# EDGAR Filing Document

**Accession Number:** 0001645194
**File Stem:** 0001752724-23-046667
**Filing Date:** 2023-2
**Character Count:** 429292
**Document Hash:** 904405a8c00039867f2a643b34471714
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-046667.hdr.sgml**: 20230228

**ACCESSION NUMBER**: 0001752724-23-046667

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20221230

**FILED AS OF DATE**: 20230228

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20230331

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Legg Mason ETF Investment Trust
- **CENTRAL INDEX KEY:** 0001645194
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 1130

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23096
- **FILM NUMBER:** 23682900

**BUSINESS ADDRESS:**
- **STREET 1:** 620 EIGHTH AVE
- **STREET 2:** 49TH FLOOR
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10018
- **BUSINESS PHONE:** 877-721-1926

**MAIL ADDRESS:**
- **STREET 1:** 620 EIGHTH AVE
- **STREET 2:** 49TH FLOOR
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10018

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** Legg Mason ETF InvestmentTrust
- **DATE OF NAME CHANGE:** 20170221

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** Legg Mason ETF Equity Trust
- **DATE OF NAME CHANGE:** 20150615

## Series and Classes Contracts Data

### Western Asset Total Return ETF (Series ID: S000059365)

| Class ID   | Class Name                     | Ticker Symbol   |
|:---|:---|:---|
| C000194756 | Western Asset Total Return ETF | WBND            |

## Nport-Ex

**WESTERN ASSET SHORT DURATION INCOME ETF** 

---

| | |
|:---|:---|
|  **Schedules of investments (unaudited)**<br>(Percentages shown based on Fund net assets) | **December 31, 2022** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **SECURITY** | **RATE** | **MATURITY<br>DATE** | **FACE<br>AMOUNT** | **VALUE** |  |
| **CORPORATE BONDS & NOTES - 85.8%** |  |  |  |  |  |
| **COMMUNICATION SERVICES - 7.5%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Diversified Telecommunication Services - 2.0%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; AT&T Inc., Senior Notes | 4.250% | 3/1/27 | $30000 | $29191 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; AT&T Inc., Senior Notes | 1.650% | 2/1/28 | 20000 | 16891 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; NTT Finance Corp., Senior Notes | 1.162% | 4/3/26 | 200000 | 176871 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; NTT Finance Corp., Senior Notes | 4.372% | 7/27/27 | 200000 | 195343 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Verizon Communications Inc., Senior Notes | 2.550% | 3/21/31 | 60000 | 49342 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Diversified Telecommunication Services* |  |  |  | *467638* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Entertainment - 0.5%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Warnermedia Holdings Inc., Senior Notes | 3.755% | 3/15/27 | 120000 | 108063 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Warnermedia Holdings Inc., Senior Notes | 5.050% | 3/15/42 | 10000 | 7651 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Entertainment* |  |  |  | *115714* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Interactive Media & Services - 0.4%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Alphabet Inc., Senior Notes | 1.100% | 8/15/30 | 80000 | 62606 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Meta Platforms Inc., Senior Notes | 3.850% | 8/15/32 | 30000 | 26398 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Interactive Media & Services* |  |  |  | *89004* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Media - 3.9%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes | 4.908% | 7/23/25 | 30000 | 29403 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes | 5.050% | 3/30/29 | 190000 | 178759 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes | 4.400% | 4/1/33 | 30000 | 25670 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comcast Corp., Senior Notes | 3.400% | 4/1/30 | 100000 | 91184 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fox Corp., Senior Notes | 4.030% | 1/25/24 | 40000 | 39536 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Time Warner Cable Enterprises LLC, Senior Secured Notes | 8.375% | 3/15/23 | 540000 | 543372 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Media* |  |  |  | *907924* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Wireless Telecommunication Services - 0.7%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Sprint LLC, Senior Notes | 7.125% | 6/15/24 | 50000 | 50977 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; T-Mobile USA Inc., Senior Notes | 3.500% | 4/15/25 | 20000 | 19234 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; T-Mobile USA Inc., Senior Notes | 2.050% | 2/15/28 | 80000 | 68707 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; T-Mobile USA Inc., Senior Notes | 2.250% | 11/15/31 | 50000 | 39330 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Wireless Telecommunication Services* |  |  |  | *178248* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL COMMUNICATION SERVICES** |  |  |  | 1758528 |  |
| **CONSUMER DISCRETIONARY - 10.2%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Auto Components - 0.8%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; ZF North America Capital Inc., Senior Notes | 4.750% | 4/29/25 | 200000 | *188908* | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Automobiles - 3.9%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ford Motor Credit Co. LLC, Senior Notes | 3.664% | 9/8/24 | 200000 | 190552 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ford Motor Credit Co. LLC, Senior Notes | 2.700% | 8/10/26 | 200000 | 173680 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; General Motors Co., Senior Notes | 6.125% | 10/1/25 | 250000 | 254427 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; General Motors Co., Senior Notes | 5.600% | 10/15/32 | 20000 | 18580 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hyundai Capital America, Senior Notes | 0.800% | 1/8/24 | 70000 | 66592 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Nissan Motor Co. Ltd., Senior Notes | 3.043% | 9/15/23 | 200000 | 195954 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Automobiles* |  |  |  | *899785* | |

---

**See Notes to Schedules of Investments.** 

Western Asset ETFs 2022 Quarterly Report 1

------

**WESTERN ASSET SHORT DURATION INCOME ETF** 

---

| | |
|:---|:---|
|  **Schedules of investments (unaudited) (cont'd)**<br>(Percentages shown based on Fund net assets) | **December 31, 2022** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **SECURITY** | **RATE** | **MATURITY<br>DATE** | **FACE<br>AMOUNT** | **VALUE** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Hotels, Restaurants & Leisure - 3.8%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Genting New York LLC/GENNY Capital Inc., Senior Notes | 3.300% | 2/15/26 | $200000 | $174897 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Las Vegas Sands Corp., Senior Notes | 3.200% | 8/8/24 | 140000 | 132327 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Las Vegas Sands Corp., Senior Notes | 2.900% | 6/25/25 | 300000 | 275692 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Marriott International Inc., Senior Notes | 3.600% | 4/15/24 | 130000 | 127396 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Sands China Ltd., Senior Notes | 5.900% | 8/8/28 | 200000 | 187261 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Hotels, Restaurants & Leisure* |  |  |  | *897573* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Household Durables - 0.5%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; DR Horton Inc., Senior Notes | 2.500% | 10/15/24 | 110000 | 104744 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; MDC Holdings Inc., Senior Notes | 2.500% | 1/15/31 | 10000 | 7212 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Household Durables* |  |  |  | *111956* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Internet & Direct Marketing Retail - 0.5%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Amazon.com Inc., Senior Notes | 1.200% | 6/3/27 | 140000 | *121238* |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Multiline Retail - 0.3%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Dollar Tree Inc., Senior Notes | 4.000% | 5/15/25 | 50000 | 48813 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Nordstrom Inc., Senior Notes | 2.300% | 4/8/24 | 20000 | 18704 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Multiline Retail* |  |  |  | *67517* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Specialty Retail - 0.4%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Lowe's Cos. Inc., Senior Notes | 1.300% | 4/15/28 | 120000 | 99721 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL CONSUMER DISCRETIONARY** |  |  |  | 2386698 |  |
| **CONSUMER STAPLES - 2.8%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Beverages - 0.5%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Anheuser-Busch InBev Worldwide Inc., Senior Notes (3 mo. USD LIBOR + 0.740%) | 4.659% | 1/12/24 | 100000 | 100097 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; PepsiCo Inc., Senior Notes | 3.900% | 7/18/32 | 20000 | 18858 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Beverages* |  |  |  | *118955* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Food & Staples Retailing - 0.0%††** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Costco Wholesale Corp., Senior Notes | 1.375% | 6/20/27 | 10000 | *8758* |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Food Products - 0.1%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hershey Co., Senior Notes | 1.700% | 6/1/30 | 10000 | 8007 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Mondelez International Inc., Senior Notes | 1.500% | 2/4/31 | 20000 | 15378 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Food Products* |  |  |  | *23385* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Household Products - 0.1%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Clorox Co., Senior Notes | 1.800% | 5/15/30 | 10000 | 7962 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Kimberly-Clark Corp., Senior Notes | 1.050% | 9/15/27 | 10000 | 8527 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Household Products* |  |  |  | *16489* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Tobacco - 2.1%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Altria Group Inc., Senior Notes | 2.625% | 9/16/26 | 100000 | 91691 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Altria Group Inc., Senior Notes | 4.800% | 2/14/29 | 80000 | 76762 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; BAT International Finance PLC, Senior Notes | 1.668% | 3/25/26 | 140000 | 124048 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cargill Inc., Senior Notes | 0.750% | 2/2/26 | 150000 | 132788 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Philip Morris International Inc. | 5.125% | 11/17/27 | 60000 | 60438 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Tobacco* |  |  |  | *485727* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL CONSUMER STAPLES** |  |  |  | 653314 |  |

---

**See Notes to Schedules of Investments.** 

2 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Western Asset ETFs 2022 Quarterly Report

------

**WESTERN ASSET SHORT DURATION INCOME ETF** 

---

| | |
|:---|:---|
|  **Schedules of investments (unaudited) (cont'd)**<br>(Percentages shown based on Fund net assets) | **December 31, 2022** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **SECURITY** | **RATE** | **MATURITY<br>DATE** | **FACE<br>AMOUNT** | **VALUE** |
| **ENERGY - 12.4%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Oil, Gas & Consumable Fuels - 12.4%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cimarex Energy Co., Senior Notes | 4.375% | 3/15/29 | $20000 | $15578 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Continental Resources Inc., Senior Notes | 4.500% | 4/15/23 | 140000 | 139661 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Continental Resources Inc., Senior Notes | 3.800% | 6/1/24 | 40000 | 38897 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Continental Resources Inc., Senior Notes | 2.268% | 11/15/26 | 100000 | 86646 <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Coterra Energy Inc., Senior Notes | 3.900% | 5/15/27 | 110000 | 102709 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Coterra Energy Inc., Senior Notes | 4.375% | 3/15/29 | 80000 | 75579 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; DCP Midstream Operating LP, Senior Notes | 3.250% | 2/15/32 | 40000 | 33085 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Devon Energy Corp., Senior Notes | 5.850% | 12/15/25 | 60000 | 61083 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Devon Energy Corp., Senior Notes | 5.250% | 10/15/27 | 86000 | 85100 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Devon Energy Corp., Senior Notes | 5.875% | 6/15/28 | 12000 | 12136 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Devon Energy Corp., Senior Notes | 4.500% | 1/15/30 | 200000 | 186199 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Devon OEI Operating LLC, Senior Notes | 7.500% | 9/15/27 | 20000 | 21675 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Diamondback Energy Inc., Senior Notes | 3.250% | 12/1/26 | 140000 | 130214 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ecopetrol SA, Senior Notes | 5.875% | 9/18/23 | 180000 | 178837 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ecopetrol SA, Senior Notes | 4.625% | 11/2/31 | 40000 | 30554 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; El Paso Natural Gas Co. LLC, Senior Notes | 7.500% | 11/15/26 | 60000 | 63682 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Energy Transfer LP, Senior Notes | 4.200% | 9/15/23 | 20000 | 19874 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Energy Transfer LP, Senior Notes | 4.050% | 3/15/25 | 410000 | 397124 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Energy Transfer LP, Senior Notes | 2.900% | 5/15/25 | 80000 | 75340 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Enterprise Products Operating LLC, Senior Notes | 3.950% | 2/15/27 | 30000 | 28773 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Enterprise Products Operating LLC, Senior Notes | 2.800% | 1/31/30 | 60000 | 50971 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Enterprise Products Operating LLC, Senior Notes (5.375% to 2/15/28 then 3 mo. USD LIBOR + 2.570%) | 5.375% | 2/15/78 | 120000 | 91507 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; EOG Resources Inc., Senior Notes | 4.375% | 4/15/30 | 30000 | 29000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; EQT Corp., Senior Notes | 5.678% | 10/1/25 | 20000 | 19903 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; EQT Corp., Senior Notes | 3.125% | 5/15/26 | 110000 | 101094 <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; EQT Corp., Senior Notes | 3.900% | 10/1/27 | 10000 | 9232 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Exxon Mobil Corp., Senior Notes | 3.482% | 3/19/30 | 40000 | 37304 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Florida Gas Transmission Co. LLC, Senior Notes | 2.300% | 10/1/31 | 70000 | 53435 <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Kinder Morgan Energy Partners LP, Senior Notes | 7.300% | 8/15/33 | 10000 | 10792 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; MEG Energy Corp., Senior Notes | 7.125% | 2/1/27 | 70000 | 71392 <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; MPLX LP, Senior Notes | 1.750% | 3/1/26 | 200000 | 178274 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Northwest Pipeline LLC, Senior Notes | 7.125% | 12/1/25 | 20000 | 20659 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Occidental Petroleum Corp., Senior Notes | 6.950% | 7/1/24 | 6000 | 6114 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Parsley Energy LLC/Parsley Finance Corp., Senior Notes | 4.125% | 2/15/28 | 10000 | 9183 <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pioneer Natural Resources Co., Senior Notes | 0.550% | 5/15/23 | 100000 | 98353 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Southwestern Energy Co., Senior Notes | 4.750% | 2/1/32 | 10000 | 8546 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Targa Resources Corp., Senior Notes | 5.200% | 7/1/27 | 40000 | 39205 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Targa Resources Corp., Senior Notes | 4.200% | 2/1/33 | 50000 | 43018 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Tennessee Gas Pipeline Co. LLC, Senior Notes | 7.000% | 10/15/28 | 50000 | 53407 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Tennessee Gas Pipeline Co. LLC, Senior Notes | 2.900% | 3/1/30 | 40000 | 33504 <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Transcontinental Gas Pipe Line Co. LLC, Senior Notes | 3.250% | 5/15/30 | 30000 | 26034 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Western Midstream Operating LP, Senior Notes | 3.350% | 2/1/25 | 80000 | 75698 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Western Midstream Operating LP, Senior Notes | 3.950% | 6/1/25 | 40000 | 37862 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL ENERGY** |  |  |  | 2887233 |

---

**See Notes to Schedules of Investments.** 

Western Asset ETFs 2022 Quarterly Report 3

------

**WESTERN ASSET SHORT DURATION INCOME ETF** 

---

| | |
|:---|:---|
|  **Schedules of investments (unaudited) (cont'd)**<br>(Percentages shown based on Fund net assets) | **December 31, 2022** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **SECURITY** | **RATE** | **MATURITY<br>DATE** | **FACE<br>AMOUNT** | **VALUE** |  |
| **FINANCIALS - 28.3%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Banks - 15.8%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Banco Santander SA, Senior Notes (4.175% to 3/24/27 then 1 year Treasury Constant Maturity Rate + 2.000%) | 4.175% | 3/24/28 | $200000 | $185503 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bank of America Corp., Senior Notes (1.530% to 12/6/24 then SOFR + 0.650%) | 1.530% | 12/6/25 | 20000 | 18446 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bank of America Corp., Senior Notes (1.734% to 7/22/26 then SOFR + 0.960%) | 1.734% | 7/22/27 | 370000 | 324163 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bank of America Corp., Senior Notes (2.299% to 7/21/31 then SOFR + 1.220%) | 2.299% | 7/21/32 | 30000 | 23103 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bank of America Corp., Senior Notes (2.572% to 10/20/31 then SOFR + 1.210%) | 2.572% | 10/20/32 | 100000 | 78320 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bank of America Corp., Senior Notes (2.592% to 4/29/30 then SOFR + 2.150%) | 2.592% | 4/29/31 | 130000 | 105877 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bank of America Corp., Senior Notes (2.972% to 2/4/32 then SOFR + 1.330%) | 2.972% | 2/4/33 | 200000 | 161124 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; BNP Paribas SA, Junior Subordinated Notes (7.750% to 8/16/29 then 5 year Treasury Constant Maturity Rate + 4.899%) | 7.750% | 8/16/29 | 200000 | 197500 | <sup>(a)(b)(c)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; BNP Paribas SA, Senior Notes (1.675% to 6/30/26 then SOFR + 0.912%) | 1.675% | 6/30/27 | 200000 | 174051 | <sup>(a)(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; BPCE SA, Subordinated Notes | 5.700% | 10/22/23 | 200000 | 198493 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Citigroup Inc., Senior Notes (0.981% to 5/1/24 then SOFR + 0.669%) | 0.981% | 5/1/25 | 20000 | 18729 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Citigroup Inc., Senior Notes (1.281% to 11/3/24 then SOFR + 0.528%) | 1.281% | 11/3/25 | 80000 | 73715 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Citigroup Inc., Senior Notes (1.462% to 6/9/26 then SOFR + 0.770%) | 1.462% | 6/9/27 | 320000 | 277570 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Citigroup Inc., Senior Notes (3.057% to 1/25/32 then SOFR + 1.351%) | 3.057% | 1/25/33 | 130000 | 104912 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Danske Bank A/S, Senior Notes (0.976% to 9/10/24 then 1 year Treasury Constant Maturity Rate + 0.550%) | 0.976% | 9/10/25 | 200000 | 182599 | <sup>(a)(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Danske Bank A/S, Senior Notes (3.244% to 12/20/24 then 3 mo. USD LIBOR + 1.591%) | 3.244% | 12/20/25 | 200000 | 187177 | <sup>(a)(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; HSBC Holdings PLC, Senior Notes (0.976% to 5/24/24 then SOFR + 0.708%) | 0.976% | 5/24/25 | 200000 | 185176 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; HSBC Holdings PLC, Subordinated Notes | 7.625% | 5/17/32 | 10000 | 10245 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; HSBC Holdings PLC, Subordinated Notes (4.762% to 3/29/32 then SOFR + 2.530%) | 4.762% | 3/29/33 | 200000 | 173332 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Intesa Sanpaolo SpA, Senior Notes | 3.375% | 1/12/23 | 210000 | 209896 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; JPMorgan Chase & Co., Senior Notes (1.578% to 4/22/26 then SOFR + 0.885%) | 1.578% | 4/22/27 | 270000 | 237239 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; JPMorgan Chase & Co., Senior Notes (2.545% to 11/8/31 then SOFR + 1.180%) | 2.545% | 11/8/32 | 170000 | 134373 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; JPMorgan Chase & Co., Senior Notes (2.963% to 1/25/32 then SOFR + 1.260%) | 2.963% | 1/25/33 | 50000 | 40695 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; JPMorgan Chase & Co., Senior Notes (5.546% to 12/15/24 then SOFR + 1.070%) | 5.546% | 12/15/25 | 80000 | 80001 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; JPMorgan Chase & Co., Subordinated Notes (2.956% to 5/13/30 then SOFR + 2.515%) | 2.956% | 5/13/31 | 120000 | 98875 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Wells Fargo & Co., Senior Notes | 3.000% | 10/23/26 | 170000 | 157117 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Wells Fargo & Co., Senior Notes (3.350% to 3/2/32 then SOFR + 1.500%) | 3.350% | 3/2/33 | 70000 | 58968 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Banks* |  |  |  | *3697199* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Capital Markets - 8.8%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bank of New York Mellon Corp., Senior Notes (5.834% to 10/25/32 then SOFR + 2.074%) | 5.834% | 10/25/33 | 10000 | 10366 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Charles Schwab Corp., Senior Notes | 1.150% | 5/13/26 | 190000 | 168825 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Suisse Group AG, Junior Subordinated Notes (9.750% to 12/23/27 then 5 year Treasury Constant Maturity Rate + 6.383%) | 9.750% | 6/23/27 | 200000 | 174213 | <sup>(a)(b)(c)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Suisse Group AG, Senior Notes | 3.800% | 6/9/23 | 250000 | 243437 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Suisse Group AG, Senior Notes (2.193% to 6/5/25 then SOFR + 2.044%) | 2.193% | 6/5/26 | 280000 | 239146 | <sup>(a)(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Goldman Sachs Group Inc., Senior Notes (0.855% to 2/12/25 then SOFR + 0.609%) | 0.855% | 2/12/26 | 40000 | 36169 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Goldman Sachs Group Inc., Senior Notes (1.093% to 12/9/25 then SOFR + 0.789%) | 1.093% | 12/9/26 | 220000 | 193936 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Goldman Sachs Group Inc., Senior Notes (1.948% to 10/21/26 then SOFR + 0.913%) | 1.948% | 10/21/27 | 100000 | 87439 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Goldman Sachs Group Inc., Senior Notes (3.102% to 2/24/32 then SOFR + 1.410%) | 3.102% | 2/24/33 | 180000 | 146157 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Intercontinental Exchange Inc., Senior Notes | 4.600% | 3/15/33 | 30000 | 28696 |  |

---

**See Notes to Schedules of Investments.** 

4 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Western Asset ETFs 2022 Quarterly Report

------

**WESTERN ASSET SHORT DURATION INCOME ETF** 

---

| | |
|:---|:---|
|  **Schedules of investments (unaudited) (cont'd)**<br>(Percentages shown based on Fund net assets) | **December 31, 2022** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **SECURITY** | **RATE** | **MATURITY<br>DATE** | **FACE<br>AMOUNT** | **VALUE** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Capital Markets - (continued)** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Mercedes-Benz Finance North America LLC, Senior Notes | 1.450% | 3/2/26 | $150000 | $134173 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Morgan Stanley, Senior Notes (0.985% to 12/10/25 then SOFR + 0.720%) | 0.985% | 12/10/26 | 40000 | 35049 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Morgan Stanley, Senior Notes (1.512% to 7/20/26 then SOFR + 0.858%) | 1.512% | 7/20/27 | 20000 | 17356 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Morgan Stanley, Senior Notes (1.593% to 5/4/26 then SOFR + 0.879%) | 1.593% | 5/4/27 | 200000 | 175447 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Morgan Stanley, Senior Notes (2.188% to 4/28/25 then SOFR + 1.990%) | 2.188% | 4/28/26 | 130000 | 120804 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Morgan Stanley, Senior Notes (2.511% to 10/20/31 then SOFR + 1.200%) | 2.511% | 10/20/32 | 100000 | 78256 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; UBS AG, Senior Notes | 1.250% | 6/1/26 | 200000 | 174747 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Capital Markets* |  |  |  | *2064216* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Diversified Financial Services - 1.3%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Senior Notes | 2.450% | 10/29/26 | 150000 | 131166 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Senior Notes | 3.300% | 1/30/32 | 200000 | 156352 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Element Fleet Management Corp., Senior Notes | 1.600% | 4/6/24 | 10000 | 9473 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Global Aircraft Leasing Co. Ltd., Senior Notes (6.500% Cash or 7.250% PIK) | 6.500% | 9/15/24 | 2307 | 1961 | <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Diversified Financial Services* |  |  |  | *298952* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Insurance - 1.9%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; American International Group Inc., Senior Notes | 2.500% | 6/30/25 | 80000 | 75312 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; AmFam Holdings Inc., Senior Notes | 2.805% | 3/11/31 | 150000 | 116546 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; GA Global Funding Trust, Secured Notes | 1.000% | 4/8/24 | 20000 | 18734 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; National General Holdings Corp., Senior Notes | 6.750% | 5/15/24 | 40000 | 40178 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; New York Life Global Funding, Senior Secured Notes | 0.950% | 6/24/25 | 60000 | 54328 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Prudential Financial Inc., Senior Notes | 1.500% | 3/10/26 | 10000 | 9004 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Reliance Standard Life Global Funding II, Secured Notes | 2.500% | 10/30/24 | 100000 | 94546 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Reliance Standard Life Global Funding II, Secured Notes | 2.750% | 1/21/27 | 50000 | 45070 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Insurance* |  |  |  | *453718* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Mortgage Real Estate Investment Trusts (REITs) - 0.4%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Blackstone Holdings Finance Co. LLC, Senior Notes | 6.200% | 4/22/33 | 80000 | *80641* | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Thrifts & Mortgage Finance - 0.1%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Rocket Mortgage LLC/Rocket Mortgage Co-Issuer Inc., Senior Notes | 2.875% | 10/15/26 | 20000 | *17143* | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL FINANCIALS** |  |  |  | 6611869 |  |
| **HEALTH CARE - 4.7%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Biotechnology - 0.7%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; AbbVie Inc., Senior Notes | 2.600% | 11/21/24 | 30000 | 28700 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; AbbVie Inc., Senior Notes | 2.950% | 11/21/26 | 150000 | 139498 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Biotechnology* |  |  |  | *168198* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Health Care Equipment & Supplies - 0.1%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Becton Dickinson and Co., Senior Notes | 3.363% | 6/6/24 | 32000 | *31270* |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Health Care Providers & Services - 3.5%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bon Secours Mercy Health Inc., Secured Notes | 3.464% | 6/1/30 | 10000 | 8938 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Centene Corp., Senior Notes | 4.625% | 12/15/29 | 30000 | 27415 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Centene Corp., Senior Notes | 3.375% | 2/15/30 | 80000 | 67630 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cigna Corp., Senior Notes | 4.125% | 11/15/25 | 40000 | 39081 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cigna Corp., Senior Notes | 2.400% | 3/15/30 | 130000 | 108904 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CommonSpirit Health, Senior Secured Notes | 2.782% | 10/1/30 | 10000 | 8248 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CSL Finance PLC, Senior Notes | 3.850% | 4/27/27 | 20000 | 19133 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CSL Finance PLC, Senior Notes | 4.050% | 4/27/29 | 30000 | 28276 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CVS Health Corp., Senior Notes | 2.625% | 8/15/24 | 20000 | 19212 |  |

