# EDGAR Filing Document

**Accession Number:** 0001506768
**File Stem:** 0001145549-25-052115
**Filing Date:** 2025-8
**Character Count:** 180690
**Document Hash:** ecea83a6cc7912fac9a6e54bca3a0967
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-25-052115.hdr.sgml**: 20250820

**ACCESSION NUMBER**: 0001145549-25-052115

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250820

**DATE AS OF CHANGE**: 20250820

**PERIOD START**: 20251231

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22509
- **FILM NUMBER:** 251237463

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

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Excelsior

  - **State:** MN

  - **Foreign country:** US

  - **Zip / Postal Code:** 55331

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

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

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

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

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

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1545384402.43

**Total Liabilities:** $7312404.92

**Net Assets:** $1538071997.51

**Amount of Assets Invested in Other Investment Companies:** $56456619.14

**Delayed Delivery Securities:** $2900000.00

**Cash Not Reported:** $133915309.36

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 194025.810000000000 | **1-Year:** 169791.410000000000 | **5-Year:** 200368.070000000000 | **10-Year:** 1594.560000000000 | **30-Year:** 0.000000000000

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

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

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000098137 | -1.18%               | -0.66%               | 0.93%                |
| Class ID C000098138 | -1.39%               | -0.71%               | 0.85%                |
| Class ID C000098139 | -1.28%               | -0.65%               | 0.92%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $1490986.16              | $5786449.14                                |
| Month 2  | $1286791.57              | $-7141088.20                               |
| Month 3  | $975557.10               | $5029134.87                                |

