140QPRZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12940007 | PA      | $13026624.65  | 0.35%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Royal Caribbean Cruises Ltd.                                                         | RCL 4.75 05/15/33                                                           | CUSIP: 78017TAC7<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |    1640000 | PA      | $1583990.31   | 0.04%             | 2033-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                                                       | EUR/USD FORWARD                                                             | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-97148.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BO1858                                                                   | CUSIP: 3140JWB41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2138118 | PA      | $1937697.18   | 0.05%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                                   | ET 5.55 05/15/34                                                            | CUSIP: 29273VAY6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      30000 | PA      | $30558.46     | 0.00%             | 2034-05-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                                | BAC V3.97 03/05/29 MTN                                                      | CUSIP: 06051GHG7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    4810000 | PA      | $4767927.99   | 0.13%             | 2029-03-05      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Bank of America, National Association                                                | USD/EUR FORWARD                                                             | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-531767.02   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION II MORTGAGE-BACKED SECURITIES               | GN 594898                                                                   | CUSIP: 36201V3F7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       5501 | PA      | $5662.96      | 0.00%             | 2032-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SACO I INC                                                                           | PRIME 2006-DR1 2A2                                                          | CUSIP: 74159UAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6523211 | PA      | $5538788.12   | 0.15%             | 2035-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Indymac Indx Mortgage Loan Trust 2004-Ar14                                           | INDX 2005-AR13 1A1                                                          | CUSIP: 45660LQW2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      97001 | PA      | $47900.90     | 0.00%             | 2035-08-25      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| Citadel Securities LP                                                                | Citadel Enterprise Term Loan B 200 2031-10-01                               | CUSIP: 17288YAN2<br>LEI: 549300NV5RXBUS3X7L47 | Long             | LON              | CORP              | US        |    5535084 | PA      | $5547787.00   | 0.15%             | 2031-10-31      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2025-COPT                                               | BX 2025-COPT A                                                              | CUSIP: 05618XAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9750000 | PA      | $9769470.75   | 0.26%             | 2042-08-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| ORIGEN MANUFACTURED HOUSING CONTRACT TRUST 2007-A                                    | ORGN 2007-A A2                                                              | CUSIP: 68620CAB6<br>LEI: 5493001P8LORMOBBQA95 | Long             | ABS-O            | CORP              | US        |    1691645 | PA      | $1559314.44   | 0.04%             | 2037-04-15      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BD9655                                                                   | CUSIP: 3140FHWR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1616254 | PA      | $1460832.02   | 0.04%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Company                                                         | BMY 5.1 02/22/31                                                            | CUSIP: 110122EG9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    4020000 | PA      | $4133335.70   | 0.11%             | 2031-02-22      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| AthenaHealth Group Inc                                                               | athenahealth Term Loan B 300 2029-02-01                                     | CUSIP: 04686RAB9<br>LEI: 254900AA3KZN4Q7A5Z33 | Long             | LON              | CORP              | US        |    2673249 | PA      | $2628138.29   | 0.07%             | 2029-02-15      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 575925                                                                   | CUSIP: 36200XYW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16905 | PA      | $17898.33     | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                       | MS V2.511 10/20/32 MTN                                                      | CUSIP: 61747YEH4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      90000 | PA      | $79496.40     | 0.00%             | 2032-10-20      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN 820235                                                                   | CUSIP: 31406UHL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5328 | PA      | $5509.91      | 0.00%             | 2035-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                            | GS V2.908 07/21/42                                                          | CUSIP: 38141GYK4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1420000 | PA      | $1001062.55   | 0.03%             | 2042-07-21      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| Anheuser-Busch InBev Worldwide Inc.                                                  | ABIBB 5.55 01/23/49                                                         | CUSIP: 03523TBV9<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    3560000 | PA      | $3460028.15   | 0.09%             | 2049-01-23      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 781685                                                                   | CUSIP: 36225B2S6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     117725 | PA      | $121629.97    | 0.00%             | 2033-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2018-BILT                                                                   | BX 2026-CSMO D                                                              | CUSIP: 12433LAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2270000 | PA      | $2279211.89   | 0.06%             | 2031-02-15      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Inter-American Development Bank                                                      | IADB 7.35 10/06/30 GMTN                                                     | CUSIP: 000000000<br>LEI: VKU1UKDS9E7LYLMACP54 | Long             | DBT              | NUSS              | US        | 1317000000 | PA      | $13643179.27  | 0.37%             | 2030-10-06      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| BRAZIL, FEDERATIVE REPUBLIC OF - SECRETARIA DO TESOURO NACIONAL                      | BNTNF 10 01/01/33 NTNF                                                      | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |  245741000 | PA      | $39787296.07  | 1.08%             | 2033-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                                    | EPD 2.8 01/31/30                                                            | CUSIP: 29379VBX0<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     577000 | PA      | $544079.02    | 0.01%             | 2030-01-31      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Altria Group, Inc.                                                                   | MO 2.45 02/04/32                                                            | CUSIP: 02209SBL6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    3750000 | PA      | $3291744.90   | 0.09%             | 2032-02-04      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                                         | ORCL 5.375 09/27/54                                                         | CUSIP: 68389XCU7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    3400000 | PA      | $2638295.52   | 0.07%             | 2054-09-27      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 616593                                                                   | CUSIP: 36290S7E5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        464 | PA      | $481.06       | 0.00%             | 2034-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Oneok Inc.                                                                           | OKE 6.05 09/01/33                                                           | CUSIP: 682680BL6<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     580000 | PA      | $608378.01    | 0.02%             | 2033-09-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2-30YR-Multi                                                               | CUSIP: 21H050649<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   31000000 | PA      | $30706638.32  | 0.83%             | 2056-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2018-BILT                                                                   | BX 2026-CSMO C                                                              | CUSIP: 12433LAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7740000 | PA      | $7763456.84   | 0.21%             | 2031-02-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 599921                                                                   | CUSIP: 36200FPE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      39598 | PA      | $40429.84     | 0.00%             | 2033-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Expand Energy Corp.                                                                  | EXE 5.375 03/15/30                                                          | CUSIP: 845467AS8<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |    2710000 | PA      | $2733765.05   | 0.07%             | 2030-03-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2005-56                                                       | CWALT 2006-6CB 1A4                                                          | CUSIP: 12668BRZ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2147196 | PA      | $1741580.30   | 0.05%             | 2036-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Triton Water Holdings Inc                                                            | Primo Brands (BlueTriton Brands/Nestl Waters NA) Term Loan B 225 2028-03-01 | CUSIP: 89678QAD8<br>LEI: 254900J0WS4AXV2LAX55 | Long             | LON              | CORP              | US        |    2538316 | PA      | $2543811.79   | 0.07%             | 2028-03-31      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| Venture Global Plaquemines Lng LLC                                                   | VEGLPL 6.5 06/15/34 144A                                                    | CUSIP: 922966AF3<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |    1130000 | PA      | $1176987.66   | 0.03%             | 2034-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Amazon.com, Inc.                                                                     | AMZN 4.55 03/13/33                                                          | CUSIP: 023135DE3<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1188800.69   | 0.03%             | 2033-03-13      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2017-145 IO                                                             | CUSIP: 38379R5W9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   19640771 | PA      | $453371.83    | 0.01%             | 2057-04-16      | Variable      | 0.48%                 | No            |                  2 | On Loan: No      |
| Csmc                                                                                 | CSMC 2022-CNTR A                                                            | CUSIP: 12665CAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   17014194 | PA      | $1829025.85   | 0.05%             | 2025-01-09      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Company                                                         | BMY 5.2 02/22/34                                                            | CUSIP: 110122EH7<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    2440000 | PA      | $2502356.32   | 0.07%             | 2034-02-22      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AK5556                                                                   | CUSIP: 3138EAE60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1194662 | PA      | $1154158.09   | 0.03%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Nexstar Media Inc                                                                    | Nexstar Broadcasting Term Loan B 250 2032-06-14                             | CUSIP: 65336RBB3<br>LEI: 5493006PK6I4I2OOT688 | Long             | LON              | CORP              | US        |    2497450 | PA      | $2474923.00   | 0.07%             | 2032-06-28      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                          | 5-Year T-Note Options                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -686 | NC      | $-123265.62   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| General Motors Financial Company Inc                                                 | GM 4.35 01/17/27                                                            | CUSIP: 37045XBT2<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     880000 | PA      | $878928.94    | 0.02%             | 2027-01-17      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| The Charles Schwab Corporation                                                       | SCHW V6.136 08/24/34                                                        | CUSIP: 808513CH6<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |    2110000 | PA      | $2246913.81   | 0.06%             | 2034-08-24      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN FS0612                                                                   | CUSIP: 3140XFVE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     632508 | PA      | $520496.89    | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 3.75 10/31/32                                                             | CUSIP: 91282CPF2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1490000 | PA      | $1459152.35   | 0.04%             | 2032-10-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                                     | Two-Year Mid-Curve Options on Three-Month SOFR Futures                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -2374 | NC      | $-489637.50   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                                             | G2-30YR-Multi                                                               | CUSIP: 21H060648<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   20600000 | PA      | $20949426.47  | 0.57%             | 2056-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                      | FHR 5179 GI                                                                 | CUSIP: 3137H4YQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   17579571 | PA      | $2957307.55   | 0.08%             | 2052-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                            | GS 3.5 11/16/26                                                             | CUSIP: 38145GAH3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    3153000 | PA      | $3138276.06   | 0.08%             | 2026-11-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| EQT Corporation                                                                      | EQT 5 01/15/29                                                              | CUSIP: 26884LAL3<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    1278000 | PA      | $1286538.84   | 0.03%             | 2029-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN DE0234                                                                   | CUSIP: 3140BCHL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1192197 | PA      | $1216100.34   | 0.03%             | 2055-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN 942595                                                                   | CUSIP: 31413DUU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22203 | PA      | $23174.97     | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Chord Energy Corp.                                                                   | CHRD 6 10/01/30 144A                                                        | CUSIP: 674215AQ1<br>LEI: 529900FA4V2YNIKZ0M71 | Long             | DBT              | CORP              | US        |    1630000 | PA      | $1652591.80   | 0.04%             | 2030-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TENNESSEE GAS PIPELINE COMPANY LLC                                                   | KMI 2.9 03/01/30 144A                                                       | CUSIP: 880451AZ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2350000 | PA      | $2202625.01   | 0.06%             | 2030-03-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR QC2044                                                                   | CUSIP: 3133ALHV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2307284 | PA      | $2005794.98   | 0.05%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FG A85730                                                                   | CUSIP: 312932LK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1834 | PA      | $1856.80      | 0.00%             | 2039-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Inc                                                         | MSM 2005-3AR 2A2                                                            | CUSIP: 61745M4P5<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-O            | CORP              | US        |     433455 | PA      | $391052.58    | 0.01%             | 2035-07-25      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| Howmet Aerospace Inc                                                                 | HWM 4.55 11/15/32                                                           | CUSIP: 443201AD0<br>LEI: 549300HO5WFZUT5N2T22 | Long             | DBT              | CORP              | US        |    2450000 | PA      | $2419247.18   | 0.07%             | 2032-11-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN BA1813                                                                   | CUSIP: 3617AEAN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1659983 | PA      | $1617214.77   | 0.04%             | 2047-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HOMES 2025-NQM3 TRUST                                                                | HOMES 2026-NQM1 A1                                                          | CUSIP: 437922AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3259491 | PA      | $3236050.21   | 0.09%             | 2070-09-25      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2-30YR-Multi                                                               | CUSIP: 21H022648<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18800000 | PA      | $16176812.50  | 0.44%             | 2056-04-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 591009                                                                   | CUSIP: 36201RR60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5084 | PA      | $5133.75      | 0.00%             | 2032-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 663815                                                                   | CUSIP: 36294YN83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1607 | PA      | $1658.63      | 0.00%             | 2037-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BRAZIL, FEDERATIVE REPUBLIC OF - SECRETARIA DO TESOURO NACIONAL                      | BNTNF 10 01/01/27 NTNF                                                      | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |  140000000 | PA      | $26336911.30  | 0.71%             | 2027-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Mars Inc.                                                                            | MARS 3.2 04/01/30 144A                                                      | CUSIP: 571676AB1<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     210000 | PA      | $200426.80    | 0.01%             | 2030-04-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                                    | EPD 5.55 02/16/55                                                           | CUSIP: 29379VCH4<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    1830000 | PA      | $1761641.47   | 0.05%             | 2055-02-16      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                                    | EPD 3.7 01/31/51                                                            | CUSIP: 29379VBY8<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    2197000 | PA      | $1590484.49   | 0.04%             | 2051-01-31      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 AQ6679                                                                   | CUSIP: 36189XM43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1841779 | PA      | $1699400.13   | 0.05%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 786216                                                                   | CUSIP: 3622ABYM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6126498 | PA      | $5550353.70   | 0.15%             | 2052-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MAN CAPITAL 2021-2R                                                                  | MUCLO 2021-2RA A1R                                                          | CUSIP: 56164SAA0<br>LEI: 549300MBY3B6FX1O8T44 | Long             | ABS-CBDO         | CORP              | KY        |    7800000 | PA      | $7782308.04   | 0.21%             | 2039-04-18      | Variable      | 4.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 589536                                                                   | CUSIP: 36201P4V4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9849 | PA      | $10016.86     | 0.00%             | 2032-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                                                  | CEG 4.4 01/15/31                                                            | CUSIP: 210385AQ3<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |     730000 | PA      | $720783.89    | 0.02%             | 2031-01-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| GSRPM MORTGAGE LOAN TRUST 2007-1                                                     | GSRPM 2007-1 A                                                              | CUSIP: 362707AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3049364 | PA      | $2910487.01   | 0.08%             | 2046-10-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                             | T 3.5 09/15/53                                                              | CUSIP: 00206RKJ0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     970000 | PA      | $636539.06    | 0.02%             | 2053-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 582128                                                                   | CUSIP: 36201FVV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1108 | PA      | $1131.37      | 0.00%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AL9546                                                                   | CUSIP: 3138ERTC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5374537 | PA      | $5077287.90   | 0.14%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Sunrun Inc.                                                                          | SUNRN 2021-2A A                                                             | CUSIP: 86772HAA5<br>LEI: 54930007SJ77CI66U531 | Long             | ABS-O            | CORP              | US        |    5051232 | PA      | $4591538.95   | 0.12%             | 2057-01-30      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BQ1528                                                                   | CUSIP: 3140KLVW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1816426 | PA      | $1500496.57   | 0.04%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2019-137 PI                                                             | CUSIP: 38382AYC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    2227355 | PA      | $435366.16    | 0.01%             | 2049-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2019-H16 ID                                                             | CUSIP: 38380LG72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   17563595 | PA      | $992213.14    | 0.03%             | 2069-10-20      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2021-110 IO                                                             | CUSIP: 38381DND8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   10807893 | PA      | $711390.67    | 0.02%             | 2063-11-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 610843                                                                   | CUSIP: 36202VS85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8882 | PA      | $8963.86      | 0.00%             | 2033-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2025-175 LS                                                             | CUSIP: 38385HFF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   13169144 | PA      | $1275249.87   | 0.03%             | 2055-10-20      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                                    | WFC V5.557 07/25/34 MTN                                                     | CUSIP: 95000U3F8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    1180000 | PA      | $1209716.84   | 0.03%             | 2034-07-25      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BY4993                                                                   | CUSIP: 3140NMRP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1797783 | PA      | $1835683.23   | 0.05%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN AB9109                                                                   | CUSIP: 36178WDN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3155770 | PA      | $2881957.48   | 0.08%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2017-28 IO                                                              | CUSIP: 38379U6W1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   10467637 | PA      | $359307.93    | 0.01%             | 2057-02-16      | Variable      | 0.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2016-113 IO                                                             | CUSIP: 38379UH41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    8534356 | PA      | $507052.56    | 0.01%             | 2058-02-16      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Banks                                                              | FR SD5420                                                                   | CUSIP: 3132DTAV2<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-MBS          | USGSE             | US        |    1802630 | PA      | $1854416.38   | 0.05%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 BT0812                                                                   | CUSIP: 3617MN3V3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8273303 | PA      | $7308697.72   | 0.20%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                                                  | CEG 3.9 01/08/28                                                            | CUSIP: 210385AP5<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    1270000 | PA      | $1260389.11   | 0.03%             | 2028-01-08      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 600462                                                                   | CUSIP: 36200GB70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3091 | PA      | $3199.62      | 0.00%             | 2035-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                          | 5-Year T-Note Futures, Jun-2026,ETH                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -871 | NC      | $-157581.32   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BF0141                                                                   | CUSIP: 3140FXEP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12032994 | PA      | $12348734.64  | 0.33%             | 2056-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CCO HOLDINGS LLC                                                                     | CHTR 4.5 05/01/32                                                           | CUSIP: 1248EPCN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4543000 | PA      | $4062284.50   | 0.11%             | 2032-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2022-LTV1                                                   | JPMMT 2022-LTV1 A3                                                          | CUSIP: 465976AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10002035 | PA      | $8964250.83   | 0.24%             | 2052-07-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN 890217                                                                   | CUSIP: 31410LAS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     420169 | PA      | $424871.45    | 0.01%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR RB5105                                                                   | CUSIP: 3133KYU64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7764015 | PA      | $6863452.82   | 0.19%             | 2041-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 634337                                                                   | CUSIP: 36291PV60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      57294 | PA      | $58496.79     | 0.00%             | 2034-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                                         | ORCL 5.7 02/04/36                                                           | CUSIP: 68389XDZ5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     660000 | PA      | $634868.33    | 0.02%             | 2036-02-04      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AI0511                                                                   | CUSIP: 3138ADR98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10624 | PA      | $10732.07     | 0.00%             | 2041-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 4.75 11/15/53                                                             | CUSIP: 912810TV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13156000 | PA      | $12795237.75  | 0.35%             | 2053-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Sedgwick Claims Management Services Inc                                              | Sedgwick CMS Term Loan B 250 2031-07-01                                     | CUSIP: 81527CAP2<br>LEI: 549300BIN4DWJG5VWF64 | Long             | LON              | CORP              | US        |    2952563 | PA      | $2903004.05   | 0.08%             | 2031-07-31      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                                   | ET 3.75 05/15/30                                                            | CUSIP: 29278NAQ6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    2810000 | PA      | $2717238.64   | 0.07%             | 2030-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Bayfront Iabs VII Pte Ltd.                                                           | BAYFRT 7A A                                                                 | CUSIP: 000000000<br>LEI: 213800DAFLLBYWNXMG91 | Long             | ABS-O            | CORP              | SG        |    6410000 | PA      | $6409384.64   | 0.17%             | 2048-04-11      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Resecuritization Trust 2014-R2                                        | MSRR 2015-R7 1BXA                                                           | CUSIP: 61765PAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7032171 | PA      | $6343580.84   | 0.17%             | 2029-02-26      | Variable      | 7.06%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                          | 10-Year T-Note Options                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -2516 | NC      | $-157250.00   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| General Motors Company                                                               | GM 6.6 04/01/36                                                             | CUSIP: 37045VAK6<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    1170000 | PA      | $1245228.48   | 0.03%             | 2036-04-01      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 786366                                                                   | CUSIP: 3622AB6B3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3256227 | PA      | $3160159.89   | 0.09%             | 2052-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Flutter Treasury Designated Activity Co.                                             | FLTR 5.875 06/04/31 144A                                                    | CUSIP: 344045AB5<br>LEI: 635400JE8VLL9UFVIC38 | Long             | DBT              | CORP              | IE        |    2700000 | PA      | $2677050.00   | 0.07%             | 2031-06-04      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 786835                                                                   | CUSIP: 3622ACPU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13164149 | PA      | $13392028.64  | 0.36%             | 2053-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JBS NV                                                                               | JBS 5.625 03/10/37 144A                                                     | CUSIP: 46590XBA3<br>LEI: 254900JSFON4WL81TW77 | Long             | DBT              | CORP              | NL        |    2200000 | PA      | $2208261.00   | 0.06%             | 2037-03-10      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                                         | ORCL 5.95 09/26/55                                                          | CUSIP: 68389XDR3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    1370000 | PA      | $1153392.59   | 0.03%             | 2055-09-26      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| RTX Corp.                                                                            | RTX 6 03/15/31                                                              | CUSIP: 75513ECV1<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     850000 | PA      | $903803.97    | 0.02%             | 2031-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BD8001                                                                   | CUSIP: 3140FF3K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     904599 | PA      | $817605.89    | 0.02%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Foundry JV Holdco LLC.                                                               | FABSJV 5.875 01/25/34                                                       | CUSIP: 350930AA1<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    2290000 | PA      | $2320727.17   | 0.06%             | 2034-01-25      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Northrop Grumman Corporation                                                         | NOC 5.25 05/01/50                                                           | CUSIP: 666807BU5<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |    8320000 | PA      | $7722211.91   | 0.21%             | 2050-05-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc.                                                          | VZ 3.55 03/22/51                                                            | CUSIP: 92343VGB4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    1380000 | PA      | $963726.62    | 0.03%             | 2051-03-22      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| SYCAMORE TREE CLO 2025-6 LTD                                                         | STCP 2025-6A A1                                                             | CUSIP: 87122HAA0<br>LEI: 2138001M3BAXCUCAUG38 | Long             | ABS-CBDO         | CORP              | KY        |    8200000 | PA      | $8202186.94   | 0.22%             | 2038-04-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 619673                                                                   | CUSIP: 36290WMW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2896 | PA      | $2914.77      | 0.00%             | 2033-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Boeing Co.                                                                           | BA 3.55 03/01/38                                                            | CUSIP: 097023BY0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    2720000 | PA      | $2261323.05   | 0.06%             | 2038-03-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Western Midstream Operating LP                                                       | WES 4.05 02/01/30                                                           | CUSIP: 958667AC1<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    2935000 | PA      | $2851046.97   | 0.08%             | 2030-02-01      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Asurion LLC                                                                          | Asurion First-lien Term Loan B-14 375 2033-02-09                            | CUSIP: 04649VBF6<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |    6873821 | PA      | $6654752.57   | 0.18%             | 2033-03-11      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. | CHTR 5.05 03/30/29                                                          | CUSIP: 161175BR4<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |    6160000 | PA      | $6192397.29   | 0.17%             | 2029-03-30      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2022-DNA6                                              | STACR 2022-DNA6 M1B                                                         | CUSIP: 35564KH44<br>LEI: 5493000IS30HKV5IAS29 | Long             | ABS-O            | USGSE             | US        |    5000000 | PA      | $5159222.00   | 0.14%             | 2042-09-25      | Floating      | 7.36%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES I TRUST 2004-AC5                                | BSABS 2005-CL1 A1                                                           | CUSIP: 073879U97<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     158371 | PA      | $160537.26    | 0.00%             | 2034-09-25      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN FP0028                                                                   | CUSIP: 3140XTA68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4409647 | PA      | $3886414.54   | 0.11%             | 2040-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                                     | Options on Three-Month SOFR Futures                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -1885 | NC      | $-235625.00   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Royal Caribbean Group                                                                | RCL 5.625 09/30/31 144A                                                     | CUSIP: 780153BW1<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |    2510000 | PA      | $2535359.71   | 0.07%             | 2031-09-30      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN DE9374                                                                   | CUSIP: 3140BNMY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14380861 | PA      | $14670696.59  | 0.40%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES I TRUST 2004-AC5                                | BSABS 2004-AC6 A1                                                           | CUSIP: 073879LN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1157977 | PA      | $1031184.09   | 0.03%             | 2034-11-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                                         | ORCL 5.875 09/26/45                                                         | CUSIP: 68389XDP7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    1520000 | PA      | $1312340.70   | 0.04%             | 2045-09-26      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 563677                                                                   | CUSIP: 36213TFS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42847 | PA      | $44361.78     | 0.00%             | 2032-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPERATING CO LLC                                                  | CPGX 6.036 11/15/33 144A                                                    | CUSIP: 19828TAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1665000 | PA      | $1755088.19   | 0.05%             | 2033-11-15      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| MLTI TRUST 2026-SF75                                                                 | MLTI 2026-SF75 A                                                            | CUSIP: 55318JAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3980000 | PA      | $3966617.65   | 0.11%             | 2031-03-17      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 4.125 05/31/32                                                            | CUSIP: 91282CNF4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1110000 | PA      | $1113056.84   | 0.03%             | 2032-05-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                               | FHR 5449 FQ                                                                 | CUSIP: 3137HFHU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    3786183 | PA      | $3808210.84   | 0.10%             | 2054-09-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Crescent Energy Finance LLC                                                          | CRGYFN 7.375 01/15/33 144A                                                  | CUSIP: 45344LAE3<br>LEI: 54930061FUL6DBLFUW14 | Long             | DBT              | CORP              | US        |    1430000 | PA      | $1430706.85   | 0.04%             | 2033-01-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Cooperatieve Rabobank U.A.                                                           | RABOBK V3.649 04/06/28 144A                                                 | CUSIP: 74977RDN1<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |     960000 | PA      | $951439.67    | 0.03%             | 2028-04-06      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN 938440                                                                   | CUSIP: 31412YBH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     182804 | PA      | $191885.55    | 0.01%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2025-55 SD                                                              | CUSIP: 38385D3H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   14232371 | PA      | $1231749.07   | 0.03%             | 2055-03-20      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 705983                                                                   | CUSIP: 36297AJ46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     185614 | PA      | $195796.07    | 0.01%             | 2039-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 598064                                                                   | CUSIP: 36200DMM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      55192 | PA      | $55869.18     | 0.00%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                                                       | USD/INR FORWARD                                                             | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $873083.67    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Continental Resources, Inc.                                                          | CLR 4.375 01/15/28                                                          | CUSIP: 212015AS0<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |     299000 | PA      | $297076.94    | 0.01%             | 2028-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Herc Holdings Inc                                                                    | HRI 7.25 06/15/33 144A                                                      | CUSIP: 42704LAG9<br>LEI: 549300TP80QLITMSBP82 | Long             | DBT              | CORP              | US        |    1510000 | PA      | $1548643.92   | 0.04%             | 2033-06-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corp.                                                           | OXY 3.2 08/15/26                                                            | CUSIP: 674599CR4<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    2617000 | PA      | $2604872.56   | 0.07%             | 2026-08-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS 2024-B LLC                                                 | CASL 2024-B A1A                                                             | CUSIP: 19423UAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4833834 | PA      | $4936108.28   | 0.13%             | 2054-08-25      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR ZM1278                                                                   | CUSIP: 3131XUM38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2020720 | PA      | $1896480.08   | 0.05%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SHOW TRUST 2022-BIZ                                                                  | SHOW 2022-BIZ A                                                             | CUSIP: 82539LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10600000 | PA      | $4271524.40   | 0.12%             | 2027-01-15      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| Williams Companies Inc. (The)                                                        | WMB 8.75 03/15/32                                                           | CUSIP: 969457BM1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     985000 | PA      | $1170298.79   | 0.03%             | 2032-03-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MORTGAGE FUNDING TRUST 2005-AR4                                           | GPMF 2005-AR4 1A2A                                                          | CUSIP: 39538WBR8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     542437 | PA      | $514492.10    | 0.01%             | 2045-10-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                                         | ORCL 3.6 04/01/50                                                           | CUSIP: 68389XBX2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     810000 | PA      | $489387.45    | 0.01%             | 2050-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                 | JPM V4.493 03/24/31                                                         | CUSIP: 46647PBJ4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    4150000 | PA      | $4128884.43   | 0.11%             | 2031-03-24      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| Amazon.com, Inc.                                                                     | AMZN 4.875 03/13/36                                                         | CUSIP: 023135DF0<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    1250000 | PA      | $1239090.74   | 0.03%             | 2036-03-13      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Chart Industries, Inc.                                                               | Chart Industries Term Loan B 250 2030-03-01                                 | CUSIP: 16115EAT4<br>LEI: EM7QGKC1GYOF3LSZSL80 | Long             | LON              | CORP              | US        |    3317128 | PA      | $3319201.61   | 0.09%             | 2030-03-15      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 595304                                                                   | CUSIP: 36200AKR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4077 | PA      | $4190.48      | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BR6496                                                                   | CUSIP: 3140L5GE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2990246 | PA      | $2578606.22   | 0.07%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2016-21 ST                                                              | CUSIP: 38379VHX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    8723943 | PA      | $979375.98    | 0.03%             | 2046-02-20      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc.                                                          | VZ 5.25 03/16/37                                                            | CUSIP: 92343VDU5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    1440000 | PA      | $1423415.04   | 0.04%             | 2037-03-16      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM1                             | MSRM 2025-SPL1 A3                                                           | CUSIP: 617946AE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7710082 | PA      | $7448673.06   | 0.20%             | 2065-02-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                                     | IRS USD                                                                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          1 | NC      | $3794581.02   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                                | BAC V4.083 03/20/51 MTN                                                     | CUSIP: 06051GJA8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    6570000 | PA      | $5085464.35   | 0.14%             | 2051-03-20      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                 | JPM V3.109 04/22/41                                                         | CUSIP: 46647PBM7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    5150000 | PA      | $3930129.90   | 0.11%             | 2041-04-22      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| Altice Financing S.A.                                                                | ALTICE 5.75 08/15/29 144a                                                   | CUSIP: 02154CAH6<br>LEI: 549300DIYGW8HVDF7Q17 | Long             | DBT              | CORP              | LU        |    4570000 | PA      | $3204533.81   | 0.09%             | 2029-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHR 3639 EY                                                                 | CUSIP: 31398WQK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     686750 | PA      | $693824.23    | 0.02%             | 2030-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Walt Disney Company                                                                  | DIS 6.65 11/15/37                                                           | CUSIP: 254687EH5<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |    2260000 | PA      | $2544301.72   | 0.07%             | 2037-11-15      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 786709                                                                   | CUSIP: 3622ACKW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5805938 | PA      | $5800011.94   | 0.16%             | 2053-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2018-BIOA                                               | BX 2026-VLT9 A                                                              | CUSIP: 05618UAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4870000 | PA      | $4855895.99   | 0.13%             | 2045-03-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Synopsys Inc                                                                         | SNPS 5.7 04/01/55                                                           | CUSIP: 871607AG2<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    2290000 | PA      | $2190938.68   | 0.06%             | 2055-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc.                                                          | VZ 2.55 03/21/31                                                            | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    5013000 | PA      | $4552309.01   | 0.12%             | 2031-03-21      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                          | 10-Year T-Note Options                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       1260 | NC      | $1260.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| U.S. Treasury Bond Stripped Principal Payment                                        | SP 0 05/15/49                                                               | CUSIP: 912803FJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  152060000 | PA      | $47373675.64  | 1.28%             | 2049-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Alphabet Inc.                                                                        | GOOGL 4.1 02/15/31                                                          | CUSIP: 02079KBK2<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     740000 | PA      | $735018.44    | 0.02%             | 2031-02-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| SPECTRUM MANAGEMENT HOLDING COMPANY LLC                                              | CHTR 5.875 11/15/40                                                         | CUSIP: 88732JAY4<br>LEI: B1WXCWLJVJXMWJX6O298 | Long             | DBT              | CORP              | US        |    1617000 | PA      | $1466737.91   | 0.04%             | 2040-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 784985                                                                   | CUSIP: 3622AANA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     714590 | PA      | $670398.73    | 0.02%             | 2048-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. | CHTR 5.375 04/01/38                                                         | CUSIP: 161175BM5<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |    3325000 | PA      | $2982332.45   | 0.08%             | 2038-04-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Cloud Software Group Inc                                                             | Cloud Software Group (Citrix/TIBCO) Term Loan B 325 2031-03-01              | CUSIP: 88632NBK5<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | LON              | CORP              | US        |    3022406 | PA      | $2777591.13   | 0.08%             | 2031-03-21      | Floating      | 6.95%                 | No            |                  2 | On Loan: No      |
| RWE Finance US LLC                                                                   | RWE 5.125 09/18/35 144A                                                     | CUSIP: 749983AC6<br>LEI: 529900J7MYLKI84UP772 | Long             | DBT              | CORP              | US        |    4710000 | PA      | $4581366.41   | 0.12%             | 2035-09-18      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 592660                                                                   | CUSIP: 36201TMH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18685 | PA      | $18856.95     | 0.00%             | 2033-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Halseypoint CLO 3 Ltd.                                                               | HLSY 2020-3A A1R                                                            | CUSIP: 40638UAS8<br>LEI: 549300RT6H1EOIYTDV62 | Long             | ABS-CBDO         | CORP              | KY        |   10000000 | PA      | $10026403.00  | 0.27%             | 2037-07-30      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BC2817                                                                   | CUSIP: 3140EXDX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     664837 | PA      | $600321.21    | 0.02%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Belron Finance 2019 LLC                                                              | Belron Term Loan B 200 2031-10-01                                           | CUSIP: 08078UAQ6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    3692770 | PA      | $3696001.11   | 0.10%             | 2031-10-16      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Santander Mortgage Asset Receivable Trust 2025-NQM5                                  | SAN 2025-NQM5 A3                                                            | CUSIP: 80262CAE8<br>LEI: 254900FHBJ2YHHBOAU80 | Long             | ABS-O            | CORP              | US        |    3642585 | PA      | $3630906.26   | 0.10%             | 2065-08-25      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMR 2020-RR07 AX                                                           | CUSIP: 3137FRVC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   34072000 | PA      | $1652135.95   | 0.04%             | 2028-09-27      | Variable      | 2.47%                 | No            |                  2 | On Loan: No      |
| 1261229 B.C. LTD                                                                     | BHCCN 10 04/15/32 144A                                                      | CUSIP: 68288AAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    5510000 | PA      | $5646036.39   | 0.15%             | 2032-04-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| The Cigna Group                                                                      | CI 4.375 10/15/28                                                           | CUSIP: 125523AH3<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    2680000 | PA      | $2678307.61   | 0.07%             | 2028-10-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                | FN MA4364                                                                   | CUSIP: 31418DZ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5653735 | PA      | $4950443.63   | 0.13%             | 2041-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN AB9207                                                                   | CUSIP: 36178WGQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2740069 | PA      | $2471816.16   | 0.07%             | 2042-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Lockheed Martin Corporation                                                          | LMT 4.15 06/15/53                                                           | CUSIP: 539830BS7<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |    4630000 | PA      | $3658134.76   | 0.10%             | 2053-06-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHR 5129 KI                                                                 | CUSIP: 3137H1PP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    6698287 | PA      | $1082606.61   | 0.03%             | 2049-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                          | 5-Year T-Note Options                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -686 | NC      | $-96468.76    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION I MORTGAGE-BACKED SECURITIES                | GN 562385                                                                   | CUSIP: 36213RXN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      24075 | PA      | $24611.06     | 0.00%             | 2034-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Georgia Power Company                                                                | SO 5.2 03/15/35                                                             | CUSIP: 373334LB5<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |    2410000 | PA      | $2448978.52   | 0.07%             | 2035-03-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                                         | ORCL 5.2 09/26/35                                                           | CUSIP: 68389XDM4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     580000 | PA      | $544329.57    | 0.01%             | 2035-09-26      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Comision Federal de Electricidad                                                     | CFELEC 6.045 01/28/34 144A                                                  | CUSIP: 200447AQ3<br>LEI: 4469000001BFPONMPF32 | Long             | DBT              | CORP              | MX        |    6220000 | PA      | $6035577.00   | 0.16%             | 2034-01-28      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| Ascensus Group Holdings Inc (f/k/a Mercury Borrower Inc)                             | Ascensus Term Loan B 300 2028-08-01                                         | CUSIP: 03836BAH2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    2010000 | PA      | $1981106.25   | 0.05%             | 2032-11-24      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION II MORTGAGE-BACKED SECURITIES               | GN 561487                                                                   | CUSIP: 36213QXQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       3000 | PA      | $3085.60      | 0.00%             | 2031-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST SERIES 2005-5N                                                       | SASC 2005-SC1 1A2                                                           | CUSIP: 86359DTG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2378844 | PA      | $1680631.94   | 0.05%             | 2031-05-25      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| CWMBS INC                                                                            | CWHL 2006-R2 AS                                                             | CUSIP: 125435AB3<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |    3437628 | PA      | $163695.38    | 0.00%             | 2036-07-25      | Variable      | 2.13%                 | No            |                  2 | On Loan: No      |
| Petco Health and Wellness Company Inc                                                | Petco Animal Supplies Term Loan B 425 2031-01-11                            | CUSIP: 71601HAG1<br>LEI: 2549007TYGV6RVSE9M61 | Long             | LON              | CORP              | US        |    3560000 | PA      | $3487589.60   | 0.09%             | 2031-01-22      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                                         | ORCL 4.65 05/06/30                                                          | CUSIP: 68389XCN3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    4800000 | PA      | $4692994.08   | 0.13%             | 2030-05-06      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Starwood Property Mortgage LLC                                                       | Starwood Property Mortgage Term Loan B 175 2027-11-01                       | CUSIP: 85570DAN2<br>LEI: 5493008SB15CNJRIOK13 | Long             | LON              | CORP              | US        |    2471325 | PA      | $2471325.00   | 0.07%             | 2027-11-18      | Floating      | 5.42%                 | No            |                  3 | On Loan: No      |
| Comision Federal de Electricidad                                                     | CFELEC 3.348 02/09/31 REGS                                                  | CUSIP: 000000000<br>LEI: 4469000001BFPONMPF32 | Long             | DBT              | CORP              | MX        |    3859000 | PA      | $3459744.00   | 0.09%             | 2031-02-09      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Triton Water Holdings Inc                                                            | Primo Brands (BlueTriton Brands/Nestl Waters NA) Term Loan B 275 2031-03-15 | CUSIP: 89678QAF3<br>LEI: 254900J0WS4AXV2LAX55 | Long             | LON              | CORP              | US        |    1880000 | PA      | $1885282.80   | 0.05%             | 2031-03-19      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                                       | OOMLT 2007-FXD2 1A1                                                         | CUSIP: 68403BAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11720136 | PA      | $10615151.47  | 0.29%             | 2037-03-25      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                            | GS V2.615 04/22/32                                                          | CUSIP: 38141GYB4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    7070000 | PA      | $6352903.12   | 0.17%             | 2032-04-22      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Devon Energy Corporation                                                             | DVN 5.875 06/15/28                                                          | CUSIP: 25179MBE2<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |     114000 | PA      | $114051.91    | 0.00%             | 2028-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| First Quantum Minerals Ltd.                                                          | FMCN 6.375 02/15/36 144A                                                    | CUSIP: 335934AY1<br>LEI: 549300I7UVBGWRYMYZ18 | Long             | DBT              | CORP              | CA        |    3090000 | PA      | $2975011.21   | 0.08%             | 2036-02-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Chile (Republic Of)                                                                  | CHILE 2.55 07/27/33                                                         | CUSIP: 168863DT2<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |    6510000 | PA      | $5555634.00   | 0.15%             | 2033-07-27      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                       | MS V2.699 01/22/31 GMTN                                                     | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    9370000 | PA      | $8702613.22   | 0.24%             | 2031-01-22      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNR 2020-45 AI                                                              | CUSIP: 3136BA4U5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    7337640 | PA      | $1407784.23   | 0.04%             | 2050-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| The Cigna Group                                                                      | CI 4.8 08/15/38                                                             | CUSIP: 125523AJ9<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    1962000 | PA      | $1845672.35   | 0.05%             | 2038-08-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2021-191 NI                                                             | CUSIP: 38383CNR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    1373616 | PA      | $255681.02    | 0.01%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EOG Resources Inc.                                                                   | EOG 3.9 04/01/35                                                            | CUSIP: 26875PAN1<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1288718.35   | 0.03%             | 2035-04-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Balboa Bay Loan Funding Ltd                                                          | Balboa Bay Loan Funding 2025-2 Ltd                                          | CUSIP: 057915AA8<br>LEI: 2549002Z9TKO9WGID477 | Long             | ABS-CBDO         | CORP              | KY        |    5440000 | PA      | $5435159.49   | 0.15%             | 2039-01-20      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K104 XAM                                                               | CUSIP: 3137FREM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   16296000 | PA      | $767797.45    | 0.02%             | 2030-01-25      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                       | MS V4.892 10/22/36 I                                                        | CUSIP: 61748UAN2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    2720000 | PA      | $2630494.27   | 0.07%             | 2036-10-22      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 598172                                                                   | CUSIP: 36200DQZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1495 | PA      | $1507.66      | 0.00%             | 2033-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corp.                                                           | OXY 6.45 09/15/36                                                           | CUSIP: 674599DF9<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    1275000 | PA      | $1363133.10   | 0.04%             | 2036-09-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 580795                                                                   | CUSIP: 36201EGC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18964 | PA      | $19417.62     | 0.00%             | 2035-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                                           | USD/CNH FORWARD                                                             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $29914.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AL0672                                                                   | CUSIP: 3138EGXA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     119964 | PA      | $121307.16    | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                | FNR 2021-8 DI                                                               | CUSIP: 3136BFGH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    3723863 | PA      | $827537.71    | 0.02%             | 2051-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SPIRIT AVIA HOL RESTRICT                                                             | SPIRIT AVIA HOL RESTRICT                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       1685 | NS      | $421.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ZF North America Capital, Inc.                                                       | ZFFNGR 6.75 04/23/30 144A                                                   | CUSIP: 98877DAF2<br>LEI: 529900JYGMS9CW9IQX78 | Long             | DBT              | CORP              | US        |    4360000 | PA      | $4220838.83   | 0.11%             | 2030-04-23      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| STORE MASTER FUNDING I LLC                                                           | STR 2024-1A A2                                                              | CUSIP: 86212XAM2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10419183 | PA      | $10597878.57  | 0.29%             | 2054-05-20      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA2523                                                                   | CUSIP: 31418BYV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8395966 | PA      | $8001486.87   | 0.22%             | 2036-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Dominion Energy Inc                                                                  | D 7 06/15/38                                                                | CUSIP: 25746UBD0<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    1350000 | PA      | $1491022.42   | 0.04%             | 2038-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 659681                                                                   | CUSIP: 36294T2N4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1260 | PA      | $1329.05      | 0.00%             | 2036-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bank of America, National Association                                                | INR/USD FORWARD                                                             | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-102761.70   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BZ5402                                                                   | CUSIP: 3140Q1AC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3600000 | PA      | $3529940.72   | 0.10%             | 2035-12-01      | Fixed         | 4.36%                 | No            |                  2 | On Loan: No      |