---

**See Notes to Schedules of Investments.** 

Western Asset ETFs 2022 Quarterly Report 5

------

**WESTERN ASSET SHORT DURATION INCOME ETF** 

---

| | |
|:---|:---|
|  **Schedules of investments (unaudited) (cont'd)**<br>(Percentages shown based on Fund net assets) | **December 31, 2022** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **SECURITY** | **RATE** | **MATURITY<br>DATE** | **FACE<br>AMOUNT** | **VALUE** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Health Care Providers & Services - (continued)** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CVS Health Corp., Senior Notes | 2.875% | 6/1/26 | $40000 | $37339 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CVS Health Corp., Senior Notes | 1.300% | 8/21/27 | 90000 | 76197 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Elevance Health Inc., Senior Notes | 4.100% | 5/15/32 | 20000 | 18603 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Elevance Health Inc., Senior Notes | 5.500% | 10/15/32 | 60000 | 61424 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; UnitedHealth Group Inc., Senior Notes | 1.150% | 5/15/26 | 70000 | 62515 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; UnitedHealth Group Inc., Senior Notes | 3.700% | 5/15/27 | 80000 | 77385 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; UnitedHealth Group Inc., Senior Notes | 5.350% | 2/15/33 | 150000 | 154753 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Health Care Providers & Services* |  |  |  | *815053* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Pharmaceuticals - 0.4%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Astrazeneca Finance LLC, Senior Notes | 1.200% | 5/28/26 | 40000 | 35612 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Merck & Co. Inc., Senior Notes | 1.900% | 12/10/28 | 60000 | 51514 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Pharmaceuticals* |  |  |  | *87126* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL HEALTH CARE** |  |  |  | 1101647 |  |
| **INDUSTRIALS - 8.7%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Aerospace & Defense - 1.5%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Boeing Co., Senior Notes | 4.875% | 5/1/25 | 50000 | 49617 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Boeing Co., Senior Notes | 2.196% | 2/4/26 | 280000 | 254398 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Howmet Aerospace Inc., Senior Notes | 6.875% | 5/1/25 | 50000 | 51308 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Aerospace & Defense* |  |  |  | *355323* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Airlines - 2.8%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Air Canada Pass-Through Trust | 5.000% | 12/15/23 | 39333 | 38503 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; American Airlines Inc. Pass-Through Trust | 4.950% | 2/15/25 | 30930 | 29084 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; American Airlines Inc./AAdvantage Loyalty IP Ltd., Senior Secured Notes | 5.500% | 4/20/26 | 60000 | 57699 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Continental Airlines Pass-Through Trust | 4.000% | 10/29/24 | 33121 | 31602 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Delta Air Lines Inc., Senior Secured Notes | 7.000% | 5/1/25 | 140000 | 143071 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Delta Air Lines Inc./SkyMiles IP Ltd., Senior Secured Notes | 4.500% | 10/20/25 | 210000 | 204872 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Delta Air Lines Inc./SkyMiles IP Ltd., Senior Secured Notes | 4.750% | 10/20/28 | 40000 | 37599 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discovery Communications LLC., Senior Notes | 4.900% | 3/11/26 | 50000 | 48486 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; United Airlines Pass-Through Trust | 4.875% | 1/15/26 | 60960 | 57996 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; US Airways Pass-Through Trust | 3.950% | 11/15/25 | 8877 | 8063 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Airlines* |  |  |  | *656975* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Commercial Services & Supplies - 0.3%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Waste Connections Inc., Senior Notes | 4.200% | 1/15/33 | 80000 | *74299* |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Industrial Conglomerates - 0.4%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Honeywell International Inc., Senior Notes | 1.950% | 6/1/30 | 50000 | 41259 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Honeywell International Inc., Senior Notes | 5.000% | 2/15/33 | 50000 | 50927 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Industrial Conglomerates* |  |  |  | *92186* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Professional Services - 0.1%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equifax Inc., Senior Notes | 2.350% | 9/15/31 | 30000 | *23279* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Road & Rail - 0.4%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Canadian Pacific Railway Co., Senior Notes | 1.750% | 12/2/26 | 100000 | *89114* |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Trading Companies & Distributors - 3.2%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Air Lease Corp., Senior Notes | 3.000% | 9/15/23 | 130000 | 127795 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Air Lease Corp., Senior Notes | 0.700% | 2/15/24 | 220000 | 207811 |  |

---

**See Notes to Schedules of Investments.** 

6 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Western Asset ETFs 2022 Quarterly Report

------

**WESTERN ASSET SHORT DURATION INCOME ETF** 

---

| | |
|:---|:---|
|  **Schedules of investments (unaudited) (cont'd)**<br>(Percentages shown based on Fund net assets) | **December 31, 2022** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **SECURITY** | **RATE** | **MATURITY<br>DATE** | **FACE<br>AMOUNT** | **VALUE** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Trading Companies & Distributors - (continued)** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Air Lease Corp., Senior Notes | 5.850% | 12/15/27 | $60000 | $59932 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Aviation Capital Group LLC, Senior Notes | 4.125% | 8/1/25 | 370000 | 345164 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Trading Companies & Distributors* |  |  |  | *740702* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL INDUSTRIALS** |  |  |  | 2031878 |  |
| **INFORMATION TECHNOLOGY - 4.6%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Electronic Equipment, Instruments & Components - 0.6%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; TD SYNNEX Corp., Senior Notes | 1.250% | 8/9/24 | 100000 | 92874 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Vontier Corp., Senior Notes | 1.800% | 4/1/26 | 60000 | 50703 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Electronic Equipment, Instruments & Components* |  |  |  | *143577* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **IT Services - 0.7%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Mastercard Inc., Senior Notes | 3.300% | 3/26/27 | 120000 | 114285 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; PayPal Holdings Inc., Senior Notes | 2.300% | 6/1/30 | 60000 | 49290 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; S&P Global Inc., Senior Notes | 1.250% | 8/15/30 | 10000 | 7691 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total IT Services* |  |  |  | *171266* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Semiconductors & Semiconductor Equipment - 0.8%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Broadcom Inc., Senior Notes | 3.150% | 11/15/25 | 10000 | 9472 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; KLA Corp., Senior Notes | 4.650% | 7/15/32 | 20000 | 19590 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Lam Research corp., Senior Notes | 1.900% | 6/15/30 | 60000 | 48888 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; QUALCOMM Inc., Senior Notes | 4.250% | 5/20/32 | 20000 | 19241 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Texas Instruments Inc., Senior Notes | 4.600% | 2/15/28 | 50000 | 49932 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Texas Instruments Inc., Senior Notes | 3.650% | 8/16/32 | 30000 | 27797 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Semiconductors & Semiconductor Equipment* |  |  |  | *174920* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Software - 2.0%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Adobe Inc., Senior Notes | 2.300% | 2/1/30 | 60000 | 51160 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fortinet Inc., Senior Notes | 1.000% | 3/15/26 | 120000 | 105033 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Oracle Corp., Senior Notes | 6.150% | 11/9/29 | 150000 | 155695 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Salesforce Inc., Senior Notes | 1.500% | 7/15/28 | 130000 | 110869 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Workday Inc., Senior Notes | 3.800% | 4/1/32 | 50000 | 44137 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Software* |  |  |  | *466894* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Technology Hardware, Storage & Peripherals - 0.5%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Apple Inc., Senior Notes | 1.400% | 8/5/28 | 140000 | *118594* |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL INFORMATION TECHNOLOGY** |  |  |  | 1075251 |  |
| **MATERIALS - 2.5%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Containers & Packaging - 0.0%††** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Graphic Packaging International LLC, Senior Secured Notes | 1.512% | 4/15/26 | 10000 | *8723* | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Metals & Mining - 2.4%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Anglo American Capital PLC, Senior Notes | 3.625% | 9/11/24 | 200000 | 193512 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; ArcelorMittal SA, Senior Notes | 6.550% | 11/29/27 | 30000 | 30141 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Freeport-McMoRan Inc., Senior Notes | 4.375% | 8/1/28 | 130000 | 121338 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Glencore Funding LLC, Senior Notes | 1.625% | 9/1/25 | 160000 | 144815 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Yamana Gold Inc., Senior Notes | 4.625% | 12/15/27 | 70000 | 65525 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Yamana Gold Inc., Senior Notes | 2.630% | 8/15/31 | 10000 | 7467 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Metals & Mining* |  |  |  | *562798* | |

---

**See Notes to Schedules of Investments.** 

Western Asset ETFs 2022 Quarterly Report 7

------

**WESTERN ASSET SHORT DURATION INCOME ETF** 

---

| | |
|:---|:---|
|  **Schedules of investments (unaudited) (cont'd)**<br>(Percentages shown based on Fund net assets) | **December 31, 2022** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **SECURITY** | **RATE** | **MATURITY<br>DATE** | **FACE<br>AMOUNT** | **VALUE** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Paper & Forest Products - 0.1%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Suzano Austria GmbH, Senior Notes | 3.125% | 1/15/32 | $30000 | $*23388* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL MATERIALS** |  |  |  | 594909 |
| **REAL ESTATE - 1.6%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Equity Real Estate Investment Trusts (REITs) - 1.6%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Alexandria Real Estate Equities Inc., Senior Notes | 2.000% | 5/18/32 | 10000 | 7657 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Diversified Healthcare Trust, Senior Notes | 4.750% | 5/1/24 | 20000 | 16900 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Extra Space Storage LP, Senior Notes | 3.900% | 4/1/29 | 20000 | 17915 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Kimco Realty Corp., Senior Notes | 2.250% | 12/1/31 | 40000 | 30709 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Simon Property Group LP, Senior Notes | 3.500% | 9/1/25 | 20000 | 19155 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; VICI Properties LP, Senior Notes | 4.750% | 2/15/28 | 90000 | 85380 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; WEA Finance LLC/Westfield UK & Europe Finance PLC, Senior Notes | 3.750% | 9/17/24 | 200000 | 189023 <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Welltower Inc., Senior Notes | 3.850% | 6/15/32 | 20000 | 16971 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL REAL ESTATE** |  |  |  | 383710 |
| **UTILITIES - 2.5%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Electric Utilities - 2.5%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; DTE Electric Co., First Mortgage Bonds | 2.625% | 3/1/31 | 30000 | 25505 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Duke Energy Ohio Inc., First Mortgage Bonds | 2.125% | 6/1/30 | 10000 | 8161 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Edison International, Senior Notes | 4.950% | 4/15/25 | 160000 | 157344 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Enel Finance International NV, Senior Notes | 6.800% | 10/14/25 | 200000 | 205366 <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; NRG Energy Inc., Senior Secured Notes | 2.450% | 12/2/27 | 140000 | 115998 <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ohio Edison Co., Senior Notes | 5.500% | 1/15/33 | 20000 | 19808 <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pacific Gas and Electric Co., First Mortgage Bonds | 2.100% | 8/1/27 | 30000 | 25621 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pacific Gas and Electric Co., First Mortgage Bonds | 3.000% | 6/15/28 | 10000 | 8645 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Toledo Edison Co., First Mortgage Bonds | 2.650% | 5/1/28 | 8000 | 6988 <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL UTILITIES** |  |  |  | 573436 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL CORPORATE BONDS & NOTES**<br> (Cost - $21,682,217) |  |  |  | 20058473 |
| **ASSET-BACKED SECURITIES - 3.6%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; ABPCI Direct Lending Fund LLC, 2020-9A A1R (3 mo. USD LIBOR + 1.400%) | 5.758% | 11/18/31 | 270000 | 262170 <sup>(a)(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; AGL CLO Ltd., 2020-6A AR (3 mo. USD LIBOR + 1.200%) | 5.443% | 7/20/34 | 100000 | 97530 <sup>(a)(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Halcyon Loan Advisors Funding Ltd., 2017-2A A2 (3 mo. USD LIBOR + 1.700%) | 5.779% | 1/17/30 | 250000 | 244190 <sup>(a)(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Navient Private Education Refi Loan Trust, 2020-DA A | 1.690% | 5/15/69 | 32616 | 29315 <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Neuberger Berman Loan Advisers CLO Ltd., 2021-42A A (3 mo. USD LIBOR + 1.100%) | 5.179% | 7/16/35 | 210000 | 203243 <sup>(a)(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL ASSET-BACKED SECURITIES**<br> (Cost - $861,008) |  |  |  | 836448 |
| **U.S. GOVERNMENT & AGENCY OBLIGATIONS - 1.6%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **U.S. Government Obligations - 1.6%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | 3.250% | 5/15/42 | 80000 | 70137 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | 3.375% | 8/15/42 | 20000 | 17875 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | 4.000% | 11/15/42 | 10000 | 9791 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | 2.250% | 2/15/52 | 10000 | 6954 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | 2.875% | 5/15/52 | 20000 | 16025 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Notes | 3.875% | 11/30/27 | 140000 | 139234 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Notes | 4.125% | 11/15/32 | 110000 | 112252 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS**<br> (Cost - $391,277) |  |  |  | 372268 |

---

**See Notes to Schedules of Investments.** 

8 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Western Asset ETFs 2022 Quarterly Report

------

**WESTERN ASSET SHORT DURATION INCOME ETF** 

---

| | |
|:---|:---|
|  **Schedules of investments (unaudited) (cont'd)**<br>(Percentages shown based on Fund net assets) | **December 31, 2022** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **SECURITY** | **RATE** | **MATURITY<br>DATE** | **FACE<br>AMOUNT** | **VALUE** |
| **SOVEREIGN BONDS - 0.2%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Argentina - 0.2%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Argentine Republic Government International Bond, Senior Notes | 1.000% | 7/9/29 | $4718 | $1252 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Argentine Republic Government International Bond, Senior Notes, Step bond (0.500% to 7/9/23 then 0.750%) | 0.500% | 7/9/30 | 135800 | 36624 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Sovereign Bonds (Cost - $85,384)* |  |  |  | 37876 |
| **MUNICIPAL BONDS - 0.1%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **California - 0.1%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Regents of the University of California, CA, Medical Center Pooled Revenue, Taxable Bonds, Series Q<br>(Cost - $30,000) | 4.132% | 5/15/32 | 30000 | 27947 |
| **SENIOR LOANS - 0.0%††** |  |  |  |  |
| **INDUSTRIALS - 0.0%††** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Airlines - 0.0%††** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Delta Air Lines Inc., Initial Term Loan (3 mo. USD LIBOR + 3.750%) (Cost - $9,927) | 7.993% | 10/20/27 | 10000 | 10180 <sup>(b)(e)(f)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL INVESTMENTS BEFORE SHORT-TERM**<br> **INVESTMENTS**<br> (Cost - $23,059,813) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL INVESTMENTS BEFORE SHORT-TERM**<br> **INVESTMENTS**<br> (Cost - $23,059,813) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL INVESTMENTS BEFORE SHORT-TERM**<br> **INVESTMENTS**<br> (Cost - $23,059,813) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL INVESTMENTS BEFORE SHORT-TERM**<br> **INVESTMENTS**<br> (Cost - $23,059,813) | 21343192 |
|  |  |  | **SHARES** |  |
| **SHORT-TERM INVESTMENTS - 7.2%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; BNY Mellon Cash Reserve Fund<br> (Cost - $1,699,435) | 2.000% |  | 1699435 | 1699435 <sup>(g)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL INVESTMENTS - 98.5%**<br> (Cost - $24,759,248) |  |  |  | 23042627 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Other Assets in Excess of Liabilities - 1.5% |  |  |  | 340018 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL NET ASSETS - 100.0%** |  |  |  | $23382645 |

---

---

| | |
|:---|:---|
| †† | Represents less than 0.1%.  |

---

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

(b) Variable rate security. Interest rate disclosed is as of the most recent information available. Certain
variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description
above.

(c) Security has no maturity date. The date shown represents the next call date.

(d) Payment-in-kind security for
which the issuer has the option at each interest payment date of making interest payments in cash or additional securities.

(e) Interest rates disclosed represent the effective rates on senior loans. Ranges in interest rates are
attributable to multiple contracts under the same loan.

(f) Senior loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive
approval from the agent bank and/or borrower prior to the disposition of a senior loan.

(g) Rate shown is one-day yield as of the end of the reporting period.

<u>Abbreviation(s) used in this schedule:</u> 

---

| | |
|:---|:---|
| CLO | — Collateralized Loan Obligation |
| LIBOR | — London Interbank Offered Rate |
| PIK | — Payment-In-Kind |
| SOFR | — Secured Overnight Financing Rate |
| USD | — United States Dollar |

---

**See Notes to Schedules of Investments.** 

Western Asset ETFs 2022 Quarterly Report 9

------

**WESTERN ASSET SHORT DURATION INCOME ETF** 

---

| | |
|:---|:---|
| **Schedules of investments (unaudited) (cont'd)**<br>| **December 31, 2022** |

---

At December 31, 2022, the Fund had the following open futures contracts:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Number of<br>Contracts** | **Expiration<br>Date** | **Notional<br>Amount** | **Market**<br>**Value** | **Unrealized<br>Appreciation<br>(Depreciation)** |
| **Contracts to Buy:** |  |  |  |  |  |
|  U.S. Treasury 2-Year Notes | 20 | 3/23 | $4110949 | $4101563 | $(9386) |
|  U.S. Treasury 5-Year Notes | 127 | 3/23 | 13730172 | 13707070 | (23102) |
|  |  |  |  |  | (32488) |
| **Contracts to Sell:** |  |  |  |  |  |
|  U.S. Treasury 10-Year Notes | 78 | 3/23 | 8802507 | 8759156 | 43351 |
|  U.S. Treasury Long-Term Bonds | 8 | 3/23 | 1016808 | 1002750 | 14058 |
|  U.S. Treasury Ultra 10-Year Notes | 1 | 3/23 | 118467 | 118281 | 186 |
|  U.S. Treasury Ultra Long-Term Bonds | 1 | 3/23 | 138373 | 134313 | 4060 |
|  |  |  |  |  | 61655 |
| **Net unrealized appreciation on open futures contracts** | **Net unrealized appreciation on open futures contracts** | **Net unrealized appreciation on open futures contracts** | **Net unrealized appreciation on open futures contracts** |  | $29167 |

---

At December 31, 2022, the Fund had the following open swap contracts:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION<sup>1</sup>**  | **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION<sup>1</sup>**  | **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION<sup>1</sup>**  | **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION<sup>1</sup>**  | **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION<sup>1</sup>**  | **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION<sup>1</sup>**  | **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION<sup>1</sup>**  |
| **REFERENCE ENTITY** | **NOTIONAL<br>AMOUNT<sup>2</sup>** | **TERMINATION<br>DATE** | **PERIODIC**<br>**PAYMENTS**<br>**MADE BY**<br>**THE FUND†** | **MARKET<br>VALUE<sup>3</sup>** | **UPFRONT<br>PREMIUMS PAID<br>(RECEIVED)** | **UNREALIZED<br>DEPRECIATION** |
| MARKIT CDX.NA.HY.38 Index | $366300 | 6/20/27 | 5.000% quarterly | $(7570) | $2058 | $(9628) |
|  MARKIT CDX.NA.IG.38 Index | 1010000 | 6/20/27 | 1.000% quarterly | (10596) | (6243) | (4353) |
|  MARKIT CDX.NA.IG.39 Index | 480000 | 12/20/27 | 1.000% quarterly | (3826) | 217 | (4043) |
|  Total | $1856300 |  |  | $(21992) | $(3968) | $(18024) |

---

<sup>1</sup> If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or the underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or the underlying securities comprising the referenced index. 

<sup>2</sup> The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. 

<sup>3</sup> The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected loss (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period end. Decreasing market values (sell protection) or increasing market values (buy protection) when compared to the notional amount of the swap, represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. 

† Percentage shown is an annual percentage rate.

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

**See Notes to Schedules of Investments.** 

10 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Western Asset ETFs 2022 Quarterly Report

------

**WESTERN ASSET TOTAL RETURN ETF** 

---

| | |
|:---|:---|
|  **Schedules of investments (unaudited)**<br>(Percentages shown based on Fund net assets) | **December 31, 2022** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **SECURITY** | **RATE** | **MATURITY<br>DATE** | **FACE<br>AMOUNT†** | **VALUE** |  |
| **CORPORATE BONDS & NOTES - 36.4%** |  |  |  |  |  |
| **COMMUNICATION SERVICES - 4.0%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Diversified Telecommunication Services - 1.4%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; AT&T Inc., Senior Notes | 2.550% | 12/1/33 | 20000 | $15370 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; AT&T Inc., Senior Notes | 5.350% | 9/1/40 | 20000 | 19055 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; AT&T Inc., Senior Notes | 5.550% | 8/15/41 | 10000 | 9575 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; AT&T Inc., Senior Notes | 4.350% | 6/15/45 | 19000 | 15282 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; AT&T Inc., Senior Notes | 3.500% | 9/15/53 | 30000 | 20248 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; AT&T Inc., Senior Notes | 3.550% | 9/15/55 | 37000 | 24688 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; AT&T Inc., Senior Notes | 3.650% | 9/15/59 | 20000 | 13387 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Verizon Communications Inc., Senior Notes | 3.150% | 3/22/30 | 40000 | 35274 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Verizon Communications Inc., Senior Notes | 1.750% | 1/20/31 | 60000 | 46550 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Verizon Communications Inc., Senior Notes | 2.550% | 3/21/31 | 60000 | 49341 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Verizon Communications Inc., Senior Notes | 2.355% | 3/15/32 | 94000 | 74514 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Verizon Communications Inc., Senior Notes | 4.500% | 8/10/33 | 80000 | 74855 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Verizon Communications Inc., Senior Notes | 5.250% | 3/16/37 | 30000 | 29624 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Verizon Communications Inc., Senior Notes | 3.400% | 3/22/41 | 10000 | 7519 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Diversified Telecommunication Services* |  |  |  | *435282* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Entertainment - 0.4%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Warnermedia Holdings Inc., Senior Notes | 3.755% | 3/15/27 | 20000 | 18011 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Warnermedia Holdings Inc., Senior Notes | 4.054% | 3/15/29 | 10000 | 8651 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Warnermedia Holdings Inc., Senior Notes | 4.279% | 3/15/32 | 50000 | 41188 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Warnermedia Holdings Inc., Senior Notes | 5.050% | 3/15/42 | 10000 | 7651 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Warnermedia Holdings Inc., Senior Notes | 5.141% | 3/15/52 | 70000 | 50888 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Entertainment* |  |  |  | *126389* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Media - 1.9%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes | 4.500% | 8/15/30 | 10000 | 8262 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes | 4.250% | 2/1/31 | 218000 | 174861 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes | 4.908% | 7/23/25 | 40000 | 39204 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes | 5.050% | 3/30/29 | 30000 | 28225 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes | 2.800% | 4/1/31 | 70000 | 54496 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes | 5.375% | 4/1/38 | 40000 | 33302 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes | 3.500% | 3/1/42 | 40000 | 25630 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes | 4.800% | 3/1/50 | 10000 | 7259 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comcast Corp., Senior Notes | 4.250% | 10/15/30 | 30000 | 28700 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comcast Corp., Senior Notes | 3.750% | 4/1/40 | 20000 | 16494 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comcast Corp., Senior Notes | 4.000% | 8/15/47 | 10000 | 7986 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comcast Corp., Senior Notes | 3.969% | 11/1/47 | 20000 | 15978 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comcast Corp., Senior Notes | 3.450% | 2/1/50 | 10000 | 7252 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comcast Corp., Senior Notes | 2.800% | 1/15/51 | 40000 | 25244 |  |

---

**See Notes to Schedules of Investments.** 

Western Asset ETFs 2022 Quarterly Report 11

------

**WESTERN ASSET TOTAL RETURN ETF** 

---

| | |
|:---|:---|
|  **Schedules of investments (unaudited) (cont'd)**<br>(Percentages shown based on Fund net assets) | **December 31, 2022** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **SECURITY** | **RATE** | **MATURITY<br>DATE** | **FACE<br>AMOUNT†** | **VALUE** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Media - (continued)** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; DISH DBS Corp., Senior Notes | 5.875% | 11/15/24 | 120000 | $111508 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Time Warner Cable LLC, Senior Secured Notes | 6.550% | 5/1/37 | 10000 | 9521 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Media* |  |  |  | *593922* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Wireless Telecommunication Services - 0.3%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; T-Mobile USA Inc., Senior Notes | 2.250% | 2/15/26 | 10000 | 9096 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; T-Mobile USA Inc., Senior Notes | 3.750% | 4/15/27 | 10000 | 9419 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; T-Mobile USA Inc., Senior Notes | 3.875% | 4/15/30 | 30000 | 27175 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; T-Mobile USA Inc., Senior Notes | 2.550% | 2/15/31 | 40000 | 32677 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Wireless Telecommunication Services* |  |  |  | *78367* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL COMMUNICATION SERVICES** |  |  |  | 1233960 |  |
| **CONSUMER DISCRETIONARY - 4.9%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Automobiles - 1.6%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ford Motor Co., Senior Notes | 3.250% | 2/12/32 | 70000 | 52496 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ford Motor Co., Senior Notes | 6.100% | 8/19/32 | 20000 | 18467 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ford Motor Credit Co. LLC, Senior Notes | 4.000% | 11/13/30 | 200000 | 164168 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; General Motors Co., Senior Notes | 6.125% | 10/1/25 | 30000 | 30531 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; General Motors Co., Senior Notes | 5.950% | 4/1/49 | 10000 | 8715 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; General Motors Financial Co. Inc., Senior Notes | 3.100% | 1/12/32 | 20000 | 15671 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Nissan Motor Co. Ltd., Senior Notes | 4.345% | 9/17/27 | 240000 | 217619 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Automobiles* |  |  |  | *507667* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Hotels, Restaurants & Leisure - 2.0%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Las Vegas Sands Corp., Senior Notes | 3.200% | 8/8/24 | 40000 | 37808 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Las Vegas Sands Corp., Senior Notes | 2.900% | 6/25/25 | 80000 | 73518 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; McDonald's Corp., Senior Notes | 4.450% | 9/1/48 | 50000 | 43483 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; NCL Corp. Ltd., Senior Notes | 5.875% | 3/15/26 | 130000 | 102111 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Sands China Ltd., Senior Notes | 5.625% | 8/8/25 | 200000 | 191206 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Sands China Ltd., Senior Notes | 2.800% | 3/8/27 | 200000 | 171286 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; VOC Escrow Ltd., Senior Secured Notes | 5.000% | 2/15/28 | 20000 | 17202 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Hotels, Restaurants & Leisure* |  |  |  | *636614* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Household Durables - 0.1%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Lennar Corp., Senior Notes | 4.500% | 4/30/24 | 20000 | 19733 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; MDC Holdings Inc., Senior Notes | 6.000% | 1/15/43 | 10000 | 8124 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Household Durables* |  |  |  | *27857* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Internet & Direct Marketing Retail - 1.1%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Amazon.com Inc., Senior Notes | 3.875% | 8/22/37 | 40000 | 35437 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Amazon.com Inc., Senior Notes | 4.050% | 8/22/47 | 50000 | 42872 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Amazon.com Inc., Senior Notes | 3.100% | 5/12/51 | 30000 | 21366 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Prosus NV, Senior Notes | 3.832% | 2/8/51 | 400000 | 241667 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Internet & Direct Marketing Retail* |  |  |  | *341342* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Specialty Retail - 0.1%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Home Depot Inc., Senior Notes | 3.350% | 4/15/50 | 20000 | *14681* |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL CONSUMER DISCRETIONARY** |  |  |  | 1528161 |  |

---

**See Notes to Schedules of Investments.** 

12 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Western Asset ETFs 2022 Quarterly Report