**Designated Index Information**

- **Index Name:** N/A

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                           | Title                                                                           | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| WILLIAMS COMPANIES INC         | Williams Cos Inc/The                                                            | CUSIP: 88339WAB2<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   2305000 | PA      | $2336363.19   | 0.15%             | 2029-03-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                | CUSIP: 91282CGQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  84610000 | PA      | $85419743.93  | 5.55%             | 2030-02-28      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                | CUSIP: 91282CKA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  58315000 | PA      | $58590629.35  | 3.81%             | 2027-02-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                | CUSIP: 91282CKD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  96330000 | PA      | $98012012.35  | 6.37%             | 2029-02-28      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                | CUSIP: 91282CKJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9525000 | PA      | $9642946.27   | 0.63%             | 2027-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                            | WTI CRUDE FUTURE  Jan26                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         2 | NC      | $-503.62      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | WTI CRUDE FUTURE  Aug25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       517 | NC      | $-2058702.86  | -0.13%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | WTI CRUDE FUTURE  Oct25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        23 | NC      | $-53661.63    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | WTI CRUDE FUTURE  Nov25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        12 | NC      | $-25801.72    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | WTI CRUDE FUTURE  Dec25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         7 | NC      | $-11902.67    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US 5YR NOTE (CBT) Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      1117 | NC      | $392911.02    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US 2YR NOTE (CBT) Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -591 | NC      | $-102163.10   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US 2YR NOTE (CBT) Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       844 | NC      | $330550.79    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US 10YR NOTE (CBT)Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      1006 | NC      | $597845.59    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | USD/ZAR FWD 20250716                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-222186.13   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | USD/ZAR FWD 20250716                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $111432.62    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | USD/ZAR FWD 20250820                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-404.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | US LONG BOND(CBT) Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -183 | NC      | $-396941.08   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US LONG BOND(CBT) Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        56 | NC      | $50329.02     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US 10yr Ultra Fut Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       159 | NC      | $72922.52     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | WHEAT FUTURE(CBT) Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |      -155 | NC      | $53857.54     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | WHEAT FUTURE(CBT) Dec25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |      -335 | NC      | $578767.40    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US ULTRA BOND CBT Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -94 | NC      | $-197448.09   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US ULTRA BOND CBT Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         5 | NC      | $2554.92      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                | CUSIP: 91282CHM6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14255000 | PA      | $14329337.54  | 0.93%             | 2026-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                | CUSIP: 91282CJR3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4675000 | PA      | $4677921.88   | 0.30%             | 2028-12-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                | CUSIP: 91282CKP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 132755000 | PA      | $136888036.19 | 8.90%             | 2029-04-30      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS         | Verizon Communications Inc                                                      | CUSIP: 92343VGH1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   4625000 | PA      | $4381498.42   | 0.28%             | 2028-03-22      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2020-1                                               | CUSIP: 92536PAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    187590 | PA      | $184004.73    | 0.01%             | 2060-01-25      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| VIRGINIA POWER FUEL SEC        | Virginia Power Fuel Securitization LLC                                          | CUSIP: 92808VAA0<br>LEI: 254900BELJ95ONW6U791 | Long             | DBT              | CORP              | US        |   1892264 | PA      | $1902426.34   | 0.12%             | 2027-05-01      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA       | Volkswagen Group of America Finance LLC                                         | CUSIP: 928668BL5<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |   3305000 | PA      | $3259973.87   | 0.21%             | 2025-11-24      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Volkswagen Auto Lease Trust    | Volkswagen Auto Lease Trust 2024-A                                              | CUSIP: 92866EAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4750000 | PA      | $4790442.93   | 0.31%             | 2027-06-21      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| N/A                            | CORN FUTURE       Dec25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |     -1290 | NC      | $734180.24    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | COCOA FUTURE      Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         4 | NC      | $13400.33     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | COTTON NO.2 FUTR  Dec25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |      -135 | NC      | $-26322.02    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | COTTON NO.2 FUTR  Dec25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        18 | NC      | $-10012.71    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | DJIA MINI e-CBOT  Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        83 | NC      | $632462.40    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | DOLLAR INDEX      Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |       -57 | NC      | $107166.26    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | EUR/USD FWD 20250701                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-10709.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | EUR/USD FWD 20250701                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $11442.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | DAX INDEX FUTURE  Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | DE        |        71 | NC      | $856788.36    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRU | WFRBS Commercial Mortgage Trust 2014-C22                                        | CUSIP: 92890KBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    326975 | PA      | $309772.48    | 0.02%             | 2057-09-15      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| WALMART INC                    | Walmart Inc                                                                     | CUSIP: 931142FN8<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |   1060000 | PA      | $1071736.79   | 0.07%             | 2030-04-28      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                            | COPPER FUTURE     Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       103 | NC      | $-58426.84    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | COFFEE 'C' FUTURE Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        -9 | NC      | $53281.02     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | COFFEE 'C' FUTURE Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        42 | NC      | $-827140.85   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | ECX EMISSION      Dec25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               |  | NL        |        -8 | NC      | $30291.21     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | COCOA FUTURE - IC Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        14 | NC      | $-110350.77   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | E-Mini Russ 2000  Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |       -88 | NC      | $-259900.39   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| WELLS FARGO & COMPANY          | Wells Fargo & Co                                                                | CUSIP: 95000U3W1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   8565000 | PA      | $8769184.46   | 0.57%             | 2031-04-23      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| World Omni Automobile Lease Se | World Omni Automobile Lease Securitization Trust 2024-A                         | CUSIP: 981946AD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6720000 | PA      | $6791182.27   | 0.44%             | 2027-10-15      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| N/A                            | E-Mini Russ 2000  Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        18 | NC      | $13537.30     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         1 | NC      | $11589.39     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER FUTURE Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |       -29 | NC      | $-228292.07   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER FUTURE Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |       123 | NC      | $905933.60    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Navient Student Loan Trust     | Navient Private Education Refi Loan Trust 2021-A                                | CUSIP: 63942BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1152654 | PA      | $1050373.38   | 0.07%             | 2069-05-15      | Fixed         | 0.84%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORP              | State Street Corp                                                               | CUSIP: 857477CU5<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |   3150000 | PA      | $3185512.06   | 0.21%             | 2028-02-28      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| Synchrony Card Issuance Trust  | Synchrony Card Funding LLC                                                      | CUSIP: 87166PAM3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1300000 | PA      | $1317550.26   | 0.09%             | 2030-03-15      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| SYSCO CORPORATION              | Sysco Corp                                                                      | CUSIP: 871829BF3<br>LEI: 5RGWIFLMGH3YS7KWI652 | Long             | DBT              | CORP              | US        |   2855000 | PA      | $2799287.30   | 0.18%             | 2027-07-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Taco Bell Funding, LLC         | Taco Bell Funding LLC                                                           | CUSIP: 87342RAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5767275 | PA      | $5496384.94   | 0.36%             | 2051-08-25      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| N/A                            | MSCI EmgMkt       Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        37 | NC      | $12934.98     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | MSCI EAFE         Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        -3 | NC      | $-2549.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | MEXICAN PESO FUT  Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |       380 | NC      | $160860.60    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| US BANK MMDA - USBGFS 9        | US BANK MMDA - USBGFS 9                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | RF                | US        |  55354203 | NS      | $55354202.55  | 3.60%             |  |  |  | No            |                  1 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                | CUSIP: 91282CDF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  21830000 | PA      | $20237944.87  | 1.32%             | 2028-10-31      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                | CUSIP: 91282CEV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  90490000 | PA      | $88825125.16  | 5.78%             | 2029-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                | CUSIP: 91282CFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2850000 | PA      | $2860576.18   | 0.19%             | 2027-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                            | JPY/USD FWD 20250716                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $104108.31    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | JPY/USD FWD 20250716                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $178414.98    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | JPY/USD FWD 20250820                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-75408.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | JPY/USD FWD 20250820                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $61913.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | JPY/USD FWD 20250917                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-30496.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | JPY/USD FWD 20250917                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-2716.