| Fox Corporation                                                                      | FOXA 5.476 01/25/39                                                         | CUSIP: 35137LAJ4<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |    4350000 | PA      | $4210090.12   | 0.11%             | 2039-01-25      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 584464                                                                   | CUSIP: 36201JJH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21004 | PA      | $21289.92     | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN TRANSMISSION SYSTEMS INC                                                    | FE 2.65 01/15/32 144A                                                       | CUSIP: 030288AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3100000 | PA      | $2779076.96   | 0.08%             | 2032-01-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR QC0885                                                                   | CUSIP: 3133AJ6W8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1750072 | PA      | $1429026.39   | 0.04%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Bombardier Inc.                                                                      | BBDBCN 7.25 07/01/31 144A                                                   | CUSIP: 097751CB5<br>LEI: W7L3VLU8EHQY34Z36697 | Long             | DBT              | CORP              | CA        |     540000 | PA      | $566550.18    | 0.02%             | 2031-07-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc.                                                          | VZ 4 03/22/50                                                               | CUSIP: 92343VFD1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     100000 | PA      | $75577.03     | 0.00%             | 2050-03-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Versant Media Group Inc.                                                             | VSNT 7.25 01/30/31 144A                                                     | CUSIP: 925283AA1<br>LEI: 254900D2Q5F5F229PU30 | Long             | DBT              | CORP              | US        |     780000 | PA      | $798892.38    | 0.02%             | 2031-01-30      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                      | FHR 5180 IN                                                                 | CUSIP: 3137H4VE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   18992942 | PA      | $3852587.23   | 0.10%             | 2051-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                                    | WFC V2.393 06/02/28 MTN                                                     | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    5400000 | PA      | $5271612.14   | 0.14%             | 2028-06-02      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AP4710                                                                   | CUSIP: 3138M8GU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     448022 | PA      | $421557.79    | 0.01%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Gulfstream Natural Gas System LLC                                                    | GULFNG 5.6 07/23/35 144A                                                    | CUSIP: 402740AG9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5050000 | PA      | $5121165.96   | 0.14%             | 2035-07-23      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Michaels Companies Inc.                                                              | MIK 8.5 03/15/33 144A                                                       | CUSIP: 59408QAB2<br>LEI: 549300H9LWMBP7HYLR98 | Long             | DBT              | CORP              | US        |    3390000 | PA      | $3303721.11   | 0.09%             | 2033-03-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Santander UK Group Holdings PLC                                                      | SANUK V5.136 09/22/36                                                       | CUSIP: 80281LAY1<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    2300000 | PA      | $2221854.19   | 0.06%             | 2036-09-22      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 605043                                                                   | CUSIP: 36200NEQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1153 | PA      | $1182.56      | 0.00%             | 2034-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2018-LUAU                                          | GSMS 2018-LUAU G                                                            | CUSIP: 36256AAS1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10448000 | PA      | $10411830.07  | 0.28%             | 2032-11-15      | Floating      | 8.42%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                                                    | HSBC V4.762 03/29/33                                                        | CUSIP: 404280DC0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    6190000 | PA      | $6037653.58   | 0.16%             | 2033-03-29      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| Las Vegas Sands Corp                                                                 | LVS 6 08/15/29                                                              | CUSIP: 517834AK3<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    4200000 | PA      | $4317833.73   | 0.12%             | 2029-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                       | C 4.65 07/30/45                                                             | CUSIP: 172967JU6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    2462000 | PA      | $2159026.18   | 0.06%             | 2045-07-30      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| SV RNO Property Owner 1 LLC                                                          | TRACTC 5.875 03/01/31 144A                                                  | CUSIP: 78488XAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2110000 | PA      | $2086974.75   | 0.06%             | 2031-03-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | TII 1.875 07/15/34                                                          | CUSIP: 91282CLE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   32298898 | PA      | $32469957.49  | 0.88%             | 2034-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United Air Lines, Inc.                                                               | UAL 4.625 04/15/29 144A                                                     | CUSIP: 90932LAH0<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |    9000000 | PA      | $8836010.10   | 0.24%             | 2029-04-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Altria Group, Inc.                                                                   | MO 5.95 02/14/49                                                            | CUSIP: 02209SBF9<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      10000 | PA      | $9702.40      | 0.00%             | 2049-02-14      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                                   | CUSIP: 01F040644<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   29000000 | PA      | $27368982.58  | 0.74%             | 2056-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                 | JPM V5.576 07/23/36                                                         | CUSIP: 46647PFC5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    4410000 | PA      | $4467645.01   | 0.12%             | 2036-07-23      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| United Airlines Holdings Inc                                                         | UAL 5.375 03/01/31                                                          | CUSIP: 910047AL3<br>LEI: 98450079DA0B78DD6764 | Long             | DBT              | CORP              | US        |    1070000 | PA      | $1049206.37   | 0.03%             | 2031-03-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Humana Inc.                                                                          | HUM 3.95 03/15/27                                                           | CUSIP: 444859BF8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |      10000 | PA      | $9958.37      | 0.00%             | 2027-03-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Gilead Sciences Inc.                                                                 | GILD 4.75 03/01/46                                                          | CUSIP: 375558BD4<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |    3525000 | PA      | $3125860.65   | 0.08%             | 2046-03-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Company                                                     | PCG 2.1 08/01/27                                                            | CUSIP: 694308JF5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    4340000 | PA      | $4207864.58   | 0.11%             | 2027-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 604735                                                                   | CUSIP: 36200MY80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7675 | PA      | $7862.07      | 0.00%             | 2033-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Boeing Co.                                                                           | BA 3.1 05/01/26                                                             | CUSIP: 097023CH6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     700000 | PA      | $699096.73    | 0.02%             | 2026-05-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                          | U.S. Treasury Bond Options                                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -316 | NC      | $-316.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR QY5002                                                                   | CUSIP: 31426PRY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5076401 | PA      | $5251740.80   | 0.14%             | 2055-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                          | 10-Year T-Note Options                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          1 | NC      | $2093.75      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Viking Cruises, Ltd.                                                                 | VIKCRU 7 02/15/29 144a                                                      | CUSIP: 92676XAF4<br>LEI: 549300IJP90T4MV2GL84 | Long             | DBT              | CORP              | BM        |    2090000 | PA      | $2094898.96   | 0.06%             | 2029-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Mars Inc.                                                                            | MARS 5 03/01/32 144A                                                        | CUSIP: 571676AZ8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     780000 | PA      | $789465.16    | 0.02%             | 2032-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| National Collegiate Student Loan Trust                                               | NCSLT 2005-2 A51                                                            | CUSIP: 63543PBU9<br>LEI: 635400WP3MSHUIUNQS85 | Long             | ABS-O            | CORP              | US        |    1809448 | PA      | $1798555.98   | 0.05%             | 2033-06-25      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| Fedex Freight Holding Co. Inc.                                                       | FDX 4.65 03/15/31 144A                                                      | CUSIP: 314352AC9<br>LEI: 984500Y1DA5A58ICE336 | Long             | DBT              | CORP              | US        |    1660000 | PA      | $1632294.23   | 0.04%             | 2031-03-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN 930477                                                                   | CUSIP: 31412NXE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50362 | PA      | $50865.56     | 0.00%             | 2039-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SL0203                                                                   | CUSIP: 31427MGM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1346543 | PA      | $1381776.01   | 0.04%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2017-H20 IB                                                             | CUSIP: 38375UM72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    3460545 | PA      | $107129.13    | 0.00%             | 2067-10-20      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BE0351                                                                   | CUSIP: 3140FKL99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     454662 | PA      | $411542.54    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Springcastle I Spv Llc                                                               | SCFT 2020-AA A                                                              | CUSIP: 85022WAP9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4435471 | PA      | $4183042.72   | 0.11%             | 2037-09-25      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BD6369                                                                   | CUSIP: 3140FECF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2621602 | PA      | $2384077.03   | 0.06%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2-30YR-Multi                                                               | CUSIP: 21H062644<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2700000 | PA      | $2806345.25   | 0.08%             | 2055-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                       | BNP V8 PERP 144A                                                            | CUSIP: 05602XDJ4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    3110000 | PA      | $3240983.87   | 0.09%             | N/A             | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| B.A.T. Capital Corporation                                                           | BATSLN 7.081 08/02/53                                                       | CUSIP: 054989AD0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     210000 | PA      | $232273.19    | 0.01%             | 2053-08-02      | Fixed         | 7.08%                 | No            |                  2 | On Loan: No      |
| Harbor Freight Tools USA Inc                                                         | Harbor Freight Term Loan B 250 2031-05-27                                   | CUSIP: 41151PAR6<br>LEI: 549300Y48HLCFTTB4249 | Long             | LON              | CORP              | US        |    2955096 | PA      | $2928839.71   | 0.08%             | 2031-06-11      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 462631                                                                   | CUSIP: 36208V4Q5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1086 | PA      | $1111.84      | 0.00%             | 2028-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                                   | TMUS 3.75 04/15/27                                                          | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    1950000 | PA      | $1938297.95   | 0.05%             | 2027-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                                    | WFC V4.478 04/04/31 MTN                                                     | CUSIP: 95000U2L6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    6620000 | PA      | $6564759.21   | 0.18%             | 2031-04-04      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                            | GS 2.6 02/07/30                                                             | CUSIP: 38141GXG4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1160000 | PA      | $1079334.56   | 0.03%             | 2030-02-07      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 3.875 06/30/30                                                            | CUSIP: 91282CNK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     890000 | PA      | $888731.06    | 0.02%             | 2030-06-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| JSC National Company KazMunayGas                                                     | KZOKZ 3.5 04/14/33 144A                                                     | CUSIP: 48126PAA0<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |    7610000 | PA      | $6837726.93   | 0.19%             | 2033-04-14      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Abbott Laboratories                                                                  | ABT 5.5 03/15/56                                                            | CUSIP: 002824BW9<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |     910000 | PA      | $892925.05    | 0.02%             | 2056-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Progress Energy Inc.                                                                 | DUK 6 12/01/39                                                              | CUSIP: 743263AP0<br>LEI: 549300FBMTW0JYWMNB26 | Long             | DBT              | CORP              | US        |    4800000 | PA      | $4988705.57   | 0.13%             | 2039-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 780802                                                                   | CUSIP: 36225A3K4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1320 | PA      | $1339.37      | 0.00%             | 2028-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                             | T 2.55 12/01/33                                                             | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    3450000 | PA      | $2920952.78   | 0.08%             | 2033-12-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 590408                                                                   | CUSIP: 36201Q3R2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18949 | PA      | $19595.98     | 0.00%             | 2032-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 592582                                                                   | CUSIP: 36201TJ32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      37514 | PA      | $37837.12     | 0.00%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NTT Finance Corp                                                                     | NTT 4.62 07/16/28 144A                                                      | CUSIP: 62954WAQ8<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |    1200000 | PA      | $1204757.93   | 0.03%             | 2028-07-16      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                                                      | CDS CDX.NA.HY.46                                                            | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-731242.04   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Targa Resources Partners LP/Targa Resources Finance Corp.                            | TRGP 4.875 02/01/31                                                         | CUSIP: 87612BBS0<br>LEI: 6OQWTZ1SPC04IFT4T704 | Long             | DBT              | CORP              | US        |    2045000 | PA      | $2042573.48   | 0.06%             | 2031-02-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 5 05/15/45                                                                | CUSIP: 912810UL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6340000 | PA      | $6424203.13   | 0.17%             | 2045-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Broadcom Inc                                                                         | AVGO 4.8 02/15/36                                                           | CUSIP: 11135FCY5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1853095.86   | 0.05%             | 2036-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| DTP COMMERCIAL MORTGAGE TRUST 2023-STE2                                              | DTP 2023-STE2 A                                                             | CUSIP: 23346GAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3110000 | PA      | $3148567.73   | 0.09%             | 2041-01-17      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| Solventum Corp.                                                                      | SOLV 5.4 03/01/29                                                           | CUSIP: 83444MAP6<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |    1617000 | PA      | $1654379.56   | 0.04%             | 2029-03-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION II MORTGAGE-BACKED SECURITIES               | GN 781043                                                                   | CUSIP: 36225BEQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |        373 | PA      | $383.61       | 0.00%             | 2029-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BP Capital Markets America, Inc.                                                     | BPLN 3.633 04/06/30                                                         | CUSIP: 10373QBL3<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    1410000 | PA      | $1371855.14   | 0.04%             | 2030-04-06      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 AV7468                                                                   | CUSIP: 36195JJM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      87585 | PA      | $80435.86     | 0.00%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2020-155 IO                                                             | CUSIP: 38380P8N7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   18680649 | PA      | $1616976.44   | 0.04%             | 2060-09-16      | Variable      | 1.27%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan Energy Partners LP                                                     | KMI 7.3 08/15/33                                                            | CUSIP: 494550AQ9<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |    1497000 | PA      | $1690807.10   | 0.05%             | 2033-08-15      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| OCP SA                                                                               | OCPMR 6.75 05/02/34 144A                                                    | CUSIP: 67091TAF2<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |    9390000 | PA      | $9777967.19   | 0.26%             | 2034-05-02      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BC1509                                                                   | CUSIP: 3140EVVB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     331245 | PA      | $299340.60    | 0.01%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BD8104                                                                   | CUSIP: 3140FGAE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7592673 | PA      | $6865687.91   | 0.19%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Medline Borrower LP                                                                  | Medline Industries Term Loan B 200 2028-10-01                               | CUSIP: 58503UAH6<br>LEI: 254900QT3R363TVK6F09 | Long             | LON              | CORP              | US        |    2099553 | PA      | $2105064.02   | 0.06%             | 2028-10-23      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2020-IG1 MORTGAGE TRUST                                                    | BMARK 2020-IG1 AS                                                           | CUSIP: 08162LAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13500000 | PA      | $11496562.20  | 0.31%             | 2043-09-17      | Variable      | 2.91%                 | No            |                  2 | On Loan: No      |
| American Express Company                                                             | AXP 4.05 05/03/29                                                           | CUSIP: 025816CW7<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    1690000 | PA      | $1683803.38   | 0.05%             | 2029-05-03      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SD3432                                                                   | CUSIP: 3132DQY59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5050763 | PA      | $5239327.93   | 0.14%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 582028                                                                   | CUSIP: 36201FSR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18692 | PA      | $18953.40     | 0.00%             | 2032-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BP Capital Markets America, Inc.                                                     | BPLN 3 02/24/50                                                             | CUSIP: 10373QBG4<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    1340000 | PA      | $862089.05    | 0.02%             | 2050-02-24      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BE3284                                                                   | CUSIP: 3140FNUJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     449330 | PA      | $406023.99    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                       | MS V3.622 04/01/31 MTN                                                      | CUSIP: 6174468P7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    5560000 | PA      | $5333060.32   | 0.14%             | 2031-04-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 592668                                                                   | CUSIP: 36201TMR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14704 | PA      | $14868.32     | 0.00%             | 2033-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| B.A.T. Capital Corporation                                                           | BATSLN 3.557 08/15/27                                                       | CUSIP: 05526DBB0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     406000 | PA      | $401676.04    | 0.01%             | 2027-08-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| Elevance Health Inc.                                                                 | ELV 4.1 05/15/32                                                            | CUSIP: 036752AT0<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    3100000 | PA      | $2977705.62   | 0.08%             | 2032-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN 843997                                                                   | CUSIP: 31407XUW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5362 | PA      | $5463.22      | 0.00%             | 2035-11-01      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION                                            | IRS MXN                                                                     | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              | CORP              | US        |          1 | NC      | $-140128.62   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2017-111 IO                                                             | CUSIP: 38379RV34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    4332844 | PA      | $126330.13    | 0.00%             | 2059-02-16      | Variable      | 0.53%                 | No            |                  2 | On Loan: No      |
| Intel Corporation                                                                    | INTC 4.75 03/25/50                                                          | CUSIP: 458140BM1<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    4375000 | PA      | $3542191.01   | 0.10%             | 2050-03-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| First Quantum Minerals Ltd.                                                          | FMCN 8 03/01/33 144A                                                        | CUSIP: 335934AW5<br>LEI: 549300I7UVBGWRYMYZ18 | Long             | DBT              | CORP              | CA        |    1940000 | PA      | $2024589.82   | 0.05%             | 2033-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| 245 PARK AVENUE TRUST 2017-245P                                                      | PRKAV 2017-245P A                                                           | CUSIP: 90187LAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9410000 | PA      | $9259449.41   | 0.25%             | 2037-06-05      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| Alphabet Inc.                                                                        | GOOGL 5.25 05/15/55                                                         | CUSIP: 02079KAM9<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |      80000 | PA      | $75596.73     | 0.00%             | 2055-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                                          | SRGIM 5.75 05/28/35 144A                                                    | CUSIP: 83304JAB3<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |    3880000 | PA      | $3958540.90   | 0.11%             | 2035-05-28      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 608310                                                                   | CUSIP: 36202SYF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5907 | PA      | $6174.59      | 0.00%             | 2033-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                       | MS V4.493 01/16/32                                                          | CUSIP: 61748UAS1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    3130000 | PA      | $3078277.00   | 0.08%             | 2032-01-16      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| Clarios Global LP                                                                    | CLARIOS GLOBAL LP                                                           | CUSIP: 000000000<br>LEI: 549300474L1ZLXZY2P98 | Long             | LON              | CORP              | N/A       |    1318659 | PA      | $1316186.53   | 0.04%             | 2030-05-06      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| Anheuser-Busch Companies LLC / Anheuser-Busch InBev Worldwide Inc                    | ABIBB 4.9 02/01/46 *                                                        | CUSIP: 03522AAJ9<br>LEI: 5493002J2SVENP0PVK27 | Long             | DBT              | CORP              | US        |    3442000 | PA      | $3103794.79   | 0.08%             | 2046-02-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AQ1766                                                                   | CUSIP: 3138MG6C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62544 | PA      | $60419.41     | 0.00%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2021-159 JI                                                             | CUSIP: 38382XP25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    4194311 | PA      | $380731.47    | 0.01%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 4 11/15/35                                                                | CUSIP: 91282CPJ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     410000 | PA      | $399974.22    | 0.01%             | 2035-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Consolidated Edison Company of New York, Inc.                                        | ED 3.95 04/01/50 20B                                                        | CUSIP: 209111FY4<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |     380000 | PA      | $291814.36    | 0.01%             | 2050-04-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS KC05 X1                                                                | CUSIP: 3137FPJQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    8629415 | PA      | $69537.55     | 0.00%             | 2027-06-25      | Variable      | 1.18%                 | No            |                  2 | On Loan: No      |
| MILLROSE PROPERTIES INC                                                              | MRP 6.375 08/01/30 144A                                                     | CUSIP: 601137AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1780000 | PA      | $1780647.74   | 0.05%             | 2030-08-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| LOANPAL SOLAR LOAN 2020-3 LLC                                                        | LPSLT 2020-3GS A                                                            | CUSIP: 53948NAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10102528 | PA      | $8406626.67   | 0.23%             | 2047-12-20      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BM3799                                                                   | CUSIP: 3140J8GH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     393651 | PA      | $356542.46    | 0.01%             | 2047-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR RB5121                                                                   | CUSIP: 3133KYVN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13342222 | PA      | $11658920.01  | 0.32%             | 2041-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Meta Platforms Inc                                                                   | META 5.625 11/15/55 .                                                       | CUSIP: 30303MAE2<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    2180000 | PA      | $2044970.63   | 0.06%             | 2055-11-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Synopsys Inc                                                                         | SNPS 5.15 04/01/35                                                          | CUSIP: 871607AE7<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    1140000 | PA      | $1142587.23   | 0.03%             | 2035-04-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Sands China Ltd.                                                                     | SANLTD 3.25 08/08/31                                                        | CUSIP: 80007RAS4<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |    1690000 | PA      | $1530763.64   | 0.04%             | 2031-08-08      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                                   | CUSIP: 01F042640<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   38900000 | PA      | $37547837.56  | 1.02%             | 2056-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                                   | ET V6.5 PERP H                                                              | CUSIP: 29273VAN0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    4275000 | PA      | $4269969.82   | 0.12%             | N/A             | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BLUE RACER MIDSTREAM LLC                                                             | BLURAC 7.25 07/15/32 144A                                                   | CUSIP: 095796AK4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5260000 | PA      | $5467496.48   | 0.15%             | 2032-07-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2005-4                                                | HVMLT 2005-3 2A1A                                                           | CUSIP: 41161PMG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     683175 | PA      | $676841.23    | 0.02%             | 2035-06-19      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                                         | ORCL 2.875 03/25/31                                                         | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    6350000 | PA      | $5641339.17   | 0.15%             | 2031-03-25      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN 948287                                                                   | CUSIP: 31413K6Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1990 | PA      | $2033.46      | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Sotera Health Holdings LLC                                                           | Sotera Health (fka Sterigenics Nordin) Term Loan B 250 2031-05-01           | CUSIP: 83600VAH4<br>LEI: 549300OVT7MBXFLOFU20 | Long             | LON              | CORP              | US        |    3571858 | PA      | $3579680.59   | 0.10%             | 2031-05-30      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| General Dynamics Corporation                                                         | GD 4.25 04/01/40                                                            | CUSIP: 369550BH0<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |    1045000 | PA      | $938999.30    | 0.03%             | 2040-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Mars Inc.                                                                            | MARS 5.2 03/01/35 144A                                                      | CUSIP: 571676BA2<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    1860000 | PA      | $1878384.39   | 0.05%             | 2035-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| HOMES 2023-NQM1 TRUST                                                                | HOMES 2023-NQM1 A1                                                          | CUSIP: 43761JAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5703850 | PA      | $5681852.82   | 0.15%             | 2068-01-25      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR RB5125                                                                   | CUSIP: 3133KYVS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11313423 | PA      | $9878494.64   | 0.27%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                                     | Options on Three-Month SOFR Futures                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -1261 | NC      | $-1197950.00  | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                                             | GN 635306                                                                   | CUSIP: 36291QYB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        271 | PA      | $279.93       | 0.00%             | 2036-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BF0109                                                                   | CUSIP: 3140FXDP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18962857 | PA      | $18001400.44  | 0.49%             | 2056-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Permian Resources Operating, LLC                                                     | PR 6.25 02/01/33 144A                                                       | CUSIP: 71424VAB6<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |    2360000 | PA      | $2405609.36   | 0.07%             | 2033-02-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 611016                                                                   | CUSIP: 36202VYM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      60813 | PA      | $61817.81     | 0.00%             | 2034-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 BD0933                                                                   | CUSIP: 3617BGBA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     130368 | PA      | $120771.41    | 0.00%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co LLC                                                             | VST 5.35 01/31/36 144A                                                      | CUSIP: 92840VAZ5<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    3280000 | PA      | $3210672.28   | 0.09%             | 2036-01-31      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                                   | CUSIP: 01F050643<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -21100000 | PA      | $-20812217.52 | -0.56%            | 2056-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ABRY LIQUID CREDIT CLO 2025-2 LTD                                                    | ALC 2025-2A A1                                                              | CUSIP: 003943AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6180000 | PA      | $6163939.42   | 0.17%             | 2038-01-15      | Variable      | 4.99%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                                      | CVSPAS 6.036 12/10/28                                                       | CUSIP: 126650BP4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    1998501 | PA      | $2017642.94   | 0.05%             | 2028-12-10      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 553366                                                                   | CUSIP: 36213FW33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      80415 | PA      | $80916.25     | 0.00%             | 2033-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                                   | CUSIP: 01F020646<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16200000 | PA      | $13052390.54  | 0.35%             | 2056-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc.                                                                          | ABBV 4.875 11/14/48                                                         | CUSIP: 00287YBD0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    1365000 | PA      | $1224803.89   | 0.03%             | 2048-11-14      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                       | C V4.412 03/31/31                                                           | CUSIP: 172967MP3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    5260000 | PA      | $5201116.88   | 0.14%             | 2031-03-31      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNR 2025-53 FA                                                              | CUSIP: 3136BWRC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     246059 | PA      | $250096.29    | 0.01%             | 2055-07-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 505636                                                                   | CUSIP: 36210XV53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        499 | PA      | $507.69       | 0.00%             | 2029-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Solventum Corp.                                                                      | SOLV 5.6 03/23/34                                                           | CUSIP: 83444MAR2<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |    4410000 | PA      | $4509794.33   | 0.12%             | 2034-03-23      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2021-21 AH                                                              | CUSIP: 38380RTP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   23683543 | PA      | $17991457.20  | 0.49%             | 2063-06-16      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| Ggam Master Trust Internationa Ltd. / Ggam Mastertrust Us LLC                        | GGAMMT 2025-1A A                                                            | CUSIP: 36173XAA0<br>LEI: 254900X2QXEN0FVXRF65 | Long             | ABS-O            | CORP              | KY        |    6341562 | PA      | $6338859.58   | 0.17%             | 2060-09-30      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corp.                                                           | OXY 7.5 05/01/31                                                            | CUSIP: 674599DD4<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    1130000 | PA      | $1258235.79   | 0.03%             | 2031-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Ecopetrol S.A.                                                                       | ECOPET 8.375 01/19/36                                                       | CUSIP: 279158AV1<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |    5740000 | PA      | $5824559.56   | 0.16%             | 2036-01-19      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Oncor Electric Delivery Company LLC                                                  | ONCRTX 5.8 04/01/55                                                         | CUSIP: 68233JDD3<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |    1630000 | PA      | $1614365.37   | 0.04%             | 2055-04-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| RTX Corp.                                                                            | RTX 4.125 11/16/28                                                          | CUSIP: 913017CY3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    2820000 | PA      | $2808811.73   | 0.08%             | 2028-11-16      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 786335                                                                   | CUSIP: 3622AB4U3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15612239 | PA      | $15220233.23  | 0.41%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | Government National Mortgage Association CMO 2068-09-20 USD                 | CUSIP: 38380LLD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   23445370 | PA      | $789096.14    | 0.02%             | 2068-09-20      | Variable      | 2.17%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BE4774                                                                   | CUSIP: 3140FQJU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     655281 | PA      | $593356.59    | 0.02%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BF0035                                                                   | CUSIP: 3140FXBD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     176124 | PA      | $165451.75    | 0.00%             | 2055-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                                     | NRG 6 01/15/36 144A                                                         | CUSIP: 629377DD1<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    5670000 | PA      | $5621816.91   | 0.15%             | 2036-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Thrust Engine Leasing 2021 Dac / Thrust Engine Leasing 2021 Statutory Trust          | THRST 2021-1A A                                                             | CUSIP: 88603UAA7<br>LEI: 254900X0E0PUM0VQBP74 | Long             | ABS-O            | CORP              | IE        |    3893092 | PA      | $3853046.86   | 0.10%             | 2040-07-15      | Fixed         | 4.16%                 | No            |                  2 | On Loan: No      |
| 280 Park Avenue Trust                                                                | PRK 2017-280P E                                                             | CUSIP: 90205FAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     880000 | PA      | $863033.34    | 0.02%             | 2034-09-15      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 4.75 11/15/43                                                             | CUSIP: 912810TW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     940000 | PA      | $928984.38    | 0.03%             | 2043-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                       | C V2.561 05/01/32                                                           | CUSIP: 172967MY4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    5320000 | PA      | $4760881.46   | 0.13%             | 2032-05-01      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| Lockheed Martin Corporation                                                          | LMT 3.9 06/15/32                                                            | CUSIP: 539830BR9<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |    2230000 | PA      | $2167984.21   | 0.06%             | 2032-06-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                                              | FR SD7534                                                                   | CUSIP: 3132DVLP8<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-MBS          | USGSE             | US        |   12890036 | PA      | $11110333.50  | 0.30%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MHC COMMERCIAL MORTGAGE TRUST 2021-MHC                                               | MHC 2021-MHC E                                                              | CUSIP: 55316VAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       2173 | PA      | $2172.54      | 0.00%             | 2038-04-15      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association                                            | USD/EUR FORWARD                                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-6086.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREMF 2019-K95 MORTGAGE TRUST                                                        | FHMS K095 XAM                                                               | CUSIP: 3137FNAJ9<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    6300000 | PA      | $240373.35    | 0.01%             | 2029-06-25      | Variable      | 1.23%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FG Q17792                                                                   | CUSIP: 3132J9C63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1182498 | PA      | $1115617.14   | 0.03%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 BS1742                                                                   | CUSIP: 3617MB5B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     749646 | PA      | $709632.31    | 0.02%             | 2050-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN 995072                                                                   | CUSIP: 31416BMV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     386816 | PA      | $398157.80    | 0.01%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| South Africa (Republic of)                                                           | SAGB 8.75 01/31/44 2044                                                     | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   81010000 | PA      | $4341309.92   | 0.12%             | 2044-01-31      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 593249                                                                   | CUSIP: 36201UBS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38691 | PA      | $39195.02     | 0.00%             | 2032-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN FM5904                                                                   | CUSIP: 3140X9R23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4000543 | PA      | $3439477.32   | 0.09%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Philip Morris International Inc.                                                     | PM 5.125 02/13/31                                                           | CUSIP: 718172DH9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     930000 | PA      | $951937.41    | 0.03%             | 2031-02-13      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                       | BNP 4.4 08/14/28 144A                                                       | CUSIP: 09659W2F0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    3970000 | PA      | $3954218.89   | 0.11%             | 2028-08-14      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2020-R02                                         | CAS 2020-R02 2B1                                                            | CUSIP: 20754WAC9<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    2450000 | PA      | $2481950.70   | 0.07%             | 2040-01-25      | Floating      | 6.78%                 | No            |                  2 | On Loan: No      |
| Air Lease Corporation                                                                | AL 5.3 02/01/28                                                             | CUSIP: 00914AAU6<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     450000 | PA      | $455245.48    | 0.01%             | 2028-02-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AI1863                                                                   | CUSIP: 3138AFB90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18328 | PA      | $18533.06     | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN AA5649                                                                   | CUSIP: 36178DH20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2078464 | PA      | $1901922.51   | 0.05%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Comcast Corporation                                                                  | CMCSA 3.969 11/01/47                                                        | CUSIP: 20030NCC3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    4956000 | PA      | $3650808.21   | 0.10%             | 2047-11-01      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN FM7607                                                                   | CUSIP: 3140XBNZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     647652 | PA      | $625601.21    | 0.02%             | 2038-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MidCap Financial Issuer Trust                                                        | MIDCAP 5.37 04/15/29 144A                                                   | CUSIP: 59590AAF6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4910000 | PA      | $4850608.43   | 0.13%             | 2029-04-15      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                                   | CUSIP: 01F060642<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   49700000 | PA      | $50668367.23  | 1.37%             | 2056-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MILLROSE PROPERTIES INC                                                              | MRP 6.25 09/15/32 144A                                                      | CUSIP: 601137AB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     520000 | PA      | $511125.06    | 0.01%             | 2032-09-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                                         | UBS V9.25 PERP 144a                                                         | CUSIP: 902613BF4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    7010000 | PA      | $7475851.09   | 0.20%             | N/A             | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2015-FL7                        | JPMCC 2015-FL7 D                                                            | CUSIP: 46644PAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10807152 | PA      | $9481605.95   | 0.26%             | 2028-05-15      | Variable      | 7.44%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 3.75 02/28/33                                                             | CUSIP: 91282CQC8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1690000 | PA      | $1651578.90   | 0.04%             | 2033-02-28      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN FM7796                                                                   | CUSIP: 3140XBUW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     507824 | PA      | $487684.73    | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 783368                                                                   | CUSIP: 36241LW51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1753422 | PA      | $1738865.71   | 0.05%             | 2041-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                                   | CUSIP: 01F052649<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   59100000 | PA      | $59381443.66  | 1.61%             | 2056-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association                                            | USD/AUD FORWARD                                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-169962.03   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOHO TRUST 2021-SOHO                                                                 | SOHO 2021-SOHO B                                                            | CUSIP: 83410JAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6280000 | PA      | $5090541.00   | 0.14%             | 2038-08-12      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| Cheniere Energy Partners Lp                                                          | CQP 4 03/01/31                                                              | CUSIP: 16411QAK7<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |    2281000 | PA      | $2190901.66   | 0.06%             | 2031-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Teck Resources Limited                                                               | TCKBCN 6 08/15/40                                                           | CUSIP: 878742AS4<br>LEI: T8KI5SQ2JRWHL7XY0E11 | Long             | DBT              | CORP              | CA        |     641000 | PA      | $645354.78    | 0.02%             | 2040-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Mastr Reperforming Loan Trust 2005-2                                                 | MARP 2005-2 1A1F                                                            | CUSIP: 57643QAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1500661 | PA      | $695700.42    | 0.02%             | 2035-05-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                                | BAC V4.33 03/15/50 MTN                                                      | CUSIP: 06051GHS1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    2690000 | PA      | $2182471.89   | 0.06%             | 2050-03-15      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 635503                                                                   | CUSIP: 36291RAC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2399 | PA      | $2472.23      | 0.00%             | 2034-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Malaysia (Government Of)                                                             | MGS 4.254 05/31/35 0415                                                     | CUSIP: 000000000<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |   18640000 | PA      | $4820916.74   | 0.13%             | 2035-05-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Honeywell Aerospace Inc.                                                             | HONA 5.622 03/16/46 144A                                                    | CUSIP: 43849RAH8<br>LEI: 213800ZUAQRBYL67JS90 | Long             | DBT              | CORP              | US        |     800000 | PA      | $788842.98    | 0.02%             | 2046-03-16      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                       | C V3.52 10/27/28                                                            | CUSIP: 172967LS8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    6280000 | PA      | $6188183.83   | 0.17%             | 2028-10-27      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FA2766                                                                   | CUSIP: 3140W3CC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5671736 | PA      | $5864374.72   | 0.16%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 582349                                                                   | CUSIP: 36201F5J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7163 | PA      | $7360.08      | 0.00%             | 2032-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BD9144                                                                   | CUSIP: 3140FHES2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89217 | PA      | $80572.68     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| B.A.T. Capital Corporation                                                           | BATSLN 4.54 08/15/47                                                        | CUSIP: 05526DBF1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    4515000 | PA      | $3669020.93   | 0.10%             | 2047-08-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| R.R. Donnelley & Sons Co.                                                            | RRD 9.5 08/01/29 144A                                                       | CUSIP: 257867BJ9<br>LEI: SU4X0P4WWRGOQDTSV032 | Long             | DBT              | CORP              | US        |    2120000 | PA      | $2147589.68   | 0.06%             | 2029-08-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 550725                                                                   | CUSIP: 36213CYW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17138 | PA      | $17817.10     | 0.00%             | 2035-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital Designated Activity Co. / AerCap Global Aviation Trust (AER)  | AER 2.45 10/29/26                                                           | CUSIP: 00774MAV7<br>LEI: 549300TI38531ODB1G63 | Long             | DBT              | CORP              | IE        |   12550000 | PA      | $12413762.97  | 0.34%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Sands China Ltd.                                                                     | SANLTD 5.4 08/08/28                                                         | CUSIP: 80007RAE5<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |    3950000 | PA      | $3982066.10   | 0.11%             | 2028-08-08      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                                                 | GLENLN 5.673 04/01/35 144A                                                  | CUSIP: 378272CA4<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    5060000 | PA      | $5171324.50   | 0.14%             | 2035-04-01      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                                      | CVS 2.125 09/15/31                                                          | CUSIP: 126650DR8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     660000 | PA      | $572501.43    | 0.02%             | 2031-09-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                                         | UBS V4.751 05/12/28 144A                                                    | CUSIP: 902613AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    4430000 | PA      | $4443056.94   | 0.12%             | 2028-05-12      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                      | FHMS K-1520 X1                                                              | CUSIP: 3137FYTY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   12822329 | PA      | $416985.97    | 0.01%             | 2036-02-25      | Variable      | 0.47%                 | No            |                  2 | On Loan: No      |
| Focus Financial Partners LLC                                                         | Focus Financial Term Loan B-8 (add-on) 275 2031-09-01                       | CUSIP: 34416DBD9<br>LEI: 5493007L0E0VKRC2CP39 | Long             | LON              | CORP              | US        |    4930200 | PA      | $4782023.00   | 0.13%             | 2031-09-15      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                            | GS V3.814 04/23/29                                                          | CUSIP: 38141GWV2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1765000 | PA      | $1741351.79   | 0.05%             | 2029-04-23      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                       | C V6.625 PERP                                                               | CUSIP: 172967QJ3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    5020000 | PA      | $5027179.75   | 0.14%             | N/A             | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNA 2020-M6 A                                                               | CUSIP: 3136B8UA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    2836180 | PA      | $2520818.90   | 0.07%             | 2037-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2022-4 Z                                                                | CUSIP: 38381EQD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    2613520 | PA      | $1065016.92   | 0.03%             | 2064-03-16      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Comcast Corporation                                                                  | CMCSA 6.5 11/15/35                                                          | CUSIP: 20030NAK7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     451000 | PA      | $492364.80    | 0.01%             | 2035-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Lockheed Martin Corporation                                                          | LMT 5.2 02/15/64                                                            | CUSIP: 539830CE7<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |    1570000 | PA      | $1426646.63   | 0.04%             | 2064-02-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                                   | CUSIP: 01F060642<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -30900000 | PA      | $-31502063.33 | -0.85%            | 2056-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc.                                                              | UNH 4.2 05/15/32                                                            | CUSIP: 91324PEJ7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     630000 | PA      | $614333.87    | 0.02%             | 2032-05-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                             | T 4.35 06/15/45                                                             | CUSIP: 00206RBK7<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     149000 | PA      | $120481.41    | 0.00%             | 2045-06-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN 562875                                                                   | CUSIP: 31386GJU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8394 | PA      | $8560.00      | 0.00%             | 2031-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FG G60985                                                                   | CUSIP: 31335BCW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   24852048 | PA      | $22536023.57  | 0.61%             | 2047-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION II MORTGAGE-BACKED SECURITIES               | GNR 2012-152 IO                                                             | CUSIP: 38378B2Q1<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |   13301347 | PA      | $391763.23    | 0.01%             | 2054-01-16      | Variable      | 0.69%                 | No            |                  2 | On Loan: No      |
| Cloudera Inc                                                                         | Cloudera First-lien Term Loan 375 2028-07-24                                | CUSIP: 74339VAB4<br>LEI: 549300PGONC4JOI0RG62 | Long             | LON              | CORP              | US        |    2680000 | PA      | $2400275.00   | 0.06%             | 2028-10-08      | Floating      | 7.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 658410                                                                   | CUSIP: 36294SN37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6710 | PA      | $6965.49      | 0.00%             | 2037-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                                               | TFC V6.047 06/08/27 MTN                                                     | CUSIP: 89788MAN2<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |      90000 | PA      | $90230.47     | 0.00%             | 2027-06-08      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2013-50 IO                                                              | CUSIP: 38378KJP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   17922663 | PA      | $33366.62     | 0.00%             | 2048-10-16      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| Freeport-McMoRan Inc.                                                                | FCX 5.45 03/15/43                                                           | CUSIP: 35671DBC8<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |    3232000 | PA      | $3060355.07   | 0.08%             | 2043-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| HILDENE COM 2015-R FDG CDO LTD                                                       | HCOMF 2015-1A ARR                                                           | CUSIP: 43133KAC9<br>LEI: 549300845E8YWIPN4S43 | Long             | ABS-CBDO         | CORP              | KY        |    4280690 | PA      | $3819624.69   | 0.10%             | 2035-11-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BU9889                                                                   | CUSIP: 3140MB7B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     305640 | PA      | $272865.46    | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank of America, National Association                                                | JPY/USD FORWARD                                                             | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $13284.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PRODUCTS INC                                              | RAMP 2004-SL4 A5                                                            | CUSIP: 76112BGP9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     296066 | PA      | $78375.16     | 0.00%             | 2032-07-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Amazon.com, Inc.                                                                     | AMZN 5.95 03/13/66                                                          | CUSIP: 023135DJ2<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    1820000 | PA      | $1827352.53   | 0.05%             | 2066-03-13      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION II MORTGAGE-BACKED SECURITIES               | GN 574843                                                                   | CUSIP: 36200WS85<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      15542 | PA      | $16009.33     | 0.00%             | 2031-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 657120                                                                   | CUSIP: 36294RAV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3064 | PA      | $3177.86      | 0.00%             | 2037-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE FUNDING LLC MORTGAGE-BACKED CERTIFICATES SERIES 2005-4                   | CCMFC 2005-4A A1                                                            | CUSIP: 16678RET0<br>LEI: 5493000HGUJLFEQO2209 | Long             | ABS-O            | CORP              | US        |     165096 | PA      | $160891.11    | 0.00%             | 2036-10-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 633556                                                                   | CUSIP: 36291NZV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        384 | PA      | $394.05       | 0.00%             | 2034-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable Enterprises LLC                                                    | CHTR 8.375 07/15/33                                                         | CUSIP: 88731EAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2060000 | PA      | $2333663.03   | 0.06%             | 2033-07-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Rogers Communications Inc.                                                           | RCICN 5.3 02/15/34                                                          | CUSIP: 775109DF5<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |    3730000 | PA      | $3715102.57   | 0.10%             | 2034-02-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                       | BNP V8.5 PERP 144A                                                          | CUSIP: 05565A5R0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    7380000 | PA      | $7694365.86   | 0.21%             | N/A             | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                       | MS V3.772 01/24/29 GMTN                                                     | CUSIP: 61744YAP3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    7533000 | PA      | $7434109.11   | 0.20%             | 2029-01-24      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR QG2317                                                                   | CUSIP: 3133C2SE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     927552 | PA      | $965971.64    | 0.03%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association                                            | USD/AUD FORWARD                                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $247576.05    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                                     | Options on Three-Month SOFR Futures                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -3163 | NC      | $-118612.50   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BE0072                                                                   | CUSIP: 3140FKCJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2835653 | PA      | $2562965.04   | 0.07%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2014-17 AM                                                              | CUSIP: 38378NWU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     211525 | PA      | $204537.80    | 0.01%             | 2048-06-16      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| Sands China Ltd.                                                                     | SANLTD 2.3 03/08/27                                                         | CUSIP: 80007RAN5<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |    6770000 | PA      | $6611935.39   | 0.18%             | 2027-03-08      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 4.75 05/15/55                                                             | CUSIP: 912810UK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5340000 | PA      | $5201285.17   | 0.14%             | 2055-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN FS5306                                                                   | CUSIP: 3140XL3Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8395624 | PA      | $8649986.92   | 0.23%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                                         | UBS V7.75 PERP 144A                                                         | CUSIP: 902613BK3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    2550000 | PA      | $2635057.80   | 0.07%             | N/A             | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Intel Corporation                                                                    | INTC 3.05 08/12/51                                                          | CUSIP: 458140BW9<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     610000 | PA      | $370586.96    | 0.01%             | 2051-08-12      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN FM8025                                                                   | CUSIP: 3140XB4K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1593745 | PA      | $1376312.82   | 0.04%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 BD4239                                                                   | CUSIP: 3617BKV81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     474384 | PA      | $439338.14    | 0.01%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Boeing Co.                                                                           | BA 3.75 02/01/50                                                            | CUSIP: 097023CQ6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    1280000 | PA      | $908615.24    | 0.02%             | 2050-02-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                                | BAC V2.572 10/20/32                                                         | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1060000 | PA      | $943455.45    | 0.03%             | 2032-10-20      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AS6562                                                                   | CUSIP: 3138WGJG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2384033 | PA      | $2224432.96   | 0.06%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Las Vegas Sands Corp                                                                 | LVS 3.9 08/08/29                                                            | CUSIP: 517834AF4<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    3140000 | PA      | $3027437.91   | 0.08%             | 2029-08-08      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2-30YR-Multi                                                               | CUSIP: 21H042646<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7700000 | PA      | $7439845.18   | 0.20%             | 2056-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| 280 Park Avenue Trust                                                                | PRK 2017-280P F                                                             | CUSIP: 90205FAQ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1780000 | PA      | $1730970.79   | 0.05%             | 2034-09-15      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                                         | EUR/USD FORWARD                                                             | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $325394.70    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 2.875 08/15/45                                                            | CUSIP: 912810RN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   52040000 | PA      | $38653929.82  | 1.05%             | 2045-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| MAGNETITE CBO II LTD                                                                 | MAGNE 2021-29A BR                                                           | CUSIP: 55955KAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4840000 | PA      | $4849286.02   | 0.13%             | 2037-07-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2019-R05                                         | CAS 2019-R05 1B1                                                            | CUSIP: 20754HAD0<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    2967478 | PA      | $2992128.99   | 0.08%             | 2039-07-25      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| Spirit Airlines, LLC                                                                 | Spirit Contingent TL                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2097999 | PA      | $262249.90    | 0.01%             | 2026-07-14      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| FORTRESS CREDIT BSL XXIV LTD                                                         | FCBSL 2025-1A A                                                             | CUSIP: 34990BAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    6390000 | PA      | $6388431.26   | 0.17%             | 2038-04-20      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Amrize Finance US LLC                                                                | AMRZ 5.4 04/07/35                                                           | CUSIP: 43475RAT3<br>LEI: 529900FB2F1WKLFNGY62 | Long             | DBT              | CORP              | US        |    1290000 | PA      | $1312319.17   | 0.04%             | 2035-04-07      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Synopsys Inc                                                                         | SNPS 4.85 04/01/30                                                          | CUSIP: 871607AC1<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    1720000 | PA      | $1733106.43   | 0.05%             | 2030-04-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                                   | CUSIP: 01F050643<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   81600000 | PA      | $80487059.23  | 2.18%             | 2056-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Comcast Corporation                                                                  | CMCSA 5.35 05/15/53                                                         | CUSIP: 20030NEF4<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    3240000 | PA      | $2867791.26   | 0.08%             | 2053-05-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN FS1112                                                                   | CUSIP: 3140XGGW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20277833 | PA      | $16736254.77  | 0.45%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                            | GS V3.615 03/15/28                                                          | CUSIP: 38141GZR8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    5790000 | PA      | $5744694.58   | 0.16%             | 2028-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Oglethorpe Power Corp.                                                               | OGLETH 5.9 02/01/55                                                         | CUSIP: 677050AY2<br>LEI: 3EERXCUSWMS9GV5D9M98 | Long             | DBT              | CORP              | US        |    2340000 | PA      | $2282216.25   | 0.06%             | 2055-02-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc.                                                                          | ABBV 5.05 03/15/34                                                          | CUSIP: 00287YDU0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    4370000 | PA      | $4436757.43   | 0.12%             | 2034-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                                     | Options on Three-Month SOFR Futures                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       3466 | NC      | $1191437.50   | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| SEB FUNDING LLC                                                                      | SEB4P 2024-1A A2                                                            | CUSIP: 78433DAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11060000 | PA      | $11266633.98  | 0.30%             | 2054-04-30      | Fixed         | 7.39%                 | No            |                  2 | On Loan: No      |