------

**WESTERN ASSET TOTAL RETURN ETF** 

---

| | |
|:---|:---|
|  **Schedules of investments (unaudited) (cont'd)**<br>(Percentages shown based on Fund net assets) | **December 31, 2022** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **SECURITY** | **RATE** | **MATURITY<br>DATE** | **FACE<br>AMOUNT†** | **VALUE** |  |
| **CONSUMER STAPLES - 1.1%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Beverages - 0.3%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide Inc., Senior Notes | 3.650% | 2/1/26 | 20000 | $19248 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Anheuser-Busch InBev Worldwide Inc., Senior Notes | 4.750% | 1/23/29 | 10000 | 9871 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Anheuser-Busch InBev Worldwide Inc., Senior Notes | 4.600% | 4/15/48 | 8000 | 6952 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Anheuser-Busch InBev Worldwide Inc., Senior Notes | 4.439% | 10/6/48 | 20000 | 17081 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Anheuser-Busch InBev Worldwide Inc., Senior Notes | 5.550% | 1/23/49 | 10000 | 9886 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Constellation Brands Inc., Senior Notes | 4.350% | 5/9/27 | 30000 | 29213 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Beverages* |  |  |  | *92251* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Food Products - 0.2%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Kraft Heinz Foods Co., Senior Notes | 4.375% | 6/1/46 | 30000 | 24378 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Kraft Heinz Foods Co., Senior Notes | 4.875% | 10/1/49 | 30000 | 26041 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Mars Inc., Senior Notes | 3.200% | 4/1/30 | 30000 | 26796 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Mars Inc., Senior Notes | 3.200% | 4/1/30 | 10000 | 8932 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Food Products* |  |  |  | *86147* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Tobacco - 0.6%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Altria Group Inc., Senior Notes | 5.375% | 1/31/44 | 10000 | 8814 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Altria Group Inc., Senior Notes | 3.875% | 9/16/46 | 30000 | 20059 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Altria Group Inc., Senior Notes | 5.950% | 2/14/49 | 80000 | 71138 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Altria Group Inc., Senior Notes | 6.200% | 2/14/59 | 4000 | 3740 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; BAT Capital Corp., Senior Notes | 3.557% | 8/15/27 | 30000 | 27407 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; BAT Capital Corp., Senior Notes | 3.734% | 9/25/40 | 30000 | 20371 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; BAT Capital Corp., Senior Notes | 4.540% | 8/15/47 | 40000 | 28263 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Tobacco* |  |  |  | *179792* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL CONSUMER STAPLES** |  |  |  | 358190 |  |
| **ENERGY - 5.1%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Oil, Gas & Consumable Fuels - 5.1%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; BP Capital Markets America Inc., Senior Notes | 3.633% | 4/6/30 | 30000 | 27532 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cameron LNG LLC, Senior Secured Notes | 2.902% | 7/15/31 | 30000 | 25306 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cameron LNG LLC, Senior Secured Notes | 3.302% | 1/15/35 | 60000 | 48307 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cheniere Energy Inc., Senior Notes | 4.625% | 10/15/28 | 30000 | 27116 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cheniere Energy Partners LP, Senior Notes | 3.250% | 1/31/32 | 10000 | 7947 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Continental Resources Inc., Senior Notes | 4.500% | 4/15/23 | 20000 | 19952 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Continental Resources Inc., Senior Notes | 2.268% | 11/15/26 | 20000 | 17329 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Continental Resources Inc., Senior Notes | 5.750% | 1/15/31 | 20000 | 18617 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Continental Resources Inc., Senior Notes | 4.900% | 6/1/44 | 30000 | 22241 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Coterra Energy Inc., Senior Notes | 3.900% | 5/15/27 | 70000 | 65361 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Coterra Energy Inc., Senior Notes | 4.375% | 3/15/29 | 70000 | 66132 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Devon Energy Corp., Senior Notes | 5.000% | 6/15/45 | 70000 | 60439 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Diamondback Energy Inc., Senior Notes | 3.500% | 12/1/29 | 20000 | 17546 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ecopetrol SA, Senior Notes | 5.875% | 5/28/45 | 70000 | 48724 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Energy Transfer LP, Junior Subordinated Notes (6.250% to 2/15/23 then<br>3 mo. USD LIBOR + 4.028%) | 6.250% | 2/15/23 | 10000 | 8500 | <sup>(c)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Energy Transfer LP, Junior Subordinated Notes (6.500% to 11/15/26 then<br>5 year Treasury Constant Maturity Rate + 5.694%) | 6.500% | 11/15/26 | 20000 | 17200 | <sup>(c)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Energy Transfer LP, Junior Subordinated Notes (6.750% to 5/15/25 then<br>5 year Treasury Constant Maturity Rate + 5.134%) | 6.750% | 5/15/25 | 10000 | 8650 | <sup>(c)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Energy Transfer LP, Junior Subordinated Notes (7.125% to 5/15/30 then<br>5 year Treasury Constant Maturity Rate + 5.306%) | 7.125% | 5/15/30 | 30000 | 25050 | <sup>(c)(d)</sup> |

---

**See Notes to Schedules of Investments.** 

Western Asset ETFs 2022 Quarterly Report 13

------

**WESTERN ASSET TOTAL RETURN ETF** 

---

| | |
|:---|:---|
|  **Schedules of investments (unaudited) (cont'd)**<br>(Percentages shown based on Fund net assets) | **December 31, 2022** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **SECURITY** | **RATE** | **MATURITY<br>DATE** | **FACE<br>AMOUNT†** | **VALUE** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Oil, Gas & Consumable Fuels - (continued)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Energy Transfer LP, Senior Notes | 2.900% | 5/15/25 | 50000 | $47087 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Energy Transfer LP, Senior Notes | 4.950% | 6/15/28 | 10000 | 9670 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Energy Transfer LP, Senior Notes | 5.250% | 4/15/29 | 10000 | 9670 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Energy Transfer LP, Senior Notes | 3.750% | 5/15/30 | 20000 | 17634 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Energy Transfer LP, Senior Notes | 6.250% | 4/15/49 | 40000 | 37195 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Enterprise Products Operating LLC, Senior Notes | 4.150% | 10/16/28 | 30000 | 28407 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Enterprise Products Operating LLC, Senior Notes | 2.800% | 1/31/30 | 30000 | 25486 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Enterprise Products Operating LLC, Senior Notes | 3.700% | 1/31/51 | 60000 | 43254 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Enterprise Products Operating LLC, Senior Notes (5.375% to 2/15/28 then<br>3 mo. USD LIBOR + 2.570%) | 5.375% | 2/15/78 | 10000 | 7626 <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; EOG Resources Inc., Senior Notes | 3.900% | 4/1/35 | 20000 | 17841 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; EOG Resources Inc., Senior Notes | 4.950% | 4/15/50 | 10000 | 9514 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; EQM Midstream Partners LP, Senior Notes | 6.000% | 7/1/25 | 70000 | 67550 <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; EQT Corp., Senior Notes | 3.900% | 10/1/27 | 45000 | 41542 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; EQT Corp., Senior Notes | 5.000% | 1/15/29 | 20000 | 18775 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; EQT Corp., Senior Notes | 3.625% | 5/15/31 | 40000 | 33897 <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Kinder Morgan Inc., Senior Notes | 4.300% | 3/1/28 | 10000 | 9579 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Kinder Morgan Inc., Senior Notes | 5.050% | 2/15/46 | 20000 | 16962 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Kinder Morgan Inc., Senior Notes | 5.200% | 3/1/48 | 40000 | 34514 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; MPLX LP, Senior Notes | 4.875% | 6/1/25 | 20000 | 19693 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; MPLX LP, Senior Notes | 4.800% | 2/15/29 | 30000 | 28708 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; MPLX LP, Senior Notes | 4.500% | 4/15/38 | 20000 | 16847 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; MPLX LP, Senior Notes | 5.500% | 2/15/49 | 10000 | 8789 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Occidental Petroleum Corp., Senior Notes | 6.600% | 3/15/46 | 30000 | 30870 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Parsley Energy LLC/Parsley Finance Corp., Senior Notes | 4.125% | 2/15/28 | 10000 | 9184 <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Petrobras Global Finance BV, Senior Notes | 5.750% | 2/1/29 | 70000 | 67988 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pioneer Natural Resources Co., Senior Notes | 2.150% | 1/15/31 | 20000 | 15808 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shell International Finance BV, Senior Notes | 4.375% | 5/11/45 | 20000 | 17476 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Southwestern Energy Co., Senior Notes | 5.375% | 3/15/30 | 10000 | 9120 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Southwestern Energy Co., Senior Notes | 4.750% | 2/1/32 | 10000 | 8546 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Targa Resources Corp., Senior Notes | 5.200% | 7/1/27 | 10000 | 9801 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Targa Resources Partners LP/Targa Resources Partners Finance Corp.,<br>Senior Notes | 5.000% | 1/15/28 | 10000 | 9540 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Targa Resources Partners LP/Targa Resources Partners Finance Corp.,<br>Senior Notes | 6.875% | 1/15/29 | 20000 | 20159 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Targa Resources Partners LP/Targa Resources Partners Finance Corp.,<br>Senior Notes | 4.875% | 2/1/31 | 40000 | 36118 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Tennessee Gas Pipeline Co. LLC, Senior Notes | 2.900% | 3/1/30 | 10000 | 8376 <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Transcontinental Gas Pipe Line Co. LLC, Senior Notes | 7.850% | 2/1/26 | 40000 | 42691 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Western Midstream Operating LP, Senior Notes | 3.350% | 2/1/25 | 10000 | 9462 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Western Midstream Operating LP, Senior Notes | 4.500% | 3/1/28 | 10000 | 9175 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Western Midstream Operating LP, Senior Notes | 4.300% | 2/1/30 | 20000 | 17458 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Western Midstream Operating LP, Senior Notes | 5.500% | 8/15/48 | 60000 | 49798 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Western Midstream Operating LP, Senior Notes (3 mo. USD LIBOR + 1.100%) | 5.041% | 1/13/23 | 10000 | 9985 <sup>(d)</sup> |

---

**See Notes to Schedules of Investments.** 

14 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Western Asset ETFs 2022 Quarterly Report

------

**WESTERN ASSET TOTAL RETURN ETF** 

---

| | |
|:---|:---|
|  **Schedules of investments (unaudited) (cont'd)**<br>(Percentages shown based on Fund net assets) | **December 31, 2022** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **SECURITY** | **RATE** | **MATURITY<br>DATE** | **FACE<br>AMOUNT†** | **VALUE** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Oil, Gas & Consumable Fuels - (continued)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Williams Cos. Inc., Senior Notes | 7.750% | 6/15/31 | 70000 | $77188 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Williams Cos. Inc., Senior Notes | 8.750% | 3/15/32 | 40000 | 47103 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL ENERGY** |  |  |  | 1588035 |
| **FINANCIALS - 12.5%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Banks - 8.9%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bank of America Corp., Senior Notes | 5.000% | 1/21/44 | 50000 | 45969 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bank of America Corp., Senior Notes (2.572% to 10/20/31 then SOFR + 1.210%) | 2.572% | 10/20/32 | 50000 | 39160 <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bank of America Corp., Senior Notes (2.687% to 4/22/31 then SOFR + 1.320%) | 2.687% | 4/22/32 | 200000 | 160077 <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bank of America Corp., Senior Notes (2.972% to 2/4/32 then SOFR + 1.330%) | 2.972% | 2/4/33 | 40000 | 32225 <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bank of America Corp., Senior Notes (4.376% to 4/27/27 then SOFR + 1.580%) | 4.376% | 4/27/28 | 40000 | 38253 <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bank of America Corp., Subordinated Notes | 4.200% | 8/26/24 | 70000 | 68917 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bank of Montreal, Senior Notes | 1.850% | 5/1/25 | 30000 | 28023 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bank of Nova Scotia, Subordinated Notes (4.588% to 5/4/32 then 5 year Treasury Constant Maturity Rate + 2.050%) | 4.588% | 5/4/37 | 40000 | 34134 <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; BNP Paribas SA, Senior Notes (5.198% to 1/10/29 then 3 mo. USD LIBOR + 2.567%) | 5.198% | 1/10/30 | 200000 | 190063 <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Canadian Imperial Bank of Commerce, Senior Notes | 0.950% | 6/23/23 | 20000 | 19627 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Citigroup Inc., Senior Notes | 8.125% | 7/15/39 | 80000 | 98318 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Citigroup Inc., Senior Notes (1.678% to 5/15/23 then SOFR + 1.667%) | 1.678% | 5/15/24 | 50000 | 49292 <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Citigroup Inc., Senior Notes (2.520% to 11/3/31 then SOFR + 1.177%) | 2.520% | 11/3/32 | 70000 | 54437 <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Citigroup Inc., Senior Notes (3.785% to 3/17/32 then SOFR + 1.939%) | 3.785% | 3/17/33 | 20000 | 17106 <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Citigroup Inc., Senior Notes (3.980% to 3/20/29 then 3 mo. USD LIBOR + 1.338%) | 3.980% | 3/20/30 | 60000 | 54113 <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Citigroup Inc., Senior Notes (4.412% to 3/31/30 then SOFR + 3.914%) | 4.412% | 3/31/31 | 10000 | 9183 <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Citigroup Inc., Senior Notes (4.658% to 5/24/27 then SOFR + 1.887%) | 4.658% | 5/24/28 | 30000 | 29033 <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Citigroup Inc., Senior Notes (4.910% to 5/24/32 then SOFR + 2.086%) | 4.910% | 5/24/33 | 20000 | 18729 <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Citigroup Inc., Subordinated Notes | 5.500% | 9/13/25 | 60000 | 60367 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cooperatieve Rabobank UA, Senior Notes (1.339% to 6/24/25 then 1 year Treasury Constant Maturity Rate + 1.000%) | 1.339% | 6/24/26 | 250000 | 224782 <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Danske Bank A/S, Senior Notes (3.773% to 3/28/24 then 1 year Treasury Constant Maturity Rate + 1.450%) | 3.773% | 3/28/25 | 250000 | 242237 <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; HSBC Holdings PLC, Senior Notes (2.099% to 6/4/25 then SOFR + 1.929%) | 2.099% | 6/4/26 | 200000 | 181999 <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Intesa Sanpaolo SpA, Senior Notes | 3.375% | 1/12/23 | 200000 | 199901 <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; JPMorgan Chase & Co., Senior Notes (2.083% to 4/22/25 then SOFR + 1.850%) | 2.083% | 4/22/26 | 30000 | 27849 <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; JPMorgan Chase & Co., Senior Notes (2.545% to 11/8/31 then SOFR + 1.180%) | 2.545% | 11/8/32 | 20000 | 15809 <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; JPMorgan Chase & Co., Senior Notes (2.580% to 4/22/31 then SOFR + 1.250%) | 2.580% | 4/22/32 | 40000 | 32042 <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; JPMorgan Chase & Co., Senior Notes (2.739% to 10/15/29 then SOFR + 1.510%) | 2.739% | 10/15/30 | 40000 | 33545 <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; JPMorgan Chase & Co., Senior Notes (4.023% to 12/5/23 then 3 mo. USD LIBOR + 1.000%) | 4.023% | 12/5/24 | 10000 | 9851 <sup>(d)</sup> |

---

**See Notes to Schedules of Investments.** 

Western Asset ETFs 2022 Quarterly Report 15

------

**WESTERN ASSET TOTAL RETURN ETF** 

---

| | |
|:---|:---|
|  **Schedules of investments (unaudited) (cont'd)**<br>(Percentages shown based on Fund net assets) | **December 31, 2022** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **SECURITY** | **RATE** | **MATURITY<br>DATE** | **FACE<br>AMOUNT†** | **VALUE** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Banks - (continued)** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; JPMorgan Chase & Co., Senior Notes (4.452% to 12/5/28 then 3 mo. USD LIBOR + 1.330%) | 4.452% | 12/5/29 | 60000 | $56361 | <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; JPMorgan Chase & Co., Subordinated Notes | 4.950% | 6/1/45 | 30000 | 26803 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Lloyds Banking Group PLC, Senior Notes | 4.375% | 3/22/28 | 200000 | 189819 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Royal Bank of Canada, Senior Notes | 1.150% | 6/10/25 | 20000 | 18307 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Toronto-Dominion Bank, Senior Notes | 0.750% | 6/12/23 | 20000 | 19640 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Toronto-Dominion Bank, Senior Notes | 1.150% | 6/12/25 | 20000 | 18245 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; US Bancorp, Senior Notes | 1.450% | 5/12/25 | 40000 | 37088 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Wells Fargo & Co., Senior Notes | 3.000% | 10/23/26 | 50000 | 46211 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Wells Fargo & Co., Senior Notes | 4.150% | 1/24/29 | 50000 | 46996 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Wells Fargo & Co., Senior Notes (1.654% to 6/2/23 then SOFR + 1.600%) | 1.654% | 6/2/24 | 20000 | 19677 | <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Wells Fargo & Co., Senior Notes (2.188% to 4/30/25 then SOFR + 2.000%) | 2.188% | 4/30/26 | 30000 | 27920 | <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Wells Fargo & Co., Senior Notes (3.350% to 3/2/32 then SOFR + 1.500%) | 3.350% | 3/2/33 | 30000 | 25272 | <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Wells Fargo & Co., Senior Notes (3.584% to 5/22/27 then 3 mo. USD LIBOR + 1.310%) | 3.584% | 5/22/28 | 50000 | 46425 | <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Wells Fargo & Co., Senior Notes (5.013% to 4/4/50 then SOFR + 4.502%) | 5.013% | 4/4/51 | 170000 | 149749 | <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Wells Fargo & Co., Subordinated Notes | 4.750% | 12/7/46 | 50000 | 41872 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Banks* |  |  |  | *2785426* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Capital Markets - 2.6%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bank of New York Mellon Corp., Senior Notes | 1.600% | 4/24/25 | 10000 | 9292 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Suisse Group AG, Senior Notes (2.193% to 6/5/25 then SOFR + 2.044%) | 2.193% | 6/5/26 | 250000 | 213523 | <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Goldman Sachs Group Inc., Senior Notes | 3.850% | 7/8/24 | 70000 | 68497 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Goldman Sachs Group Inc., Senior Notes | 3.500% | 4/1/25 | 40000 | 38466 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Goldman Sachs Group Inc., Senior Notes (2.650% to 10/21/31 then SOFR + 1.264%) | 2.650% | 10/21/32 | 110000 | 86853 | <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Goldman Sachs Group Inc., Senior Notes (3.615% to 3/15/27 then SOFR + 1.846%) | 3.615% | 3/15/28 | 20000 | 18629 | <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Goldman Sachs Group Inc., Senior Notes (4.223% to 5/1/28 then<br>3 mo. USD LIBOR + 1.301%) | 4.223% | 5/1/29 | 10000 | 9316 | <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Goldman Sachs Group Inc., Subordinated Notes | 5.150% | 5/22/45 | 40000 | 35929 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Morgan Stanley, Senior Notes (2.188% to 4/28/25 then SOFR + 1.990%) | 2.188% | 4/28/26 | 40000 | 37170 | <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Morgan Stanley, Senior Notes (2.511% to 10/20/31 then SOFR + 1.200%) | 2.511% | 10/20/32 | 50000 | 39128 | <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Morgan Stanley, Senior Notes (4.431% to 1/23/29 then 3 mo. USD LIBOR + 1.628%) | 4.431% | 1/23/30 | 30000 | 27921 | <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Morgan Stanley, Subordinated Notes (2.484% to 9/16/31 then SOFR + 1.360%) | 2.484% | 9/16/36 | 30000 | 21754 | <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; UBS Group AG, Junior Subordinated Notes (7.000% to 1/31/24 then USD 5 year ICE Swap Rate + 4.344%) | 7.000% | 1/31/24 | 200000 | 196765 | <sup>(a)(c)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Capital Markets* |  |  |  | *803243* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Consumer Finance - 0.1%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; American Express Co., Senior Notes | 4.050% | 5/3/29 | 30000 | *28567* |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Diversified Financial Services - 0.8%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Senior Notes | 2.450% | 10/29/26 | 200000 | 174889 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Park Aerospace Holdings Ltd., Senior Notes | 5.500% | 2/15/24 | 70000 | 69087 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Diversified Financial Services* |  |  |  | *243976* | |

---

**See Notes to Schedules of Investments.** 

16 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Western Asset ETFs 2022 Quarterly Report

------

**WESTERN ASSET TOTAL RETURN ETF** 

---

| | |
|:---|:---|
|  **Schedules of investments (unaudited) (cont'd)**<br>(Percentages shown based on Fund net assets) | **December 31, 2022** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **SECURITY** | **RATE** | **MATURITY<br>DATE** | **FACE<br>AMOUNT†** | **VALUE** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Insurance - 0.1%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Berkshire Hathaway Finance Corp., Senior Notes | 4.250% | 1/15/49 | 30000 | $26706 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Guardian Life Global Funding, Secured Notes | 1.100% | 6/23/25 | 20000 | 18115 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Insurance* |  |  |  | *44821* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL FINANCIALS** |  |  |  | 3906033 |  |
| **HEALTH CARE - 2.1%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **BIOTECHNOLOGY - 0.5%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; AbbVie Inc., Senior Notes | 3.750% | 11/14/23 | 10000 | 9900 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; AbbVie Inc., Senior Notes | 3.200% | 11/21/29 | 70000 | 63103 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; AbbVie Inc., Senior Notes | 4.750% | 3/15/45 | 60000 | 53883 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; AbbVie Inc., Senior Notes | 4.875% | 11/14/48 | 10000 | 9108 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; AbbVie Inc., Senior Notes | 4.250% | 11/21/49 | 20000 | 16598 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Biotechnology* |  |  |  | *152592* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Health Care Providers & Services - 0.9%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cigna Corp., Senior Notes | 3.750% | 7/15/23 | 4000 | 3974 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cigna Corp., Senior Notes | 4.375% | 10/15/28 | 10000 | 9644 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cigna Corp., Senior Notes | 4.900% | 12/15/48 | 20000 | 18020 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CVS Health Corp., Senior Notes | 1.875% | 2/28/31 | 10000 | 7844 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CVS Health Corp., Senior Notes | 2.125% | 9/15/31 | 20000 | 15857 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CVS Health Corp., Senior Notes | 2.700% | 8/21/40 | 40000 | 27635 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CVS Health Corp., Senior Notes | 5.050% | 3/25/48 | 20000 | 17951 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Elevance Health Inc., Senior Notes | 4.550% | 5/15/52 | 10000 | 8687 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; HCA Inc., Senior Notes | 5.625% | 9/1/28 | 40000 | 39773 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; HCA Inc., Senior Notes | 3.500% | 9/1/30 | 50000 | 43124 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Humana Inc., Senior Notes | 3.125% | 8/15/29 | 30000 | 26296 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Humana Inc., Senior Notes | 2.150% | 2/3/32 | 10000 | 7803 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; UnitedHealth Group Inc., Senior Notes | 4.200% | 5/15/32 | 20000 | 18985 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; UnitedHealth Group Inc., Senior Notes | 5.700% | 10/15/40 | 10000 | 10384 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; UnitedHealth Group Inc., Senior Notes | 2.900% | 5/15/50 | 20000 | 13531 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; UnitedHealth Group Inc., Senior Notes | 3.250% | 5/15/51 | 20000 | 14311 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Health Care Providers & Services* |  |  |  | *283819* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Pharmaceuticals - 0.7%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bristol-Myers Squibb Co., Senior Notes | 4.250% | 10/26/49 | 20000 | 17187 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Teva Pharmaceutical Finance Netherlands III BV, Senior Notes | 3.150% | 10/1/26 | 240000 | 209880 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Pharmaceuticals* |  |  |  | *227067* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL HEALTH CARE** |  |  |  | 663478 |  |
| **INDUSTRIALS - 3.2%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Aerospace & Defense - 1.4%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Boeing Co., Senior Notes | 1.433% | 2/4/24 | 10000 | 9583 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Boeing Co., Senior Notes | 4.875% | 5/1/25 | 50000 | 49617 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Boeing Co., Senior Notes | 2.196% | 2/4/26 | 50000 | 45428 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Boeing Co., Senior Notes | 3.200% | 3/1/29 | 50000 | 43844 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Boeing Co., Senior Notes | 5.150% | 5/1/30 | 20000 | 19513 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Boeing Co., Senior Notes | 3.250% | 2/1/35 | 60000 | 45630 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Boeing Co., Senior Notes | 3.550% | 3/1/38 | 10000 | 7368 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Boeing Co., Senior Notes | 5.705% | 5/1/40 | 10000 | 9536 |  |

---

**See Notes to Schedules of Investments.** 

Western Asset ETFs 2022 Quarterly Report 17

------

**WESTERN ASSET TOTAL RETURN ETF** 

---

| | |
|:---|:---|
|  **Schedules of investments (unaudited) (cont'd)**<br>(Percentages shown based on Fund net assets) | **December 31, 2022** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **SECURITY** | **RATE** | **MATURITY<br>DATE** | **FACE<br>AMOUNT†** | **VALUE** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Aerospace & Defense - (continued)** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Boeing Co., Senior Notes | 5.805% | 5/1/50 | 20000 | $18543 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Boeing Co., Senior Notes | 5.930% | 5/1/60 | 30000 | 27328 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; L3Harris Technologies Inc., Senior Notes | 4.854% | 4/27/35 | 20000 | 18636 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Lockheed Martin Corp., Senior Notes | 4.150% | 6/15/53 | 30000 | 25444 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Northrop Grumman Corp., Senior Notes | 3.250% | 1/15/28 | 40000 | 36890 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Northrop Grumman Corp., Senior Notes | 5.250% | 5/1/50 | 30000 | 29541 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Raytheon Technologies Corp., Senior Notes | 2.250% | 7/1/30 | 50000 | 41607 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Aerospace & Defense* |  |  |  | *428508* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Airlines - 1.3%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Delta Air Lines Inc., Senior Secured Notes | 7.000% | 5/1/25 | 130000 | 132852 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Delta Air Lines Inc./SkyMiles IP Ltd., Senior Secured Notes | 4.750% | 10/20/28 | 60000 | 56398 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd., Senior Secured Notes | 5.750% | 1/20/26 | 10000 | 9050 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., Senior Secured Notes | 6.500% | 6/20/27 | 36002 | 35794 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., Senior Secured Notes | 8.000% | 9/20/25 | 22000 | 22071 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; United Airlines Inc., Senior Secured Notes | 4.375% | 4/15/26 | 30000 | 27808 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; United Airlines Inc., Senior Secured Notes | 4.625% | 4/15/29 | 120000 | 104483 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Airlines* |  |  |  | *388456* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Building Products - 0.0%††** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Carrier Global Corp., Senior Notes | 2.722% | 2/15/30 | 10000 | *8419* |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Electrical Equipment - 0.0%††** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Vertiv Group Corp., Senior Secured Notes | 4.125% | 11/15/28 | 10000 | *8500* | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Industrial Conglomerates - 0.2%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3M Co., Senior Notes | 3.050% | 4/15/30 | 20000 | 17558 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3M Co., Senior Notes | 3.700% | 4/15/50 | 40000 | 30619 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Industrial Conglomerates* |  |  |  | *48177* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Road & Rail - 0.2%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Canadian Pacific Railway Co., Senior Notes | 3.000% | 12/2/41 | 20000 | 15078 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Canadian Pacific Railway Co., Senior Notes | 3.100% | 12/2/51 | 10000 | 6723 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Union Pacific Corp., Senior Notes | 2.891% | 4/6/36 | 20000 | 15895 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Union Pacific Corp., Senior Notes | 3.839% | 3/20/60 | 20000 | 15450 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Union Pacific Corp., Senior Notes | 3.750% | 2/5/70 | 20000 | 14579 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Road & Rail* |  |  |  | *67725* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Trading Companies & Distributors - 0.1%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Air Lease Corp., Senior Notes | 3.375% | 7/1/25 | 30000 | 28375 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; H&E Equipment Services Inc., Senior Notes | 3.875% | 12/15/28 | 10000 | 8518 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Trading Companies & Distributors* |  |  |  | *36893* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL INDUSTRIALS** |  |  |  | 986678 |  |
| **INFORMATION TECHNOLOGY - 1.0%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **IT Services - 0.1%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; PayPal Holdings Inc., Senior Notes | 2.300% | 6/1/30 | 40000 | *32860* |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Semiconductors & Semiconductor Equipment - 0.5%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Broadcom Inc., Senior Notes | 3.137% | 11/15/35 | 90000 | 66174 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Intel Corp., Senior Notes | 4.750% | 3/25/50 | 10000 | 8679 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Intel Corp., Senior Notes | 3.050% | 8/12/51 | 10000 | 6475 |  |