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | KOSPI2 INX FUT    Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | KR        |       115 | NC      | $47475.14     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | KRW/USD FWD 20250716                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-82261.32    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | KRW/USD FWD 20250716                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $76267.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | KRW/USD FWD 20250820                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-5608.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | KRW/USD FWD 20250820                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $10052.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | KC HRW WHEAT FUT  Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |      -270 | NC      | $556688.45    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LIVE CATTLE FUTR  Aug25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        32 | NC      | $12722.80     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LEAN HOGS FUTURE  Aug25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       -15 | NC      | $25824.01     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LEAN HOGS FUTURE  Aug25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        20 | NC      | $-28934.65    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ALUMINUM                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -1 | NC      | $-4982.12     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ALUMINUM                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         1 | NC      | $5490.13      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ALUMINUM                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -2 | NC      | $-9338.49     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | MSCI SING IX ETS  Jul25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | SG        |        16 | NC      | $4871.13      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| DTE ELECTRIC CO                | DTE Electric Co                                                                 | CUSIP: 23338VAW6<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |   1145000 | PA      | $1146724.95   | 0.07%             | 2027-05-14      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS          | Duke Energy Carolinas LLC                                                       | CUSIP: 26442CBP8<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |   1990000 | PA      | $2033868.22   | 0.13%             | 2030-03-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| ELP 2021-ELP                   | ELP Commercial Mortgage Trust 2021-ELP                                          | CUSIP: 26863LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1997675 | PA      | $1995177.66   | 0.13%             | 2038-11-15      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| ELARA HGV TIMESHARE ISSUER     | Elara HGV Timeshare Issuer 2021-A LLC                                           | CUSIP: 28416LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    798078 | PA      | $754977.96    | 0.05%             | 2035-08-27      | Fixed         | 1.36%                 | No            |                  2 | On Loan: No      |
| NYC Trust                      | NYCT Trust 2024-3ELV                                                            | CUSIP: 62956HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5450000 | PA      | $5456734.02   | 0.35%             | 2029-08-15      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan  | New Residential Mortgage Loan Trust 2016-1                                      | CUSIP: 64829FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    475210 | PA      | $458485.55    | 0.03%             | 2056-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan  | New Residential Mortgage Loan Trust 2017-2                                      | CUSIP: 64829KBV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    704462 | PA      | $680779.36    | 0.04%             | 2057-03-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| NSTAR ELECTRIC CO              | NSTAR Electric Co                                                               | CUSIP: 67021CAM9<br>LEI: 54930080R72Y2Z31UR68 | Long             | DBT              | CORP              | US        |   3510000 | PA      | $3451022.42   | 0.22%             | 2027-05-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| NRTH PARK Mortgage Trust       | NRTH 2024-PARK Mortgage Trust                                                   | CUSIP: 67021HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3270000 | PA      | $3272038.19   | 0.21%             | 2039-03-15      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| NUTRIEN LTD                    | Nutrien Ltd                                                                     | CUSIP: 67077MBA5<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |   1545000 | PA      | $1566470.85   | 0.10%             | 2028-03-27      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| O'REILLY AUTOMOTIVE INC        | O'Reilly Automotive Inc                                                         | CUSIP: 67103HAJ6<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |   1805000 | PA      | $1786587.66   | 0.12%             | 2030-04-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| O'REILLY AUTOMOTIVE INC        | O'Reilly Automotive Inc                                                         | CUSIP: 67103HAM9<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |   4035000 | PA      | $4106079.39   | 0.27%             | 2026-11-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ONNI Commercial Mortgage Trust | ONNI Commerical Mortgage Trust 2024-APT                                         | CUSIP: 682939AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1600000 | PA      | $1634929.92   | 0.11%             | 2039-07-15      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                    | Oracle Corp                                                                     | CUSIP: 68389XCY9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   2715000 | PA      | $2759244.75   | 0.18%             | 2028-08-03      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| PFS Financing Corp.            | PFS Financing Corp                                                              | CUSIP: 69335PFE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4038525.60   | 0.26%             | 2029-02-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| PFS Financing Corp.            | PFS Financing Corp                                                              | CUSIP: 69335PFJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4440000 | PA      | $4535411.60   | 0.29%             | 2029-04-15      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| PNC BANK NA                    | PNC Bank NA                                                                     | CUSIP: 69353RFY9<br>LEI: AD6GFRVSDT01YPT1CS68 | Long             | DBT              | CORP              | US        |   6810000 | PA      | $6813316.74   | 0.44%             | 2027-05-13      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| PKHL Commercial Mortgage Trust | PKHL Commercial Mortgage Trust 2021-MF                                          | CUSIP: 69356GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5750000 | PA      | $5431344.78   | 0.35%             | 2038-07-15      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                    | PepsiCo Inc                                                                     | CUSIP: 713448FW3<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |   3490000 | PA      | $3533621.93   | 0.23%             | 2026-11-10      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC         | Philip Morris International Inc                                                 | CUSIP: 718172DN6<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   3265000 | PA      | $3294928.82   | 0.21%             | 2029-11-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Planet Fitness Master Issuer L | Planet Fitness Master Issuer LLC                                                | CUSIP: 72703PAD5<br>LEI: 549300NX9W3U2DO53T22 | Long             | ABS-O            | CORP              | US        |   2476800 | PA      | $2424566.27   | 0.16%             | 2051-12-05      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Porsche Financial Auto Securit | Porsche Financial Auto Securitization Trust 2024-1                              | CUSIP: 73328EAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1505868.45   | 0.10%             | 2030-01-22      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL LFE GLB FND II       | Principal Life Global Funding II                                                | CUSIP: 74256LEK1<br>LEI: 635400WSLKBQWSOIIT41 | Long             | DBT              | CORP              | US        |   2530000 | PA      | $2482633.01   | 0.16%             | 2026-01-12      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| PROLOGIS TARGETED US           | Prologis Targeted US Logistics Fund LP                                          | CUSIP: 74350LAA2<br>LEI: 5493004DTBWUQ9F2VJ87 | Long             | DBT              | CORP              | US        |   3825000 | PA      | $3928712.92   | 0.26%             | 2029-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| SOUTH BOW USA INFRA HLDS       | South Bow USA Infrastructure Holdings LLC                                       | CUSIP: 83007CAA0<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |   1880000 | PA      | $1891759.81   | 0.12%             | 2027-09-01      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr | SoFi Professional Loan Program 2021-B Trust                                     | CUSIP: 83405NAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1101127 | PA      | $958645.87    | 0.06%             | 2047-02-15      | Fixed         | 1.14%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON            | Southern California Edison Co                                                   | CUSIP: 842400GV9<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   1060000 | PA      | $1033207.47   | 0.07%             | 2026-02-01      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                    | SREIT Trust 2021-MFP2                                                           | CUSIP: 85236WCE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4500000 | PA      | $4497187.50   | 0.29%             | 2036-11-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                            | AUDUSD Crncy Fut  Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |       -25 | NC      | $-12727.63    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | AUDUSD Crncy Fut  Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |       406 | NC      | $165973.62    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | AUD/USD FWD 20250701                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-2907.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | AUD/USD FWD 20250701                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $5008.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | AUD/USD FWD 20250716                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-602469.92   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | AUD/USD FWD 20250716                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $316135.23    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | AUD/USD FWD 20250820                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-9221.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | AUD/USD FWD 20250820                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $29543.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | AUD/USD FWD 20250917                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-149208.70   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | AUD/USD FWD 20250917                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $216652.66    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | BP CURRENCY FUT   Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |       -83 | NC      | $-67857.29    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | BP CURRENCY FUT   Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |       668 | NC      | $293488.83    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | BOVESPA INDEX FUT Aug25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | BR        |      -335 | NC      | $36460.85     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 3MO EURO EURIBOR  Mar26                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        88 | NC      | $-4914.47     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 3MO EURO EURIBOR  Mar27                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        86 | NC      | $-1321.02     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 3MO EURO EURIBOR  Jun26                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |       116 | NC      | $-9413.84     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 3MO EURO EURIBOR  Jun27                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        93 | NC      | $-1440.87     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 3MO EURO EURIBOR  Sep26                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |       118 | NC      | $-4275.52     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 3MO EURO EURIBOR  Sep27                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        64 | NC      | $-1358.78     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 3MO EURO EURIBOR  Dec26                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |      1692 | NC      | $-133325.98   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LONG GILT FUTURE  Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |      -284 | NC      | $-382983.11   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LONG GILT FUTURE  Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        24 | NC      | $-10209.94    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME PRI ALUM FUTR Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |      -204 | NC      | $-587907.19   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME PRI ALUM FUTR Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        89 | NC      | $221338.84    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME LEAD FUTURE   Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |       -10 | NC      | $-17109.20    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME LEAD FUTURE   Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        13 | NC      | $15517.19     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -1 | NC      | $-17562.88    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ABBVIE INC                     | AbbVie