| Union Pacific Corporation                                                            | UNP 2.891 04/06/36                                                          | CUSIP: 907818FQ6<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    2540000 | PA      | $2132715.67   | 0.06%             | 2036-04-06      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| NCL Corporation Ltd.                                                                 | NCLH 5.875 01/15/31 144A                                                    | CUSIP: 62886HBY6<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | BM        |     830000 | PA      | $806897.64    | 0.02%             | 2031-01-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 466530                                                                   | CUSIP: 36209BHF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        344 | PA      | $350.81       | 0.00%             | 2029-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 598599                                                                   | CUSIP: 36200D7L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      34671 | PA      | $34985.93     | 0.00%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR QC0165                                                                   | CUSIP: 3133AJFE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2840900 | PA      | $2447569.05   | 0.07%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNA 2019-M4 A2                                                              | CUSIP: 3136B35Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    4273569 | PA      | $4152358.17   | 0.11%             | 2031-02-25      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR QC3690                                                                   | CUSIP: 3133ANC36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4773370 | PA      | $4116312.79   | 0.11%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Eli Lilly & Co.                                                                      | LLY 5.1 02/09/64                                                            | CUSIP: 532457CN6<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |    1860000 | PA      | $1674602.38   | 0.05%             | 2064-02-09      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR ZT1159                                                                   | CUSIP: 3132ADJC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     583887 | PA      | $551547.33    | 0.01%             | 2044-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Amazon.com, Inc.                                                                     | AMZN 4.35 03/20/33                                                          | CUSIP: 023135CU8<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1375084.86   | 0.04%             | 2033-03-20      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MORTGAGES TRUST 2006-OA1                                       | MARM 2006-OA1 1A1                                                           | CUSIP: 576433G42<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      57613 | PA      | $54382.81     | 0.00%             | 2046-04-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2017-8 IO                                                               | CUSIP: 38379RLZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   11475965 | PA      | $200947.59    | 0.01%             | 2058-08-16      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| Cooperatieve Rabobank U.A.                                                           | RABOBK V3.758 04/06/33 144A                                                 | CUSIP: 74977RDP6<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    5210000 | PA      | $4881660.28   | 0.13%             | 2033-04-06      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| Alphabet Inc.                                                                        | GOOGL 5.45 11/15/55                                                         | CUSIP: 02079KBA4<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     870000 | PA      | $842941.33    | 0.02%             | 2055-11-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Meta Platforms Inc                                                                   | META 4.6 11/15/32                                                           | CUSIP: 30303MAC6<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    7625000 | PA      | $7552771.88   | 0.20%             | 2032-11-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 606773                                                                   | CUSIP: 36201YCJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      35311 | PA      | $35690.54     | 0.00%             | 2033-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc.                                                                          | ABBV 4.55 03/15/35                                                          | CUSIP: 00287YCY3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     140000 | PA      | $135987.66    | 0.00%             | 2035-03-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| McDonald's Corp.                                                                     | MCD 3.6 07/01/30 MTN                                                        | CUSIP: 58013MFQ2<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |      80000 | PA      | $77760.64     | 0.00%             | 2030-07-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Ecopetrol S.A.                                                                       | ECOPET 5.875 05/28/45                                                       | CUSIP: 279158AJ8<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |    6530000 | PA      | $4812939.83   | 0.13%             | 2045-05-28      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                                   | ET 5.25 04/15/29                                                            | CUSIP: 29278NAG8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     520000 | PA      | $529737.24    | 0.01%             | 2029-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Alphabet Inc.                                                                        | GOOGL 5.5 02/15/46                                                          | CUSIP: 02079KBN6<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    2080000 | PA      | $2064524.76   | 0.06%             | 2046-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 663816                                                                   | CUSIP: 36294YN91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8867 | PA      | $9143.99      | 0.00%             | 2037-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2017-H11 IO                                                             | CUSIP: 38376R4Q6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    9439236 | PA      | $298035.39    | 0.01%             | 2067-05-20      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN FS0410                                                                   | CUSIP: 3140XFN49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     559008 | PA      | $511786.69    | 0.01%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 BM7534                                                                   | CUSIP: 3617JYLP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1994257 | PA      | $1831451.85   | 0.05%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GMACM HOME EQUITY LOAN TRUST 2004-HE3                                                | GMACM 2004-HE3 A2VN                                                         | CUSIP: 361856DG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     433039 | PA      | $413908.06    | 0.01%             | 2034-10-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| RTX Corp.                                                                            | RTX 3.03 03/15/52                                                           | CUSIP: 75513ECP4<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    2200000 | PA      | $1397868.67   | 0.04%             | 2052-03-15      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| EQT Corporation                                                                      | EQT 3.125 05/15/26 144A                                                     | CUSIP: 26884LAM1<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     600000 | PA      | $598817.25    | 0.02%             | 2026-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                                     | Options on Three-Month SOFR Futures                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       2779 | NC      | $191056.25    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Wells Fargo & Co.                                                                    | WFC V2.879 10/30/30 MTN                                                     | CUSIP: 95000U2G7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    3860000 | PA      | $3642437.97   | 0.10%             | 2030-10-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 631356                                                                   | CUSIP: 36291LMD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22216 | PA      | $23035.36     | 0.00%             | 2035-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 633711                                                                   | CUSIP: 36291PAL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        825 | PA      | $852.14       | 0.00%             | 2034-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Teva Pharmaceutical Finance Netherlands III B.V.                                     | TEVA 4.1 10/01/46                                                           | CUSIP: 88167AAF8<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |    8190000 | PA      | $6081043.06   | 0.16%             | 2046-10-01      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Amazon.com, Inc.                                                                     | AMZN 4.1 11/20/30                                                           | CUSIP: 023135CT1<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    6120000 | PA      | $6050815.36   | 0.16%             | 2030-11-20      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BF0301                                                                   | CUSIP: 3140FXKP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1571095 | PA      | $1519317.42   | 0.04%             | 2058-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Quikrete Holdings Inc                                                                | QUIKHO 6.375 03/01/32 144A                                                  | CUSIP: 74843PAA8<br>LEI: 5493007KIN86DIZWZT22 | Long             | DBT              | CORP              | US        |    1960000 | PA      | $1988915.88   | 0.05%             | 2032-03-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. | CHTR 5.75 04/01/48                                                          | CUSIP: 161175BN3<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |    2560000 | PA      | $2136675.58   | 0.06%             | 2048-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNR 2012-51 B                                                               | CUSIP: 3136A54N3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    1818118 | PA      | $1958174.76   | 0.05%             | 2042-05-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Boeing Co.                                                                           | BA 3.2 03/01/29                                                             | CUSIP: 097023CD5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    3580000 | PA      | $3453692.91   | 0.09%             | 2029-03-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Alphabet Inc.                                                                        | GOOGL 4.5 05/15/35                                                          | CUSIP: 02079KAL1<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     160000 | PA      | $157430.30    | 0.00%             | 2035-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 615716                                                                   | CUSIP: 36290SAR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3179 | PA      | $3239.78      | 0.00%             | 2033-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AS7844                                                                   | CUSIP: 3138WHWE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     389893 | PA      | $351678.17    | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Siemens Funding BV                                                                   | SIEGR 4.9 05/28/32 144A                                                     | CUSIP: 82622RAD8<br>LEI: 213800CCRGH2TO338X64 | Long             | DBT              | CORP              | NL        |    2780000 | PA      | $2835592.41   | 0.08%             | 2032-05-28      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Cyprium Corp./Cyprium Holdings Luxembourg S.a r.l.                                   | VGNT 6.375 04/15/34 144A                                                    | CUSIP: 23292NAB4<br>LEI: 254900V7LN9S9W17X250 | Long             | DBT              | CORP              | US        |    1230000 | PA      | $1196964.68   | 0.03%             | 2034-04-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| EQT Corporation                                                                      | EQT 3.625 05/15/31 144A                                                     | CUSIP: 26884LAN9<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    3383000 | PA      | $3159165.97   | 0.09%             | 2031-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FG A88502                                                                   | CUSIP: 312935NT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1100 | PA      | $1106.69      | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Company                                                     | PCG 3.3 08/01/40                                                            | CUSIP: 694308JH1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    1070000 | PA      | $800884.06    | 0.02%             | 2040-08-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN CA6783                                                                   | CUSIP: 3140QERD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     424151 | PA      | $374309.00    | 0.01%             | 2040-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Black Pearl Compute LLC                                                              | BLKPRL 6.125 02/15/31 144A                                                  | CUSIP: 09216NAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1760000 | PA      | $1793522.72   | 0.05%             | 2031-02-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AS6340                                                                   | CUSIP: 3138WGBJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2802415 | PA      | $2631540.11   | 0.07%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 784106                                                                   | CUSIP: 3622A2R38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2069128 | PA      | $1948817.14   | 0.05%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 4 06/30/32                                                                | CUSIP: 91282CNJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   53730000 | PA      | $53494931.25  | 1.45%             | 2032-06-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                                   | TMUS 5.15 04/15/34                                                          | CUSIP: 87264ADF9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    3780000 | PA      | $3809793.88   | 0.10%             | 2034-04-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2006-Hy12                                                     | CWALT 2006-OA9 2A1B                                                         | CUSIP: 02146YAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     160442 | PA      | $141390.94    | 0.00%             | 2046-07-20      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                                         | UBS V9.25 PERP 144A                                                         | CUSIP: 902613BE7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    2480000 | PA      | $2793965.52   | 0.08%             | N/A             | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| Northrop Grumman Corporation                                                         | NOC 3.25 01/15/28                                                           | CUSIP: 666807BN1<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |      10000 | PA      | $9825.01      | 0.00%             | 2028-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN 938338                                                                   | CUSIP: 31412X4X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10911 | PA      | $11420.67     | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BF0064                                                                   | CUSIP: 3140FXCA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     189561 | PA      | $179950.67    | 0.00%             | 2055-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FG A88640                                                                   | CUSIP: 312935S59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3102 | PA      | $3140.24      | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 552310                                                                   | CUSIP: 36213ER73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22823 | PA      | $23610.37     | 0.00%             | 2032-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2023-DNA2                                              | STACR 2023-DNA2 B1                                                          | CUSIP: 35564KW70<br>LEI: 5493000IRI80KQJUNK40 | Long             | ABS-O            | USGSE             | US        |    5000000 | PA      | $5562854.00   | 0.15%             | 2043-04-25      | Floating      | 11.26%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 781690                                                                   | CUSIP: 36225B2X5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5245 | PA      | $5424.35      | 0.00%             | 2033-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Eli Lilly & Co.                                                                      | LLY 5 02/09/54                                                              | CUSIP: 532457CM8<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1276311.62   | 0.03%             | 2054-02-09      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNR 2013-29 QI                                                              | CUSIP: 3136ADKM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    1691192 | PA      | $279871.01    | 0.01%             | 2043-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SC0160                                                                   | CUSIP: 3132D9E91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3996568 | PA      | $3498416.08   | 0.09%             | 2041-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                                    | EPD 3.125 07/31/29                                                          | CUSIP: 29379VBV4<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     850000 | PA      | $819314.35    | 0.02%             | 2029-07-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Company                                                     | PCG 2.5 02/01/31                                                            | CUSIP: 694308JG3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    3850000 | PA      | $3451450.62   | 0.09%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN FM7727                                                                   | CUSIP: 3140XBSR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2638306 | PA      | $2293550.22   | 0.06%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 631283                                                                   | CUSIP: 36291LJ48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17987 | PA      | $18612.90     | 0.00%             | 2035-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Spirit Aviation Holdings Inc.                                                        | Spirit Aviation Holdings Inc. WT EXP                                        | CUSIP: 84863V135<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     206310 | NS      | $51577.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NTT Finance Corp                                                                     | NTT 4.876 07/16/30 144A                                                     | CUSIP: 62954WAS4<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |    3660000 | PA      | $3684220.56   | 0.10%             | 2030-07-16      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION II MORTGAGE-BACKED SECURITIES               | GN 552162                                                                   | CUSIP: 36213EMK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       2992 | PA      | $3032.00      | 0.00%             | 2031-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Swch Commercial Mortgage Trust 2025-Data                                             | SWCH 2025-DATA A                                                            | CUSIP: 78489CAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8270000 | PA      | $8179422.00   | 0.22%             | 2042-02-18      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Meta Platforms Inc                                                                   | META 5.5 11/15/45                                                           | CUSIP: 30303M8X3<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    2600000 | PA      | $2462086.93   | 0.07%             | 2045-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMR 2019-RR01 X                                                            | CUSIP: 3137FQ3M3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   23500000 | PA      | $619601.00    | 0.02%             | 2028-06-27      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| National Collegiate Student Loan Trust 2006-4                                        | NCSLT 2006-4 A4                                                             | CUSIP: 63543WAD3<br>LEI: 635400VHKJCABQGBTP36 | Long             | ABS-O            | CORP              | US        |     302167 | PA      | $301195.50    | 0.01%             | 2032-05-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AI2443                                                                   | CUSIP: 3138AFWD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11748 | PA      | $11879.12     | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN FM7675                                                                   | CUSIP: 3140XBQ52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9290861 | PA      | $8012160.68   | 0.22%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                                                       | AUD/USD FORWARD                                                             | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-4569.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AIMCO CLO 15 LTD                                                                     | AIMCO 2021-15A AR                                                           | CUSIP: 00889BAE1<br>LEI: 254900QER1MDK5C1YE06 | Long             | ABS-CBDO         | CORP              | KY        |   11560000 | PA      | $11563143.16  | 0.31%             | 2038-04-17      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2017-H18 BI                                                             | CUSIP: 38376R6U5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    7517760 | PA      | $199322.88    | 0.01%             | 2067-09-20      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| Talen Energy Supply LLC                                                              | TLN 6.5 02/01/36 144A                                                       | CUSIP: 87422VAN8<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | DBT              | CORP              | US        |    2670000 | PA      | $2689973.55   | 0.07%             | 2036-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AB3355                                                                   | CUSIP: 31416YWR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1245947 | PA      | $1259900.93   | 0.03%             | 2041-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Caixabank S.A.                                                                       | CABKSM V4.885 07/03/31 144A                                                 | CUSIP: 12803RAL8<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |    4710000 | PA      | $4717257.17   | 0.13%             | 2031-07-03      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| PRPM 2026-RCF1 LLC                                                                   | PRPM 2026-RCF1 A1                                                           | CUSIP: 69383VAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6049720 | PA      | $6020501.73   | 0.16%             | 2056-01-25      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION                                            | IRS BRL                                                                     | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              | CORP              | US        |          1 | NC      | $-390367.64   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Targa Resources Corp.                                                                | TRGP 4.95 04/15/52                                                          | CUSIP: 87612GAB7<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    2370000 | PA      | $1986438.92   | 0.05%             | 2052-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                | FN MA4387                                                                   | CUSIP: 31418D2V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     811909 | PA      | $710130.35    | 0.02%             | 2041-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2015-GS1                                                | GSMS 2017-GS8 A4                                                            | CUSIP: 36254KAL6<br>LEI: 549300WZ62L3Y22NOZ64 | Long             | ABS-O            | CORP              | US        |    4690000 | PA      | $4617115.06   | 0.12%             | 2050-11-11      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                                                 | GLENLN 4 03/27/27 144A                                                      | CUSIP: 378272AN8<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |      30000 | PA      | $29875.21     | 0.00%             | 2027-03-27      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                                                   | ACAFP V4.818 09/25/33 144A                                                  | CUSIP: 22535WAS6<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    3360000 | PA      | $3292946.73   | 0.09%             | 2033-09-25      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNR 2015-65 CZ                                                              | CUSIP: 3136AP3N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    8869476 | PA      | $7852992.40   | 0.21%             | 2045-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                       | C V4.91 05/24/33                                                            | CUSIP: 172967NU1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     670000 | PA      | $667280.14    | 0.02%             | 2033-05-24      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION II MORTGAGE-BACKED SECURITIES               | GN 781148                                                                   | CUSIP: 36225BHZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |         66 | PA      | $66.65        | 0.00%             | 2029-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Synopsys Inc                                                                         | SNPS 5 04/01/32                                                             | CUSIP: 871607AD9<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    1360000 | PA      | $1372258.18   | 0.04%             | 2032-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                          | 10-Year T-Note Options                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -2516 | NC      | $-235875.00   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                                             | GN 633486                                                                   | CUSIP: 36291NXP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13817 | PA      | $14116.54     | 0.00%             | 2034-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2021-134 HI                                                             | CUSIP: 38381DWD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   25685251 | PA      | $2339499.98   | 0.06%             | 2061-06-16      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN FM6418                                                                   | CUSIP: 3140XADY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2007702 | PA      | $1661585.59   | 0.04%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NTT Finance Corp                                                                     | NTT 5.171 07/16/32 144A                                                     | CUSIP: 62954WAU9<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |    5410000 | PA      | $5451109.83   | 0.15%             | 2032-07-16      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST 2017-C1                                                | UBSCM 2017-C1 A4                                                            | CUSIP: 90276EAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4740000 | PA      | $4681657.24   | 0.13%             | 2050-06-17      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| Mastr Adjustable Rate Mortgages Trust 2002-3                                         | MARM 2004-6 5A1                                                             | CUSIP: 576433PD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      20047 | PA      | $19764.09     | 0.00%             | 2034-07-25      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BF0183                                                                   | CUSIP: 3140FXFZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3335218 | PA      | $3159913.77   | 0.09%             | 2057-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AmWINS Group Inc                                                                     | AmWINS Group Term Loan B 200 2032-01-01                                     | CUSIP: 03234TBB3<br>LEI: 549300SJE7MUB8NMRG61 | Long             | LON              | CORP              | US        |    3761278 | PA      | $3740628.78   | 0.10%             | 2032-01-30      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                                     | Options on Three-Month SOFR Futures                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       5052 | NC      | $347325.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Oneok Inc.                                                                           | OKE 5.8 11/01/30                                                            | CUSIP: 682680BK8<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    2410000 | PA      | $2509081.29   | 0.07%             | 2030-11-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TRUST 2003-3                                            | RAMC 2003-4 A3                                                              | CUSIP: 759950BR8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2981472 | PA      | $2725126.06   | 0.07%             | 2034-03-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FG A87189                                                                   | CUSIP: 3129337A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3976 | PA      | $4006.63      | 0.00%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2024-BIO2                                               | BX 2024-BIO2 D                                                              | CUSIP: 05613GAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2950000 | PA      | $2857153.18   | 0.08%             | 2041-08-15      | Variable      | 7.71%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                                | BAC V4.571 04/27/33                                                         | CUSIP: 06051GKQ1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    6660000 | PA      | $6546430.75   | 0.18%             | 2033-04-27      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| SAGARD-HALSEYPOINT CLO 8 LTD/LLC                                                     | HLSY 2024-8A A1                                                             | CUSIP: 78662AAA0<br>LEI: 254900W5MVYX9QDPHC09 | Long             | ABS-CBDO         | CORP              | KY        |    2190000 | PA      | $2195066.13   | 0.06%             | 2038-02-01      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 584399                                                                   | CUSIP: 36201JGG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4952 | PA      | $5021.03      | 0.00%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                          | Ultra 10-Year U.S. Treasury Note Futures, Jun-2026,ETH                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        122 | NC      | $-307038.62   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Silver Point Clo 8 Ltd.                                                              | SPCLO 2025-8A A1                                                            | CUSIP: 827918AA1<br>LEI: 254900U97WKD6RJ07L38 | Long             | ABS-CBDO         | CORP              | KY        |    9410000 | PA      | $9412568.93   | 0.25%             | 2038-04-15      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Company LLC                                                        | F 2.9 02/16/28                                                              | CUSIP: 345397B51<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    1550000 | PA      | $1486887.91   | 0.04%             | 2028-02-16      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Costa Rica (Republic Of)                                                             | COSTAR 6.55 04/03/34 144A                                                   | CUSIP: 221597CR6<br>LEI: 549300S1EK2VN6XVJP58 | Long             | DBT              | NUSS              | CR        |    8590000 | PA      | $9078384.45   | 0.25%             | 2034-04-03      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| BAC Capital Trust XIV                                                                | BAC V0 PERP G                                                               | CUSIP: 05518VAA3<br>LEI: 549300QO5OB3VGJT6S64 | Long             | DBT              | CORP              | US        |    7226000 | PA      | $5844064.35   | 0.16%             | N/A             | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 CI1513                                                                   | CUSIP: 3617X5VE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     422221 | PA      | $370473.10    | 0.01%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 651871                                                                   | CUSIP: 36292LFL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2407 | PA      | $2450.93      | 0.00%             | 2036-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Las Vegas Sands Corp                                                                 | LVS 6 06/14/30                                                              | CUSIP: 517834AN7<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |     260000 | PA      | $267551.13    | 0.01%             | 2030-06-14      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 BS1728                                                                   | CUSIP: 3617MB4M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1277356 | PA      | $1185529.22   | 0.03%             | 2050-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Corp.                                                                    | FE 3.9 07/15/27 B                                                           | CUSIP: 337932AH0<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |    6522000 | PA      | $6470496.74   | 0.18%             | 2027-07-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR ZT1107                                                                   | CUSIP: 3132ADGQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6892163 | PA      | $6485039.93   | 0.18%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GIP Pilot Acquisition Partners LP                                                    | GIP Pilot Acquisition Partners Term Loan B 200 2030-10-01                   | CUSIP: 31773HAE2<br>LEI: 254900NQOAOPPA12X060 | Long             | LON              | CORP              | US        |    2447939 | PA      | $2454058.58   | 0.07%             | 2030-10-04      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 592642                                                                   | CUSIP: 36201TLX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     113759 | PA      | $116008.20    | 0.00%             | 2033-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                               | FHR 5282 GI                                                                 | CUSIP: 3137H9KH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   14596499 | PA      | $3124297.51   | 0.08%             | 2050-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FG G05774                                                                   | CUSIP: 3128M7XB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6387 | PA      | $6466.20      | 0.00%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CLI FUNDING IX LLC                                                                   | CLIF 2024-1A A                                                              | CUSIP: 12571WAA1<br>LEI: 2549008S2Z91ASJFZL83 | Long             | ABS-O            | CORP              | US        |    7039413 | PA      | $7078175.16   | 0.19%             | 2049-07-20      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc.                                                              | UNH 2 05/15/30                                                              | CUSIP: 91324PDX7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    5070000 | PA      | $4591369.64   | 0.12%             | 2030-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN 589210                                                                   | CUSIP: 31387NR74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1358 | PA      | $1404.56      | 0.00%             | 2031-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                                         | USD/AUD FORWARD                                                             | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-294295.57   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Siemens Funding BV                                                                   | SIEGR 5.9 05/28/65 144A                                                     | CUSIP: 82622RAG1<br>LEI: 213800CCRGH2TO338X64 | Long             | DBT              | CORP              | NL        |    1030000 | PA      | $1052821.10   | 0.03%             | 2065-05-28      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                          | 10-Year T-Note Options                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       1258 | NC      | $255531.26    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| STRUCTURED ASSET MORTGAGE INVESTMENTS II TRUST 2006-AR6                              | SAMI 2006-AR6 1A1                                                           | CUSIP: 86360UAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      50334 | PA      | $45688.31     | 0.00%             | 2046-07-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Micron Technology Inc.                                                               | MU 6.05 11/01/35                                                            | CUSIP: 595112CH4<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |     100000 | PA      | $107948.02    | 0.00%             | 2035-11-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Danske Bank A/S                                                                      | DANBNK V4.298 04/01/28 144A                                                 | CUSIP: 23636ABC4<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |     250000 | PA      | $249670.77    | 0.01%             | 2028-04-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 784571                                                                   | CUSIP: 3622A3CG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2293360 | PA      | $2159209.10   | 0.06%             | 2048-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AON NORTH AMERICA INC                                                                | AON 5.45 03/01/34                                                           | CUSIP: 03740MAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1870000 | PA      | $1910486.79   | 0.05%             | 2034-03-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc.                                                          | VZ 3.15 03/22/30                                                            | CUSIP: 92343VFE9<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    5170000 | PA      | $4925357.25   | 0.13%             | 2030-03-22      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SC0310                                                                   | CUSIP: 3132D9KX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1271591 | PA      | $1110107.99   | 0.03%             | 2042-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                          | 5-Year T-Note Options                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        316 | NC      | $316.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                          | 2-Year T-Note Futures, Jun-2026,ETH                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       5691 | NC      | $-650879.22   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2023-92 AH                                                              | CUSIP: 38381H8H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   34952655 | PA      | $26773621.95  | 0.72%             | 2064-06-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN 916381                                                                   | CUSIP: 31411WCS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1135 | PA      | $1156.01      | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                       | C 4.45 09/29/27                                                             | CUSIP: 172967KA8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    4150000 | PA      | $4151088.17   | 0.11%             | 2027-09-29      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                               | MXN/USD FORWARD                                                             | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              | CORP              | US        |          1 | NC      | $2226.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LOANPAL SOLAR LOAN 2021-1 LTD                                                        | LPSLT 2021-1GS A                                                            | CUSIP: 53948PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    2158065 | PA      | $1791111.53   | 0.05%             | 2048-01-20      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| Halliburton Company                                                                  | HAL 4.85 11/15/35                                                           | CUSIP: 406216BJ9<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |    1580000 | PA      | $1537350.93   | 0.04%             | 2035-11-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 4.75 08/15/55                                                             | CUSIP: 912810UM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3980000 | PA      | $3879256.25   | 0.10%             | 2055-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2017-H22 IC                                                             | CUSIP: 38375UY79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     781343 | PA      | $29454.97     | 0.00%             | 2067-11-20      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| Honeywell Aerospace Inc.                                                             | HONA 5.732 03/16/56 144A                                                    | CUSIP: 43849RAJ4<br>LEI: 213800ZUAQRBYL67JS90 | Long             | DBT              | CORP              | US        |    2370000 | PA      | $2344287.14   | 0.06%             | 2056-03-16      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION II MORTGAGE-BACKED SECURITIES               | GN 434128                                                                   | CUSIP: 36207KHD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |        279 | PA      | $283.62       | 0.00%             | 2028-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Venture Global LNG Inc.                                                              | VENLNG 7 01/15/30 144A                                                      | CUSIP: 92332YAE1<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |    2100000 | PA      | $2145271.80   | 0.06%             | 2030-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNR 2024-22 IC                                                              | CUSIP: 3136BRH67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   22142252 | PA      | $2998346.60   | 0.08%             | 2051-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Multifamily Trust 2016-1                                                             | MFMT 2016-1 B                                                               | CUSIP: 62547L103<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     681641 | PA      | $663320.89    | 0.02%             | 2046-04-25      | Variable      | 17.79%                | No            |                  2 | On Loan: No      |
| ELMWOOD CLO I LTD                                                                    | ELMW1 2019-1A A1R3                                                          | CUSIP: 290015BJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7660000 | PA      | $7625523.11   | 0.21%             | 2037-04-20      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| ILFC E-Capital Trust II                                                              | ILFC E-Capital Trust II                                                     | CUSIP: 44965UAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2870000 | PA      | $2507337.62   | 0.07%             | 2065-12-21      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| Argentina (Republic Of)                                                              | ARGENT 4.125 07/09/35                                                       | CUSIP: 040114HT0<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    4970000 | PA      | $3590825.00   | 0.10%             | 2035-07-09      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                 | JPM V2.522 04/22/31                                                         | CUSIP: 46647PBL9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    6130000 | PA      | $5666256.92   | 0.15%             | 2031-04-22      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| ZF North America Capital, Inc.                                                       | ZFFNGR 7.5 03/24/31 144A                                                    | CUSIP: 98877DAH8<br>LEI: 529900JYGMS9CW9IQX78 | Long             | DBT              | CORP              | US        |    2090000 | PA      | $2054658.52   | 0.06%             | 2031-03-24      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 BM9743                                                                   | CUSIP: 3617K1ZG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1002106 | PA      | $948591.00    | 0.03%             | 2049-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corp.                                                           | OXY 7.875 09/15/31                                                          | CUSIP: 674599DE2<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    3792000 | PA      | $4315974.77   | 0.12%             | 2031-09-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Broadcom Inc                                                                         | AVGO 3.187 11/15/36 144A                                                    | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     154000 | PA      | $128767.54    | 0.00%             | 2036-11-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2-30YR-Multi                                                               | CUSIP: 21H020642<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   36000000 | PA      | $29747812.32  | 0.80%             | 2056-04-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BANK5 2023-5YR1                                                                      | BANK5 2023-5YR1 A2                                                          | CUSIP: 06644EAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1798522 | PA      | $1822178.68   | 0.05%             | 2056-04-17      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                       | C V3.98 03/20/30                                                            | CUSIP: 172967ME8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    7640000 | PA      | $7518549.21   | 0.20%             | 2030-03-20      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust                                                         | RBSSP 2009-12 9A2                                                           | CUSIP: 74928UBB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3316975 | PA      | $2204806.45   | 0.06%             | 2036-03-26      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                                        | DISH 7.75 07/01/26                                                          | CUSIP: 25470XAY1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     510000 | PA      | $508884.22    | 0.01%             | 2026-07-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                               | FHR 5397 IC                                                                 | CUSIP: 3137HCG71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   21821556 | PA      | $3809581.07   | 0.10%             | 2052-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                               | FHR 5206 IJ                                                                 | CUSIP: 3137H6QT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    3511107 | PA      | $719363.01    | 0.02%             | 2048-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2017-132 IA                                                             | CUSIP: 38380GZN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    1457204 | PA      | $258400.65    | 0.01%             | 2047-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                                                       | USD/EUR FORWARD                                                             | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $233936.24    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 4.875 08/15/45                                                            | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2760000 | PA      | $2751590.61   | 0.07%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNR 2012-118 VZ                                                             | CUSIP: 3136A92R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    7565339 | PA      | $6936918.73   | 0.19%             | 2042-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                 | JPM V3.109 04/22/51                                                         | CUSIP: 46647PBN5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    1420000 | PA      | $927707.34    | 0.03%             | 2051-04-22      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORP TRUST 2007-9                                        | SASC 2006-ARS1 A1                                                           | CUSIP: 86358LAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1069197 | PA      | $18199.02     | 0.00%             | 2036-02-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BM1565                                                                   | CUSIP: 3140J5W39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14156248 | PA      | $12821187.63  | 0.35%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corp.                                                           | OXY 4.2 03/15/48                                                            | CUSIP: 674599CN3<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    1530000 | PA      | $1151132.83   | 0.03%             | 2048-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                                         | ORCL 6.7 02/04/56                                                           | CUSIP: 68389XEB7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      10000 | PA      | $9288.27      | 0.00%             | 2056-02-04      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 4.25 08/15/54                                                             | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12420000 | PA      | $11126573.50  | 0.30%             | 2054-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Truist Bank (North Carolina)                                                         | TFC V4.632 09/17/29 BKNT                                                    | CUSIP: 07330MAC1<br>LEI: JJKC32MCHWDI71265Z06 | Long             | DBT              | CORP              | US        |    2961000 | PA      | $2937365.12   | 0.08%             | 2029-09-17      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| GE Vernova Inc.                                                                      | GEV 4.875 02/04/36                                                          | CUSIP: 36828AAB7<br>LEI: 254900DP080RU6OK2553 | Long             | DBT              | CORP              | US        |    1450000 | PA      | $1437667.94   | 0.04%             | 2036-02-04      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BE4712                                                                   | CUSIP: 3140FQGW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     276387 | PA      | $249605.81    | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNS 440 C6                                                                  | CUSIP: 31424U6J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2731365 | PA      | $350680.28    | 0.01%             | 2052-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BD9139                                                                   | CUSIP: 3140FHEM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     984388 | PA      | $889730.19    | 0.02%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                                   | ET V7.125 PERP G                                                            | CUSIP: 29273VAM2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   15052000 | PA      | $15359963.92  | 0.42%             | N/A             | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Eaton Corp.                                                                          | ETN 4.8 03/06/36                                                            | CUSIP: 278058DZ2<br>LEI: 0NZWDMRCE180888QQE14 | Long             | DBT              | CORP              | US        |     600000 | PA      | $592606.88    | 0.02%             | 2036-03-06      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Western Midstream Operating LP                                                       | WES 4.5 03/01/28                                                            | CUSIP: 958254AH7<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |     413000 | PA      | $413369.82    | 0.01%             | 2028-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN CB0470                                                                   | CUSIP: 3140QKQY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     133657 | PA      | $120891.92    | 0.00%             | 2041-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Stacr Remic Trust                                                        | STACR 2026-DNA2 B1                                                          | CUSIP: 35564UEP8<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    5680000 | PA      | $5686693.88   | 0.15%             | 2046-03-26      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BR1001                                                                   | CUSIP: 3140KYDF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1716806 | PA      | $1479877.38   | 0.04%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN FM3123                                                                   | CUSIP: 3140X6PH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13677715 | PA      | $12763360.29  | 0.35%             | 2038-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 784825                                                                   | CUSIP: 3622AAHA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1265507 | PA      | $1162164.05   | 0.03%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                                          | SRGIM 5 05/28/30 144A                                                       | CUSIP: 83304JAA5<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |    1680000 | PA      | $1697940.42   | 0.05%             | 2030-05-28      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                                         | USD/EUR FORWARD                                                             | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-292377.45   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FirstEnergy Corp.                                                                    | FE 4.85 07/15/47 C                                                          | CUSIP: 337932AJ6<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |    5044000 | PA      | $4312339.55   | 0.12%             | 2047-07-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BR3256                                                                   | CUSIP: 3140L1TN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2261089 | PA      | $1874071.48   | 0.05%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                                   | ET 5.3 04/01/44                                                             | CUSIP: 86765BAP4<br>LEI: 5493006LL0CKP8WQW329 | Long             | DBT              | CORP              | US        |    1170000 | PA      | $1049542.09   | 0.03%             | 2044-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2020-49 IO                                                              | CUSIP: 38380PDL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    9822734 | PA      | $735588.23    | 0.02%             | 2062-07-16      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| Reliance Industries Ltd.                                                             | RILIN 3.625 01/12/52 144A                                                   | CUSIP: 759470BD8<br>LEI: 5493003UOETFYRONLG31 | Long             | DBT              | CORP              | IN        |    3820000 | PA      | $2701942.54   | 0.07%             | 2052-01-12      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                       | C 8.125 07/15/39                                                            | CUSIP: 172967EW7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    1915000 | PA      | $2386600.85   | 0.06%             | 2039-07-15      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| Poland (Republic of)                                                                 | POLAND 5.125 09/18/34 10Y                                                   | CUSIP: 731011AY8<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |    7240000 | PA      | $7285717.05   | 0.20%             | 2034-09-18      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Kenvue Inc.                                                                          | KVUE 4.9 03/22/33                                                           | CUSIP: 49177JAK8<br>LEI: 5493008HSF8L4M2LIJ82 | Long             | DBT              | CORP              | US        |    1197000 | PA      | $1206975.34   | 0.03%             | 2033-03-22      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                                                    | HSBC V5.279 03/10/37                                                        | CUSIP: 404280FM6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    3940000 | PA      | $3870707.34   | 0.10%             | 2037-03-10      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc.                                                          | VZ 4.78 02/15/35                                                            | CUSIP: 92343VGY4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     633000 | PA      | $612896.80    | 0.02%             | 2035-02-15      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNR 2011-59 NZ                                                              | CUSIP: 31397UUU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     318444 | PA      | $326855.27    | 0.01%             | 2041-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Reynolds American Inc.                                                               | BATSLN 5.85 08/15/45                                                        | CUSIP: 761713BB1<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |    2579000 | PA      | $2499269.29   | 0.07%             | 2045-08-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MORTGAGE FUNDING TRUST 2005-AR4                                           | GPMF 2006-AR3 3A1                                                           | CUSIP: 39538WHC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      48534 | PA      | $48291.37     | 0.00%             | 2036-04-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 649490                                                                   | CUSIP: 36292HRK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38394 | PA      | $39554.53     | 0.00%             | 2035-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 644647                                                                   | CUSIP: 36292CEU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6575 | PA      | $6803.48      | 0.00%             | 2035-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MEGlobal BV                                                                          | EQPTRC 4.25 11/03/26 144A                                                   | CUSIP: 29441WAC9<br>LEI: 549300WBVLU2FILR7W19 | Long             | DBT              | CORP              | NL        |    4790000 | PA      | $4743663.46   | 0.13%             | 2026-11-03      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Cotiviti Inc                                                                         | Cotiviti Inc Term Loan B 325 2031-02-12                                     | CUSIP: 22164MAB3<br>LEI: 254900YAQHVRTG4IFI64 | Long             | LON              | CORP              | US        |    2571337 | PA      | $2375285.41   | 0.06%             | 2031-05-01      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                             | T 2.25 02/01/32                                                             | CUSIP: 00206RKH4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    6530000 | PA      | $5706903.82   | 0.15%             | 2032-02-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Jane Street Group LLC                                                                | Jane Street Group Term Loan B 200 2031-12-01                                | CUSIP: 47077DAM2<br>LEI: 5493002N1IVX6KHGYO08 | Long             | LON              | CORP              | US        |    5830992 | PA      | $5731602.91   | 0.16%             | 2031-12-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Expand Energy Corp.                                                                  | EXE 4.75 02/01/32                                                           | CUSIP: 845467AT6<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |    2810000 | PA      | $2739088.81   | 0.07%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K737 X1                                                                | CUSIP: 3137FQXL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   37140581 | PA      | $71592.18     | 0.00%             | 2026-10-25      | Variable      | 0.60%                 | No            |                  2 | On Loan: No      |
| Block Inc                                                                            | XYZ 6 08/15/33 144A                                                         | CUSIP: 852234AU7<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |    2010000 | PA      | $1978872.18   | 0.05%             | 2033-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Union Pacific Corporation                                                            | UNP 3.839 03/20/60                                                          | CUSIP: 907818FG8<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    2130000 | PA      | $1508744.58   | 0.04%             | 2060-03-20      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                          | 5-Year T-Note Options                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       1581 | NC      | $1581.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2-30YR-Multi                                                               | CUSIP: 21H052645<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   32900000 | PA      | $33114672.17  | 0.90%             | 2056-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Consolidated Edison Company of New York, Inc.                                        | ED 3.35 04/01/30 20A                                                        | CUSIP: 209111FX6<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |     880000 | PA      | $844468.41    | 0.02%             | 2030-04-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN BA1797                                                                   | CUSIP: 3617AD7J1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1749667 | PA      | $1704591.69   | 0.05%             | 2047-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION                                            | TRS JPEIFNTR INDEX                                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              | CORP              | US        |          1 | NC      | $-790135.72   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Alphabet Inc.                                                                        | GOOGL 4.8 02/15/36                                                          | CUSIP: 02079KBM8<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    1210000 | PA      | $1205285.96   | 0.03%             | 2036-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Williams Companies Inc. (The)                                                        | WMB 7.75 06/15/31                                                           | CUSIP: 969457BD1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    5348000 | PA      | $6058418.48   | 0.16%             | 2031-06-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR QB9391                                                                   | CUSIP: 3133AGNG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20505 | PA      | $16922.05     | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES I TRUST 2004-AC5                                | BSABS 2006-AC4 A2                                                           | CUSIP: 07388WAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1075126 | PA      | $1330937.48   | 0.04%             | 2036-07-25      | Floating      | 19.81%                | No            |                  2 | On Loan: No      |