---

**See Notes to Schedules of Investments.** 

18 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Western Asset ETFs 2022 Quarterly Report

------

**WESTERN ASSET TOTAL RETURN ETF** 

---

| | |
|:---|:---|
|  **Schedules of investments (unaudited) (cont'd)**<br>(Percentages shown based on Fund net assets) | **December 31, 2022** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **SECURITY** | **RATE** | **MATURITY<br>DATE** | **FACE<br>AMOUNT†** | **VALUE** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Semiconductors & Semiconductor Equipment - (continued)** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; NVIDIA Corp., Senior Notes | 3.500% | 4/1/40 | 50000 | $40490 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; NXP BV/NXP Funding LLC/NXP USA Inc., Senior Notes | 2.700% | 5/1/25 | 30000 | 28237 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Semiconductors & Semiconductor Equipment* |  |  |  | *150055* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Software - 0.4%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Oracle Corp., Senior Notes | 1.650% | 3/25/26 | 50000 | 44761 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Oracle Corp., Senior Notes | 2.875% | 3/25/31 | 50000 | 41456 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Workday Inc., Senior Notes | 3.700% | 4/1/29 | 20000 | 18349 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Workday Inc., Senior Notes | 3.800% | 4/1/32 | 20000 | 17655 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Software* |  |  |  | *122221* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL INFORMATION TECHNOLOGY** |  |  |  | 305136 |  |
| **MATERIALS - 2.0%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Chemicals - 0.5%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Orbia Advance Corp. SAB de CV, Senior Notes | 2.875% | 5/11/31 | 200000 | *156250* | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Metals & Mining - 1.1%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Anglo American Capital PLC, Senior Notes | 4.000% | 9/11/27 | 200000 | 188423 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Barrick North America Finance LLC, Senior Notes | 5.750% | 5/1/43 | 10000 | 10098 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; BHP Billiton Finance USA Ltd., Senior Notes | 5.000% | 9/30/43 | 10000 | 9688 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Freeport-McMoRan Inc., Senior Notes | 4.625% | 8/1/30 | 20000 | 18628 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Freeport-McMoRan Inc., Senior Notes | 5.450% | 3/15/43 | 65000 | 58632 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Glencore Funding LLC, Senior Notes | 4.125% | 3/12/24 | 10000 | 9840 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Glencore Funding LLC, Senior Notes | 4.000% | 3/27/27 | 30000 | 28312 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Glencore Funding LLC, Senior Notes | 3.875% | 10/27/27 | 30000 | 28003 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Metals & Mining* |  |  |  | *351624* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Paper & Forest Products - 0.4%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Suzano Austria GmbH, Senior Notes | 3.750% | 1/15/31 | 10000 | 8389 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Suzano Austria GmbH, Senior Notes | 3.125% | 1/15/32 | 130000 | 101349 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Paper & Forest Products* |  |  |  | *109738* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL MATERIALS** |  |  |  | 617612 |  |
| **UTILITIES - 0.5%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Electric Utilities - 0.5%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; American Transmission Systems Inc., Senior Notes | 2.650% | 1/15/32 | 180000 | 147719 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Duke Energy Ohio Inc., Secured Bonds | 3.650% | 2/1/29 | 20000 | 18519 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL UTILITIES** |  |  |  | 166238 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL CORPORATE BONDS & NOTES**<br> (COST - $13,101,689) |  |  |  | 11353521 |  |
| **MORTGAGE-BACKED SECURITIES - 24.7%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **FHLMC - 2.4%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) | 3.500% | 1/1/38-1/1/48 | 206139 | 192810 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) | 1.500% | 10/1/41 | 36488 | 29522 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) | 4.500% | 5/1/47-7/1/49 | 76095 | 74652 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) | 5.000% | 11/1/49 | 101039 | 100978 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) | 2.000% | 11/1/51 | 94151 | 76721 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC)<br>(12 mo. USD LIBOR + 1.619%) | 2.878% | 11/1/47 | 60623 | 58398 | <sup>(d)</sup> |

---

**See Notes to Schedules of Investments.** 

Western Asset ETFs 2022 Quarterly Report 19

------

**WESTERN ASSET TOTAL RETURN ETF** 

---

| | |
|:---|:---|
|  **Schedules of investments (unaudited) (cont'd)**<br>(Percentages shown based on Fund net assets) | **December 31, 2022** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **SECURITY** | **RATE** | **MATURITY<br>DATE** | **FACE<br>AMOUNT†** | **VALUE** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **FHLMC - (continued)** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) (12 mo. USD LIBOR + 1.621%) | 3.091% | 2/1/50 | 74249 | $71230 | <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) (12 mo. USD LIBOR + 1.628%) | 3.009% | 11/1/48 | 137079 | 129838 | <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total FHLMC* |  |  |  | *734149* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **FNMA - 15.8%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | 3.160% | 5/1/29 | 9523 | 8813 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | 2.930% | 6/1/30 | 19046 | 17254 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | 2.149% | 2/1/32 | 19927 | 16576 | <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | 3.500% | 12/1/34-<br>6/1/49 | 430417 | 400229 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | 2.790% | 1/1/35 | 49303 | 41987 | <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | 3.000% | 7/1/35-<br>5/1/51 | 398964 | 362171 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | 2.500% | 9/1/36-<br>7/1/61 | 340579 | 291373 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | 2.000% | 3/1/41 | 171373 | 145945 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | 6.000% | 7/1/41 | 31669 | 33071 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | 4.500% | 2/1/48-<br>1/1/59 | 66048 | 64497 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | 4.000% | 9/1/48-<br>1/1/49 | 402833 | 384054 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | 2.000% | 1/1/52-<br>2/1/52 | 1200000 | 976238 | <sup>(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | 2.500% | 1/1/52-<br>2/1/52 | 1400000 | 1185195 | <sup>(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | 3.000% | 1/1/52-<br>2/1/52 | 400000 | 351010 | <sup>(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | 3.500% | 1/1/52 | 200000 | 181661 | <sup>(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | 4.000% | 1/1/52 | 200000 | 187532 | <sup>(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | 4.500% | 2/1/52 | 200000 | 192443 | <sup>(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | 5.000% | 2/1/52 | 100000 | 98491 | <sup>(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total FNMA* |  |  |  | *4938540* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **GNMA - 6.5%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) | 3.000% | 10/15/42 | 46776 | 42819 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | 3.500% | 2/20/46-<br>1/20/50 | 329240 | 305690 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | 4.500% | 4/20/48-<br>4/20/50 | 177158 | 173589 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | 5.000% | 11/20/48 | 25837 | 25831 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | 3.000% | 1/20/50-<br>2/20/50 | 488009 | 434637 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | 4.000% | 4/20/50 | 36184 | 35257 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | 2.500% | 3/20/51-<br>12/20/51 | 165169 | 143496 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | 2.500% | 1/1/52 | 300000 | 259907 | <sup>(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | 4.000% | 2/1/52 | 200000 | 189282 | <sup>(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | 5.000% | 2/1/52 | 100000 | 99042 | <sup>(e)</sup> |

---

**See Notes to Schedules of Investments.** 

20 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Western Asset ETFs 2022 Quarterly Report

------

**WESTERN ASSET TOTAL RETURN ETF** 

---

| | |
|:---|:---|
|  **Schedules of investments (unaudited) (cont'd)**<br>(Percentages shown based on Fund net assets) | **December 31, 2022** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **SECURITY** | **RATE** | **MATURITY<br>DATE** | **FACE<br>AMOUNT†** | **VALUE** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **GNMA - (continued)** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | 5.500% | 2/1/52 | 200000 | $200931 | <sup>(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | 6.000% | 2/1/52 | 100000 | 101370 | <sup>(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total GNMA* |  |  |  | *2011851* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL MORTGAGE-BACKED SECURITIES**<br> (Cost - $7,988,614) |  |  |  | 7684540 |  |
| **COLLATERALIZED MORTGAGE OBLIGATIONS<sup>(f)</sup> - 12.2%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Alternative Loan Trust, 2005-81 A1 (1 mo. USD LIBOR + 0.560%) | 4.949% | 2/25/37 | 135044 | 109034 | <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; BWAY Mortgage Trust, 2015-1740 E | 4.450% | 1/10/35 | 500000 | 399698 | <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; BX Commercial Mortgage Trust, 2019-IMC F (1 mo. USD LIBOR + 2.900%) | 7.218% | 4/15/34 | 300000 | 279713 | <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CSMC Trust, 2021-NQM6 A3 | 1.585% | 7/25/66 | 197511 | 150013 | <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Deephaven Residential Mortgage Trust, 2022-1 A2 | 2.961% | 1/25/67 | 240000 | 181529 | <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5010 IK, IO | 2.500% | 9/25/50 | 69586 | 10338 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5010 JI, IO | 2.500% | 9/25/50 | 82338 | 12639 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5018 MI, IO | 2.000% | 10/25/50 | 86887 | 11776 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5140 NI, IO | 2.500% | 5/25/49 | 91694 | 12359 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2022-DNA3 M1A (30 Day Average SOFR + 2.000%) | 5.928% | 4/25/42 | 91942 | 91482 | <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) - CAS, 2014-C01 M2<br>(1 mo. USD LIBOR + 4.400%) | 8.789% | 1/25/24 | 40426 | 41498 | <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) - CAS, 2014-C02 1M2<br>(1 mo. USD LIBOR + 2.600%) | 6.989% | 5/25/24 | 86509 | 87570 | <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) - CAS, 2015-C03 1M2<br>(1 mo. USD LIBOR + 5.000%) | 9.389% | 7/25/25 | 17333 | 17592 | <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) - CAS, 2018-C01 1B1<br>(1 mo. USD LIBOR + 3.550%) | 7.939% | 7/25/30 | 230000 | 234021 | <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) - CAS, 2018-C03 1B1<br>(1 mo. USD LIBOR + 3.750%) | 8.139% | 10/25/30 | 320000 | 323186 | <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) - CAS, 2019-R07 1M2<br>(1 mo. USD LIBOR + 2.100%) | 6.489% | 10/25/39 | 27782 | 27712 | <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) - CAS, 2022-R07 1M1<br>(30 Day Average SOFR + 2.950%) | 6.894% | 6/25/42 | 97230 | 98088 | <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) ACES, 2018-M9 APT2 | 3.103% | 4/25/28 | 82968 | 77439 | <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2020-74 EI, IO | 2.500% | 10/25/50 | 78631 | 13178 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2020-89 DI, IO | 2.500% | 12/25/50 | 234608 | 34660 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2021-1 IG, IO | 2.500% | 2/25/51 | 173384 | 29033 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2013-50 IO, IO | 0.068% | 10/16/48 | 5365886 | 9158 | <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2014-17 AM | 3.537% | 6/16/48 | 49383 | 46887 | <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2016-14 H | 2.850% | 3/16/57 | 265169 | 230571 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-103 AD | 1.450% | 1/16/63 | 59569 | 47446 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-123 NI, IO | 2.500% | 8/20/50 | 80983 | 11135 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-160 YI, IO | 2.500% | 10/20/50 | 167265 | 22700 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-181 WI, IO | 2.000% | 12/20/50 | 396508 | 43676 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-H13 FM<br>(1 mo. USD LIBOR + 0.400%) | 4.242% | 8/20/70 | 168579 | 166703 | <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2022-3 IO, IO | 0.640% | 2/16/61 | 98328 | 4993 | <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2022-63 LM | 3.500% | 10/20/50 | 100000 | 83929 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; GS Mortgage Securities Corp. II, 2018-SRP5 C (1 mo. USD LIBOR + 4.250%) | 8.568% | 9/15/31 | 364019 | 148333 | <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Impac CMB Trust, 2005-7 A1 (1 mo. USD LIBOR + 0.520%) | 4.909% | 11/25/35 | 129748 | 109034 | <sup>(d)</sup> |

---

**See Notes to Schedules of Investments.** 

Western Asset ETFs 2022 Quarterly Report 21

------

**WESTERN ASSET TOTAL RETURN ETF** 

---

| | |
|:---|:---|
|  **Schedules of investments (unaudited) (cont'd)**<br>(Percentages shown based on Fund net assets) | **December 31, 2022** |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **SECURITY** | **RATE** | **MATURITY<br>DATE** | **FACE<br>AMOUNT†** |  | **VALUE** |  |
| **Collateralized Mortgage Obligations<sup>(f)</sup> - (continued)** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; IndyMac INDX Mortgage Loan Trust, 2005-AR10 A1 (1 mo. USD LIBOR + 0.520%) | 4.909% | 6/25/35 | 170552 |  | $132029 | <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; JPMorgan Chase Commercial Mortgage Securities Trust, 2019-BKWD D (1 mo. USD LIBOR + 2.100%) | 6.418% | 9/15/29 | 400000 |  | 365201 | <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; LAQ Mortgage Trust, 2022-LAQ A (1 mo. Term SOFR + 1.724%) | 6.050% | 3/15/39 | 30548 |  | 29879 | <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; WaMu Mortgage Pass-Through Certificates Trust, 2005-AR8 2A1A (1 mo. USD LIBOR + 0.580%) | 4.969% | 7/25/45 | 46758 |  | 42572 | <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Wells Fargo Commercial Mortgage Trust, 2017-C41 B | 4.188% | 11/15/50 | 70000 |  | 60316 | <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS**<br> (Cost - $4,504,231) |  |  |  |  | 3797120 |  |
| **SOVEREIGN BONDS - 10.7%** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Argentina - 0.1%** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Argentine Republic Government International Bond, Senior Notes | 1.000% | 7/9/29 | 4443 |  | 1179 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Argentine Republic Government International Bond, Senior Notes, Step bond (0.500% to 7/9/23 then 0.750%) | 0.500% | 7/9/30 | 145500 |  | 39240 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Argentina* |  |  |  |  | *40419* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Brazil - 1.8%** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Brazil Notas do Tesouro Nacional Serie F, Notes | 10.000% | 1/1/27 | 1684000 | <sup>BRL</sup> | 293080 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Brazilian Government International Bond, Senior Notes | 5.000% | 1/27/45 | 350000 |  | 259228 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Brazil* |  |  |  |  | *552308* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Colombia - 0.7%** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Colombia Government International Bond, Senior Notes | 5.000% | 6/15/45 | 330000 |  | *224501* |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Indonesia - 2.5%** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indonesia Treasury Bond | 6.500% | 2/15/31 | 11316000000 | <sup>IDR</sup> | 705455 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indonesia Treasury Bond | 6.375% | 4/15/32 | 959000000 | <sup>IDR</sup> | 59245 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indonesia Treasury Bond | 7.500% | 6/15/35 | 330000000 | <sup>IDR</sup> | 21834 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Indonesia* |  |  |  |  | *786534* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Kenya - 0.5%** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Republic of Kenya Government International Bond, Senior Notes | 6.300% | 1/23/34 | 200000 |  | *153600* | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Mexico - 3.7%** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Mexican Bonos, Senior Notes | 7.750% | 11/13/42 | 21700000 | <sup>MXN</sup> | 971627 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Mexico Government International Bond, Senior Notes | 4.750% | 3/8/44 | 210000 |  | 169381 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Mexico* |  |  |  |  | *1141008* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Peru - 0.2%** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Peruvian Government International Bond, Senior Notes | 2.783% | 1/23/31 | 90000 |  | *74451* |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Russia - 0.4%** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Russian Federal Bond - OFZ | 6.000% | 10/6/27 | 1190000 | <sup>RUB</sup> | 4401 | \*<sup>(g)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Russian Federal Bond - OFZ | 7.650% | 4/10/30 | 34430000 | <sup>RUB</sup> | 127344 | \*<sup>(g)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Russian Federal Bond - OFZ | 7.250% | 5/10/34 | 240000 | <sup>RUB</sup> | 888 | \*<sup>(g)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Russia* |  |  |  |  | *132633* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **South Africa - 0.8%** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Republic of South Africa Government Bond, Senior Notes | 6.250% | 3/31/36 | 6310000 | <sup>ZAR</sup> | *243759* |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL SOVEREIGN BONDS**<br> (Cost - $4,425,507) |  |  |  |  | 3349213 |  |
| **ASSET-BACKED SECURITIES - 7.0%** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Allegany Park CLO Ltd., 2019-1A CR (3 mo. Term SOFR + 2.050%) | 6.013% | 1/20/35 | 250000 |  | 226605 | <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; ECMC Group Student Loan Trust, 2020-2A A (1 mo. USD LIBOR + 1.150%) | 5.539% | 11/25/69 | 137410 |  | 133085 | <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Grippen Park CLO Ltd., 2017-1A E (3 mo. USD LIBOR + 5.700%) | 9.943% | 1/20/30 | 250000 |  | 217412 | <sup>(a)(d)</sup> |

---

**See Notes to Schedules of Investments.** 

22 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Western Asset ETFs 2022 Quarterly Report

------

**WESTERN ASSET TOTAL RETURN ETF** 

---

| | |
|:---|:---|
|  **Schedules of investments (unaudited) (cont'd)**<br>(Percentages shown based on Fund net assets) | **December 31, 2022** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **SECURITY** | **RATE** | **MATURITY<br>DATE** | **FACE<br>AMOUNT†** | **VALUE** |  |
| **ASSET-BACKED SECURITIES - (continued)** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Halsey Point CLO Ltd., 2019-1A E (3 mo. USD LIBOR + 7.700%) | 11.943% | 1/20/33 | 300000 | $273926 | <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hildene Community Funding CDO Ltd., 2015-1A ARR | 2.600% | 11/1/35 | 130000 | 113360 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Loanpal Solar Loan Ltd., 2021-2GS A | 2.220% | 3/20/48 | 236651 | 173057 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; MF1 LLC, 2022-FL10 A (1 mo. Term SOFR + 2.635%) | 6.956% | 9/17/37 | 100000 | 99501 | <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Morgan Stanley ABS Capital Inc. Trust, 2004-NC7 M1 (1 mo. USD LIBOR + 0.855%) | 5.244% | 7/25/34 | 61936 | 56854 | <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Morgan Stanley ABS Capital Inc. Trust, 2004-NC8 M1 (1 mo. USD LIBOR + 0.915%) | 5.304% | 9/25/34 | 151955 | 142196 | <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; NADG NNN Operating LP, 2019-1 A | 3.368% | 12/28/49 | 147750 | 136981 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Nelnet Student Loan Trust, 2013-1A A (1 mo. USD LIBOR + 0.600%) | 4.989% | 6/25/41 | 42899 | 41794 | <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Sierra Timeshare Receivables Funding LLC, 2021-2A A | 1.350% | 9/20/38 | 113330 | 103735 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; SMB Private Education Loan Trust, 2018-C A2A | 3.630% | 11/15/35 | 58809 | 55278 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; SMB Private Education Loan Trust, 2018-C A2B (1 mo. USD LIBOR + 0.750%) | 5.068% | 11/15/35 | 123549 | 120108 | <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; SMB Private Education Loan Trust, 2019-B A2B (1 mo. USD LIBOR + 1.000%) | 5.318% | 6/15/37 | 58710 | 57308 | <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Structured Asset Investment Loan Trust, 2005-HE1 M2 (1 mo. USD LIBOR + 0.720%) | 5.109% | 7/25/35 | 214309 | 202514 | <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; United States Small Business Administration, 2019-20D 1 | 2.980% | 4/1/39 | 21292 | 19633 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL ASSET-BACKED SECURITIES**<br> (Cost - $2,381,961) |  |  |  | 2173347 |  |
| **U.S. GOVERNMENT & AGENCY OBLIGATIONS - 5.4%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **U.S. Government Obligations - 5.4%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | 4.000% | 11/15/42 | 70000 | 68534 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | 3.625% | 8/15/43 | 30000 | 27579 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | 2.875% | 5/15/52 | 20000 | 16025 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | 3.000% | 8/15/52 | 340000 | 280128 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Notes | 4.125% | 10/31/27 | 380000 | 381395 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Notes | 3.875% | 11/30/27 | 920000 | 914969 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS**<br> (Cost - $1,737,103) |  |  |  | 1688630 |  |
| **SENIOR LOANS - 3.3%** |  |  |  |  |  |
| **COMMUNICATION SERVICES - 0.5%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Media - 0.5%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Charter Communications Operating LLC, Term Loan B2 (1 mo. USD LIBOR + 1.750%) | 6.140% | 2/1/27 | 38797 | 37834 | <sup>(d)(h)(i)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Nexstar Broadcasting Inc., Term Loan B4 (1 mo. USD LIBOR + 2.500%) | 6.884% | 9/18/26 | 50325 | 49859 | <sup>(d)(h)(i)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Virgin Media Bristol LLC, Term Loan Facility N (1 mo. USD LIBOR + 2.500%) | 6.818% | 1/31/28 | 50000 | 49089 | <sup>(d)(h)(i)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Virgin Media Bristol LLC, Term Loan Facility Q (1 mo. USD LIBOR + 3.250%) | 7.568% | 1/31/29 | 20000 | 19785 | <sup>(d)(h)(i)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL COMMUNICATION SERVICES** |  |  |  | 156567 |  |
| **CONSUMER DISCRETIONARY - 0.4%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Hotels, Restaurants & Leisure - 0.2%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Caesars Resort Collection LLC, Term Loan B1 (1 mo. USD LIBOR + 3.500%) | 7.884% | 7/21/25 | 50313 | 50141 | <sup>(d)(h)(i)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hilton Worldwide Finance LLC, Refinance Term Loan B2 (1 mo. USD LIBOR + 1.750%) | 6.173% | 6/22/26 | 30000 | 29881 | <sup>(d)(h)(i)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Hotels, Restaurants & Leisure* |  |  |  | *80022* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Specialty Retail - 0.2%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Harbor Freight Tools USA Inc., 2021 Refinancing Term Loan (1 mo. USD LIBOR + 2.750%) | 7.134% | 10/19/27 | 55787 | *53036* | <sup>(d)(h)(i)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL CONSUMER DISCRETIONARY** |  |  |  | 133058 |  |

---

**See Notes to Schedules of Investments.** 

Western Asset ETFs 2022 Quarterly Report 23

------

**WESTERN ASSET TOTAL RETURN ETF** 

---

| | |
|:---|:---|
|  **Schedules of investments (unaudited) (cont'd)**<br>(Percentages shown based on Fund net assets) | **December 31, 2022** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **SECURITY** | **RATE** | **MATURITY<br>DATE** | **FACE<br>AMOUNT†** | **VALUE** |  |
| **CONSUMER STAPLES - 0.1%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Household Products - 0.1%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Energizer Holdings Inc., Term Loan (1 mo. USD LIBOR + 2.250%) | 6.625% | 12/22/27 | 17776 | $17399 | <sup>(d)(h)(i)</sup> |
| **ENERGY - 0.2%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Oil, Gas & Consumable Fuels - 0.2%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pilot Travel Centers LLC, Initial Term Loan B (1 mo. Term SOFR + 2.100%) | 6.423% | 8/4/28 | 48531 | 47912 | <sup>(d)(h)(i)</sup> |
| **FINANCIALS - 0.9%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Diversified Financial Services - 0.7%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Castlelake Aviation One Designated Activity Co., Initial Term Loan (3 mo. USD LIBOR + 2.750%) | 7.519% | 10/22/26 | 68878 | 68176 | <sup>(d)(h)(i)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Citadel Securities LP, 2021 Term Loan (1 mo. Term SOFR + 2.614%) | 6.938% | 2/2/28 | 56724 | 55547 | <sup>(d)(h)(i)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Deerfield Dakota Holding LLC, First Lien Initial Dollar Term Loan (1 mo. Term SOFR + 3.750%) | 8.073% | 4/9/27 | 57505 | 53606 | <sup>(d)(h)(i)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; UFC Holdings LLC, Term Loan B3 (3 mo. USD LIBOR + 2.750%) | 7.110% | 4/29/26 | 50121 | 49397 | <sup>(d)(h)(i)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Diversified Financial Services* |  |  |  | *226726* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Insurance - 0.0%††** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Asurion LLC, New Term Loan B10 (1 mo. Term SOFR + 4.100%) | 8.680% | 8/21/28 | 10368 | *9230* | <sup>(d)(h)(i)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Mortgage Real Estate Investment Trusts (REITs) - 0.2%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Apollo Commercial Real Estate Finance Inc., Initial Term Loan (1 mo. USD LIBOR + 2.750%) | 7.134% | 5/15/26 | 55988 | *53469* | <sup>(d)(h)(i)(j)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL FINANCIALS** |  |  |  | 289425 |  |
| **HEALTH CARE - 0.3%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Health Care Providers & Services - 0.3%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Global Medical Response Inc., 2020 Term Loan (1 mo. USD LIBOR + 4.250%) | 8.422% | 10/2/25 | 88200 | 61465 | <sup>(d)(h)(i)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Sotera Health Holdings LLC, Term Loan (3 mo. USD LIBOR + 2.750%) | 7.165% | 12/11/26 | 50000 | 46000 | <sup>(d)(h)(i)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL HEALTH CARE** |  |  |  | 107465 |  |
| **INDUSTRIALS - 0.6%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Airlines - 0.3%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Air Canada, Term Loan (3 mo. USD LIBOR + 3.500%) | 8.130% | 8/11/28 | 39800 | 39253 | <sup>(d)(h)(i)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Delta Air Lines Inc., Initial Term Loan (3 mo. USD LIBOR + 3.750%) | 7.993% | 10/20/27 | 50000 | 50900 | <sup>(d)(h)(i)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Airlines* |  |  |  | *90153* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Commercial Services & Supplies - 0.3%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ali Group North America Co., Initial Term Loan B (1 mo. Term SOFR + 2.114%) | 6.438% | 7/30/29 | 44222 | 43788 | <sup>(d)(h)(i)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Mister Car Wash Holdings Inc., First Lien Initial Term Loan (1 mo. USD LIBOR + 3.000%) | 7.423% | 5/14/26 | 51587 | 50812 | <sup>(d)(h)(i)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Commercial Services & Supplies* |  |  |  | *94600* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL INDUSTRIALS** |  |  |  | 184753 |  |
| **INFORMATION TECHNOLOGY - 0.3%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Electronic Equipment, Instruments & Components - 0.2%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; II-VI Inc., Term Loan B (1 mo. USD LIBOR + 2.750%) | 7.134% | 7/2/29 | 48982 | *48358* | <sup>(d)(h)(i)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Software - 0.1%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cloudera Inc., Term Loan (1 mo. USD LIBOR + 3.750%) | 8.134% | 10/8/28 | 39699 | *37243* | <sup>(d)(h)(i)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL INFORMATION TECHNOLOGY** |  |  |  | 85601 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL SENIOR LOANS**<br> (Cost - $1,066,690) |  |  |  | 1022180 |  |