Inc                                                                      | CUSIP: 00287YDS5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   1695000 | PA      | $1727850.69   | 0.11%             | 2029-03-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA       | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MBD6<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   7390000 | PA      | $7553396.23   | 0.49%             | 2027-01-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                 | Air Lease Corp                                                                  | CUSIP: 00914AAT9<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   4020000 | PA      | $4157184.51   | 0.27%             | 2027-12-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| ALEN 2021-ACEN Mortgage Trust  | Alen 2021-ACEN Mortgage Trust                                                   | CUSIP: 01449NAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3150000 | PA      | $3016125.00   | 0.20%             | 2034-04-15      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| AMCOR GROUP FINANCE            | Amcor Group Finance PLC                                                         | CUSIP: 02344BAA4<br>LEI: 2549008XHB8M1L64J275 | Long             | DBT              | CORP              | GB        |   1695000 | PA      | $1742443.02   | 0.11%             | 2029-05-23      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| JOHN DEERE CAPITAL CORP        | John Deere Capital Corp                                                         | CUSIP: 24422EXB0<br>LEI: E0KSF7PFQ210NWI8Z391 | Long             | DBT              | CORP              | US        |   1835000 | PA      | $1879626.65   | 0.12%             | 2028-07-14      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK         | Federal Home Loan Banks                                                         | CUSIP: 3130ALBC7<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |  11160000 | PA      | $10398955.18  | 0.68%             | 2028-02-25      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137BSRD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    464838 | PA      | $463361.90    | 0.03%             | 2025-09-25      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust   | GS Mortgage Securities Trust 2017-GS6                                           | CUSIP: 36253PAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1946605.00   | 0.13%             | 2050-05-10      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Corp Trust 2021-NQM1                              | CUSIP: 36262EAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    975150 | PA      | $881967.04    | 0.06%             | 2061-07-25      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| HALEON US CAPITAL LLC          | Haleon US Capital LLC                                                           | CUSIP: 36264FAK7<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |   6910000 | PA      | $6807934.39   | 0.44%             | 2027-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Se | Natixis Commercial Mortgage Securities Trust 2019-LVL                           | CUSIP: 63874TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3700000 | PA      | $3560613.97   | 0.23%             | 2038-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC            | NatWest Markets PLC                                                             | CUSIP: 63906YAJ7<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |   3615000 | PA      | $3733741.25   | 0.24%             | 2029-05-17      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| GSAT Trust 2025-BMF            | GSAT Trust 2025-BMF                                                             | CUSIP: 36271XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2900000 | PA      | $2900906.25   | 0.19%             | 2030-07-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC        | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GA46<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2150000 | PA      | $2280466.34   | 0.15%             | 2029-10-24      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC        | Goldman Sachs Group Inc/The                                                     | CUSIP: 38145GAM2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  10665000 | PA      | $10679733.48  | 0.69%             | 2026-08-10      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| HCA INC                        | HCA Inc                                                                         | CUSIP: 404119CY3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   2300000 | PA      | $2333886.27   | 0.15%             | 2028-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC              | HSBC Holdings PLC                                                               | CUSIP: 404280DU0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   3420000 | PA      | $3555779.92   | 0.23%             | 2029-03-09      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| HAWAII ST                      | State of Hawaii                                                                 | CUSIP: 419792F92<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   4220000 | PA      | $4208137.16   | 0.27%             | 2025-08-01      | Fixed         | 1.03%                 | No            |                  2 | On Loan: No      |
| TAPESTRY INC                   | Tapestry Inc                                                                    | CUSIP: 876030AK3<br>LEI: 549300LJNVY5SW3VTN33 | Long             | DBT              | CORP              | US        |   1595000 | PA      | $1614623.68   | 0.10%             | 2030-03-11      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| N/A                            | WTI CRUDE FUTURE  Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       103 | NC      | $-383206.43   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| HP ENTERPRISE CO               | Hewlett Packard Enterprise Co                                                   | CUSIP: 42824CBT5<br>LEI: 549300BX44RGX6ANDV88 | Long             | DBT              | CORP              | US        |   3830000 | PA      | $3808522.59   | 0.25%             | 2029-10-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust   | Hilton Grand Vacations Trust 2024-2                                             | CUSIP: 43283JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2976851 | PA      | $3009347.57   | 0.20%             | 2038-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust   | Hilton Grand Vacations Trust 2019-A                                             | CUSIP: 43284HAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    454254 | PA      | $446394.71    | 0.03%             | 2033-07-25      | Fixed         | 2.34%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                 | Home Depot Inc/The                                                              | CUSIP: 437076DB5<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |   2820000 | PA      | $2863941.66   | 0.19%             | 2027-06-25      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Honda Auto Receivables Owner T | Honda Auto Receivables 2024-1 Owner Trust                                       | CUSIP: 437918AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3410000 | PA      | $3440064.95   | 0.22%             | 2028-08-15      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| HONEYWELL INTERNATIONAL        | Honeywell International Inc                                                     | CUSIP: 438516CQ7<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |   1665000 | PA      | $1704056.55   | 0.11%             | 2029-09-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| HONEYWELL INTERNATIONAL        | Honeywell International Inc                                                     | CUSIP: 438516CX2<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |   4405000 | PA      | $4450833.14   | 0.29%             | 2027-07-30      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO            | JPMorgan Chase & Co                                                             | CUSIP: 46647PEY8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  12900000 | PA      | $13216127.79  | 0.86%             | 2031-04-22      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| KITE REALTY GROUP LP           | Kite Realty Group LP                                                            | CUSIP: 49803XAA1<br>LEI: 549300X6R2GYI8Y3OD81 | Long             | DBT              | CORP              | US        |   5270000 | PA      | $5223049.94   | 0.34%             | 2026-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KSL Commercial Mortgage Trust  | KSL Commercial Mortgage Trust 2024-HT2                                          | CUSIP: 500937AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $748123.73    | 0.05%             | 2039-12-15      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| Ladder Capital Commercial Mort | Ladder Capital Commercial Mortgage 2013-GCP Mortgage Trust                      | CUSIP: 50184BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000457 | PA      | $968220.77    | 0.06%             | 2036-02-15      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH INC              | L3Harris Technologies Inc                                                       | CUSIP: 502431AP4<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |   3810000 | PA      | $3872855.28   | 0.25%             | 2027-01-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust             | MCR 2024-HTL Mortgage Trust                                                     | CUSIP: 55286PAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    946688 | PA      | $945800.51    | 0.06%             | 2037-02-15      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| LINEAGE OP LP                  | Lineage OP LP                                                                   | CUSIP: 53567YAA7<br>LEI: 254900CSRDL1G4SRQE89 | Long             | DBT              | CORP              | US        |   3445000 | PA      | $3463340.87   | 0.23%             | 2030-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MARS INC                       | Mars Inc                                                                        | CUSIP: 571676AX3<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |  15540000 | PA      | $15663781.85  | 1.02%             | 2028-03-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust  | MHC Commercial Mortgage Trust 2021-MHC                                          | CUSIP: 55316VAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2760000 | PA      | $2760000.00   | 0.18%             | 2038-04-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                | MVW 2021-1W LLC                                                                 | CUSIP: 55389TAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    720003 | PA      | $689707.38    | 0.04%             | 2041-01-22      | Fixed         | 1.14%                 | No            |                  2 | On Loan: No      |
| N/A                            | EURO-SCHATZ FUT   Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |      -581 | NC      | $12084.49     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | EURO-SCHATZ FUT   Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |      2375 | NC      | $-439879.47   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| MVW Owner Trust                | MVW 2019-2 LLC                                                                  | CUSIP: 55400DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    299538 | PA      | $294623.51    | 0.02%             | 2038-10-20      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| MET LIFE GLOB FUNDING I        | Metropolitan Life Global Funding I                                              | CUSIP: 592179KF1<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |   1430000 | PA      | $1458902.85   | 0.09%             | 2028-01-06      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK NA         | Morgan Stanley Bank NA                                                          | CUSIP: 61690U8A1<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |   9635000 | PA      | $9711917.46   | 0.63%             | 2028-01-14      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                 | Morgan Stanley                                                                  | CUSIP: 61747YFZ3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   6745000 | PA      | $6913408.08   | 0.45%             | 2031-04-17      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                | MVW 2025-1 LLC                                                                  | CUSIP: 627924AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4709129 | PA      | $4758989.41   | 0.31%             | 2042-09-22      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                | MVW 2024-1 LLC                                                                  | CUSIP: 62847RAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3798897 | PA      | $3862229.16   | 0.25%             | 2043-02-20      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| N/A                            | HSCEI Futures     Jul25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | HK        |       -21 | NC      | $8509.65      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | HANG SENG IDX FUT Jul25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | HK        |       280 | NC      | $-572570.84   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | SET50 FUTURES     Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | TH        |      -127 | NC      | $3589.30      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 10YR MINI JGB FUT Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | SG        |       -10 | NC      | $603.17       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | IBEX 35 INDX FUTR Jul25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | ES        |         5 | NC      | $7472.44      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | Euro-BTP Future   Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |       342 | NC      | $19060.31     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | SOYBEAN OIL FUTR  Dec25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       315 | NC      | $-372623.53   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | EURO FX CURR FUT  Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |       717 | NC      | $1152745.47   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | ILS/USD FWD 20250716                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-136701.48   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | ILS/USD FWD 20250716                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $67356.