| GE Vernova Inc.                                                                      | GEV 4.25 02/04/31                                                           | CUSIP: 36828AAA9<br>LEI: 254900DP080RU6OK2553 | Long             | DBT              | CORP              | US        |    1310000 | PA      | $1295686.97   | 0.04%             | 2031-02-04      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                      | FR ZM3925                                                                   | CUSIP: 3131XXLE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     266680 | PA      | $262534.54    | 0.01%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                          | Ultra U.S. Treasury Bond Futures, Jun-2026,ETH                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         64 | NC      | $-215622.46   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| ASX CLEARING CORPORATION LIMITED                                                     | ASX 10 Year Treasury Bond Futures                                           | CUSIP: 000000000<br>LEI: 549300USWUR0S7VMM868 | N/A              | DIR              | CORP              | AU        |        367 | NC      | $-229110.94   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                                             | AESOP 2025-4A A                                                             | CUSIP: 05377RLA0<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    2130000 | PA      | $2105080.49   | 0.06%             | 2032-02-20      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Broadcom Inc                                                                         | AVGO 4.6 01/15/33                                                           | CUSIP: 11135FDA6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    3730000 | PA      | $3674634.90   | 0.10%             | 2033-01-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2022-NQM1                                        | GSMBS 2022-NQM1 A4                                                          | CUSIP: 36264EAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9525983 | PA      | $8875999.59   | 0.24%             | 2062-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Continental Resources, Inc.                                                          | CLR 5.75 01/15/31 144A                                                      | CUSIP: 212015AT8<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |     429000 | PA      | $437382.28    | 0.01%             | 2031-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 606652                                                                   | CUSIP: 36201X5M6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      35043 | PA      | $36017.73     | 0.00%             | 2033-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR RA9079                                                                   | CUSIP: 3133KRCQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3147467 | PA      | $3320340.88   | 0.09%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2017-53 IO                                                              | CUSIP: 38379RRT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   20422477 | PA      | $541389.64    | 0.01%             | 2056-11-16      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| Abbott Laboratories                                                                  | ABT 4.75 03/15/38                                                           | CUSIP: 002824BV1<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |    1180000 | PA      | $1144767.30   | 0.03%             | 2038-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Home Depot Inc.                                                                      | HD 3.3 04/15/40                                                             | CUSIP: 437076CC4<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    3220000 | PA      | $2574792.05   | 0.07%             | 2040-04-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Equipmentshare Com Inc.                                                              | EQMSRM 8 03/15/33 144A                                                      | CUSIP: 29450YAC3<br>LEI: 254900PWJK48CGPKPI80 | Long             | DBT              | CORP              | US        |    1330000 | PA      | $1374548.95   | 0.04%             | 2033-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 645027                                                                   | CUSIP: 36292CSQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1311 | PA      | $1352.70      | 0.00%             | 2035-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Eagle Funding Luxco S.a.r.l.                                                         | MEXPCP 5.5 08/17/30 144A                                                    | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | CORP              | LU        |   17520000 | PA      | $17633880.00  | 0.48%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2015-GC30                                               | GSMS 2015-GC30 B                                                            | CUSIP: 36250GAU9<br>LEI: 549300L45M7638EL0H21 | Long             | ABS-O            | CORP              | US        |    7418372 | PA      | $7219930.57   | 0.20%             | 2050-05-12      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| Coterra Energy Inc                                                                   | CTRA 3.9 05/15/27                                                           | CUSIP: 127097AG8<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |    1739000 | PA      | $1727047.14   | 0.05%             | 2027-05-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN FS0191                                                                   | CUSIP: 3140XFF97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5628933 | PA      | $4846233.88   | 0.13%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Meta Platforms Inc                                                                   | META 5.75 11/15/65                                                          | CUSIP: 30303M8Y1<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    4220000 | PA      | $3922629.60   | 0.11%             | 2065-11-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CD 2017-CD3 MORTGAGE TRUST                                                           | CD 2017-CD3 A4                                                              | CUSIP: 12515GAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3140000 | PA      | $3073567.96   | 0.08%             | 2050-02-11      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Philip Morris International Inc.                                                     | PM 4.5 03/20/42                                                             | CUSIP: 718172AP4<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     805000 | PA      | $704298.13    | 0.02%             | 2042-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 786108                                                                   | CUSIP: 3622ABU91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7370669 | PA      | $6659350.99   | 0.18%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FG U99124                                                                   | CUSIP: 3132H7D68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5247779 | PA      | $4943784.85   | 0.13%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SL3103                                                                   | CUSIP: 31427QNV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2640407 | PA      | $2745018.43   | 0.07%             | 2054-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                                                  | CATMED 4.35 11/01/42                                                        | CUSIP: 14916RAD6<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |     410000 | PA      | $349093.21    | 0.01%             | 2042-11-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| COMM 2015-DC1 MORTGAGE TRUST                                                         | COMM 2015-DC1 B                                                             | CUSIP: 12629NAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7160000 | PA      | $6867873.43   | 0.19%             | 2048-02-12      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2017-157 IO                                                             | CUSIP: 38380JBV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   13749731 | PA      | $435540.61    | 0.01%             | 2059-12-16      | Variable      | 0.52%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                                                            | IRS USD                                                                     | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $467688.59    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Barrick North America Finance LLC                                                    | ABXCN 5.75 05/01/43                                                         | CUSIP: 06849RAK8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1170000 | PA      | $1160063.73   | 0.03%             | 2043-05-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Comcast Corporation                                                                  | CMCSA 3.9 03/01/38                                                          | CUSIP: 20030NCJ8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    2160000 | PA      | $1856150.90   | 0.05%             | 2038-03-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                                   | TMUS 2.55 02/15/31                                                          | CUSIP: 87264ACB9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    6710000 | PA      | $6099242.85   | 0.17%             | 2031-02-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2022-DNA5                                              | STACR 2022-DNA5 M2                                                          | CUSIP: 35564KYW3<br>LEI: 5493000IS349P4O9HR58 | Long             | ABS-O            | USGSE             | US        |    7600000 | PA      | $8063498.16   | 0.22%             | 2042-06-25      | Floating      | 10.41%                | No            |                  2 | On Loan: No      |
| Verizon Communications Inc.                                                          | VZ 5.5 03/16/47                                                             | CUSIP: 92343VDV3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      55000 | PA      | $51926.80     | 0.00%             | 2047-03-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST 2017-C3                                                | UBSCM 2017-C3 A4                                                            | CUSIP: 90276GAS1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4700000 | PA      | $4617790.42   | 0.12%             | 2050-08-17      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BE1645                                                                   | CUSIP: 3140FLZK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     276990 | PA      | $250151.20    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Berkshire Hathaway Energy Company                                                    | BRKHEC 6.125 04/01/36                                                       | CUSIP: 59562VAM9<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |       6000 | PA      | $6406.40      | 0.00%             | 2036-04-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN BA1840                                                                   | CUSIP: 3617AEBH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     540421 | PA      | $526496.02    | 0.01%             | 2047-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                | FN MA4333                                                                   | CUSIP: 31418DY71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29218 | PA      | $25614.32     | 0.00%             | 2041-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                                           | CNH/USD FORWARD                                                             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-74511.64    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PALMER SQUARE CLO 2021-1 LTD                                                         | PLMRS 2021-1A A1AR                                                          | CUSIP: 69701WAJ5<br>LEI: 549300O6Q3S8TEDA9I81 | Long             | ABS-CBDO         | CORP              | KY        |    9460000 | PA      | $9434247.99   | 0.26%             | 2038-04-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SC0269                                                                   | CUSIP: 3132D9JN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1715694 | PA      | $1501081.97   | 0.04%             | 2042-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Jane Street Group LLC / JSG Finance Inc.                                             | JANEST 6.125 11/01/32 144A                                                  | CUSIP: 47077WAD0<br>LEI: 5493002N1IVX6KHGYO08 | Long             | DBT              | CORP              | US        |    1120000 | PA      | $1108524.14   | 0.03%             | 2032-11-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Home Depot Inc.                                                                      | HD 2.7 04/15/30                                                             | CUSIP: 437076CB6<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    1480000 | PA      | $1392821.19   | 0.04%             | 2030-04-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNR 2024-18 IO                                                              | CUSIP: 3136BRLM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    6596297 | PA      | $1137202.21   | 0.03%             | 2049-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2024-C63                                       | WFCM 2024-C63 A5                                                            | CUSIP: 94990FAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2500000 | PA      | $2555352.25   | 0.07%             | 2057-08-17      | Fixed         | 5.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2016-152 IO                                                             | CUSIP: 38379UY67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   14206985 | PA      | $637858.11    | 0.02%             | 2058-08-16      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 4.25 08/15/35                                                             | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   97330000 | PA      | $96980220.31  | 2.62%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 429667                                                                   | CUSIP: 36207EJL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6339 | PA      | $6419.28      | 0.00%             | 2033-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AL9483                                                                   | CUSIP: 3138ERRD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2056468 | PA      | $1861386.61   | 0.05%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| General Motors Company                                                               | GM 5.6 10/15/32                                                             | CUSIP: 37045VAZ3<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |     650000 | PA      | $665765.74    | 0.02%             | 2032-10-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                                        | DISH 5.75 12/01/28 144A                                                     | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1120000 | PA      | $1083933.24   | 0.03%             | 2028-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                                | BAC V2.592 04/29/31                                                         | CUSIP: 06051GJB6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    8720000 | PA      | $8058109.18   | 0.22%             | 2031-04-29      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                       | MS V4.431 01/23/30 GMTN                                                     | CUSIP: 6174468G7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1160000 | PA      | $1155057.18   | 0.03%             | 2030-01-23      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2021-63 IO                                                              | CUSIP: 38380R2L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   22207610 | PA      | $1308054.87   | 0.04%             | 2061-04-16      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN AB9108                                                                   | CUSIP: 36178WDM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2491820 | PA      | $2277092.45   | 0.06%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN FM7910                                                                   | CUSIP: 3140XBYG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9175346 | PA      | $7929843.07   | 0.21%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN 498566                                                                   | CUSIP: 31383BZ75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1890 | PA      | $1932.13      | 0.00%             | 2029-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 389807                                                                   | CUSIP: 36205GAG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36903 | PA      | $37720.22     | 0.00%             | 2033-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNR 2012-46 BA                                                              | CUSIP: 3136A5J49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    1193775 | PA      | $1248390.11   | 0.03%             | 2042-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                | FR RA6562                                                                   | CUSIP: 3133KNJF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10097862 | PA      | $8734365.75   | 0.24%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                                                      | CDS CDX.NA.IG.46.V1                                                         | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |          1 | NC      | $245615.85    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Taco Bell Funding Llc                                                                | BELL 2025-1A A2I                                                            | CUSIP: 87342RAK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3730000 | PA      | $3680926.26   | 0.10%             | 2055-08-25      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN FS1726                                                                   | CUSIP: 3140XG4L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2683396 | PA      | $2356769.32   | 0.06%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| VLS COMMERCIAL MORTGAGE TRUST 2020-LAB                                               | VLS 2020-LAB A                                                              | CUSIP: 92858TAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   17345000 | PA      | $14808070.00  | 0.40%             | 2042-10-10      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                                    | EPD V5.375 02/15/78                                                         | CUSIP: 29379VBR3<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    2335000 | PA      | $2320103.17   | 0.06%             | 2078-02-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Jane Street Group LLC / JSG Finance Inc.                                             | JANEST 7.125 04/30/31 144A                                                  | CUSIP: 47077WAC2<br>LEI: 5493002N1IVX6KHGYO08 | Long             | DBT              | CORP              | US        |    4230000 | PA      | $4350834.18   | 0.12%             | 2031-04-30      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION I MORTGAGE-BACKED SECURITIES                | GN 605775                                                                   | CUSIP: 36200N6L0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      83750 | PA      | $86990.34     | 0.00%             | 2034-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHS 390 C17                                                                 | CUSIP: 31325YXU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     601408 | PA      | $155979.55    | 0.00%             | 2052-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Asurion LLC / Asurion Co-Issuer Inc.                                                 | ASUCOR 8 12/31/32 144A                                                      | CUSIP: 045941AA9<br>LEI: 549300KNQVXGIOXWK278 | Long             | DBT              | CORP              | US        |    1360000 | PA      | $1412071.67   | 0.04%             | 2032-12-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                          | 5-Year T-Note Options                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -1262 | NC      | $-1518343.75  | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                                             | GN 783094                                                                   | CUSIP: 36241LNK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     144008 | PA      | $149660.00    | 0.00%             | 2034-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                                    | WFC 4.15 01/24/29 MTN                                                       | CUSIP: 95000U2D4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    3180000 | PA      | $3162850.13   | 0.09%             | 2029-01-24      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Lightning Power, LLC                                                                 | Lightning Power Term Loan B 325 2031-07-28                                  | CUSIP: 53229LAB3<br>LEI: 254900BWCHJ03XRL8K59 | Long             | LON              | CORP              | US        |    2471231 | PA      | $2479534.50   | 0.07%             | 2031-08-18      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Company                                                     | PCG 3.5 08/01/50                                                            | CUSIP: 694308JJ7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    4040000 | PA      | $2673421.88   | 0.07%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SCOTT TRUST 2023-SFS                                                                 | SCOTT 2023-SFS A                                                            | CUSIP: 810064AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9300000 | PA      | $9471849.12   | 0.26%             | 2040-03-12      | Fixed         | 5.91%                 | No            |                  2 | On Loan: No      |
| Corporacion Nacional del Cobre de Chile                                              | CDEL 5.529 01/30/37 144A                                                    | CUSIP: 21987BBQ0<br>LEI: 549300UVMBCBCIPSUI70 | Long             | DBT              | CORP              | CL        |    7590000 | PA      | $7459603.80   | 0.20%             | 2037-01-30      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE ESCROW CL                                                              | CREDIT SUISSE ESCROW CL                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   61000000 | PA      | $0.00         | 0.00%             | 2050-01-01      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association                                             | GN 635903                                                                   | CUSIP: 36291RNU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1983 | PA      | $2046.60      | 0.00%             | 2034-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 591208                                                                   | CUSIP: 36201RYD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7344 | PA      | $7414.06      | 0.00%             | 2035-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BXMT 2026-FL6 LTD                                                                    | BXMT 2026-FL6 A                                                             | CUSIP: 05620AAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7040000 | PA      | $7027477.25   | 0.19%             | 2043-08-19      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-DNA2                                              | STACR 2021-DNA2 B1                                                          | CUSIP: 35564KDX4<br>LEI: 5493000ISZLYXFDXNW47 | Long             | ABS-O            | USGSE             | US        |   10010000 | PA      | $11119298.19  | 0.30%             | 2033-08-25      | Floating      | 7.06%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR QB8604                                                                   | CUSIP: 3133AFRZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2682281 | PA      | $2210293.02   | 0.06%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                                | BAC V4.376 04/27/28                                                         | CUSIP: 06051GKP3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     620000 | PA      | $619645.61    | 0.02%             | 2028-04-27      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2016-84 IG                                                              | CUSIP: 38379XGR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    1652874 | PA      | $315993.64    | 0.01%             | 2045-11-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Legg Mason Partners Institutional Trust                                              | Legg Mason Partners Institutional Trust GVT RSEVS PRM                       | CUSIP: 52470G494<br>LEI: 549300WB3XRN9YTWFB76 | Long             | STIV             | RF                | US        |    8360312 | NS      | $8360311.96   | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AJ2951                                                                   | CUSIP: 3138AUH59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     119111 | PA      | $117763.47    | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR WN4101                                                                   | CUSIP: 3132XJRX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5600000 | PA      | $5579161.34   | 0.15%             | 2035-03-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| CCO HOLDINGS LLC                                                                     | CHTR 7.375 02/01/36 144A                                                    | CUSIP: 1248EPCV3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2670000 | PA      | $2661300.26   | 0.07%             | 2036-02-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                                    | WFC V3.35 03/02/33 MTN                                                      | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    5770000 | PA      | $5299534.68   | 0.14%             | 2033-03-02      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 AX4345                                                                   | CUSIP: 36196FZJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27852 | PA      | $25801.79     | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2017-7 IO                                                               | CUSIP: 38379U4A1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   25125597 | PA      | $675074.55    | 0.02%             | 2058-12-16      | Variable      | 0.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 608320                                                                   | CUSIP: 36202SYR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     262672 | PA      | $265818.96    | 0.01%             | 2033-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 786823                                                                   | CUSIP: 3622ACPG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3661021 | PA      | $3723680.22   | 0.10%             | 2053-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Uruguay (Republic Of)                                                                | URUGUA 7.875 01/15/33                                                       | CUSIP: 917288BA9<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |          1 | PA      | $1.17         | 0.00%             | 2033-01-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| STORE MASTER FUNDING I LLC                                                           | STR 2023-1A A1                                                              | CUSIP: 86212XAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6368483 | PA      | $6380596.13   | 0.17%             | 2053-06-20      | Fixed         | 6.19%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 3.875 05/31/27                                                            | CUSIP: 91282CNE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2160000 | PA      | $2161603.13   | 0.06%             | 2027-05-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP                                                         | BAFC 2015-R2 3A2                                                            | CUSIP: 05990TAG2<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-O            | CORP              | US        |     233180 | PA      | $233221.25    | 0.01%             | 2037-04-29      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| Williams Companies Inc. (The)                                                        | WMB 5.15 03/15/34                                                           | CUSIP: 88339WAC0<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    2520000 | PA      | $2524212.81   | 0.07%             | 2034-03-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 454463                                                                   | CUSIP: 36208LZ42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2995 | PA      | $3092.70      | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                       | BNP V5.198 01/10/30 144a                                                    | CUSIP: 09659W2H6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     829000 | PA      | $841060.30    | 0.02%             | 2030-01-10      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 783704                                                                   | CUSIP: 3622A2DH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1111054 | PA      | $1151362.65   | 0.03%             | 2036-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2021-GS1                                                 | LMAT 2021-GS1 A1                                                            | CUSIP: 52474JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8257310 | PA      | $8266906.44   | 0.22%             | 2066-10-25      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                                | BAC V3.419 12/20/28                                                         | CUSIP: 06051GHD4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    7641000 | PA      | $7508979.80   | 0.20%             | 2028-12-20      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| Home Depot Inc.                                                                      | HD 3.35 04/15/50                                                            | CUSIP: 437076CD2<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    5295000 | PA      | $3659329.86   | 0.10%             | 2050-04-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SL0789                                                                   | CUSIP: 31427M2X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5478168 | PA      | $5619791.98   | 0.15%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                                         | ORCL 2.95 04/01/30                                                          | CUSIP: 68389XBV6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     730000 | PA      | $666568.97    | 0.02%             | 2030-04-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                                   | CUSIP: 01F062648<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3600000 | PA      | $3724776.11   | 0.10%             | 2056-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                            | GS V2.65 10/21/32                                                           | CUSIP: 38141GYN8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1776175.16   | 0.05%             | 2032-10-21      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                                     | Options on Three-Month SOFR Futures                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -1435 | NC      | $-394625.00   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                               | FHR 5482 FC                                                                 | CUSIP: 3137HHLW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    3824468 | PA      | $3849865.18   | 0.10%             | 2054-12-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 637142                                                                   | CUSIP: 36291SZF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1498 | PA      | $1550.69      | 0.00%             | 2035-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COMM 2020-CX MORTGAGE TRUST                                                          | COMM 2020-CX A                                                              | CUSIP: 12656KAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10440000 | PA      | $8904562.06   | 0.24%             | 2046-11-10      | Fixed         | 2.17%                 | No            |                  2 | On Loan: No      |