---

**See Notes to Schedules of Investments.** 

24 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Western Asset ETFs 2022 Quarterly Report

------

**WESTERN ASSET TOTAL RETURN ETF** 

---

| | |
|:---|:---|
|  **Schedules of investments (unaudited) (cont'd)**<br>(Percentages shown based on Fund net assets) | **December 31, 2022** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **SECURITY** | | **EXPIRATION<br>DATE** | **CONTRACTS** | **NOTIONAL<br>AMOUNT†** | **VALUE** |
| **PURCHASED OPTIONS - 0.1%** |  |  |  |  |  |
| **EXCHANGE-TRADED PURCHASED OPTIONS - 0.1%** | **EXCHANGE-TRADED PURCHASED OPTIONS - 0.1%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3-Month SOFR Futures, Call @ $95.25 |  | 6/16/23 | 40 | 100000 | $15000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3-Month SOFR Futures, Call @ $95.50 |  | 6/16/23 | 22 | 55000 | 4813 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; SOFR 1-Year Mid-Curve Futures, Put @ $95.63 |  | 1/13/23 | 12 | 30000 | 1575 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; SOFR 1-Year Mid-Curve Futures, Put @ $95.88 |  | 1/13/23 | 12 | 30000 | 4350 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury 10-Year Notes Futures, Call @ $114.00 |  | 1/27/23 | 32 | 32000 | 10000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury 10-Year Notes Futures, Put @ $109.00 |  | 1/27/23 | 2 | 2000 | 219 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL EXCHANGE-TRADED PURCHASED OPTIONS**<br> (Cost - $58,433) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL EXCHANGE-TRADED PURCHASED OPTIONS**<br> (Cost - $58,433) |  |  |  | 35957 |
|  | **COUNTERPARTY** |  |  |  |  |
| **OTC PURCHASED OPTIONS - 0.0%††** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit default swaption to sell protection on Markit CDX.NA.HY.39 Index, Call @ 101.00<sup>bps</sup><br>(Cost - $2,730) | JPMorgan Chase &<br>Co. | 1/18/23 | 300000 | 300000 | 1580 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL PURCHASED OPTIONS**<br> (Cost - $61,163) |  |  |  |  | 37537 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS**<br> (Cost - $35,266,958) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS**<br> (Cost - $35,266,958) |  |  |  | 31106088 |
|  |  | **RATE** | **MATURITY**<br>**DATE** | **FACE<br>AMOUNT†** |  |
| **SHORT-TERM INVESTMENTS - 8.3%** |  |  |  |  |  |
| **U.S. TREASURY BILLS - 5.9%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Bills |  | 0.000% | 1/3/23 | 120000 | 120000 <sup>(k)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Bills |  | 3.682% | 1/31/23 | 120000 | 119632 <sup>(k)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Bills |  | 4.063% | 2/21/23 | 400000 | 397737 <sup>(k)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Bills |  | 4.230% | 3/21/23 | 400000 | 396384 <sup>(k)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Bills |  | 4.226% | 3/28/23 | 280000 | 277251 <sup>(k)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Bills |  | 4.623% | 5/25/23 | 540000 | 530391 <sup>(k)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL U.S. TREASURY BILLS**<br> (Cost - $1,840,699) |  |  |  |  | 1841395 |
| **COMMERCIAL PAPER - 0.3%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Bank (FHLB)<br> (Cost - $99,888) |  | 3.688% | 1/12/23 | 100000 | 99881 <sup>(k)</sup> |
|  |  |  |  | **SHARES** |  |
| **OVERNIGHT DEPOSITS - 2.1%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; BNY Mellon Cash Reserve Fund<br> (Cost - $631,706) |  | 2.000% |  | 631706 | 631706 <sup>(l)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL SHORT-TERM INVESTMENTS**<br>(Cost - $2,572,293) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL SHORT-TERM INVESTMENTS**<br>(Cost - $2,572,293) |  |  |  | 2572982 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL INVESTMENTS - 108.1%**<br> (Cost - $37,839,251) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL INVESTMENTS - 108.1%**<br> (Cost - $37,839,251) |  |  |  | 33679070 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Liabilities in Excess of Other Assets - (8.1)% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Liabilities in Excess of Other Assets - (8.1)% |  |  |  | (2515322) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL NET ASSETS - 100.0%** |  |  |  |  | $31163748 |

---

**See Notes to Schedules of Investments.** 

Western Asset ETFs 2022 Quarterly Report 25

------

**WESTERN ASSET TOTAL RETURN ETF** 

---

| | |
|:---|:---|
| **Schedules of investments (unaudited) (cont'd)**<br>| **December 31, 2022** |

---

† Face amount/notional amount denominated in U.S. dollars, unless otherwise noted.

---

| | |
|:---|:---|
| †† | Represents less than 0.1%.  |

---

\* Non-income producing security.

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

(b) Security is exempt from registration under Regulation S of the Securities Act of 1933. Regulation S applies to
securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees.

(c) Security has no maturity date. The date shown represents the next call date.

(d) Variable rate security. Interest rate disclosed is as of the most recent information available. Certain
variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description
above.

(e) This security is traded on a to-be-announced ("TBA") basis. At December 31, 2022, the Fund held TBA securities with a total cost of $3,907,979.

(f) Collateralized mortgage obligations are secured by an underlying pool of mortgages or mortgage pass-through
certificates that are structured to direct payments on underlying collateral to different series or classes of the obligations. The interest rate may change positively or inversely in relation to one or more interest rates, financial indices or
other financial indicators and may be subject to an upper and/or lower limit.

(g) The coupon payment on this security is currently in default as of December 31, 2022.

(h) Interest rates disclosed represent the effective rates on senior loans. Ranges in interest rates are
attributable to multiple contracts under the same loan.

(i) Senior loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive
approval from the agent bank and/or borrower prior to the disposition of a senior loan.

(j) Security is valued using significant unobservable inputs (Note 1).

(k) Rate shown represents yield-to-maturity.

(l) Rate shown is one-day yield as of the end of the reporting period.

<u>Abbreviation(s) used in this schedule:</u> 

---

| | |
|:---|:---|
| ACES | — Alternative Credit Enhancement Securities |
| bps | — basis point spread (100 basis points = 1.00%) |
| BRL | — Brazilian Real |
| CAS | — Connecticut Avenue Securities |
| CDO | — Collateralized Debt Obligation |
| CLO | — Collateralized Loan Obligation |
| ICE | — Intercontinental Exchange |
| IDR | — Indonesian Rupiah |
| IO | — Interest Only |
| LIBOR | — London Interbank Offered Rate |
| MXN | — Mexican Peso |
| OFZ | — Obligatsyi Federal'novo Zaima (Russian Federal Loan Obligation) |
| REMIC | — Real Estate Mortgage Investment Conduit |
| RUB | — Russian Ruble |
| SOFR | — Secured Overnight Financing Rate |
| USD | — United States Dollar |
| ZAR | — South African Rand |

---

At December 31, 2022, the Fund had the following written options contracts:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **EXCHANGE-TRADED WRITTEN OPTIONS**<br>**SECURITY** | <br>**EXPIRATION<br>DATE** | <br>**STRIKE<br>PRICE** | <br>**CONTRACTS** | <br>**NOTIONAL<br>AMOUNT** | <br>**VALUE** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3-Month SOFR Futures, Call | 12/15/23 | $96.50 | 52 | $130000 | $(25350) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3-Month SOFR Futures, Call | 12/15/23 | 96.63 | 43 | 107500 | (18544) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3-Month SOFR Futures, Call | 9/15/23 | 98.25 | 71 | 177500 | (3106) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3-Month SOFR Futures, Call | 9/15/23 | 98.75 | 215 | 537500 | (6719) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3-Month SOFR Futures, Call | 6/16/23 | 96.00 | 22 | 55000 | (2200) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; SOFR 1-Year Mid-Curve Futures, Call | 6/16/23 | 96.87 | 40 | 100000 | (18750) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury 5-Year Notes Futures, Call | 1/27/23 | 109.50 | 36 | 36000 | (4781) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury 10-Year Notes Futures, Call | 2/24/23 | 115.50 | 32 | 32000 | (10000) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury 10-Year Notes Futures, Call | 2/24/23 | 116.00 | 10 | 10000 | (2500) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury 10-Year Notes Futures, Put | 2/24/23 | 112.00 | 10 | 10000 | (12032) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL EXCHANGE-TRADED WRITTEN OPTIONS**<br> (Premiums received — $276,636) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL EXCHANGE-TRADED WRITTEN OPTIONS**<br> (Premiums received — $276,636) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL EXCHANGE-TRADED WRITTEN OPTIONS**<br> (Premiums received — $276,636) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL EXCHANGE-TRADED WRITTEN OPTIONS**<br> (Premiums received — $276,636) |  | $(103982) |

---

**See Notes to Schedules of Investments.** 

26 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Western Asset ETFs 2022 Quarterly Report

------

**WESTERN ASSET TOTAL RETURN ETF** 

---

| | |
|:---|:---|
| **Schedules of investments (unaudited) (cont'd)**<br>| **December 31, 2022** |

---

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **OTC WRITTEN OPTIONS**<br>**SECURITY** | <br>**COUNTERPARTY** | <br>**EXPIRATION<br>DATE** | <br>**STRIKE<br>PRICE** |  | <br>**CONTRACTS** | <br>**NOTIONAL<br>AMOUNT** | <br>**VALUE** |
| Credit default swaption to buy protection on Markit CDX.NA.HY.39 Index, Call | JPMorgan Chase & Co. | 1/18/23 | 103.00 | <sup>bps</sup> | 450000 | $450000‡ | $(331) |
| Credit default swaption to sell protection on Markit CDX.NA.HY.39 Index, Put | JPMorgan Chase & Co. | 1/18/23 | 95.00 | <sup>bps</sup> | 300000 | 300000‡ | (274) |
| **Total OTC Written Options (Premiums received - $2,850)** | **Total OTC Written Options (Premiums received - $2,850)** |  |  |  |  |  | $(605) |
| **Total Written Options (Premiums received - $279,486)** | **Total Written Options (Premiums received - $279,486)** |  |  |  |  |  | $(104587) |

---

‡ In the event an option is exercised and a credit event occurs as defined under the terms of the swap agreement,
the notional amount is the maximum potential amount that could be required to be paid as a seller of credit protection or received as a buyer of credit protection.

<u>Abbreviation(s) used in this schedule:</u> 

---

| | |
|:---|:---|
| bps | — basis point spread (100 basis points = 1.00%) |
| SOFR | — Secured Overnight Financing Rate |

---

At December 31, 2022, the Fund had the following open futures contracts:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Number of<br>Contracts** | **Expiration<br>Date** | **Notional<br>Amount** | **Market**<br>**Value** | **Unrealized<br>Appreciation<br>(Depreciation)** |
| **Contracts to Buy:** |  |  |  |  |  |
|  3-Month SOFR | 2 | 9/23 | $482804 | $475200 | $(7604) |
|  3-Month SOFR | 18 | 12/23 | 4332188 | 4283325 | (48863) |
|  3-Month SOFR | 15 | 3/25 | 3618144 | 3624750 | 6606 |
|  3-Month SOFR | 3 | 3/26 | 722894 | 726150 | 3256 |
|  90-Day Eurodollar | 5 | 3/23 | 1188405 | 1186562 | (1843) |
|  Australian 10-Year Bonds | 5 | 3/23 | 414454 | 392247 | (22207) |
|  Euro-Bobl | 2 | 3/23 | 256095 | 247069 | (9026) |
|  Euro-Bund | 1 | 3/23 | 146340 | 141869 | (4471) |
|  Euro-OAT | 2 | 3/23 | 287165 | 266361 | (20804) |
|  U.S. Treasury 5-Year Notes | 140 | 3/23 | 15186910 | 15110156 | (76754) |
|  U.S. Treasury Long-Term Bonds | 41 | 3/23 | 5200743 | 5139094 | (61649) |
|  U.S. Treasury Ultra Long-Term Bonds | 19 | 3/23 | 2571290 | 2551938 | (19352) |
|  |  |  |  |  | (262711) |
| **Contracts to Sell:** |  |  |  |  |  |
|  3-Month SOFR | 16 | 3/24 | 3829791 | 3818800 | 10991 |
|  U.S. Treasury 2-Year Notes | 111 | 3/23 | 22743535 | 22763672 | (20137) |
|  U.S. Treasury 10-Year Notes | 58 | 3/23 | 6529912 | 6513219 | 16693 |
|  U.S. Treasury Ultra 10-Year Notes | 4 | 3/23 | 473994 | 473125 | 869 |
|  |  |  |  |  | 8416 |
| **Net unrealized depreciation on open futures contracts** |  |  |  |  | $(254295) |

---

<u>Abbreviation(s) used in this table:</u> 

---

| | |
|:---|:---|
| Bobl | — Bundesobligation |
| OAT | — Obligations Assimilables du Trésor (French Treasury Bonds) |
| SOFR | — Secured Overnight Financing Rate |

---

**See Notes to Schedules of Investments.** 

Western Asset ETFs 2022 Quarterly Report 27

------

**WESTERN ASSET TOTAL RETURN ETF** 

---

| | |
|:---|:---|
| **Schedules of investments (unaudited) (cont'd)**<br>| **December 31, 2022** |

---

At December 31, 2022, the Fund had the following open forward foreign currency contracts:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Currency**<br>**Purchased** | **Currency**<br>**Purchased** | **Currency**<br>**Sold** | **Currency**<br>**Sold** | **Counterparty** | **Settlement<br>Date** | **Unrealized<br>Appreciation<br>(Depreciation)** |
| MXN | 2156569 | USD | 107204 | Bank of America N.A. | 1/18/23 | $3057 |
| USD | 1304129 | MXN | 26570313 | Bank of America N.A. | 1/18/23 | (54357) |
| GBP | 130000 | USD | 146665 | Goldman Sachs Group Inc. | 1/18/23 | 9795 |
| USD | 29854 | GBP | 25941 | Goldman Sachs Group Inc. | 1/18/23 | (1367) |
| USD | 3961 | JPY | 522000 | Goldman Sachs Group Inc. | 1/18/23 | (6) |
| USD | 58740 | JPY | 8396590 | Goldman Sachs Group Inc. | 1/18/23 | (5057) |
| EUR | 319262 | USD | 312592 | JPMorgan Chase & Co. | 1/18/23 | 28587 |
| EUR | 776528 | USD | 805971 | JPMorgan Chase & Co. | 1/18/23 | 23867 |
| IDR | 500245590 | USD | 31735 | JPMorgan Chase & Co. | 1/18/23 | 392 |
| IDR | 749200960 | USD | 47717 | JPMorgan Chase & Co. | 1/18/23 | 399 |
| JPY | 86328054 | USD | 602923 | JPMorgan Chase & Co. | 1/18/23 | 52997 |
| MXN | 6213250 | USD | 315554 | JPMorgan Chase & Co. | 1/18/23 | 2117 |
| NZD | 197521 | USD | 112180 | JPMorgan Chase & Co. | 1/18/23 | 12778 |
| USD | 140013 | CNH | 994991 | JPMorgan Chase & Co. | 1/18/23 | (4009) |
| USD | 231524 | IDR | 3538615057 | JPMorgan Chase & Co. | 1/18/23 | 4264 |
| USD | 391455 | IDR | 5971650000 | JPMorgan Chase & Co. | 1/18/23 | 7938 |
| USD | 21529 | JPY | 3033260 | JPMorgan Chase & Co. | 1/18/23 | (1517) |
| USD | 312592 | NOK | 3345671 | JPMorgan Chase & Co. | 1/18/23 | (27301) |
| AUD | 471711 | USD | 304725 | Morgan Stanley & Co. Inc. | 1/18/23 | 15420 |
| CAD | 737797 | USD | 540285 | Morgan Stanley & Co. Inc. | 1/18/23 | 4283 |
| COP | 508148260 | USD | 111421 | Morgan Stanley & Co. Inc. | 1/18/23 | (6986) |
| EUR | 27500 | USD | 28985 | Morgan Stanley & Co. Inc. | 1/18/23 | 403 |
| EUR | 255542 | USD | 256753 | Morgan Stanley & Co. Inc. | 1/18/23 | 16332 |
| INR | 16088345 | USD | 195052 | Morgan Stanley & Co. Inc. | 1/18/23 | (791) |
| MXN | 1610232 | USD | 80964 | Morgan Stanley & Co. Inc. | 1/18/23 | 1364 |
| NOK | 5480555 | USD | 512264 | Morgan Stanley & Co. Inc. | 1/18/23 | 44516 |
| USD | 21094 | AUD | 31931 | Morgan Stanley & Co. Inc. | 1/18/23 | (578) |
| USD | 33592 | AUD | 52578 | Morgan Stanley & Co. Inc. | 1/18/23 | (2092) |
| USD | 18684 | CAD | 25188 | Morgan Stanley & Co. Inc. | 1/18/23 | 93 |
| USD | 27564 | CAD | 37602 | Morgan Stanley & Co. Inc. | 1/18/23 | (191) |
| USD | 50796 | CAD | 69620 | Morgan Stanley & Co. Inc. | 1/18/23 | (590) |
| USD | 74065 | CAD | 102000 | Morgan Stanley & Co. Inc. | 1/18/23 | (1221) |
| USD | 122930 | CAD | 168760 | Morgan Stanley & Co. Inc. | 1/18/23 | (1632) |
| USD | 129472 | CNH | 930000 | Morgan Stanley & Co. Inc. | 1/18/23 | (5142) |
| USD | 68687 | EUR | 69075 | Morgan Stanley & Co. Inc. | 1/18/23 | (5130) |
| USD | 475056 | EUR | 461635 | Morgan Stanley & Co. Inc. | 1/18/23 | (18271) |
| USD | 175572 | GBP | 145830 | Morgan Stanley & Co. Inc. | 1/18/23 | 61 |
| USD | 40148 | JPY | 5913688 | Morgan Stanley & Co. Inc. | 1/18/23 | (4784) |
| USD | 279151 | JPY | 36996750 | Morgan Stanley & Co. Inc. | 1/18/23 | (1950) |
|  Total | Total | Total | Total | Total | Total | $85691 |

---

<u>Abbreviation(s) used in this table:</u> 

---

| | |
|:---|:---|
| AUD | — Australian Dollar |
| CAD | — Canadian Dollar |
| CNH | — Chinese Offshore Yuan |
| COP | — Colombian Peso |
| EUR | — Euro |
| GBP | — British Pound |
| IDR | — Indonesian Rupiah |
| INR | — Indian Rupee |
| JPY | — Japanese Yen |
| MXN | — Mexican Peso |
| NOK | — Norwegian Krone |
| NZD | — New Zealand Dollar |
| USD | — United States Dollar |

---

**See Notes to Schedules of Investments.** 

28 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Western Asset ETFs 2022 Quarterly Report

------

**WESTERN ASSET TOTAL RETURN ETF** 

---

| | |
|:---|:---|
| **Schedules of investments (unaudited) (cont'd)**<br>| **December 31, 2022** |

---

At December 31, 2022, the Fund had the following open swap contracts:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **CENTRALLY CLEARED INTEREST RATE SWAPS** | **CENTRALLY CLEARED INTEREST RATE SWAPS** | **CENTRALLY CLEARED INTEREST RATE SWAPS** | **CENTRALLY CLEARED INTEREST RATE SWAPS** | **CENTRALLY CLEARED INTEREST RATE SWAPS** | **CENTRALLY CLEARED INTEREST RATE SWAPS** | **CENTRALLY CLEARED INTEREST RATE SWAPS** |
|  | **NOTIONAL<br>AMOUNT** | **TERMINATION<br>DATE** | **PAYMENTS**<br>**MADE BY**<br>**THE FUND†** | **PAYMENTS<br>RECEIVED BY**<br>**THE FUND†** | **UPFRONT<br>PREMIUMS PAID<br>(RECEIVED)** | **UNREALIZED<br>APPRECIATION<br>(DEPRECIATION)** |
|  | $16958000 | 7/11/24 | Daily SOFR annually | 1.323% annually | $(610665) | $(226863) |
|  | 10919000 | 8/10/25 | Daily SOFR annually | 2.725% annually | (69108) | (180017) |
|  | 8311000 | 3/16/27 | Daily SOFR annually | 3.550% annually | (93049) | 11398 |
|  | 2991000 | 4/30/29 | 3.270% annually | Daily SOFR annually | (3805) | 62339 |
|  | 583000 | 3/18/32 | 2.000% annually | Daily SOFR annually | 4351 | 65073 |
|  | 2370000 | 5/15/32 | 3.220% annually | Daily SOFR annually | (9264) | 73277 |
|  | 1530000 | 7/11/32 | 1.800% annually | Daily SOFR annually |  | 215972 |
|  | 2424000 | 8/10/33 | 2.480% annually | Daily SOFR annually | 41542 | 143864 |
|  | 653000 | 2/15/48 | 2.600% annually | Daily SOFR annually | 44369 | 34752 |
|  | 139000 | 2/15/48 | 3.050% annually | Daily SOFR annually | 4241 | 2140 |
|  | 780000 | 7/11/52 | 1.780% annually | Daily SOFR annually |  | 208649 |
|  Total | $47658000 |  |  |  | $(691388) | $410584 |

---

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **OTC CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION<sup>1</sup>**  | **OTC CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION<sup>1</sup>**  | **OTC CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION<sup>1</sup>**  | **OTC CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION<sup>1</sup>**  | **OTC CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION<sup>1</sup>**  | **OTC CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION<sup>1</sup>**  | **OTC CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION<sup>1</sup>**  | **OTC CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION<sup>1</sup>**  | **OTC CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION<sup>1</sup>**  |
| **SWAP COUNTERPARTY**<br> **(REFERENCE ENTITY)** | **NOTIONAL<br>AMOUNT<sup>2</sup>** |  | **TERMINATION<br>DATE** | **IMPLIED<br>CREDIT<br>SPREAD AT<br>DECEMBER 31,<br>2022<sup>3</sup>** | **PERIODIC<br>PAYMENTS<br>RECEIVED BY<br>THE FUND†** | **MARKET<br>VALUE** | **UPFRONT<br>PREMIUMS PAID<br>(RECEIVED)** | **UNREALIZED<br>DEPRECIATION** |
| BNP Paribas SA (Volkswagen International Finance NV, 0.875%, due 1/16/23) | 530000 | <sup>EUR</sup> | 12/20/24 | 0.929% | 1.000% quarterly | $763 | $6734 | $(5971) |

---

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **OTC CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION<sup>4</sup>**  | **OTC CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION<sup>4</sup>**  | **OTC CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION<sup>4</sup>**  | **OTC CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION<sup>4</sup>**  | **OTC CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION<sup>4</sup>**  | **OTC CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION<sup>4</sup>**  | **OTC CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION<sup>4</sup>**  | **OTC CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION<sup>4</sup>**  | **OTC CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION<sup>4</sup>**  |
| **SWAP COUNTERPARTY**<br> **(REFERENCE ENTITY)** | **NOTIONAL<br>AMOUNT<sup>2</sup>** |  | **TERMINATION<br>DATE** | **IMPLIED<br>CREDIT<br>SPREAD AT<br>DECEMBER 31,<br>2022<sup>3</sup>** | **PERIODIC<br>PAYMENTS<br>MADE BY THE<br>FUND†** | **MARKET<br>VALUE** | **UPFRONT<br>PREMIUMS PAID<br>(RECEIVED)** | **UNREALIZED<br>DEPRECIATION** |
| BNP Paribas SA (Daimler AG, 1.400%, due 1/12/24) | 530000 | <sup>EUR</sup> | 12/20/24 | 0.489% | 1.000% quarterly | $(5554) | $(5082) | $(472) |

---

**See Notes to Schedules of Investments.** 

Western Asset ETFs 2022 Quarterly Report 29

------

**WESTERN ASSET TOTAL RETURN ETF** 

---

| | |
|:---|:---|
| **Schedules of investments (unaudited) (cont'd)**<br>| **December 31, 2022** |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION<sup>1</sup>**  | **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION<sup>1</sup>**  | **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION<sup>1</sup>**  | **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION<sup>1</sup>**  | **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION<sup>1</sup>**  | **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION<sup>1</sup>**  | **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION<sup>1</sup>**  |
| **REFERENCE ENTITY** | **NOTIONAL<br>AMOUNT<sup>2</sup>** | **TERMINATION<br>DATE** | **PERIODIC<br>PAYMENTS<br>RECEIVED BY<br>THE FUND†** | **MARKET<br>VALUE<sup>5</sup>** | **UPFRONT<br>PREMIUMS PAID<br>(RECEIVED)** | **UNREALIZED<br>APPRECIATION** |
| MARKIT CDX.NA.IG.39 Index | $6140000 | 12/20/27 | 1.000% quarterly | $48936 | $(15415) | $64351 |
| MARKIT CDX.NA.IG.39 Index | 1498000 | 12/20/32 | 1.000% quarterly | (20544) | (24275) | 3731 |
| Total | $7638000 |  |  | $28392 | $(39690) | $68082 |
| **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION<sup>4</sup>**  | **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION<sup>4</sup>**  | **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION<sup>4</sup>**  | **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION<sup>4</sup>**  | **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION<sup>4</sup>**  | **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION<sup>4</sup>**  | **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION<sup>4</sup>**  |
| **REFERENCE ENTITY** | **NOTIONAL<br>AMOUNT<sup>2</sup>** | **TERMINATION<br>DATE** | **PERIODIC<br>PAYMENTS<br>MADE BY THE<br>FUND†** | **MARKET<br>VALUE<sup>5</sup>** | **UPFRONT<br>PREMIUMS PAID<br>(RECEIVED)** | **UNREALIZED<br>DEPRECIATION** |
| MARKIT CDX.NA.HY.39 Index | $832000 | 12/20/27 | 5.000% quarterly | $(4845) | $33195 | $(38040) |

---

<sup>1</sup> If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. 