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | S&P500 EMINI FUT  Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |       -25 | NC      | $-64467.67    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | S&P500 EMINI FUT  Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |       111 | NC      | $819964.60    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | ILS/USD FWD 20250820                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $1097.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | INR/USD FWD 20250716                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-15199.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | EUR/USD FWD 20250716                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-1547943.58  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | EUR/USD FWD 20250716                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $2109837.74   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | INR/USD FWD 20250716                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $5378.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | INR/USD FWD 20250820                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $1802.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | EUR/USD FWD 20250917                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-255535.09   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | EUR/USD FWD 20250917                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $1733105.50   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | S&P MID 400 EMINI Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        -4 | NC      | $-30566.72    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NZD/USD FWD 20250820                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-11890.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | JPN 10Y BOND(OSE) Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | JP        |       -55 | NC      | $-176841.76   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | JPN 10Y BOND(OSE) Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | JP        |         7 | NC      | $-14740.95    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NZD/USD FWD 20250820                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $1897.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | NZD/USD FWD 20250917                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-26362.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | NZD/USD FWD 20250917                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $191531.93    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | PLN/USD FWD 20250716                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-49865.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | PLN/USD FWD 20250716                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $403934.32    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | PLATINUM FUTURE   Oct25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        -3 | NC      | $249.48       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | IFSC NIFTY 50 FUT Jul25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | IN        |       123 | NC      | $3303.63      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | JPY/USD FWD 20250701                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-2231.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | PLATINUM FUTURE   Oct25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        17 | NC      | $-24723.54    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | S&P/TSX 60 IX FUT Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | CA        |        15 | NC      | $20969.96     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | JPY/USD FWD 20250701                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $5674.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | JPN YEN CURR FUT  Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |       -80 | NC      | $-38846.93    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | SOYBEAN FUTURE    Nov25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |      -670 | NC      | $586281.29    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | SUGAR #11 (WORLD) Oct25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |      -415 | NC      | $307897.12    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | JPN YEN CURR FUT  Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         3 | NC      | $206.14       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NZD/USD FWD 20250701                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-203.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | SEK/USD FWD 20250716                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-171649.84   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | SEK/USD FWD 20250716                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $85500.58     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | NZD/USD FWD 20250701                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $274.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | NZD/USD FWD 20250716                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-358713.60   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | 3 MONTH SOFR FUT  Dec26                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      1618 | NC      | $938990.00    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 3 MONTH SOFR FUT  Dec27                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       516 | NC      | $235531.13    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NZD/USD FWD 20250716                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $295859.36    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | Euro-OAT Future   Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |       -16 | NC      | $307.47       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | SGD/USD FWD 20250716                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-39196.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | SGD/USD FWD 20250716                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $111242.26    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | Euro-OAT Future   Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |       215 | NC      | $-76969.96    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | EURO-BOBL FUTURE  Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |      -104 | NC      | $-1243.59     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | SILVER FUTURE     Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        -4 | NC      | $1977.60      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | SILVER FUTURE     Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       121 | NC      | $-121882.77   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | EURO-BOBL FUTURE  Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |       713 | NC      | $-354333.77   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | EURO-BUND FUTURE  Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |      -329 | NC      | $142498.91    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | SOYBEAN MEAL FUTR Dec25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |      -717 | NC      | $138754.23    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | SOYBEAN MEAL FUTR Dec25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         4 | NC      | $630.36       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | TOPIX INDX FUTR   Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | JP        |       141 | NC      | $636187.62    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | TTF NAT GAS F     Aug25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | NL        |       -25 | NC      | $30995.78     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | EURO STOXX 50     Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | DE        |       -29 | NC      | $-176.39      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | EURO STOXX 50     Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | DE        |       450 | NC      | $65139.62     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | SPI 200 FUTURES   Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | AU        |       -29 | NC      | $2043.61      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | ICE 3MTH SONIA FU Mar26                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        15 | NC      | $3417.37      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | ICE 3MTH SONIA FU Mar27                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        28 | NC      | $7677.44      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GM Financial Automobile Leasin | GM Financial Automobile Leasing Trust 2024-2                                    | CUSIP: 36269WAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12820000 | PA      | $12924613.76  | 0.84%             | 2027-07-20      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| N/A                            | ICE 3MTH SONIA FU Jun26                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        35 | NC      | $9026.25      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | ICE 3MTH SONIA FU Jun27                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        18 | NC      | $5507.83      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | ICE 3MTH SONIA FU Sep26                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        35 | NC      | $10158.57     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | ICE 3MTH SONIA FU Sep27                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        15 | NC      | $4069.40      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | ICE 3MTH SONIA FU Dec26                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |       272 | NC      | $179466.89    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | FTSE/MIB IDX FUT  Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | IT        |        22 | NC      | $86188.43     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| GEORGIA POWER CO               | Georgia Power Co                                                                | CUSIP: 373334KV2<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |   4670000 | PA      | $4735811.09   | 0.31%             | 2027-02-23      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GM Financial Consumer Automobi | GM Financial Consumer Automobile Receivables Trust 2024-2                       | CUSIP: 379931AD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5170000 | PA      | $5216782.30   | 0.34%             | 2029-03-16      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| N/A                            | GBP/USD FWD 20250701                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $2.04         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | GBP/USD FWD 20250701                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $3.88         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | FTSE Taiwan Index Jul25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | SG        |        60 | NC      | $244.97       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | EURO-BUXL 30Y BND Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |       -38 | NC      | $64630.69     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | GBP/USD FWD 20250716                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-726559.01   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | GBP/USD FWD 20250716                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $675217.75    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | LME COPPER                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         1 | NC      | $17215.89     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -1 | NC      | $-11568.38    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | GASOLINE RBOB FUT Aug25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       -17 | NC      | $949.11       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | GASOLINE RBOB FUT Aug25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       177 | NC      | $-1088202.29  | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | GASOLINE RBOB FUT Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        -6 | NC      | $-2404.86     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | GASOLINE RBOB FUT Oct25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        -4 | NC      | $307.76       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME NICKEL                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -1 | NC      | $6167.54      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME NICKEL                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         1 | NC      | $-6442.96     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | GASOLINE RBOB FUT Nov25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         2 | NC      | $-8953.82     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | FTSE CHINA A50    Jul25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | SG        |       947 | NC      | $-122724.39   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ZINC   ($)                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -1 | NC      | $-3875.12     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ZINC   ($)                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         1 | NC      | $4491.38      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ZINC   ($)                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -1 | NC      | $-1656.87     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ZINC   ($)                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         1 | NC      | $1257.38      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | FTSE 100 IDX FUT  Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | GB        |       -77 | NC      | $63062.55     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | FTSE 100 IDX FUT  Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | GB        |       243 | NC      | $-117906.61   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME NICKEL FUTURE Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |       -14 | NC      | $14458.42     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME NICKEL FUTURE Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         9 | NC      | $-11737.74    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ZINC FUTURE   Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |      -100 | NC      | $-109497.94   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ZINC FUTURE   Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        25 | NC      | $38181.77     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | Low Su Gasoil G   Jul25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        91 | NC      | $-240308.29   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | Low Su Gasoil G   Aug25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |       492 | NC      | $-2342550.60  | -0.15%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | Low Su Gasoil G   Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        19 | NC      | $-62722.61    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 3 MONTH SOFR FUT  Mar27                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        92 | NC      | $29477.80     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 3 MONTH SOFR FUT  Sep26                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       159 | NC      | $40808.10     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 3 MONTH SOFR FUT  Sep27                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        95 | NC      | $33448.