| Altria Group, Inc.                                                                   | MO 4.8 02/14/29                                                             | CUSIP: 02209SBD4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     975000 | PA      | $983141.74    | 0.03%             | 2029-02-14      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Abbott Laboratories                                                                  | ABT 4.3 03/15/33                                                            | CUSIP: 002824BT6<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |    2400000 | PA      | $2349472.37   | 0.06%             | 2033-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan Energy Partners LP                                                     | KMI 6.55 09/15/40                                                           | CUSIP: 494550BF2<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |    1450000 | PA      | $1554106.35   | 0.04%             | 2040-09-15      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Carnival Corporation                                                                 | CCL 6.125 02/15/33 144A                                                     | CUSIP: 143658BX9<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |    2420000 | PA      | $2445482.60   | 0.07%             | 2033-02-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN 606358                                                                   | CUSIP: 31388JTP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        284 | PA      | $293.26       | 0.00%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                          | 10-Year T-Note Options                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        630 | NC      | $630.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| The Toronto-Dominion Bank                                                            | TD 4.456 06/08/32                                                           | CUSIP: 89115A2E1<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    1490000 | PA      | $1465672.89   | 0.04%             | 2032-06-08      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AI2462                                                                   | CUSIP: 3138AFWY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30250 | PA      | $30589.08     | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SC0188                                                                   | CUSIP: 3132D9F58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4780808 | PA      | $4179258.04   | 0.11%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 785532                                                                   | CUSIP: 3622ABA93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4508865 | PA      | $3984818.58   | 0.11%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE FINANCIAL COMPANY LLC                                                 | FR SD2756                                                                   | CUSIP: 3132DQBZ8<br>LEI: 549300NJFDJOFYVV6789 | Long             | ABS-MBS          | USGSE             | US        |    7964227 | PA      | $8102696.02   | 0.22%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Solventum Corp.                                                                      | SOLV 5.9 04/30/54                                                           | CUSIP: 83444MAS0<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |    1666000 | PA      | $1628960.24   | 0.04%             | 2054-04-30      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                                              | FR SD7521                                                                   | CUSIP: 3132DVLA1<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-MBS          | USGSE             | US        |   18038887 | PA      | $15520446.90  | 0.42%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Southern Copper Corporation                                                          | SCCO 7.5 07/27/35                                                           | CUSIP: 84265VAA3<br>LEI: 2549007U6NAP46Q9TU15 | Long             | DBT              | CORP              | US        |    4720000 | PA      | $5400454.08   | 0.15%             | 2035-07-27      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| SPECTRUM MANAGEMENT HOLDING COMPANY LLC                                              | CHTR 7.3 07/01/38                                                           | CUSIP: 88732JAN8<br>LEI: B1WXCWLJVJXMWJX6O298 | Long             | DBT              | CORP              | US        |    1755000 | PA      | $1837672.66   | 0.05%             | 2038-07-01      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Union Pacific Corporation                                                            | UNP 3.75 02/05/70                                                           | CUSIP: 907818FL7<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    4395000 | PA      | $2935050.18   | 0.08%             | 2070-02-05      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| NCL Corporation Ltd.                                                                 | NCLH 6.25 09/15/33 144A                                                     | CUSIP: 62886HBZ3<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | BM        |     480000 | PA      | $466096.03    | 0.01%             | 2033-09-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                          | 5-Year T-Note Options                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       1593 | NC      | $12445.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2018-37 QA                                                              | CUSIP: 38380VXF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    2385720 | PA      | $2123466.26   | 0.06%             | 2048-03-20      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 586315                                                                   | CUSIP: 36201LK45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     107720 | PA      | $110101.62    | 0.00%             | 2034-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNS 427 C73                                                                 | CUSIP: 31423XQB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   40806141 | PA      | $6520746.26   | 0.18%             | 2048-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Glencore Finance (Canada) Limited                                                    | GLENLN 6 11/15/41 144A                                                      | CUSIP: 98417EAN0<br>LEI: 5493005TTO0UJ33KCK70 | Long             | DBT              | CORP              | CA        |     870000 | PA      | $884572.60    | 0.02%             | 2041-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K159 X1                                                                | CUSIP: 3137FKKQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   20558630 | PA      | $157102.88    | 0.00%             | 2033-11-25      | Variable      | 0.12%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                | FNR 2014-6 Z                                                                | CUSIP: 3136AH6K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    8436571 | PA      | $7503776.50   | 0.20%             | 2044-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Company LLC                                                        | F 7.35 11/04/27                                                             | CUSIP: 345397C35<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    3260000 | PA      | $3365640.43   | 0.09%             | 2027-11-04      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| SUNRUN ATLAS ISSUER 2019-2 LLC                                                       | SUNRN 2019-2 A                                                              | CUSIP: 86772FAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2072223 | PA      | $2000814.71   | 0.05%             | 2055-01-30      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| Devon Energy Corporation                                                             | DVN 5.6 07/15/41                                                            | CUSIP: 25179MAL7<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |    1610000 | PA      | $1559108.98   | 0.04%             | 2041-07-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                                                         | BACR V5.088 06/20/30                                                        | CUSIP: 06738EBK0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    2290000 | PA      | $2298252.22   | 0.06%             | 2030-06-20      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B12 MORTGAGE TRUST                                                    | BMARK 2019-B12 WMA                                                          | CUSIP: 08162FAU7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4000000 | PA      | $3679656.80   | 0.10%             | 2052-08-16      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 631141                                                                   | CUSIP: 36291LEN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27656 | PA      | $28198.99     | 0.00%             | 2034-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Uruguay (Republic Of)                                                                | URUGUA 8.25 05/21/31                                                        | CUSIP: 917288BM3<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |   85490000 | PA      | $2182874.11   | 0.06%             | 2031-05-21      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Chile (Republic Of)                                                                  | BTPCL 6 04/01/33                                                            | CUSIP: 000000000<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        | 4105000000 | PA      | $4560323.24   | 0.12%             | 2033-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                          | 5-Year T-Note Options                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       3786 | NC      | $3786.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MLTI TRUST 2026-SF75                                                                 | MLTI 2026-SF75 E                                                            | CUSIP: 55318JAJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5480000 | PA      | $5467837.69   | 0.15%             | 2031-03-17      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| OAK STREET INVESTMENT GRADE NET LEASE FUND SERIES 2020-1 LLC                         | OAKIG 2020-1A A1                                                            | CUSIP: 67181DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4618399 | PA      | $4229282.27   | 0.11%             | 2050-11-20      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                          | 5-Year T-Note Options                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -531 | NC      | $-348468.75   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CI Financial Corp                                                                    | CIXCN 7.5 05/30/29 144A                                                     | CUSIP: 125491AT7<br>LEI: 549300M9W7JJQSVCEM78 | Long             | DBT              | CORP              | CA        |    5360000 | PA      | $5627622.12   | 0.15%             | 2029-05-30      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                                     | NRG 5.407 10/15/35 144A                                                     | CUSIP: 629377DB5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1668617.63   | 0.05%             | 2035-10-15      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                             | T 3.55 09/15/55                                                             | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     970000 | PA      | $631331.19    | 0.02%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 3.625 02/15/44                                                            | CUSIP: 912810RE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   33156000 | PA      | $28174828.90  | 0.76%             | 2044-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2021-218 IO                                                             | CUSIP: 38381EKC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    2642326 | PA      | $189724.32    | 0.01%             | 2061-10-16      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| DB Master Finance LLC                                                                | DNKN 2021-1A A23                                                            | CUSIP: 233046AS0<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-O            | CORP              | US        |    7573825 | PA      | $6714316.29   | 0.18%             | 2051-11-20      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 627991                                                                   | CUSIP: 36291GUQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1699 | PA      | $1714.54      | 0.00%             | 2034-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                                         | ORCL 4.95 02/04/31                                                          | CUSIP: 68389XDX0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      40000 | PA      | $39151.22     | 0.00%             | 2031-02-04      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 4.625 02/15/55                                                            | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1050000 | PA      | $1001724.61   | 0.03%             | 2055-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Asurion LLC                                                                          | Asurion First-lien Term Loan B-12 425 2030-09-01                            | CUSIP: 04649VBD1<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |     251347 | PA      | $249102.28    | 0.01%             | 2030-09-19      | Floating      | 7.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 600593                                                                   | CUSIP: 36200GGA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1203 | PA      | $1275.35      | 0.00%             | 2036-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN FS3672                                                                   | CUSIP: 3140XKCJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6296282 | PA      | $6411122.55   | 0.17%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN CB2115                                                                   | CUSIP: 3140QMK52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1784778 | PA      | $1611549.03   | 0.04%             | 2041-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AL4807                                                                   | CUSIP: 3138EMKV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     867573 | PA      | $877273.05    | 0.02%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Mars Inc.                                                                            | MARS 5.7 05/01/55 144A                                                      | CUSIP: 571676BC8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    5620000 | PA      | $5483728.99   | 0.15%             | 2055-05-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                                                 | RY 3.875 05/04/32                                                           | CUSIP: 78016FZQ0<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    1770000 | PA      | $1700042.40   | 0.05%             | 2032-05-04      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| MAPS TRUST 2026-1                                                                    | MAPSL 2026-1A A                                                             | CUSIP: 55293WAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4830724 | PA      | $4729354.27   | 0.13%             | 2051-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                | FHMR 2020-RR02 BX                                                           | CUSIP: 3137FQXW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   15503008 | PA      | $506335.99    | 0.01%             | 2028-08-27      | Variable      | 1.67%                 | No            |                  2 | On Loan: No      |
| Oncor Electric Delivery Company LLC                                                  | ONCRTX 5.35 04/01/35                                                        | CUSIP: 68233JDC5<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |    1320000 | PA      | $1349511.21   | 0.04%             | 2035-04-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Altria Group, Inc.                                                                   | MO 6.875 11/01/33                                                           | CUSIP: 02209SBR3<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    1610000 | PA      | $1783726.31   | 0.05%             | 2033-11-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Teachers Insurance and Annuity Association of America                                | TIAAGL 4.9 09/15/44 144A                                                    | CUSIP: 878091BD8<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |    2385000 | PA      | $2122989.27   | 0.06%             | 2044-09-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| HCA Inc.                                                                             | HCA 5.5 06/15/47                                                            | CUSIP: 404119BV0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     920000 | PA      | $843949.44    | 0.02%             | 2047-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR RA9081                                                                   | CUSIP: 3133KRCS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1960206 | PA      | $2059779.30   | 0.06%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 BS8546                                                                   | CUSIP: 3617MKP78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3577384 | PA      | $3052179.03   | 0.08%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                | FNR 2021-3 QI                                                               | CUSIP: 3136BDR26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   33365366 | PA      | $5157698.30   | 0.14%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                                         | ORCL 5.35 05/04/33                                                          | CUSIP: 68389XDY8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     590000 | PA      | $574563.02    | 0.02%             | 2033-05-04      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| U.S. Bancorp.                                                                        | USB V5.836 06/12/34                                                         | CUSIP: 91159HJN1<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    2350000 | PA      | $2453743.62   | 0.07%             | 2034-06-12      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 595412                                                                   | CUSIP: 36200AN54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30973 | PA      | $31974.58     | 0.00%             | 2032-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 605762                                                                   | CUSIP: 36200N5X5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     108066 | PA      | $110377.77    | 0.00%             | 2034-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Pm General Purchaser Llc                                                             | AMGENE 9.5 10/01/28 144A                                                    | CUSIP: 69356MAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4471000 | PA      | $4240117.56   | 0.11%             | 2028-10-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association                                            | BRL/USD FORWARD                                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-345214.51   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Spirit Airlines, LLC                                                                 | Spirit Airlines, LLC Third DIP New Money TL                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     434264 | PA      | $429921.62    | 0.01%             | 2026-07-14      | Floating      | 11.68%                | No            |                  2 | On Loan: No      |
| Mexico (United Mexican States)                                                       | MBONO 7.75 11/13/42 M                                                       | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   97170000 | PA      | $4504831.56   | 0.12%             | 2042-11-13      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 635425                                                                   | CUSIP: 36291Q4J0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2803 | PA      | $2894.11      | 0.00%             | 2035-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Cameron LNG LLC                                                                      | CAMLNG 3.302 01/15/35 144A                                                  | CUSIP: 133434AB6<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |    2071000 | PA      | $1802129.73   | 0.05%             | 2035-01-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Philip Morris International Inc.                                                     | PM 4.875 02/13/29                                                           | CUSIP: 718172DG1<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    3360000 | PA      | $3410654.96   | 0.09%             | 2029-02-13      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                             | T 5.55 08/15/41                                                             | CUSIP: 00206RBA9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    2710000 | PA      | $2625100.42   | 0.07%             | 2041-08-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Spirit Airlines, LLC                                                                 | Spirit Airlines, LLC DIP New Money Term Loan 10/25                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     886576 | PA      | $877710.17    | 0.02%             | 2040-01-02      | None          | 11.68%                | No            |                  2 | On Loan: No      |
| SPECTRUM MANAGEMENT HOLDING COMPANY LLC                                              | CHTR 6.55 05/01/37                                                          | CUSIP: 88732JAJ7<br>LEI: B1WXCWLJVJXMWJX6O298 | Long             | DBT              | CORP              | US        |    3030000 | PA      | $3057197.46   | 0.08%             | 2037-05-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Williams Companies Inc. (The)                                                        | WMB 3.5 11/15/30                                                            | CUSIP: 969457BX7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     760000 | PA      | $722555.32    | 0.02%             | 2030-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 596895                                                                   | CUSIP: 36200CC86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1333 | PA      | $1386.27      | 0.00%             | 2033-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HCA Inc.                                                                             | HCA 7.5 11/15/95                                                            | CUSIP: 197677AH0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    8000000 | PA      | $8524810.16   | 0.23%             | 2095-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                                     | NRG 5.75 01/15/34 144A                                                      | CUSIP: 629377DC3<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    1150000 | PA      | $1135147.06   | 0.03%             | 2034-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc.                                                              | UNH 2.9 05/15/50                                                            | CUSIP: 91324PDZ2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    1080000 | PA      | $672920.33    | 0.02%             | 2050-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                                         | USD/JPY FORWARD                                                             | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $33146.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 611548                                                                   | CUSIP: 36202WL56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21341 | PA      | $21841.67     | 0.00%             | 2033-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WASTE CONNECTIONS INC                                                                | WCNCN 5 03/01/34                                                            | CUSIP: 94106BAG6<br>LEI: 549300HDLRTPBQU69P29 | Long             | DBT              | CORP              | CA        |    2330000 | PA      | $2346257.04   | 0.06%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN AB2892                                                                   | CUSIP: 36178NF95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2669289 | PA      | $2443688.36   | 0.07%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                          | 10-Year T-Note Options                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       1258 | NC      | $216218.75    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BZ2295                                                                   | CUSIP: 3140NWRR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3200000 | PA      | $3166541.25   | 0.09%             | 2034-10-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 584175                                                                   | CUSIP: 36201H6L2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1534 | PA      | $1552.92      | 0.00%             | 2033-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Meta Platforms Inc                                                                   | META 4.875 11/15/35                                                         | CUSIP: 30303MAD4<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    1980000 | PA      | $1943250.11   | 0.05%             | 2035-11-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                             | T 3.8 12/01/57                                                              | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     670000 | PA      | $453415.61    | 0.01%             | 2057-12-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST SERIES 2005-5N                                                       | SARM 2004-8 1A1                                                             | CUSIP: 86359BWB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        285 | PA      | $281.52       | 0.00%             | 2034-07-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital Designated Activity Co. / AerCap Global Aviation Trust (AER)  | AER 3 10/29/28                                                              | CUSIP: 00774MAW5<br>LEI: 549300TI38531ODB1G63 | Long             | DBT              | CORP              | IE        |    5360000 | PA      | $5160807.98   | 0.14%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Amrize Finance US LLC                                                                | AMRZ 4.95 04/07/30                                                          | CUSIP: 43475RAR7<br>LEI: 529900FB2F1WKLFNGY62 | Long             | DBT              | CORP              | US        |     640000 | PA      | $647286.16    | 0.02%             | 2030-04-07      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 786474                                                                   | CUSIP: 3622ACCK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11409931 | PA      | $11398284.59  | 0.31%             | 2053-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Calpine Construction Finance Company L P                                             | Calpine Construction Finance Corp Term Loan B 175 2030-07-01                | CUSIP: 13134NAK7<br>LEI: V0Q3DOB0FIB2XI1KWU77 | Long             | LON              | CORP              | US        |    4980000 | PA      | $4987768.80   | 0.13%             | 2030-07-31      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Royal Caribbean Cruises Ltd.                                                         | RCL 5.25 02/27/38                                                           | CUSIP: 78017TAD5<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |     760000 | PA      | $723312.76    | 0.02%             | 2038-02-27      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 BC7503                                                                   | CUSIP: 3617BBKQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     410375 | PA      | $380059.54    | 0.01%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AW2418                                                                   | CUSIP: 3138XRVL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56474 | PA      | $55480.55     | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 630971                                                                   | CUSIP: 36291K6G7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      43310 | PA      | $44718.29     | 0.00%             | 2034-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Brazil (Federative Republic)                                                         | BRAZIL 6.125 03/15/34                                                       | CUSIP: 105756CH1<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    7580000 | PA      | $7585306.00   | 0.21%             | 2034-03-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FH 841076                                                                   | CUSIP: 31288QFR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20352160 | PA      | $20393547.67  | 0.55%             | 2048-11-01      | Variable      | 3.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN BS8439                                                                   | CUSIP: 3617MKLU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3619255 | PA      | $3334370.59   | 0.09%             | 2050-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP ALTERNATIVE LOAN TRUST SERIES 2005-AP2                  | NAA 2005-AP2 A5                                                             | CUSIP: 65535VLL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      36681 | PA      | $17299.24     | 0.00%             | 2035-05-25      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| Angola (Republic of)                                                                 | ANGOL 9.375 03/31/33 144A                                                   | CUSIP: 035198AK6<br>LEI: 549300QHR2R3J8JSGK83 | Long             | DBT              | NUSS              | AO        |    4870000 | PA      | $4823881.54   | 0.13%             | 2033-03-31      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                                         | ORCL 6.85 02/04/66                                                          | CUSIP: 68389XEC5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    1170000 | PA      | $1076665.58   | 0.03%             | 2066-02-04      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 4.25 05/15/35                                                             | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3210000 | PA      | $3202037.69   | 0.09%             | 2035-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. | CHTR 4.2 03/15/28                                                           | CUSIP: 161175BK9<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |    9749000 | PA      | $9667416.18   | 0.26%             | 2028-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN FS0424                                                                   | CUSIP: 3140XFPJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7707764 | PA      | $6630666.91   | 0.18%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Humana Inc.                                                                          | HUM 2.15 02/03/32                                                           | CUSIP: 444859BR2<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    3750000 | PA      | $3211797.98   | 0.09%             | 2032-02-03      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                              | MPLX 4.5 04/15/38                                                           | CUSIP: 55336VAM2<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    1340000 | PA      | $1204758.17   | 0.03%             | 2038-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION II MORTGAGE-BACKED SECURITIES               | GN 564658                                                                   | CUSIP: 36213UJB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       2844 | PA      | $2885.71      | 0.00%             | 2031-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 BM9734                                                                   | CUSIP: 3617K1Y72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1305784 | PA      | $1236053.20   | 0.03%             | 2049-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Micron Technology Inc.                                                               | MU 5.875 02/09/33                                                           | CUSIP: 595112BZ5<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |    2791000 | PA      | $2986125.09   | 0.08%             | 2033-02-09      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN FS5647                                                                   | CUSIP: 3140XMHZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12232518 | PA      | $12394755.96  | 0.34%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR QG7311                                                                   | CUSIP: 3133C8DQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1032910 | PA      | $1043239.40   | 0.03%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae (Ze)                                                                      | GNR 2025-214 S                                                              | CUSIP: 38385KQ86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    9376583 | PA      | $955442.88    | 0.03%             | 2055-12-20      | Floating      | 2.93%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                                     | Options on Three-Month SOFR Futures                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       3161 | NC      | $612443.75    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SD5094                                                                   | CUSIP: 3132DSUT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6486405 | PA      | $6604646.80   | 0.18%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                       | C 4.65 07/23/48                                                             | CUSIP: 172967MD0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    1230000 | PA      | $1041716.25   | 0.03%             | 2048-07-23      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| College Avenue Student Loans 2019-A LLC                                              | CASL 2019-A A1                                                              | CUSIP: 19421UAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7884430 | PA      | $7916306.72   | 0.21%             | 2048-12-28      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHS 390 C14                                                                 | CUSIP: 31325YXR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3781762 | PA      | $935709.22    | 0.03%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| First Quantum Minerals Ltd.                                                          | FMCN 8.625 06/01/31 144A                                                    | CUSIP: 335934AU9<br>LEI: 549300I7UVBGWRYMYZ18 | Long             | DBT              | CORP              | CA        |     200000 | PA      | $207618.80    | 0.01%             | 2031-06-01      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| GFL ENVIRONMENTAL HOLDINGS (US) INC                                                  | GFLCN 5.5 02/01/34 144A                                                     | CUSIP: 36273TAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2100000 | PA      | $2062296.39   | 0.06%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MetLife Inc.                                                                         | MET 6.4 12/15/36                                                            | CUSIP: 59156RAP3<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |    1593000 | PA      | $1627087.01   | 0.04%             | 2036-12-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc.                                                              | UNH 3.875 08/15/59                                                          | CUSIP: 91324PDV1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    4755000 | PA      | $3320740.79   | 0.09%             | 2059-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Targa Resources Partners LP/Targa Resources Finance Corp.                            | TRGP 4 01/15/32                                                             | CUSIP: 87612BBU5<br>LEI: 6OQWTZ1SPC04IFT4T704 | Long             | DBT              | CORP              | US        |     190000 | PA      | $180148.14    | 0.00%             | 2032-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Cheniere Energy Partners Lp                                                          | CQP 3.25 01/31/32                                                           | CUSIP: 16411QAN1<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |    2620000 | PA      | $2388677.03   | 0.06%             | 2032-01-31      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BE0433                                                                   | CUSIP: 3140FKPT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     431936 | PA      | $390397.58    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA2320                                                                   | CUSIP: 31418BSJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1369888 | PA      | $1302529.97   | 0.04%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MidCap Financial Issuer Trust                                                        | MIDCAP F 01/15/56 144a                                                      | CUSIP: 59590AAG4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2818558.20   | 0.08%             | 2056-01-15      | Variable      | 7.42%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                                                       | CAD/USD FORWARD                                                             | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $45347.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Foundry JV Holdco LLC.                                                               | FABSJV 5.9 01/25/30                                                         | CUSIP: 350930AB9<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    5930000 | PA      | $6140009.53   | 0.17%             | 2030-01-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SC0211                                                                   | CUSIP: 3132D9GU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9484182 | PA      | $8256481.35   | 0.22%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE (H) 23-85                                                                 | GNR 2023-80 IA                                                              | CUSIP: 38384BPF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    8392204 | PA      | $1517272.68   | 0.04%             | 2047-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FA2842                                                                   | CUSIP: 3140W3EQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2581024 | PA      | $2671692.87   | 0.07%             | 2055-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE FINANCIAL COMPANY LLC                                                 | FR SD2762                                                                   | CUSIP: 3132DQB70<br>LEI: 549300NJFDJOFYVV6789 | Long             | ABS-MBS          | USGSE             | US        |    4232721 | PA      | $4311818.84   | 0.12%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 784905                                                                   | CUSIP: 3622AAKS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8305655 | PA      | $7353163.45   | 0.20%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BE3114                                                                   | CUSIP: 3140FNN83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     755137 | PA      | $683506.64    | 0.02%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 581541                                                                   | CUSIP: 36201FBJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7467 | PA      | $7559.84      | 0.00%             | 2033-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Peru (Republic Of)                                                                   | PERU 6.55 03/14/37                                                          | CUSIP: 715638AU6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    2430000 | PA      | $2629867.50   | 0.07%             | 2037-03-14      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SD3642                                                                   | CUSIP: 3132E0BK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12278783 | PA      | $12766900.25  | 0.35%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-05-27

**Name of Applicant:** Western Asset Funds Inc

**Signature:** Christopher Berarducci

**Name of Signer:** Christopher Berarducci

**Title:** Principal Financial Officer