<sup>2</sup> The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. 

<sup>3</sup> Implied credit spreads, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end, serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as "Defaulted" indicates a credit event has occurred for the referenced entity or obligation. 

<sup>4</sup> If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or the underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or the underlying securities comprising the referenced index. 

<sup>5</sup> The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected loss (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period end. Decreasing market values (sell protection) or increasing market values (buy protection) when compared to the notional amount of the swap, represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. 

† Percentage shown is an annual percentage rate.

<u>Abbreviation(s) used in this table:</u> 

EUR — Euro <br> SOFR — Secured Overnight Financing Rate

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

**See Notes to Schedules of Investments.** 

30 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Western Asset ETFs 2022 Quarterly Report

------

**Notes to Schedules of Investments (unaudited)** 

**1. Organization and significant accounting policies** 

Western Asset Short Duration Income ETF ("Short Duration Income ETF") and Western Asset Total Return ETF ("Total Return ETF") (the "Funds") are separate diversified investment series of Legg Mason ETF Investment Trust (the "Trust"). The Trust, a Maryland statutory trust, is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company.

The Funds are actively managed exchange-traded funds ("ETFs"). ETFs are funds that trade like other publicly-traded securities. Unlike shares of a mutual fund, which can be bought from and redeemed by the issuing fund by all shareholders at a price based on net asset value ("NAV"), shares of the Funds may be directly purchased from and redeemed by the Funds at NAV solely by certain large institutional investors who have entered into agreements with the Funds' distributor ("Authorized Participants"). Also unlike shares of a mutual fund, shares of the Funds are listed on a national securities exchange and trade in the secondary market at market prices that change throughout the day.

Shares of the Funds are listed and traded at market prices on NASDAQ. The market price for a Fund's shares may be different from a Fund's NAV. The Funds issue and redeem shares at NAV only in blocks of a specified number of shares or multiples thereof ("Creation Units"). Only Authorized Participants may purchase or redeem Creation Units directly with the Funds at NAV. Creation Units generally are issued and redeemed in cash. However, Creation Units may also be issued and redeemed partially in-kind for a basket of securities and partially in cash. Except when aggregated in Creation Units, shares of the Funds are not redeemable securities. Shareholders who are not Authorized Participants may not redeem shares directly from the Funds at NAV.

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

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

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

The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making fair value determinations. Examples of possible methodologies include, but are not limited to, multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or a multiple thereof; risk premium/yield analysis; yield to maturity; and/or fundamental investment analysis. The Valuation Committee will also consider factors it

<br>31<br>

------

**Notes to Schedules of Investments (unaudited) (cont'd)** 

deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to, the type of security; the issuer's financial statements; the purchase price of the security; the discount from market value of unrestricted securities of the same class at the time of purchase; analysts' research and observations from financial institutions; information regarding any transactions or offers with respect to the security; the existence of merger proposals or tender offers affecting the security; the price and extent of public trading in similar securities of the issuer or comparable companies; and the existence of a shelf registration for restricted securities.

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

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

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

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

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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 3 — significant unobservable inputs (including the Funds' own assumptions in determining the
fair value of investments)

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

The following is a summary of the inputs used in valuing the Funds' assets and liabilities carried at fair value:

**Short Duration Income ETF** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **ASSETS** | **ASSETS** | **ASSETS** | **ASSETS** | **ASSETS** |
| **DESCRIPTION** | **QUOTED PRICES**<br>**(LEVEL 1)** | **OTHER SIGNIFICANT**<br>**OBSERVABLE INPUTS<br>(LEVEL 2)** | **SIGNIFICANT**<br>**UNOBSERVABLE**<br>**INPUTS**<br>**(LEVEL 3)** | **TOTAL** |
|  Long-Term Investments†: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Corporate Bonds & Notes |  | $20058473 |  | $20058473 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Asset-Backed Securities |  | 836448 |  | 836448 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Government & Agency Obligations |  | 372268 |  | 372268 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Sovereign Bonds |  | 37876 |  | 37876 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Municipal Bonds |  | 27947 |  | 27947 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Senior Loans |  | 10180 |  | 10180 |
|  Total Long-Term Investments |  | 21343192 |  | 21343192 |
|  Short-Term Investments† |  | 1699435 |  | 1699435 |
|  Total Investments |  | $23042627 |  | $23042627 |
|  Other Financial Instruments: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts†† | $61655 |  |  | $61655 |
|  Total | $61655 | $23042627 |  | $23104282 |

---

<br>32<br>

------

**Notes to Schedules of Investments (unaudited) (cont'd)** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **LIABILITIES** | **LIABILITIES** | **LIABILITIES** | **LIABILITIES** | **LIABILITIES** |
| **DESCRIPTION** | **QUOTED PRICES<br>(LEVEL 1)** | **OTHER SIGNIFICANT<br>OBSERVABLE INPUTS<br>(LEVEL 2)** | **SIGNIFICANT<br>UNOBSERVABLE<br>INPUTS<br>(LEVEL 3)** | **TOTAL** |
|  Other Financial Instruments: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts†† | $32488 |  |  | $32488 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Centrally Cleared Credit Default Swaps on Credit Indices - Buy Protection†† |  | $18024 |  | 18024 |
|  Total | $32488 | $18024 |  | $50512 |

---

† See Schedule of Investments for additional detailed categorizations.

†† Reflects the unrealized appreciation (depreciation) of the instruments.

**Total Return ETF** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **ASSETS** | **ASSETS** | **ASSETS** | **ASSETS** | **ASSETS** |
| **DESCRIPTION** | **QUOTED PRICES**<br>**(LEVEL 1)** | **OTHER SIGNIFICANT**<br>**OBSERVABLE INPUTS<br>(LEVEL 2)** | **SIGNIFICANT**<br>**UNOBSERVABLE**<br>**INPUTS**<br>**(LEVEL 3)** | **TOTAL** |
|  Long-Term Investments†: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Corporate Bonds & Notes |  | $11353521 |  | $11353521 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Mortgage-Backed Securities |  | 7684540 |  | 7684540 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Collateralized Mortgage Obligations |  | 3797120 |  | 3797120 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Sovereign Bonds |  | 3349213 |  | 3349213 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Asset-Backed Securities |  | 2173347 |  | 2173347 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Government & Agency Obligations |  | 1688630 |  | 1688630 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Senior Loans: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Financials |  | 235956 | $53469 | 289425 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Other Senior Loans |  | 732755 |  | 732755 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Purchased Options: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Exchange-Traded Purchased Options | $35957 |  |  | 35957 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; OTC Purchased Options |  | 1580 |  | 1580 |
|  Total Long-Term Investments | 35957 | 31016662 | 53469 | 31106088 |
|  Short-Term Investments†: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Bills |  | 1841395 |  | 1841395 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Commercial Paper |  | 99881 |  | 99881 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Overnight Deposits |  | 631706 |  | 631706 |
|  Total Short-Term Investments |  | 2572982 |  | 2572982 |
|  Total Investments | $35957 | $33589644 | $53469 | $33679070 |
|  Other Financial Instruments: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts†† | $38415 |  |  | $38415 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward Foreign Currency Contracts†† |  | $228663 |  | 228663 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Centrally Cleared Interest Rate Swaps†† |  | 817464 |  | 817464 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; OTC Credit Default Swaps on Corporate Issues - Sell Protection‡ |  | 763 |  | 763 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Centrally Cleared Credit Default Swaps on Credit Indices - Sell Protection†† |  | 68082 |  | 68082 |
|  Total Other Financial Instruments | $38415 | $1114972 |  | $1153387 |
|  Total | $74372 | $34704616 | $53469 | $34832457 |

---

<br>33<br>

------

**Notes to Schedules of Investments (unaudited) (cont'd)** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **LIABILITIES** | **LIABILITIES** | **LIABILITIES** | **LIABILITIES** | **LIABILITIES** |
| **DESCRIPTION** | **QUOTED PRICES<br>(LEVEL 1)** | **OTHER SIGNIFICANT<br>OBSERVABLE INPUTS<br>(LEVEL 2)** | **SIGNIFICANT<br>UNOBSERVABLE<br>INPUTS**<br>**(LEVEL 3)** | **TOTAL** |
|  Other Financial Instruments: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Written Options: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Exchange-Traded Written Options | $103982 |  |  | $103982 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; OTC Written Options |  | $605 |  | 605 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts†† | 292710 |  |  | 292710 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward Foreign Currency Contracts†† |  | 142972 |  | 142972 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Centrally Cleared Interest Rate Swaps†† |  | 406880 |  | 406880 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; OTC Credit Default Swaps on Corporate Issues - Buy Protection‡ |  | 5554 |  | 5554 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Centrally Cleared Credit Default Swaps on Credit Indices - Buy Protection†† |  | 38040 |  | 38040 |
|  Total | $396692 | $594051 |  | $990743 |

---

† See Schedule of Investments for additional detailed categorizations.

†† Reflects the unrealized appreciation (depreciation) of the instruments.

‡ Value includes any premium paid or received with respect to swap contracts.

<br>34<br>

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Legg Mason ETF Investment Trust

- **b. Investment Company Act file number:** 811-23096

- **c. CIK number of Registrant:** 0001645194

- **d. LEI of Registrant:** 549300D7ZZ1A7JJ9G964

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

  - **Street Address 1:** 620 Eighth Avenue

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10018

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

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

- **a. Name of Series:** Western Asset Total Return ETF

- **b. EDGAR series identifier (if any):** S000059365

- **c. LEI of Series:** 549300IW55ZZ0YDJ0R05

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

- **a. Date of fiscal year-end:** 2023-03-31

- **b. Date as of which information is reported:** 2022-12-30

**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:** $41719475.41

**Total Liabilities:** $10556401.03

**Net Assets:** $31163074.38

**Delayed Delivery Securities:** $70996.76

**Stand-by Commitments:** $5885533.23

**Cash Not Reported:** $1274541.80

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -56.45000000 | **1-Year:** 6205.47000000 | **5-Year:** 9864.82000000 | **10-Year:** 596.35000000 | **30-Year:** -1125.82000000

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

- **3-Month:** 7.90000000 | **1-Year:** 269.76000000 | **5-Year:** 653.26000000 | **10-Year:** 440.89000000 | **30-Year:** 15.50000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000194756 | -1.48%               | 5.59%                | -0.54%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-929566.73              | $611554.68                                 |
| Month 2  | $-580746.31              | $2067024.82                                |
| Month 3  | $1324.45                 | $-218163.10                                |