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | AUST 10Y BOND FUT Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | AU        |       918 | NC      | $178474.41    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | AUST 3YR BOND FUT Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | AU        |       -78 | NC      | $-11616.58    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | AUST 3YR BOND FUT Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | AU        |        95 | NC      | $-5251.85     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NY Harb ULSD Fut  Aug25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       446 | NC      | $-935014.33   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NY Harb ULSD Fut  Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        30 | NC      | $-75125.10    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NY Harb ULSD Fut  Oct25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         7 | NC      | $-11587.87    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NY Harb ULSD Fut  Nov25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         2 | NC      | $-1981.82     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NATURAL GAS FUTR  Aug25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |      -169 | NC      | $294284.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NATURAL GAS FUTR  Aug25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        62 | NC      | $-298825.24   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NATURAL GAS FUTR  Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       -36 | NC      | $86041.24     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NATURAL GAS FUTR  Oct25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       -17 | NC      | $41017.53     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NATURAL GAS FUTR  Nov25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       -10 | NC      | $20150.90     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NATURAL GAS FUTR  Dec25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        -6 | NC      | $9848.54      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NIKKEI 225  (SGX) Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | SG        |        -5 | NC      | $-6134.81     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NIKKEI 225  (SGX) Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | SG        |        14 | NC      | $14153.18     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NIKKEI 225  (OSE) Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | JP        |       113 | NC      | $1031128.29   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NOK/USD FWD 20250716                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-6577.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | NOK/USD FWD 20250716                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-2280.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | NASDAQ 100 E-MINI Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |       -11 | NC      | $-28742.99    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NASDAQ 100 E-MINI Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        84 | NC      | $1062429.65   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NEW ZEALAND $ FUT Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |       -10 | NC      | $-7224.18     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | NEW ZEALAND $ FUT Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |        56 | NC      | $37437.53     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BofA Auto Trust                | BofA Auto Trust 2024-1                                                          | CUSIP: 09709AAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5225000 | PA      | $5277279.78   | 0.34%             | 2028-11-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PART         | Brixmor Operating Partnership LP                                                | CUSIP: 11120VAC7<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |   2025000 | PA      | $2017083.32   | 0.13%             | 2026-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC              | Brown & Brown Inc                                                               | CUSIP: 115236AH4<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |   2640000 | PA      | $2652286.38   | 0.17%             | 2026-12-23      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Commercial Mortgage Trust 2021-CIP                                           | CUSIP: 12434FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1913228 | PA      | $1912032.27   | 0.12%             | 2038-12-15      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| AT&T INC                       | AT&T Inc                                                                        | CUSIP: 00206RJX1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   4345000 | PA      | $4188625.71   | 0.27%             | 2027-06-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| American Express Credit Accoun | American Express Credit Account Master Trust                                    | CUSIP: 02582JKH2<br>LEI: 549300Y4SA5G3GIJTP18 | Long             | ABS-O            | CORP              | US        |   9350000 | PA      | $9539715.24   | 0.62%             | 2029-04-15      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| American Express Credit Accoun | American Express Credit Account Master Trust                                    | CUSIP: 02582JKP4<br>LEI: 549300Y4SA5G3GIJTP18 | Long             | ABS-O            | CORP              | US        |    570000 | PA      | $573131.01    | 0.04%             | 2030-04-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT          | American Homes 4 Rent LP                                                        | CUSIP: 02666TAB3<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |   1740000 | PA      | $1759305.80   | 0.11%             | 2029-02-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                      | Amgen Inc                                                                       | CUSIP: 031162DP2<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   4385000 | PA      | $4479855.97   | 0.29%             | 2028-03-02      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust       | Angel Oak Mortgage Trust 2020-5                                                 | CUSIP: 03464WAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     55986 | PA      | $54026.87     | 0.00%             | 2065-05-25      | Variable      | 2.04%                 | No            |                  2 | On Loan: No      |
| ARES Commercial Mortgage Trust | ARES Commercial Mortgage Trust 2024-IND                                         | CUSIP: 03990DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1420000 | PA      | $1422220.60   | 0.09%             | 2041-07-15      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| ARDN 2025-ARCP Mortgage Trust  | ARDN 2025-ARCP Mortgage Trust                                                   | CUSIP: 039961AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10000000 | PA      | $10004367.00  | 0.65%             | 2035-06-15      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.         | Argent Securities Inc Asset-Backed Pass-Through Certificates Series 2003-W6     | CUSIP: 040104CU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    611717 | PA      | $639691.12    | 0.04%             | 2034-01-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| ASTRAZENECA FINANCE LLC        | Astrazeneca Finance LLC                                                         | CUSIP: 04636NAK9<br>LEI: 549300C3HATU4Q460S18 | Long             | DBT              | CORP              | US        |   1580000 | PA      | $1597345.19   | 0.10%             | 2027-02-26      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | BBCMS Trust 2015-VFM                                                            | CUSIP: 05546JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    192008 | PA      | $189370.62    | 0.01%             | 2036-03-10      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | BBCMS Mortgage Trust 2023-C19                                                   | CUSIP: 05553RAZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7135000 | PA      | $7263812.44   | 0.47%             | 2056-04-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Trust 2022-PSB                                                               | CUSIP: 05606DAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    770000 | PA      | $770000.00    | 0.05%             | 2039-08-15      | Floating      | 7.26%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Commercial Mortgage Trust 2021-XL2                                           | CUSIP: 05609KAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3850000 | PA      | $3847593.75   | 0.25%             | 2038-10-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Trust 2022-VAMF                                                              | CUSIP: 05609TAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1746718.75   | 0.11%             | 2039-01-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Trust 2023-DELC                                                              | CUSIP: 05610DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    850000 | PA      | $855301.11    | 0.06%             | 2038-05-15      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Commercial Mortgage Trust 2022-AHP                                           | CUSIP: 05610FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    965000 | PA      | $964396.88    | 0.06%             | 2039-01-17      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Commercial Mortgage Trust 2024-XL5                                           | CUSIP: 05612GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2719784 | PA      | $2722334.01   | 0.18%             | 2041-03-15      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| BLP Commercial Mortgage Trust  | BLP Commercial Mortgage Trust 2024-IND2                                         | CUSIP: 05625AAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3259222 | PA      | $3263296.05   | 0.21%             | 2041-03-15      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP           | Bank of America Corp                                                            | CUSIP: 06051GKP3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  10090000 | PA      | $10086615.21  | 0.66%             | 2028-04-27      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP           | Bank of America Corp                                                            | CUSIP: 06051GML0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  11035000 | PA      | $11306492.56  | 0.74%             | 2031-01-24      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| BANK OF NEW YORK MELLON        | Bank of New York Mellon/The                                                     | CUSIP: 06405LAF8<br>LEI: HPFHU0OQ28E4N0NFVK49 | Long             | DBT              | CORP              | US        |  11625000 | PA      | $11651591.72  | 0.76%             | 2027-04-20      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA NA             | Bank of America NA                                                              | CUSIP: 06428CAA2<br>LEI: B4TYDEB6GKMZO031MB27 | Long             | DBT              | CORP              | US        |  12490000 | PA      | $12666889.38  | 0.82%             | 2026-08-18      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| BOEING CO                      | Boeing Co/The                                                                   | CUSIP: 097023DB8<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   6460000 | PA      | $6264939.78   | 0.41%             | 2028-02-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK         | Canadian Imperial Bank of Commerce                                              | CUSIP: 13607HR61<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |   2370000 | PA      | $2339706.33   | 0.15%             | 2027-04-07      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust | Carvana Auto Receivables Trust 2024-P4                                          | CUSIP: 14076LAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    265000 | PA      | $265261.98    | 0.02%             | 2030-01-10      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust        | CarMax Auto Owner Trust 2024-4                                                  | CUSIP: 14290DAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11090000 | PA      | $11162960.00  | 0.73%             | 2029-10-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust        | Carmax Auto Owner Trust 2021-4                                                  | CUSIP: 14317JAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     89878 | PA      | $89732.06     | 0.01%             | 2026-09-15      | Fixed         | 0.56%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust | Carvana Auto Receivables Trust 2022-P3                                          | CUSIP: 14686MAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1922178 | PA      | $1921430.67   | 0.12%             | 2027-11-10      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust | Carvana Auto Receivables Trust 2021-P4                                          | CUSIP: 14687KAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     77662 | PA      | $77593.45     | 0.01%             | 2027-01-11      | Fixed         | 1.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2023-R06                                    | CUSIP: 20754EAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3060000 | PA      | $3158501.40   | 0.21%             | 2043-07-25      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2023-R08                                    | CUSIP: 20755CAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    740000 | PA      | $760692.77    | 0.05%             | 2043-10-25      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK         | Federal Home Loan Banks                                                         | CUSIP: 3130AKXQ4<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   7100000 | PA      | $6944069.23   | 0.45%             | 2026-02-12      | Fixed         | 0.60%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK       | Federal Farm Credit Banks Funding Corp                                          | CUSIP: 3133EP4K8<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |  13745000 | PA      | $13787781.86  | 0.90%             | 2026-03-05      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK       | Federal Farm Credit Banks Funding Corp                                          | CUSIP: 3133EPSW6<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |  11900000 | PA      | $11964801.21  | 0.78%             | 2026-08-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK       | Federal Farm Credit Banks Funding Corp                                          | CUSIP: 3133ERHH7<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |   3725000 | PA      | $3765765.10   | 0.24%             | 2026-12-14      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FED CAISSES DESJARDINS         | Federation des Caisses Desjardins du Quebec                                     | CUSIP: 31429KAK9<br>LEI: 549300B2Q47IR0CR5B54 | Long             | DBT              | CORP              | CA        |   3780000 | PA      | $3910868.51   | 0.25%             | 2028-03-14      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| MARS INC                       | Mars Inc                                                                        | CUSIP: 571676AY1<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |  14590000 | PA      | $14777367.26  | 0.96%             | 2030-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2022-R03                                    | CUSIP: 20753XAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $5194550.00   | 0.34%             | 2042-03-25      | Floating      | 7.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2022-R04                                    | CUSIP: 20753YCK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3350000 | PA      | $3450714.74   | 0.22%             | 2042-03-25      | Floating      | 7.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2022-R05                                    | CUSIP: 20754DAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    380000 | PA      | $390175.30    | 0.03%             | 2042-04-25      | Floating      | 7.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2022-R07                                    | CUSIP: 20754MCB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4255706 | PA      | $4536887.30   | 0.29%             | 2042-06-25      | Floating      | 8.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2022-R06                                    | CUSIP: 20754NAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1675000 | PA      | $1751391.22   | 0.11%             | 2042-05-25      | Floating      | 8.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2023-R04                                    | CUSIP: 20754QAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5302000 | PA      | $5595996.43   | 0.36%             | 2043-05-25      | Floating      | 7.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2023-R02                                    | CUSIP: 20755AAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $5213115.00   | 0.34%             | 2043-01-25      | Floating      | 7.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2022-R08                                    | CUSIP: 20755DAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6105000 | PA      | $6367341.01   | 0.41%             | 2042-07-25      | Floating      | 7.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2023-R01                                    | CUSIP: 207932AB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4400000 | PA      | $4640294.56   | 0.30%             | 2042-12-25      | Floating      | 8.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2023-R05                                    | CUSIP: 207942AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1875000 | PA      | $1956257.81   | 0.13%             | 2043-06-25      | Floating      | 7.41%                 | No            |                  2 | On Loan: No      |
| ESSEX PORTFOLIO LP             | Essex Portfolio LP                                                              | CUSIP: 29717PAY3<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |   1740000 | PA      | $1622087.42   | 0.11%             | 2028-03-01      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                     | Federal National Mortgage Association                                           | CUSIP: 3135G05Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |  34505000 | PA      | $32277646.35  | 2.10%             | 2027-10-08      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                     | Federal National Mortgage Association                                           | CUSIP: 3135G0Q22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |  26835000 | PA      | $26151402.79  | 1.70%             | 2026-09-24      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| N/A                            | 3 MONTH SOFR FUT  Mar26                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        14 | NC      | $827.60       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 3 MONTH SOFR FUT  Jun26                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       102 | NC      | $22474.30     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | 3 MONTH SOFR FUT  Jun27                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       102 | NC      | $34549.78     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ELP 2021-ELP                   | ELP Commercial Mortgage Trust 2021-ELP                                          | CUSIP: 26863LAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5393722 | PA      | $5386979.69   | 0.35%             | 2038-11-15      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                   | Enbridge Inc                                                                    | CUSIP: 29250NBX2<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |   3125000 | PA      | $3280085.16   | 0.21%             | 2028-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP             | Energy Transfer LP                                                              | CUSIP: 29273VAR1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   6785000 | PA      | $6926208.13   | 0.45%             | 2026-12-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| EQUITABLE FINANCIAL LIFE       | Equitable Financial Life Global Funding                                         | CUSIP: 29449WAA5<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |   2480000 | PA      | $2478645.67   | 0.16%             | 2025-07-07      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| N/A                            | BRL/USD FWD 20250716                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-56217.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | BRL/USD FWD 20250716                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $2059112.56   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | BRENT CRUDE FUTR  Jan26                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         5 | NC      | $-17075.95    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | BRENT CRUDE FUTR  Feb26                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         3 | NC      | $-10663.57    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | BRENT CRUDE FUTR  Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |       504 | NC      | $-3205759.16  | -0.21%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | BRENT CRUDE FUTR  Oct25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |       117 | NC      | $-585259.23   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | BRENT CRUDE FUTR  Nov25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        27 | NC      | $-117502.13   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | BRENT CRUDE FUTR  Dec25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        15 | NC      | $-58147.85    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ALUMINUM                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         2 | NC      | $9306.76      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ALUMINUM                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -1 | NC      | $-2995.62     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ALUMINUM                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         1 | NC      | $3141.63      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ALUMINUM                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -2 | NC      | $-746.24      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME ALUMINUM                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         2 | NC      | $1745.26      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -2 | NC      | $-32784.24    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         2 | NC      | $29965.26     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -1 | NC      | $-25735.13    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         1 | NC      | $24776.14     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -1 | NC      | $-12216.13    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | LME COPPER                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         1 | NC      | $11793.89     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CD Commercial Mortgage Trust   | CD 2017-CD6 Mortgage Trust                                                      | CUSIP: 125039AF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2300000 | PA      | $2235850.93   | 0.15%             | 2050-11-13      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                | CVS Health Corp                                                                 | CUSIP: 126650CU2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   6990000 | PA      | $6882626.68   | 0.45%             | 2026-06-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                | CVS Health Corp                                                                 | CUSIP: 126650DW7<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   1145000 | PA      | $1162147.79   | 0.08%             | 2029-01-30      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP       | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175AY0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1159000 | PA      | $1158914.89   | 0.08%             | 2025-07-23      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage  | Citigroup Commercial Mortgage Trust 2021-PRM2                                   | CUSIP: 17291HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5250000 | PA      | $5230683.15   | 0.34%             | 2038-10-15      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                    | Citibank NA                                                                     | CUSIP: 17325FBN7<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |   6130000 | PA      | $6163052.47   | 0.40%             | 2027-05-29      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| CNH Equipment Trust            | CNH Equipment Trust 2024-C                                                      | CUSIP: 18978GAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2775000 | PA      | $2767317.69   | 0.18%             | 2030-01-15      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA             | Credit Agricole SA                                                              | CUSIP: 22535WAR8<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   1305000 | PA      | $1328899.80   | 0.09%             | 2031-05-27      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| DB Master Finance LLC          | DB Master Finance LLC                                                           | CUSIP: 233046AN1<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-O            | CORP              | US        |   3956500 | PA      | $3808677.64   | 0.25%             | 2051-11-20      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY               | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526CX5<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   1610000 | PA      | $1621827.22   | 0.11%             | 2030-09-11      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Diamond Resorts Owner Trust    | Diamond Resorts Owner Trust 2021-1                                              | CUSIP: 25273CAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    445314 | PA      | $442886.13    | 0.03%             | 2033-11-21      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| SMR 2022-IND Mortgage Trust    | SMR 2022-IND Mortgage Trust                                                     | CUSIP: 78458MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1922922 | PA      | $1926250.77   | 0.13%             | 2039-02-15      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co  | Sierra Timeshare 2023-2 Receivables Funding LLC                                 | CUSIP: 82650BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    435300 | PA      | $444752.54    | 0.03%             | 2040-04-20      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| RTX CORP                       | RTX Corp                                                                        | CUSIP: 913017CY3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |   1745000 | PA      | $1737775.68   | 0.11%             | 2028-11-16      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FRESB Multifamily Mortgage Pas | FRESB 2016-SB23 Mortgage Trust                                                  | CUSIP: 30295LAE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    807469 | PA      | $792462.00    | 0.05%             | 2026-09-25      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO       | Florida Power & Light Co                                                        | CUSIP: 341081GK7<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |   4240000 | PA      | $4342500.18   | 0.28%             | 2028-04-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO       | Florida Power & Light Co                                                        | CUSIP: 341081GN1<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |   5375000 | PA      | $5414706.68   | 0.35%             | 2028-05-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust   | Ford Credit Auto Owner Trust 2024-C                                             | CUSIP: 34532UAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8075000 | PA      | $8050850.10   | 0.52%             | 2029-07-15      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust   | Ford Credit Auto Owner Trust 2024-A                                             | CUSIP: 34535EAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3825000 | PA      | $3860682.66   | 0.25%             | 2028-12-15      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust   | Ford Credit Auto Owner Trust 2024-D                                             | CUSIP: 34535VAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3400000 | PA      | $3426114.04   | 0.22%             | 2029-08-15      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC       | Ford Motor Credit Co LLC                                                        | CUSIP: 345397E74<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   5835000 | PA      | $5878876.57   | 0.38%             | 2027-05-17      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR REMIC Trust 2022-DNA6                                         | CUSIP: 35564KH44<br>LEI: 5493000IS30HKV5IAS29 | Long             | ABS-MBS          | CORP              | US        |   3010000 | PA      | $3170854.40   | 0.21%             | 2042-09-25      | Floating      | 8.