**Designated Index Information**

- **Index Name:** Bloomberg US Aggregate

- **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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| H&E EQUIPMENT SERVICES                      | H&E Equipment Services Inc                                                      | CUSIP: 404030AJ7<br>LEI: 254900KVLRCDMQRYY541 | Long             | DBT              | CORP              | US        |       10000 | PA      | $8517.90      | 0.03%             | 2028-12-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                  | Morgan Stanley ABS Capital I Inc Trust 2004-NC8                                 | CUSIP: 61744CHP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      151955 | PA      | $142196.16    | 0.46%             | 2034-09-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                            | T-Mobile USA Inc                                                                | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |       30000 | PA      | $27174.44     | 0.09%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F030629<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      100000 | PA      | $87799.43     | 0.28%             | 2053-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                             | Sands China Ltd                                                                 | CUSIP: 80007RAF2<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |      200000 | PA      | $191206.42    | 0.61%             | 2025-08-08      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F040610<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      200000 | PA      | $187531.99    | 0.60%             | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| APOLLO CMMRL REAL EST FIN IN                | Apollo Commercial Real Estate Finance Inc                                       | CUSIP: 03768DAB3<br>LEI: 549300E0AN7M2AQHSY29 | Long             | LON              | CORP              | US        |       56133 | PA      | $53607.43     | 0.17%             | 2026-05-15      | Floating      | 7.40%                 | No            |                  3 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         -50 | NC      | $-24375.00    | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| REPUBLIC OF ARGENTINA                       | Argentine Republic Government International Bond                                | CUSIP: 040114HS2<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |      145500 | PA      | $39239.84     | 0.13%             | 2030-07-09      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QKQL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      169014 | PA      | $143645.81    | 0.46%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYN8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      110000 | PA      | $86852.63     | 0.28%             | 2032-10-21      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru              | IndyMac INDX Mortgage Loan Trust 2005-AR10                                      | CUSIP: 45660LKW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      170552 | PA      | $132029.04    | 0.42%             | 2035-06-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F052623<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |     -200000 | PA      | $-200360.51   | -0.64%            | 2053-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418BSJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19842 | PA      | $18408.66     | 0.06%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | SOFR 1 YEAR MIDCURVE                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $131.25       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X6PH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       37729 | PA      | $33938.24     | 0.11%             | 2038-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GWZ3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9316.18      | 0.03%             | 2029-05-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC         | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              | CORP              | US        |           1 | NC      | $92.56        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| 3M COMPANY                                  | 3M Co                                                                           | CUSIP: 88579YBP5<br>LEI: LUZQVYP4VS22CLWDAR65 | Long             | DBT              | CORP              | US        |       40000 | PA      | $30618.93     | 0.10%             | 2050-04-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| NVIDIA CORP                                 | NVIDIA Corp                                                                     | CUSIP: 67066GAG9<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |       50000 | PA      | $40490.42     | 0.13%             | 2040-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES INC                         | Delta Air Lines Inc                                                             | CUSIP: 247361ZX9<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | DBT              | CORP              | US        |      130000 | PA      | $132852.29    | 0.43%             | 2025-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132AAK52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       33946 | PA      | $32409.67     | 0.10%             | 2038-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                      | Credit Suisse Group AG                                                          | CUSIP: 225401AQ1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |      250000 | PA      | $213522.93    | 0.69%             | 2026-06-05      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418CBT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       42573 | PA      | $38295.84     | 0.12%             | 2036-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BCAY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       78631 | PA      | $13177.63     | 0.04%             | 2050-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC 2021-NQM6                                                                  | CUSIP: 12662KAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      197511 | PA      | $150012.98    | 0.48%             | 2066-07-25      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                      | UnitedHealth Group Inc                                                          | CUSIP: 91324PBN1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |       10000 | PA      | $10383.78     | 0.03%             | 2040-10-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | SOFR 1 YEAR MIDCURVE                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         -40 | NC      | $-18750.00    | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| RUSSIA GOVT BOND - OFZ                      | Russian Federal Bond - OFZ                                                      | CUSIP: 000000000<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    34430000 | PA      | $127343.84    | 0.41%             | 2030-04-10      | Fixed         | 7.65%                 | No            |                  2 | On Loan: No      |
| Harbor Freight Tools USA Inc                | HARBOR FREIGHT 10/19/27                                                         | CUSIP: 41151PAP0<br>LEI: 549300Y48HLCFTTB4249 | Long             | LON              | CORP              | US        |       55787 | PA      | $53035.83     | 0.17%             | 2027-10-19      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133KGFZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       26121 | PA      | $25560.23     | 0.08%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                   | Boeing Co/The                                                                   | CUSIP: 097023CX1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |       30000 | PA      | $27328.33     | 0.09%             | 2060-05-01      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 2YR NOTE (CBT)                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -111 | NC      | $-20137.40    | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| Bank of America, National Association       | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-54357.10    | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                   | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $224026.59    | 0.72%             |  |  |  | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                         | Elevance Health Inc                                                             | CUSIP: 036752AU7<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |       10000 | PA      | $8686.68      | 0.03%             | 2052-05-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GFC8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |       50000 | PA      | $45969.59     | 0.15%             | 2044-01-21      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F042624<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      300000 | PA      | $288665.17    | 0.93%             | 2053-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XBB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |       17333 | PA      | $17591.74     | 0.06%             | 2025-07-25      | Floating      | 9.39%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                      | Verizon Communications Inc                                                      | CUSIP: 92343VFE9<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |       40000 | PA      | $35273.64     | 0.11%             | 2030-03-22      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2022-DNA3                                         | CUSIP: 35564KUW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       91942 | PA      | $91482.09     | 0.29%             | 2042-04-25      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| WORKDAY INC                                 | Workday Inc                                                                     | CUSIP: 98138HAJ0<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |       20000 | PA      | $17654.74     | 0.06%             | 2032-04-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                      | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |     -200000 | PA      | $-173271.61   | -0.56%            | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137FXC89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       86887 | PA      | $11776.57     | 0.04%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                            | Altria Group Inc                                                                | CUSIP: 02209SBF9<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |       80000 | PA      | $71138.48     | 0.23%             | 2049-02-14      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage              | Deephaven Residential Mortgage Trust 2022-1                                     | CUSIP: 24382JAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      240000 | PA      | $181528.82    | 0.58%             | 2067-01-25      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137FVQG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       82338 | PA      | $12638.82     | 0.04%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                      | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-5057.10     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                      | Verizon Communications Inc                                                      | CUSIP: 92343VDU5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |       30000 | PA      | $29624.31     | 0.10%             | 2037-03-16      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                    | EQT Corp                                                                        | CUSIP: 26884LAF6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |       45000 | PA      | $41542.44     | 0.13%             | 2027-10-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                          | Energy Transfer LP                                                              | CUSIP: 29278NAG8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9669.56      | 0.03%             | 2029-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                    | Anheuser-Busch InBev Worldwide Inc                                              | CUSIP: 03523TBT4<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |       20000 | PA      | $17080.54     | 0.05%             | 2048-10-06      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| AMERICAN TRANSMISSION SY                    | American Transmission Systems Inc                                               | CUSIP: 030288AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      180000 | PA      | $147719.10    | 0.47%             | 2032-01-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                          | Energy Transfer LP                                                              | CUSIP: 29278NAQ6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       20000 | PA      | $17633.72     | 0.06%             | 2030-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru              | SMB Private Education Loan Trust 2018-C                                         | CUSIP: 78449QAC1<br>LEI: 549300V1P5RKG8RJI005 | Long             | ABS-O            | CORP              | US        |      123549 | PA      | $120107.63    | 0.39%             | 2035-11-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X9Y82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       52804 | PA      | $48986.46     | 0.16%             | 2040-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC         | CURRENCY CONTRACT - EUR                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              | CORP              | US        |           1 | NC      | $402.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          40 | NC      | $15000.00     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PBE5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |       40000 | PA      | $33544.64     | 0.11%             | 2030-10-15      | Fixed         | 2.74%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                  | Humana Inc                                                                      | CUSIP: 444859BR2<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |       10000 | PA      | $7803.32      | 0.03%             | 2032-02-03      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                           | General Motors Co                                                               | CUSIP: 37045VAT7<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |       10000 | PA      | $8715.14      | 0.03%             | 2049-04-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XBFY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      141630 | PA      | $124968.90    | 0.40%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                    | Western Midstream Operating LP                                                  | CUSIP: 958667AB3<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9462.20      | 0.03%             | 2025-02-01      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| NEXSTAR MEDIA INC                           | Nexstar Media Inc                                                               | CUSIP: 65336RAW8<br>LEI: 5493006PK6I4I2OOT688 | Long             | LON              | CORP              | US        |       55417 | PA      | $54904.52     | 0.18%             | 2026-09-18      | Floating      | 6.85%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer              | WaMu Mortgage Pass-Through Certificates Series 2005-AR8                         | CUSIP: 92922FR75<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       46758 | PA      | $42571.92     | 0.14%             | 2045-07-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Air Canada                                  | AIR CANADA 07/27/28                                                             | CUSIP: 000000000<br>LEI: 4B4HI3CGXMBDC0G6BM51 | Long             | LON              | CORP              | CA        |       39900 | PA      | $39351.38     | 0.13%             | 2028-08-11      | Floating      | 7.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FXLU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       47073 | PA      | $45864.10     | 0.15%             | 2059-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UBS SECURITIES LLC                          | IRS USD                                                                         | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DIR              | CORP              | US        |           1 | NC      | $-249124.18   | -0.80%            |  |  |  | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                            | T-Mobile USA Inc                                                                | CUSIP: 87264ACB9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |       40000 | PA      | $32676.80     | 0.10%             | 2031-02-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association   | CURRENCY CONTRACT - EUR                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $23867.10     | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| INTEL CORP                                  | Intel Corp                                                                      | CUSIP: 458140BM1<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |       10000 | PA      | $8678.93      | 0.03%             | 2050-03-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BNY CASH RESERVE                            | BNY CASH RESERVE                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | RF                | US        |      631707 | NS      | $631706.59    | 2.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                | GS Mortgage Securities Corp II                                                  | CUSIP: 36255TAL6<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |      364019 | PA      | $148332.64    | 0.48%             | 2031-09-15      | Floating      | 8.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XCQ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       28663 | PA      | $25736.28     | 0.08%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         -14 | NC      | $-4375.00     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs Bank USA                      | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1367.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ENERGY CO                      | Southwestern Energy Co                                                          | CUSIP: 845467AT6<br>LEI: EFWMP121W54QV9MGOP87 | Long             | DBT              | CORP              | US        |       10000 | PA      | $8545.90      | 0.03%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                     | CDS CDX.NA.IG.39.V1                                                             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              | CORP              | US        |           1 | NC      | $50812.34     | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| AT&T INC                                    | AT&T Inc                                                                        | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |       37000 | PA      | $24688.02     | 0.08%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                      | Verizon Communications Inc                                                      | CUSIP: 92343VFR0<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |       60000 | PA      | $46550.30     | 0.15%             | 2031-01-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140HTWQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9523 | PA      | $8812.58      | 0.03%             | 2029-05-01      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                   | Nelnet Student Loan Trust 2013-1                                                | CUSIP: 64033CAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       42899 | PA      | $41793.65     | 0.13%             | 2041-06-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36178WDM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       46776 | PA      | $42818.88     | 0.14%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HAWAIIAN BRAND INTELLECT                    | Hawaiian Brand Intellectual Property Ltd / HawaiianMiles Loyalty Ltd            | CUSIP: 41984LAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |       10000 | PA      | $9050.00      | 0.03%             | 2026-01-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F030611<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      300000 | PA      | $263210.78    | 0.84%             | 2053-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137FVQ54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       69586 | PA      | $10337.83     | 0.03%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F042624<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |     -100000 | PA      | $-96221.72    | -0.31%            | 2053-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                           | Kinder Morgan Inc                                                               | CUSIP: 49456BAQ4<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |       40000 | PA      | $34513.63     | 0.11%             | 2048-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                     | Shell International Finance BV                                                  | CUSIP: 822582BF8<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |       20000 | PA      | $17475.92     | 0.06%             | 2045-05-11      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                   | CUSIP: 172967EW7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       80000 | PA      | $98318.53     | 0.32%             | 2039-07-15      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC         | CURRENCY CONTRACT - INR                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-791.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                     | IRS USD                                                                         | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |           1 | NC      | $-971100.09   | -3.12%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F052615<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      100000 | PA      | $100246.66    | 0.32%             | 2053-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179VKP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       25838 | PA      | $25335.23     | 0.08%             | 2050-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                          | Energy Transfer LP                                                              | CUSIP: 29273VAH3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       10000 | PA      | $8500.00      | 0.03%             | N/A             | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association   | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $4263.68      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                  | CUSIP: 61747YEF8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |       30000 | PA      | $21753.94     | 0.07%             | 2036-09-16      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132A5G58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       49974 | PA      | $49092.34     | 0.16%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                   | Boeing Co/The                                                                   | CUSIP: 097023CD5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |       50000 | PA      | $43844.50     | 0.14%             | 2029-03-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | Three-Month SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          18 | NC      | $-48862.80    | -0.16%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank, National Association   | CURRENCY CONTRACT - NZD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $12777.96     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                        | Las Vegas Sands Corp                                                            | CUSIP: 517834AG2<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |       40000 | PA      | $37807.64     | 0.12%             | 2024-08-08      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | CBOT 5 Year US Treasury Note                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         140 | NC      | $-76753.89    | -0.25%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley Capital Inc                  | Morgan Stanley ABS Capital I Inc Trust 2004-NC7                                 | CUSIP: 61744CFP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       61936 | PA      | $56854.42     | 0.18%             | 2034-07-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                         | Intesa Sanpaolo SpA                                                             | CUSIP: 46115HBC0<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |      200000 | PA      | $199901.25    | 0.64%             | 2023-01-12      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC         | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-190.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association   | CURRENCY CONTRACT - MXN                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2116.82      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                    | Anheuser-Busch InBev Worldwide Inc                                              | CUSIP: 035240AN0<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |        8000 | PA      | $6951.61      | 0.02%             | 2048-04-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                   | Prosus NV                                                                       | CUSIP: 74365PAE8<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |      400000 | PA      | $241667.14    | 0.78%             | 2051-02-08      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO I, Ltd.                     | Halsey Point CLO I Ltd                                                          | CUSIP: 40638CAA7<br>LEI: 549300POBLM5RW6LD816 | Long             | ABS-CBDO         | CORP              | KY        |      300000 | PA      | $273926.21    | 0.88%             | 2033-01-20      | Floating      | 11.94%                | No            |                  2 | On Loan: No      |
| DEERFIELD DAKOTA HOLDING                    | Deerfield Dakota Holding LLC                                                    | CUSIP: 24440EAB3<br>LEI: 549300FDREJLOIGXY104 | Long             | LON              | CORP              | US        |       57653 | PA      | $53743.13     | 0.17%             | 2027-04-09      | Floating      | 8.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38380PXV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       59569 | PA      | $47445.68     | 0.15%             | 2063-01-16      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                           | Kinder Morgan Inc                                                               | CUSIP: 49456BAJ0<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |       20000 | PA      | $16962.12     | 0.05%             | 2046-02-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Hildene Community Funding CLO               | Hildene Community Funding CDO Ltd                                               | CUSIP: 43133KAC9<br>LEI: 549300845E8YWIPN4S43 | Long             | ABS-CBDO         | CORP              | KY        |      130000 | PA      | $113360.00    | 0.36%             | 2035-11-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |       50000 | PA      | $39160.12     | 0.13%             | 2032-10-20      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                    | AT&T Inc                                                                        | CUSIP: 00206RBA9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9575.22      | 0.03%             | 2041-08-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                      | CUSIP: 21H060622<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      100000 | PA      | $101370.14    | 0.33%             | 2053-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH CO/INBEV                     | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc                     | CUSIP: 03522AAG5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       20000 | PA      | $19248.12     | 0.06%             | 2026-02-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138XZQF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       30579 | PA      | $28529.71     | 0.09%             | 2044-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                 | BNP Paribas SA                                                                  | CUSIP: 09659W2H6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |      200000 | PA      | $190063.31    | 0.61%             | 2030-01-10      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| PARSLEY ENERGY LLC/FINAN                    | Parsley Energy LLC / Parsley Finance Corp                                       | CUSIP: 701885AJ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       10000 | PA      | $9183.49      | 0.03%             | 2028-02-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133KHCN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      101039 | PA      | $100977.89    | 0.32%             | 2049-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         -10 | NC      | $-2500.00     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PAY2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9850.83      | 0.03%             | 2024-12-05      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| CANADIAN PACIFIC RAILWAY                    | Canadian Pacific Railway Co                                                     | CUSIP: 13645RBH6<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |       10000 | PA      | $6722.92      | 0.02%             | 2051-12-02      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                            | T-Mobile USA Inc                                                                | CUSIP: 87264ABR5<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9096.41      | 0.03%             | 2026-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC         | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              | CORP              | US        |           1 | NC      | $60.55        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                      | UnitedHealth Group Inc                                                          | CUSIP: 91324PEF5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |       20000 | PA      | $14310.75     | 0.05%             | 2051-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XAF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |       86509 | PA      | $87570.27     | 0.28%             | 2024-05-25      | Floating      | 6.99%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC         | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1631.55     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140JBUY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19927 | PA      | $16575.81     | 0.05%             | 2032-02-01      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                      | CCO Holdings LLC / CCO Holdings Capital Corp                                    | CUSIP: 1248EPCK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      218000 | PA      | $174861.07    | 0.56%             | 2031-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BARRICK NA FINANCE LLC                      | Barrick North America Finance LLC                                               | CUSIP: 06849RAK8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       10000 | PA      | $10098.02     | 0.03%             | 2043-05-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                               | United States Treasury Bill                                                     | CUSIP: 912796Z85<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      280000 | PA      | $277251.10    | 0.89%             | 2023-03-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association   | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $7937.98      | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                       | Wells Fargo & Co                                                                | CUSIP: 949746SH5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |       50000 | PA      | $46210.78     | 0.15%             | 2026-10-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38383REY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      100000 | PA      | $83929.31     | 0.27%             | 2050-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                        | Glencore Funding LLC                                                            | CUSIP: 378272AQ1<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |       30000 | PA      | $28003.20     | 0.09%             | 2027-10-27      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ENERGY CO                      | Southwestern Energy Co                                                          | CUSIP: 845467AS8<br>LEI: EFWMP121W54QV9MGOP87 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9120.19      | 0.03%             | 2030-03-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| SPIRIT LOYALTY KY LTD/IP                    | Spirit Loyalty Cayman Ltd / Spirit IP Cayman Ltd                                | CUSIP: 84859BAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |       22000 | PA      | $22070.84     | 0.07%             | 2025-09-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | Three-Month SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           2 | NC      | $-7604.20     | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                      | NXP BV / NXP Funding LLC / NXP USA Inc                                          | CUSIP: 62954HAW8<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |       30000 | PA      | $28236.95     | 0.09%             | 2025-05-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                    | Ford Motor Credit Co LLC                                                        | CUSIP: 345397B36<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      200000 | PA      | $164168.00    | 0.53%             | 2030-11-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                    | Targa Resources Partners LP / Targa Resources Partners Finance Corp             | CUSIP: 87612BBN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       20000 | PA      | $20159.16     | 0.06%             | 2029-01-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association   | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4008.51     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                   | CUSIP: 172967NS6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       30000 | PA      | $29032.79     | 0.09%             | 2028-05-24      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                    | AT&T Inc                                                                        | CUSIP: 00206RLV2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |       20000 | PA      | $13386.62     | 0.04%             | 2059-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38148LAF3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |       40000 | PA      | $35928.74     | 0.12%             | 2045-05-22      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association   | CURRENCY CONTRACT - IDR                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $391.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138W5GH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19252 | PA      | $17517.23     | 0.06%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor              | JP Morgan Chase Commercial Mortgage Securities Trust 2019-BKWD                  | CUSIP: 46591JAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      400000 | PA      | $365201.08    | 1.17%             | 2029-09-15      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                    | Anheuser-Busch InBev Worldwide Inc                                              | CUSIP: 035240AQ3<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9870.92      | 0.03%             | 2029-01-23      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                      | Verizon Communications Inc                                                      | CUSIP: 92343VEA8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |       80000 | PA      | $74854.90     | 0.24%             | 2033-08-10      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F042616<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      300000 | PA      | $288676.89    | 0.93%             | 2053-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                        | Royal Bank of Canada                                                            | CUSIP: 78015K7H1<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |       20000 | PA      | $18306.63     | 0.06%             | 2025-06-10      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                      | CUSIP: 21H060614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      100000 | PA      | $101588.89    | 0.33%             | 2053-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                    | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |           1 | NC      | $79151.78     | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                        | Indonesia Treasury Bond                                                         | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |   330000000 | PA      | $21834.34     | 0.07%             | 2035-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                    | Warnermedia Holdings Inc                                                        | CUSIP: 55903VAN3<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |       10000 | PA      | $7650.82      | 0.02%             | 2042-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                    | Enterprise Products Operating LLC                                               | CUSIP: 29379VBT9<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |       30000 | PA      | $28407.08     | 0.09%             | 2028-10-16      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                    | Western Midstream Operating LP                                                  | CUSIP: 958667AC1<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |       20000 | PA      | $17458.40     | 0.06%             | 2030-02-01      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                          | Ford Motor Co                                                                   | CUSIP: 345370DB3<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |       20000 | PA      | $18467.15     | 0.06%             | 2032-08-19      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                             | CVS Health Corp                                                                 | CUSIP: 126650DQ0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |       10000 | PA      | $7844.03      | 0.03%             | 2031-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC         | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-577.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BROADCOM INC                                | Broadcom Inc                                                                    | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |       90000 | PA      | $66173.97     | 0.21%             | 2035-11-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                      | Verizon Communications Inc                                                      | CUSIP: 92343VGK4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |       10000 | PA      | $7519.02      | 0.02%             | 2041-03-22      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                           | HSBC Holdings PLC                                                               | CUSIP: 404280CG2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      200000 | PA      | $181999.30    | 0.58%             | 2026-06-04      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC         | CURRENCY CONTRACT - NOK                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              | CORP              | US        |           1 | NC      | $44515.82     | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                        | Indonesia Treasury Bond                                                         | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |   959000000 | PA      | $59244.55     | 0.19%             | 2032-04-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                          | Coterra Energy Inc                                                              | CUSIP: 127097AG8<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |       70000 | PA      | $65360.47     | 0.21%             | 2027-05-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                    | Occidental Petroleum Corp                                                       | CUSIP: 674599DL6<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |       30000 | PA      | $30869.70     | 0.10%             | 2046-03-15      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| RUSSIA GOVT BOND - OFZ                      | Russian Federal Bond - OFZ                                                      | CUSIP: 000000000<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |     1190000 | PA      | $4401.37      | 0.01%             | 2027-10-06      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru              | SMB Private Education Loan Trust 2019-B                                         | CUSIP: 83192CAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       58710 | PA      | $57307.83     | 0.18%             | 2037-06-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC         | CURRENCY CONTRACT - COP                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-6985.71     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                   | CUSIP: 172967HB0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       60000 | PA      | $60367.24     | 0.19%             | 2025-09-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138YK2P7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       33852 | PA      | $31520.21     | 0.10%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |           2 | NC      | $218.75       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                    | Republic of South Africa Government Bond                                        | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |     6310000 | PA      | $243759.21    | 0.78%             | 2036-03-31      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY INC                         | Cheniere Energy Inc                                                             | CUSIP: 16411RAK5<br>LEI: MIHC87W9WTYSYZWV1J40 | Long             | DBT              | CORP              | US        |       30000 | PA      | $27116.02     | 0.09%             | 2028-10-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                      | Anglo American Capital PLC                                                      | CUSIP: 034863AT7<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |      200000 | PA      | $188422.92    | 0.60%             | 2027-09-11      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                    | Lloyds Banking Group PLC                                                        | CUSIP: 539439AR0<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |      200000 | PA      | $189818.63    | 0.61%             | 2028-03-22      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GZR8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |       20000 | PA      | $18629.23     | 0.06%             | 2028-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| BHP BILLITON FIN USA LTD                    | BHP Billiton Finance USA Ltd                                                    | CUSIP: 055451AV0<br>LEI: 5493003NUVITP3TMY274 | Long             | DBT              | CORP              | AU        |       10000 | PA      | $9688.00      | 0.03%             | 2043-09-30      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                          | Energy Transfer LP                                                              | CUSIP: 29278NAF0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9669.85      | 0.03%             | 2028-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XYW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |      230000 | PA      | $234020.79    | 0.75%             | 2030-07-25      | Floating      | 7.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F050627<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      100000 | PA      | $98490.89     | 0.32%             | 2053-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179UKY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       16666 | PA      | $16177.59     | 0.05%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CANADIAN PACIFIC RAILWAY                    | Canadian Pacific Railway Co                                                     | CUSIP: 13645RBG8<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |       20000 | PA      | $15077.96     | 0.05%             | 2041-12-02      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | CME 3 Month Eurodollar                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           5 | NC      | $-1842.92     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| ABBVIE INC                                  | AbbVie Inc                                                                      | CUSIP: 00287YCB3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |       20000 | PA      | $16597.70     | 0.05%             | 2049-11-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F042616<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |     -300000 | PA      | $-288676.89   | -0.93%            | 2053-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Non Gold Pool                                                       | CUSIP: 31288QFR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      137079 | PA      | $129838.53    | 0.42%             | 2048-11-01      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140JAD21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       33895 | PA      | $31514.40     | 0.10%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BDY93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      173384 | PA      | $29032.81     | 0.09%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CITADEL SECURITIES LP                       | CITADEL SECURITIES LP                                                           | CUSIP: 17288YAD4<br>LEI: 549300NV5RXBUS3X7L47 | Long             | LON              | CORP              | US        |       56724 | PA      | $55546.52     | 0.18%             | 2028-02-02      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                      | UnitedHealth Group Inc                                                          | CUSIP: 91324PEJ7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |       20000 | PA      | $18985.30     | 0.06%             | 2032-05-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| MILEAGE PLUS HLDINGS LLC                    | Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd       | CUSIP: 599191AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       36002 | PA      | $35793.57     | 0.11%             | 2027-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| La Quinta Mortgage Trust                    | LAQ 2022-LAQ Mortgage Trust                                                     | CUSIP: 50172LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       30549 | PA      | $29878.77     | 0.10%             | 2039-03-15      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| TENNESSEE GAS PIPELINE                      | Tennessee Gas Pipeline Co LLC                                                   | CUSIP: 880451AZ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       10000 | PA      | $8375.95      | 0.03%             | 2030-03-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38382LXR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      396508 | PA      | $43676.63     | 0.14%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| VERTIV GROUP CORPORATION                    | Vertiv Group Corp                                                               | CUSIP: 92535UAB0<br>LEI: 549300ZT8RQ5VK10E643 | Long             | DBT              | CORP              | US        |       10000 | PA      | $8500.00      | 0.03%             | 2028-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                   | Boeing Co/The                                                                   | CUSIP: 097023DE2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9583.07      | 0.03%             | 2024-02-04      | Fixed         | 1.43%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 5 YEAR TREASURY NOTE                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         -36 | NC      | $-4781.25     | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                      | CCO Holdings LLC / CCO Holdings Capital Corp                                    | CUSIP: 1248EPCE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       10000 | PA      | $8261.55      | 0.03%             | 2030-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        -201 | NC      | $-6281.25     | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| CONSTELLATION BRANDS INC                    | Constellation Brands Inc                                                        | CUSIP: 21036PBK3<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |       30000 | PA      | $29213.50     | 0.09%             | 2027-05-09      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                      | UnitedHealth Group Inc                                                          | CUSIP: 91324PDZ2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |       20000 | PA      | $13530.49     | 0.04%             | 2050-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| MDC HOLDINGS INC                            | MDC Holdings Inc                                                                | CUSIP: 552676AQ1<br>LEI: 5299005FV4VNV75R8R35 | Long             | DBT              | CORP              | US        |       10000 | PA      | $8124.30      | 0.03%             | 2043-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AUSTRALIAN SECURITIES EXCHANGE TRADE24      | SFE 10 YEAR AUSTRALIAN BOND                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | AU        |           5 | NC      | $-22425.71    | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179WTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       92337 | PA      | $80094.67     | 0.26%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PBK1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |       30000 | PA      | $27848.89     | 0.09%             | 2026-04-22      | Fixed         | 2.08%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                    | AT&T Inc                                                                        | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |       20000 | PA      | $15370.20     | 0.05%             | 2033-12-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| MISTER CAR WASH HOLDINGS IN                 | Mister Car Wash Holdings Inc                                                    | CUSIP: 60646CAF4<br>LEI: 549300BARUQU0U2GQE05 | Long             | LON              | CORP              | US        |       51586 | PA      | $50812.44     | 0.16%             | 2026-05-14      | Floating      | 7.39%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                 | CDS VOLKSWAGEN INTERNATIONAL                                                    | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DCR              | CORP              | FR        |           1 | NC      | $935.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179UEA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       21435 | PA      | $21043.67     | 0.07%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                    | Enterprise Products Operating LLC                                               | CUSIP: 29379VBY8<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |       60000 | PA      | $43253.69     | 0.14%             | 2051-01-31      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC         | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-5130.04     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FXTC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       91263 | PA      | $75492.76     | 0.24%             | 2061-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                  | Cigna Corp                                                                      | CUSIP: 125523AK6<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |       20000 | PA      | $18020.24     | 0.06%             | 2048-12-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC         | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-5142.26     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PCR5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |       20000 | PA      | $15808.62     | 0.05%             | 2032-11-08      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179UH54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9508 | PA      | $9226.99      | 0.03%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       40000 | PA      | $33302.09     | 0.11%             | 2038-04-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| LENNAR CORP                                 | Lennar Corp                                                                     | CUSIP: 526057BZ6<br>LEI: 529900G61XVRLX5TJX09 | Long             | DBT              | CORP              | US        |       20000 | PA      | $19732.62     | 0.06%             | 2024-04-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XAD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |       40426 | PA      | $41497.89     | 0.13%             | 2024-01-25      | Floating      | 8.79%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          -2 | NC      | $-975.00      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                   | CUSIP: 172967NU1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       20000 | PA      | $18728.66     | 0.06%             | 2033-05-24      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION   | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              | CORP              | US        |           1 | NC      | $64083.92     | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                    | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |      200000 | PA      | $174888.34    | 0.56%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                             | McDonald's Corp                                                                 | CUSIP: 58013MFH2<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |       50000 | PA      | $43483.38     | 0.14%             | 2048-09-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                       | Argentine Republic Government International Bond                                | CUSIP: 040114HX1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |        4443 | PA      | $1179.34      | 0.00%             | 2029-07-09      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                     | Bristol-Myers Squibb Co                                                         | CUSIP: 110122CR7<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |       20000 | PA      | $17186.80     | 0.06%             | 2049-10-26      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2019-IMC                                           | CUSIP: 05608BAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      300000 | PA      | $279713.07    | 0.90%             | 2034-04-15      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                      | CUSIP: 21H050623<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      100000 | PA      | $99041.67     | 0.32%             | 2053-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                           | EOG Resources Inc                                                               | CUSIP: 26875PAT8<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9514.38      | 0.03%             | 2050-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | SOFR 1 YEAR MIDCURVE                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          11 | NC      | $3987.50      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132A5H40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      123322 | PA      | $113684.40    | 0.36%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC         | CURRENCY CONTRACT - AUD                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              | CORP              | US        |           1 | NC      | $15420.09     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | CBOT 10 Year US Treasury Note                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         -58 | NC      | $16692.79     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| COMCAST CORP                                | Comcast Corp                                                                    | CUSIP: 20030NCU3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       30000 | PA      | $28699.55     | 0.09%             | 2030-10-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                        | Colombia Government International Bond                                          | CUSIP: 195325CU7<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |      330000 | PA      | $224500.94    | 0.72%             | 2045-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC         | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2092.12     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | SOFR 1 YEAR MIDCURVE                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $362.50       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| TARGA RESOURCES PARTNERS                    | Targa Resources Partners LP / Targa Resources Partners Finance Corp             | CUSIP: 87612BBG6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       10000 | PA      | $9539.59      | 0.03%             | 2028-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                          | Energy Transfer LP                                                              | CUSIP: 29279FAA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       40000 | PA      | $37194.98     | 0.12%             | 2049-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY FIN                      | Berkshire Hathaway Finance Corp                                                 | CUSIP: 084664CR0<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |       30000 | PA      | $26706.21     | 0.09%             | 2049-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                         | Bank of Nova Scotia/The                                                         | CUSIP: 06417XAG6<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |       40000 | PA      | $34134.17     | 0.11%             | 2037-05-04      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| EQM MIDSTREAM PARTNERS L                    | EQM Midstream Partners LP                                                       | CUSIP: 26885BAF7<br>LEI: 549300NELT611CL6XM83 | Long             | DBT              | CORP              | US        |       70000 | PA      | $67549.78     | 0.22%             | 2025-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                   | Boeing Co/The                                                                   | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |       20000 | PA      | $19512.79     | 0.06%             | 2030-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                   | Boeing Co/The                                                                   | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |       20000 | PA      | $18543.52     | 0.06%             | 2050-05-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Energizer Holdings Inc                      | ENERGIZER HLDGS 12/27 TL                                                        | CUSIP: 000000000<br>LEI: 5493000D6NN0V57UME20 | Long             | LON              | CORP              | US        |       17776 | PA      | $17398.52     | 0.06%             | 2027-12-22      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                      | CUSIP: 21H050615<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |     -100000 | PA      | $-99072.92    | -0.32%            | 2053-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                           | EOG Resources Inc                                                               | CUSIP: 26875PAN1<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |       20000 | PA      | $17840.55     | 0.06%             | 2035-04-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                       | Mexico Government International Bond                                            | CUSIP: 91086QBB3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      210000 | PA      | $169380.78    | 0.54%             | 2044-03-08      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                            | BAT Capital Corp                                                                | CUSIP: 05526DBB0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |       30000 | PA      | $27406.86     | 0.09%             | 2027-08-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| PETROBRAS GLOBAL FINANCE                    | Petrobras Global Finance BV                                                     | CUSIP: 71647NAZ2<br>LEI: 549300FNENFFSMO3GT38 | Long             | DBT              | CORP              | NL        |       70000 | PA      | $67987.50     | 0.22%             | 2029-02-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 3622A2SB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      169103 | PA      | $157764.34    | 0.51%             | 2046-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                   | Boeing Co/The                                                                   | CUSIP: 097023CT0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |       50000 | PA      | $49617.15     | 0.16%             | 2025-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                    | Warnermedia Holdings Inc                                                        | CUSIP: 55903VAG8<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |       20000 | PA      | $18010.59     | 0.06%             | 2027-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                       | Continental Resources Inc/OK                                                    | CUSIP: 212015AT8<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |       20000 | PA      | $18617.21     | 0.06%             | 2031-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Cloudera Inc                                | PROJECT SKY 8/28 TL                                                             | CUSIP: 74339VAB4<br>LEI: 549300PGONC4JOI0RG62 | Long             | LON              | CORP              | US        |       39699 | PA      | $37243.01     | 0.12%             | 2028-10-08      | Floating      | 8.12%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                          | Union Pacific Corp                                                              | CUSIP: 907818FG8<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |       20000 | PA      | $15449.63     | 0.05%             | 2060-03-20      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                       | Wells Fargo & Co                                                                | CUSIP: 95000U2M4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      170000 | PA      | $149748.88    | 0.48%             | 2051-04-04      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                       | Wells Fargo & Co                                                                | CUSIP: 94974BGU8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |       50000 | PA      | $41872.33     | 0.13%             | 2046-12-07      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                      | Williams Cos Inc/The                                                            | CUSIP: 969457BM1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |       40000 | PA      | $47102.79     | 0.15%             | 2032-03-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT           | French Government Bond s                                                        | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |           2 | NC      | $-20899.33    | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| WELLS FARGO & COMPANY                       | Wells Fargo & Co                                                                | CUSIP: 95000U2N2<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |       30000 | PA      | $27919.74     | 0.09%             | 2026-04-30      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                               | United States Treasury Bill                                                     | CUSIP: 912796Z77<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      400000 | PA      | $396383.71    | 1.27%             | 2023-03-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |       40000 | PA      | $32224.75     | 0.10%             | 2033-02-04      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                        | Indonesia Treasury Bond                                                         | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 11316000000 | PA      | $705455.47    | 2.26%             | 2031-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                      | CUSIP: 21H040624<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      200000 | PA      | $189281.99    | 0.61%             | 2053-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38382HM98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       80983 | PA      | $11134.75     | 0.04%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                           | General Motors Co                                                               | CUSIP: 37045VAV2<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |       30000 | PA      | $30531.30     | 0.10%             | 2025-10-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                   | Boeing Co/The                                                                   | CUSIP: 097023CP8<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |       60000 | PA      | $45629.87     | 0.15%             | 2035-02-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FED HOME LN DISCOUNT NT                     | Federal Home Loan Bank Discount Notes                                           | CUSIP: 313384AM1<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |      100000 | PA      | $99881.26     | 0.32%             | 2023-01-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UBS SECURITIES LLC                          | IRS USD                                                                         | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DIR              | CORP              | US        |           1 | NC      | $185406.21    | 0.59%             |  |  |  | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                          | Energy Transfer LP                                                              | CUSIP: 29273VAN0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       20000 | PA      | $17200.00     | 0.06%             | N/A             | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                       | Toronto-Dominion Bank/The                                                       | CUSIP: 89114QCG1<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |       20000 | PA      | $19639.88     | 0.06%             | 2023-06-12      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                    | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |           1 | NC      | $22208.64     | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| UFC HOLDINGS LLC                            | UFC Holdings LLC                                                                | CUSIP: 90266UAJ2<br>LEI: 549300JEOTH7UMZ3C491 | Long             | LON              | CORP              | US        |       50262 | PA      | $49536.22     | 0.16%             | 2026-04-29      | Floating      | 7.14%                 | No            |                  2 | On Loan: No      |