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR REMIC Trust 2023-DNA1                                         | CUSIP: 35564KP45<br>LEI: 5493000IRILHAKSCHN59 | Long             | ABS-MBS          | CORP              | US        |   2085000 | PA      | $2171006.25   | 0.14%             | 2043-03-25      | Floating      | 7.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR REMIC Trust 2023-DNA2                                         | CUSIP: 35564KT66<br>LEI: 5493000IRI80KQJUNK40 | Long             | ABS-MBS          | CORP              | US        |   5210000 | PA      | $5458850.96   | 0.35%             | 2043-04-25      | Floating      | 7.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR REMIC Trust 2023-HQA1                                         | CUSIP: 35564KX87<br>LEI: 5493000IRHY5YZIPQD14 | Long             | ABS-MBS          | CORP              | US        |  10230000 | PA      | $10804956.69  | 0.70%             | 2043-05-25      | Floating      | 7.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR REMIC Trust 2022-DNA5                                         | CUSIP: 35564KYP8<br>LEI: 5493000IS349P4O9HR58 | Long             | ABS-MBS          | CORP              | US        |   7820000 | PA      | $8311515.15   | 0.54%             | 2042-06-25      | Floating      | 8.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR REMIC Trust 2023-HQA3                                         | CUSIP: 35564NAA1<br>LEI: 529900ZTXRUUVE8G8W08 | Long             | ABS-MBS          | CORP              | US        |   4150000 | PA      | $4378929.36   | 0.28%             | 2043-11-25      | Floating      | 7.66%                 | No            |                  2 | On Loan: No      |
| GENERAL MILLS INC              | General Mills Inc                                                               | CUSIP: 370334DA9<br>LEI: 2TGYMUGI08PO8X8L6150 | Long             | DBT              | CORP              | US        |   4110000 | PA      | $4177083.09   | 0.27%             | 2030-01-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO         | General Motors Financial Co Inc                                                 | CUSIP: 37045XFB7<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   5185000 | PA      | $5246483.52   | 0.34%             | 2030-01-07      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                            | GBP/USD FWD 20250917                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-109671.44   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | GBP/USD FWD 20250917                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $1684631.31   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | GOLD 100 OZ FUTR  Aug25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       -18 | NC      | $-7949.26     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | GOLD 100 OZ FUTR  Aug25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       127 | NC      | $-529096.87   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | MXN/USD FWD 20250716                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-205158.19   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | MXN/USD FWD 20250716                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $787741.98    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | MXN/USD FWD 20250917                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-1782.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | MXN/USD FWD 20250917                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $427621.67    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                   | UBS Group AG                                                                    | CUSIP: 225401BC1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   3540000 | PA      | $3634560.41   | 0.24%             | 2027-12-22      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| UBS AG STAMFORD CT             | UBS AG/Stamford CT                                                              | CUSIP: 22550L2K6<br>LEI: 254900R882POXXVAK772 | Long             | DBT              | CORP              | CH        |   2240000 | PA      | $2274274.33   | 0.15%             | 2027-07-09      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TRANE TECH FIN LTD             | Trane Technologies Financing Ltd                                                | CUSIP: 456873AE8<br>LEI: 549300A5OEF3CJI2CO89 | Long             | DBT              | CORP              | IE        |   1760000 | PA      | $1748281.41   | 0.11%             | 2026-03-21      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC               | T-Mobile USA Inc                                                                | CUSIP: 87264ADA0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   2855000 | PA      | $2892417.09   | 0.19%             | 2028-07-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC               | T-Mobile USA Inc                                                                | CUSIP: 87264ADE2<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   5545000 | PA      | $5621288.61   | 0.37%             | 2029-01-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| T-Mobile US Trust              | T-Mobile US Trust 2024-1                                                        | CUSIP: 87267RAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2140000 | PA      | $2156542.20   | 0.14%             | 2029-09-20      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Tesla Auto Lease Trust         | Tesla Auto Lease Trust 2024-A                                                   | CUSIP: 88166VAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3790000 | PA      | $3798258.03   | 0.25%             | 2027-06-21      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Tesla Auto Lease Trust         | Tesla Auto Lease Trust 2024-B                                                   | CUSIP: 881934AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3730000 | PA      | $3744601.83   | 0.24%             | 2027-10-20      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| TEXAS INSTRUMENTS INC          | Texas Instruments Inc                                                           | CUSIP: 882508CE2<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |   2285000 | PA      | $2305588.35   | 0.15%             | 2027-02-08      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK          | Toronto-Dominion Bank/The                                                       | CUSIP: 89114TZG0<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   5590000 | PA      | $5393825.04   | 0.35%             | 2026-09-10      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner  | Toyota Auto Receivables 2022-C Owner Trust                                      | CUSIP: 89231CAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1212560 | PA      | $1208898.36   | 0.08%             | 2027-04-15      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORP       | Toyota Motor Credit Corp                                                        | CUSIP: 89236TKZ7<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |   1590000 | PA      | $1593352.01   | 0.10%             | 2025-09-11      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORP       | Toyota Motor Credit Corp                                                        | CUSIP: 89236TMJ1<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |   1305000 | PA      | $1309449.36   | 0.09%             | 2026-08-07      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner  | Toyota Auto Receivables 2024-B Owner Trust                                      | CUSIP: 89237NAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11650000 | PA      | $11814277.82  | 0.77%             | 2029-01-16      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| Toyota Lease Owner Trust       | Toyota Lease Owner Trust 2024-A                                                 | CUSIP: 89238GAD3<br>LEI: 254900MVSB4M6HOIRE71 | Long             | ABS-O            | CORP              | US        |   6636687 | PA      | $6666683.53   | 0.43%             | 2027-04-20      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| TX Trust 24-HOU                | TX Trust 2024-HOU                                                               | CUSIP: 90216DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1987500.00   | 0.13%             | 2039-06-15      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| UNILEVER CAPITAL CORP          | Unilever Capital Corp                                                           | CUSIP: 904764BU0<br>LEI: MYF1DAS6G5WY7PRWCU78 | Long             | DBT              | CORP              | US        |   3870000 | PA      | $3886826.76   | 0.25%             | 2027-08-12      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC         | UnitedHealth Group Inc                                                          | CUSIP: 91324PEU2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   5810000 | PA      | $5796148.50   | 0.38%             | 2029-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC         | UnitedHealth Group Inc                                                          | CUSIP: 91324PFN7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   2060000 | PA      | $2069899.35   | 0.13%             | 2028-06-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| N/A                            | CME Bitcoin Fut   Jul25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |        50 | NC      | $396018.84    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | CAD/USD FWD 20250716                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-390130.65   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CAD/USD FWD 20250716                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $305303.10    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CAD/USD FWD 20250917                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-75669.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CAD/USD FWD 20250917                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $21843.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | C$ CURRENCY FUT   Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |       -98 | NC      | $-15745.66    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | C$ CURRENCY FUT   Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |       168 | NC      | $59511.47     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | CAC40 10 EURO FUT Jul25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | FR        |       288 | NC      | $7632.53      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | CHF/USD FWD 20250701                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-1544.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CHF/USD FWD 20250701                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $1809.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CHF/USD FWD 20250716                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-2637657.18  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CHF/USD FWD 20250716                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $1703269.14   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CHF/USD FWD 20250917                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-106645.87   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CHF/USD FWD 20250917                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $2117549.53   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CLP/USD FWD 20250717                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-26320.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CLP/USD FWD 20250717                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $20659.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CNH/USD FWD 20250716                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-214385.76   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CNH/USD FWD 20250716                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $157534.72    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CNH/USD FWD 20250820                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-19824.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CAN 10YR BOND FUT Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |       -11 | NC      | $-2318.19     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | CAN 10YR BOND FUT Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |        38 | NC      | $14780.82     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | CME Ether Future  Jul25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $1998.73      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | CHF CURRENCY FUT  Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |       -19 | NC      | $-40930.40    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | CHF CURRENCY FUT  Sep25                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |       155 | NC      | $360482.50    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |

### Signature

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

**Name of Applicant:** LoCorr Investment Trust

**Signature:** Jon Essen

**Name of Signer:** Jon Essen

**Title:** Treasurer