| RUSSIA GOVT BOND - OFZ                      | Russian Federal Bond - OFZ                                                      | CUSIP: 000000000<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |      240000 | PA      | $887.67       | 0.00%             | 2034-05-10      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK                      | Canadian Imperial Bank of Commerce                                              | CUSIP: 13607GRK2<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |       20000 | PA      | $19626.72     | 0.06%             | 2023-06-23      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| HCA INC                                     | HCA Inc                                                                         | CUSIP: 404119CA5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |       50000 | PA      | $43123.81     | 0.14%             | 2030-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                      | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-5.61        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138L9U26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19046 | PA      | $17253.67     | 0.06%             | 2030-06-01      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2022-R07                                    | CUSIP: 20754MBZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       97230 | PA      | $98088.22     | 0.31%             | 2042-06-25      | Floating      | 6.89%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                             | Sands China Ltd                                                                 | CUSIP: 80007RAN5<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |      200000 | PA      | $171286.00    | 0.55%             | 2027-03-08      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F022618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |     -200000 | PA      | $-169302.86   | -0.54%            | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association   | CURRENCY CONTRACT - JPY                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $52997.51     | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PCC8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |       40000 | PA      | $32041.59     | 0.10%             | 2032-04-22      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $218.75       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| NISSAN MOTOR CO                             | Nissan Motor Co Ltd                                                             | CUSIP: 654744AC5<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |      240000 | PA      | $217619.02    | 0.70%             | 2027-09-17      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                       | Wells Fargo & Co                                                                | CUSIP: 95000U2A0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |       50000 | PA      | $46424.75     | 0.15%             | 2028-05-22      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X4JD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18975 | PA      | $18632.66     | 0.06%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                       | Toronto-Dominion Bank/The                                                       | CUSIP: 89114QCH9<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |       20000 | PA      | $18245.27     | 0.06%             | 2025-06-12      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association   | CURRENCY CONTRACT - EUR                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1286.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       20000 | PA      | $16025.00     | 0.05%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                      | Verizon Communications Inc                                                      | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |       60000 | PA      | $49341.51     | 0.16%             | 2031-03-21      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES/SKYMILES                    | Delta Air Lines Inc / SkyMiles IP Ltd                                           | CUSIP: 830867AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |       60000 | PA      | $56398.39     | 0.18%             | 2028-10-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                    | Warnermedia Holdings Inc                                                        | CUSIP: 55903VAQ6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |       70000 | PA      | $50887.65     | 0.16%             | 2052-03-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | Three-Month SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         -16 | NC      | $10991.40     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| PARK AEROSPACE HOLDINGS                     | Park Aerospace Holdings Ltd                                                     | CUSIP: 70014LAB6<br>LEI: 635400CPI3EOIFF6OC33 | Long             | DBT              | CORP              | KY        |       70000 | PA      | $69087.17     | 0.22%             | 2024-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru              | SMB Private Education Loan Trust 2018-C                                         | CUSIP: 78449QAB3<br>LEI: 549300V1P5RKG8RJI005 | Long             | ABS-O            | CORP              | US        |       58810 | PA      | $55277.98     | 0.18%             | 2035-11-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| WORKDAY INC                                 | Workday Inc                                                                     | CUSIP: 98138HAH4<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |       20000 | PA      | $18348.97     | 0.06%             | 2029-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                  | Humana Inc                                                                      | CUSIP: 444859BK7<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |       30000 | PA      | $26296.44     | 0.08%             | 2029-08-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                      | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      500000 | PA      | $433179.03    | 1.39%             | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| 3M COMPANY                                  | 3M Co                                                                           | CUSIP: 88579YBN0<br>LEI: LUZQVYP4VS22CLWDAR65 | Long             | DBT              | CORP              | US        |       20000 | PA      | $17558.59     | 0.06%             | 2030-04-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38382KQ97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      167265 | PA      | $22700.52     | 0.07%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       70000 | PA      | $68534.38     | 0.22%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC         | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1950.15     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                             | Danske Bank A/S                                                                 | CUSIP: 23636ABD2<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |      250000 | PA      | $242237.29    | 0.78%             | 2025-03-28      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 3617MKK99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       36184 | PA      | $35257.36     | 0.11%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F022626<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      100000 | PA      | $84725.65     | 0.27%             | 2053-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                   | CUSIP: 172967ME8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       60000 | PA      | $54113.14     | 0.17%             | 2030-03-20      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       30000 | PA      | $27578.91     | 0.09%             | 2043-08-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                     | MPLX LP                                                                         | CUSIP: 55336VAS9<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |       30000 | PA      | $28708.20     | 0.09%             | 2029-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                               | United States Treasury Bill                                                     | CUSIP: 912796Y60<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      400000 | PA      | $397737.02    | 1.28%             | 2023-02-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XBNZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       67179 | PA      | $63163.80     | 0.20%             | 2038-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC         | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1221.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                            | Williams Cos Inc/The                                                            | CUSIP: 969457BD1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |       70000 | PA      | $77187.75     | 0.25%             | 2031-06-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Loanpal Solar Loan Ltd.                     | Loanpal Solar Loan 2021-2 Ltd                                                   | CUSIP: 53948QAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      236651 | PA      | $173057.11    | 0.56%             | 2048-03-20      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                             | CVS Health Corp                                                                 | CUSIP: 126650DP2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |       40000 | PA      | $27634.79     | 0.09%             | 2040-08-21      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                      | Verizon Communications Inc                                                      | CUSIP: 92343VGN8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |       94000 | PA      | $74514.00     | 0.24%             | 2032-03-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                               | United States Treasury Bill                                                     | CUSIP: 912796ZH5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      120000 | PA      | $120000.00    | 0.39%             | 2023-01-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT           | Eurex 10 Year Euro BUND                                                         | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |           1 | NC      | $-4483.73     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae - CAS                            | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XJ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |      320000 | PA      | $323185.73    | 1.04%             | 2030-10-25      | Floating      | 8.14%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                       | Wells Fargo & Co                                                                | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |       30000 | PA      | $25271.93     | 0.08%             | 2033-03-02      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                      | CUSIP: 21H052611<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |     -100000 | PA      | $-100559.16   | -0.32%            | 2053-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38378NWU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       49383 | PA      | $46887.27     | 0.15%             | 2048-06-16      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                    | Anheuser-Busch InBev Worldwide Inc                                              | CUSIP: 03523TBV9<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9885.98      | 0.03%             | 2049-01-23      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                      | CUSIP: 21H052629<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      200000 | PA      | $200930.82    | 0.64%             | 2053-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                          | Energy Transfer LP                                                              | CUSIP: 29273VAL4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       10000 | PA      | $8650.00      | 0.03%             | N/A             | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                    | Warnermedia Holdings Inc                                                        | CUSIP: 55903VAJ2<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |       10000 | PA      | $8651.22      | 0.03%             | 2029-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                    | Western Midstream Operating LP                                                  | CUSIP: 958254AH7<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9175.00      | 0.03%             | 2028-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XJBJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      287188 | PA      | $265628.44    | 0.85%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                            | Altria Group Inc                                                                | CUSIP: 02209SBG7<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |        4000 | PA      | $3739.50      | 0.01%             | 2059-02-14      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | CBOT US Long Bond                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          41 | NC      | $-61649.46    | -0.20%            |  |  |  | No            |                  1 | 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        |       40000 | PA      | $39204.04     | 0.13%             | 2025-07-23      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                              | Fannie Mae-Aces                                                                 | CUSIP: 3136B2HC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       82968 | PA      | $77439.17     | 0.25%             | 2028-04-25      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                   | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $212829.78    | 0.68%             |  |  |  | No            |                  2 | On Loan: No      |
| BOEING CO                                   | Boeing Co/The                                                                   | CUSIP: 097023BY0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |       10000 | PA      | $7367.64      | 0.02%             | 2038-03-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | Three-Month SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           3 | NC      | $3256.20      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| TREASURY BILL                               | United States Treasury Bill                                                     | CUSIP: 912796ZF9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      540000 | PA      | $530390.51    | 1.70%             | 2023-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                              | Home Depot Inc/The                                                              | CUSIP: 437076CD2<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |       20000 | PA      | $14680.54     | 0.05%             | 2050-04-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       10000 | PA      | $7259.49      | 0.02%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT           | Eurex 5 Year Euro BOBL                                                          | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |           2 | NC      | $-9074.19     | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| COMCAST CORP                                | Comcast Corp                                                                    | CUSIP: 20030NDL2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       40000 | PA      | $25244.19     | 0.08%             | 2051-01-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| PAYPAL HOLDINGS INC                         | PayPal Holdings Inc                                                             | CUSIP: 70450YAH6<br>LEI: 5493005X2GO78EFZ3E94 | Long             | DBT              | CORP              | US        |       40000 | PA      | $32860.05     | 0.11%             | 2030-06-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC         | CURRENCY CONTRACT - EUR                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              | CORP              | US        |           1 | NC      | $16332.09     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPER                 | Charter Communications Operating LLC                                            | CUSIP: 16117LBX6<br>LEI: 549300TPZNMN50BJ3745 | Long             | LON              | CORP              | US        |       38897 | PA      | $37931.81     | 0.12%             | 2027-02-01      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BU7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       70000 | PA      | $54495.54     | 0.17%             | 2031-04-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                            | Bank of Montreal                                                                | CUSIP: 06367WB85<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |       30000 | PA      | $28023.14     | 0.09%             | 2025-05-01      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                      | CUSIP: 21H060614<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |     -100000 | PA      | $-101588.89   | -0.33%            | 2053-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GFH7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |       70000 | PA      | $68917.04     | 0.22%             | 2024-08-26      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                    | Western Midstream Operating LP                                                  | CUSIP: 958254AL8<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |       60000 | PA      | $49798.35     | 0.16%             | 2048-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                      | CUSIP: 21H050615<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      100000 | PA      | $99072.92     | 0.32%             | 2053-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                    | EQT Corp                                                                        | CUSIP: 26884LAL3<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |       20000 | PA      | $18775.16     | 0.06%             | 2029-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J6EW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       31669 | PA      | $33071.00     | 0.11%             | 2041-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                      | Bank of New York Mellon Corp/The                                                | CUSIP: 06406RAN7<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9291.92      | 0.03%             | 2025-04-24      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                          | Union Pacific Corp                                                              | CUSIP: 907818FL7<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |       20000 | PA      | $14578.92     | 0.05%             | 2070-02-05      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2019-R07                                    | CUSIP: 20753WAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       27782 | PA      | $27712.49     | 0.09%             | 2039-10-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F050619<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |     -100000 | PA      | $-98522.14    | -0.32%            | 2053-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38380QGX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      168579 | PA      | $166702.85    | 0.53%             | 2070-08-20      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                             | CVS Health Corp                                                                 | CUSIP: 126650CZ1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |       20000 | PA      | $17950.90     | 0.06%             | 2048-03-25      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38379RDC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      265169 | PA      | $230570.64    | 0.74%             | 2057-03-16      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                  | AbbVie Inc                                                                      | CUSIP: 00287YBD0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9108.62      | 0.03%             | 2048-11-14      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC         | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4784.11     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Sotera Health Holdings LLC                  | SOTERA HEALTH 12/13/26                                                          | CUSIP: 83600VAE1<br>LEI: 549300OVT7MBXFLOFU20 | Long             | LON              | CORP              | US        |       50000 | PA      | $46000.00     | 0.15%             | 2026-12-13      | Floating      | 7.11%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                   | Boeing Co/The                                                                   | CUSIP: 097023CV5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9535.62      | 0.03%             | 2040-05-01      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| CAMERON LNG LLC                             | Cameron LNG LLC                                                                 | CUSIP: 133434AA8<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |       30000 | PA      | $25306.45     | 0.08%             | 2031-07-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                    | AT&T Inc                                                                        | CUSIP: 04650NAB0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |       20000 | PA      | $19054.51     | 0.06%             | 2040-09-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                | Comcast Corp                                                                    | CUSIP: 20030NCC3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       20000 | PA      | $15977.57     | 0.05%             | 2047-11-01      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                 | Oracle Corp                                                                     | CUSIP: 68389XCC7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |       50000 | PA      | $44761.07     | 0.14%             | 2026-03-25      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                  | Cigna Corp                                                                      | CUSIP: 125523AH3<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9644.34      | 0.03%             | 2028-10-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                            | Peruvian Government International Bond                                          | CUSIP: 715638DF6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |       90000 | PA      | $74450.67     | 0.24%             | 2031-01-23      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| GLOBAL MEDICAL RESPONSE                     | Global Medical Response Inc                                                     | CUSIP: 00169QAF6<br>LEI: 549300ZFWD4ZFCEJCQ87 | Long             | LON              | CORP              | US        |       88425 | PA      | $61621.61     | 0.20%             | 2025-10-02      | Floating      | 8.62%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       40000 | PA      | $25630.26     | 0.08%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GXJ8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |       40000 | PA      | $38465.70     | 0.12%             | 2025-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SkyMiles IP Ltd                             | SkyMiles IP Ltd                                                                 | CUSIP: 24736CBS2<br>LEI: 2549008L7P4I8VB90936 | Long             | LON              | CORP              | KY        |       50000 | PA      | $50900.00     | 0.16%             | 2027-10-20      | Floating      | 8.48%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION   | CDS CDX.NA.IG.39.V1                                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-20086.86    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                      | CURRENCY CONTRACT - GBP                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              | CORP              | US        |           1 | NC      | $9794.82      | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                    | Targa Resources Partners LP / Targa Resources Partners Finance Corp             | CUSIP: 87612BBS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       40000 | PA      | $36118.00     | 0.12%             | 2031-02-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                    | Cheniere Energy Partners LP                                                     | CUSIP: 16411QAN1<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |       10000 | PA      | $7947.07      | 0.03%             | 2032-01-31      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Castlelake Aviation One DAC                 | CASTLELAKE AVIATI 10/26TL                                                       | CUSIP: 14855NAB2<br>LEI: 2138003EQK2PETKID103 | Long             | LON              | CORP              | IE        |       68878 | PA      | $68176.47     | 0.22%             | 2026-10-22      | Floating      | 7.14%                 | No            |                  2 | On Loan: No      |
| Allegany Park CLO, Ltd.                     | Allegany Park CLO Ltd                                                           | CUSIP: 017154AQ8<br>LEI: 549300D5KL0IVFLIND32 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $226605.39    | 0.73%             | 2035-01-20      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                | Comcast Corp                                                                    | CUSIP: 20030NBZ3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       10000 | PA      | $7986.00      | 0.03%             | 2047-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179VDP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      133194 | PA      | $122461.84    | 0.39%             | 2050-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                      | General Motors Financial Co Inc                                                 | CUSIP: 37045XDS2<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |       20000 | PA      | $15670.84     | 0.05%             | 2032-01-12      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         -14 | NC      | $-437.50      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ASURION LLC                                 | Asurion LLC                                                                     | CUSIP: 04649VBB5<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |       10394 | PA      | $9253.57      | 0.03%             | 2028-08-19      | Floating      | 8.30%                 | No            |                  2 | On Loan: No      |
| ORBIA ADVANCE CORP SAB                      | Orbia Advance Corp SAB de CV                                                    | CUSIP: 68560EAB4<br>LEI: 549300MVHZ20SBIOEQ79 | Long             | DBT              | CORP              | MX        |      200000 | PA      | $156250.00    | 0.50%             | 2031-05-11      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                        | Freeport-McMoRan Inc                                                            | CUSIP: 35671DBC8<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |       65000 | PA      | $58632.60     | 0.19%             | 2043-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BCD80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      234608 | PA      | $34659.86     | 0.11%             | 2050-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                     | Mexican Bonos                                                                   | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    21700000 | PA      | $971626.83    | 3.12%             | 2042-11-13      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                    | EQT Corp                                                                        | CUSIP: 26884LAN9<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |       40000 | PA      | $33897.45     | 0.11%             | 2031-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                          | Ford Motor Co                                                                   | CUSIP: 345370DA5<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |       70000 | PA      | $52495.92     | 0.17%             | 2032-02-12      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F052615<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |     -100000 | PA      | $-100246.66   | -0.32%            | 2053-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                            | BAT Capital Corp                                                                | CUSIP: 05526DBF1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |       40000 | PA      | $28262.97     | 0.09%             | 2047-08-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                     | MPLX LP                                                                         | CUSIP: 55336VAM2<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |       20000 | PA      | $16847.36     | 0.05%             | 2038-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179TZ65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       21826 | PA      | $21462.40     | 0.07%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                         | United Airlines Inc                                                             | CUSIP: 90932LAG2<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |       30000 | PA      | $27807.78     | 0.09%             | 2026-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                    | Cooperatieve Rabobank UA                                                        | CUSIP: 74977RDH4<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |      250000 | PA      | $224782.46    | 0.72%             | 2026-06-24      | Fixed         | 1.34%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                    | Enterprise Products Operating LLC                                               | CUSIP: 29379VBX0<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |       30000 | PA      | $25485.74     | 0.08%             | 2030-01-31      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                           | Kinder Morgan Inc                                                               | CUSIP: 49456BAP6<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9579.28      | 0.03%             | 2028-03-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                      | BP Capital Markets America Inc                                                  | CUSIP: 10373QBL3<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |       30000 | PA      | $27532.22     | 0.09%             | 2030-04-06      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                   | CUSIP: 172967MR9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       50000 | PA      | $49291.61     | 0.16%             | 2024-05-15      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                              | Amazon.com Inc                                                                  | CUSIP: 023135BJ4<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |       50000 | PA      | $42872.23     | 0.14%             | 2047-08-22      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Small Business Administration               | United States Small Business Administration                                     | CUSIP: 83162CB51<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       21292 | PA      | $19633.18     | 0.06%             | 2039-04-01      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F052623<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      200000 | PA      | $200360.51    | 0.64%             | 2053-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                         | American Express Co                                                             | CUSIP: 025816CW7<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |       30000 | PA      | $28567.37     | 0.09%             | 2029-05-03      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH INC                           | L3Harris Technologies Inc                                                       | CUSIP: 413875AS4<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |       20000 | PA      | $18635.58     | 0.06%             | 2035-04-27      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION   | SWOP IRS USD                                                                    | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              | CORP              | US        |      300000 | NC      | $1580.00      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          14 | NC      | $4375.00      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| NADG NNN Operating LP                       | NADG NNN Operating LP                                                           | CUSIP: 629682AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      147750 | PA      | $136980.84    | 0.44%             | 2049-12-28      | Fixed         | 3.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140JA4J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       49303 | PA      | $41986.54     | 0.13%             | 2035-01-01      | Variable      | 2.79%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                        | Glencore Funding LLC                                                            | CUSIP: 378272AT5<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9839.65      | 0.03%             | 2024-03-12      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                            | Altria Group Inc                                                                | CUSIP: 02209SAR4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |       10000 | PA      | $8814.00      | 0.03%             | 2044-01-31      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BR4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       30000 | PA      | $28225.13     | 0.09%             | 2029-03-30      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137H24R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       91694 | PA      | $12359.31     | 0.04%             | 2049-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141EC23<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |       70000 | PA      | $68496.68     | 0.22%             | 2024-07-08      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| FED REPUBLIC OF BRAZIL                      | Brazilian Government International Bond                                         | CUSIP: 105756BW9<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |      350000 | PA      | $259228.30    | 0.83%             | 2045-01-27      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                    | Enterprise Products Operating LLC                                               | CUSIP: 29379VBR3<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |       10000 | PA      | $7625.57      | 0.02%             | 2078-02-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Ali Group North America Corp                | ALI GROUP SRL 10/28TL                                                           | CUSIP: 01608UAE7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       44333 | PA      | $43897.98     | 0.14%             | 2029-07-22      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF KENYA                           | Republic of Kenya Government International Bond                                 | CUSIP: 491798AL8<br>LEI: 549300VVURQQYU45PR87 | Long             | DBT              | NUSS              | KE        |      200000 | PA      | $153600.00    | 0.49%             | 2034-01-23      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                        | Lockheed Martin Corp                                                            | CUSIP: 539830BS7<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |       30000 | PA      | $25444.12     | 0.08%             | 2053-06-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                       | Continental Resources Inc/OK                                                    | CUSIP: 212015AU5<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |       20000 | PA      | $17329.13     | 0.06%             | 2026-11-15      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38381ETV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       98328 | PA      | $4992.69      | 0.02%             | 2061-02-16      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F020612<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1200000 | PA      | $976152.31    | 3.13%             | 2053-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                            | BAT Capital Corp                                                                | CUSIP: 05526DBT1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |       30000 | PA      | $20370.67     | 0.07%             | 2040-09-25      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                       | Northrop Grumman Corp                                                           | CUSIP: 666807BU5<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |       30000 | PA      | $29540.70     | 0.09%             | 2050-05-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICALS NE                     | Teva Pharmaceutical Finance Netherlands III BV                                  | CUSIP: 88167AAE1<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |      240000 | PA      | $209880.00    | 0.67%             | 2026-10-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                            | T-Mobile USA Inc                                                                | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9418.92      | 0.03%             | 2027-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                       | Wells Fargo & Co                                                                | CUSIP: 95000U2R3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |       20000 | PA      | $19676.85     | 0.06%             | 2024-06-02      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46625HLL2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |       30000 | PA      | $26803.36     | 0.09%             | 2045-06-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC         | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-590.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COMCAST CORP                                | Comcast Corp                                                                    | CUSIP: 20030NDH1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       20000 | PA      | $16494.50     | 0.05%             | 2040-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortga              | MF1 2022-FL10 LLC                                                               | CUSIP: 55285BAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      100000 | PA      | $99501.45     | 0.32%             | 2037-09-17      | Floating      | 6.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Non Gold Pool                                                       | CUSIP: 31288QFW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       74249 | PA      | $71229.82     | 0.23%             | 2050-02-01      | Floating      | 3.09%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCE                    | Pioneer Natural Resources Co                                                    | CUSIP: 723787AR8<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |       20000 | PA      | $15808.04     | 0.05%             | 2031-01-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                   | CUSIP: 172967NE7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       70000 | PA      | $54436.82     | 0.17%             | 2032-11-03      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138W9BG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       42517 | PA      | $38720.29     | 0.12%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | CME Ultra Long Term US Treasury Bond                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          19 | NC      | $-19352.17    | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| UBS GROUP AG                                | UBS Group AG                                                                    | CUSIP: 90352JAF0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      200000 | PA      | $196764.67    | 0.63%             | N/A             | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         -21 | NC      | $-2100.00     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Sierra Receivables Funding Co               | Sierra Timeshare 2021-2 Receivables Funding LLC                                 | CUSIP: 82652RAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      113330 | PA      | $103734.49    | 0.33%             | 2038-09-20      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179TV77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       32069 | PA      | $31560.55     | 0.10%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                  | CUSIP: 61747YEH4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |       50000 | PA      | $39128.06     | 0.13%             | 2032-10-20      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                       | Continental Resources Inc/OK                                                    | CUSIP: 212015AL5<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |       20000 | PA      | $19951.60     | 0.06%             | 2023-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                          | Energy Transfer LP                                                              | CUSIP: 29273VAM2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       30000 | PA      | $25050.00     | 0.08%             | N/A             | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                  | Intel Corp                                                                      | CUSIP: 458140BW9<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |       10000 | PA      | $6474.95      | 0.02%             | 2051-08-12      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                    | AT&T Inc                                                                        | CUSIP: 00206RKJ0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |       30000 | PA      | $20248.09     | 0.06%             | 2053-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC         | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-18270.89    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                    | CDS CDX.NA.HY.39.V1                                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-6116.71     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                  | IRS USD                                                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |           1 | NC      | $69758.99     | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 10YR ULTRA                                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          -4 | NC      | $868.93       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BWAY Mortgage Trust                         | BWAY 2015-1740 Mortgage Trust                                                   | CUSIP: 05604LAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      500000 | PA      | $399697.75    | 1.28%             | 2035-01-10      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC         | CURRENCY CONTRACT - MXN                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1364.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38378KJP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     5365886 | PA      | $9158.49      | 0.03%             | 2048-10-16      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                    | Devon Energy Corp                                                               | CUSIP: 25179MAU7<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |       70000 | PA      | $60439.26     | 0.19%             | 2045-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                          | Energy Transfer LP                                                              | CUSIP: 29278NAP8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       50000 | PA      | $47087.24     | 0.15%             | 2025-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                  | AbbVie Inc                                                                      | CUSIP: 00287YBC2<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9899.90      | 0.03%             | 2023-11-14      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138X6PV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       27077 | PA      | $24670.18     | 0.08%             | 2043-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MARS INC                                    | Mars Inc                                                                        | CUSIP: 571676AB1<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |       30000 | PA      | $26796.08     | 0.09%             | 2030-04-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418BLU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15249 | PA      | $14615.18     | 0.05%             | 2035-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VOC ESCROW LTD                              | VOC Escrow Ltd                                                                  | CUSIP: 91832VAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |       20000 | PA      | $17202.00     | 0.06%             | 2028-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                | Comcast Corp                                                                    | CUSIP: 20030NCZ2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       10000 | PA      | $7252.44      | 0.02%             | 2050-02-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                     | MPLX LP                                                                         | CUSIP: 55336VAT7<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |       10000 | PA      | $8788.91      | 0.03%             | 2049-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      340000 | PA      | $280128.13    | 0.90%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                    | Warnermedia Holdings Inc                                                        | CUSIP: 55903VAL7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |       50000 | PA      | $41188.24     | 0.13%             | 2032-03-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F050619<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      100000 | PA      | $98522.14     | 0.32%             | 2053-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TRANSCONT GAS PIPE LINE                     | Transcontinental Gas Pipe Line Co LLC                                           | CUSIP: 893574AH6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       40000 | PA      | $42690.60     | 0.14%             | 2026-02-01      | Fixed         | 7.85%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                              | Amazon.com Inc                                                                  | CUSIP: 023135BF2<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |       40000 | PA      | $35436.79     | 0.11%             | 2037-08-22      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association   | CURRENCY CONTRACT - USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1517.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 3617M7WQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      424610 | PA      | $378146.46    | 1.21%             | 2050-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                    | AT&T Inc                                                                        | CUSIP: 00206RBK7<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |       19000 | PA      | $15282.00     | 0.05%             | 2045-06-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                  | Cigna Corp                                                                      | CUSIP: 125523AF7<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |        4000 | PA      | $3973.60      | 0.01%             | 2023-07-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                   | Boeing Co/The                                                                   | CUSIP: 097023DG7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |       50000 | PA      | $45428.13     | 0.15%             | 2026-02-04      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                        | Kraft Heinz Foods Co                                                            | CUSIP: 50077LAB2<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |       30000 | PA      | $24378.09     | 0.08%             | 2046-06-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XBUL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      141552 | PA      | $135193.86    | 0.43%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                          | Coterra Energy Inc                                                              | CUSIP: 127097AK9<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |       70000 | PA      | $66132.13     | 0.21%             | 2029-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                         | United Airlines Inc                                                             | CUSIP: 90932LAH0<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |      120000 | PA      | $104483.48    | 0.34%             | 2029-04-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| HCA INC                                     | HCA Inc                                                                         | CUSIP: 404121AJ4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |       40000 | PA      | $39773.29     | 0.13%             | 2028-09-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Lo              | Structured Asset Investment Loan Trust 2005-HE1                                 | CUSIP: 86358EUW4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      214309 | PA      | $202513.65    | 0.65%             | 2035-07-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY OHIO INC                        | Duke Energy Ohio Inc                                                            | CUSIP: 26442EAF7<br>LEI: L6KC0HABGHNFU1Z6QY21 | Long             | DBT              | CORP              | US        |       20000 | PA      | $18519.25     | 0.06%             | 2029-02-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Bank of America, National Association       | CURRENCY CONTRACT - MXN                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |           1 | NC      | $3056.61      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PAX4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |       60000 | PA      | $56361.41     | 0.18%             | 2029-12-05      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          18 | NC      | $5625.00      | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | Three-Month SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          15 | NC      | $6606.00      | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| NOTA DO TESOURO NACIONAL                    | Brazil Notas do Tesouro Nacional Serie F                                        | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |     1684000 | PA      | $293079.71    | 0.94%             | 2027-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                          | Union Pacific Corp                                                              | CUSIP: 907818FQ6<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |       20000 | PA      | $15895.33     | 0.05%             | 2036-04-06      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GKP3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |       40000 | PA      | $38252.92     | 0.12%             | 2028-04-27      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                              | Amazon.com Inc                                                                  | CUSIP: 023135CB0<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |       30000 | PA      | $21366.20     | 0.07%             | 2051-05-12      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                  | CUSIP: 6174468G7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |       30000 | PA      | $27921.11     | 0.09%             | 2030-01-23      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                               | DISH DBS Corp                                                                   | CUSIP: 25470XAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      120000 | PA      | $111508.07    | 0.36%             | 2024-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION   | SWOP IRS USD                                                                    | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              | CORP              | US        |     -450000 | NC      | $-330.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC         | CURRENCY CONTRACT - CAD                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              | CORP              | US        |           1 | NC      | $4283.55      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418BKY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       29655 | PA      | $28422.50     | 0.09%             | 2034-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F032617<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      200000 | PA      | $181660.54    | 0.58%             | 2053-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                   | CUSIP: 172967MP3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9182.97      | 0.03%             | 2031-03-31      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133KYVX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       36488 | PA      | $29521.84     | 0.09%             | 2041-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F020612<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |     -100000 | PA      | $-81346.03    | -0.26%            | 2053-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                  | US Bancorp                                                                      | CUSIP: 91159HHZ6<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |       40000 | PA      | $37088.48     | 0.12%             | 2025-05-12      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| II-VI INC                                   | Coherent Corp                                                                   | CUSIP: 45173JAQ7<br>LEI: 549300O5C25A0MMHHU33 | Long             | LON              | CORP              | US        |       49107 | PA      | $48481.02     | 0.16%             | 2029-07-01      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| Grippen Park CLO LTD                        | Grippen Park CLO Ltd                                                            | CUSIP: 39862DAA4<br>LEI: 549300P7KR0IARP7PG22 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $217412.17    | 0.70%             | 2030-01-20      | Floating      | 9.94%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T              | Alternative Loan Trust 2005-81                                                  | CUSIP: 12668BBN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      135044 | PA      | $109034.09    | 0.35%             | 2037-02-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                       | Wells Fargo & Co                                                                | CUSIP: 95000U2D4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |       50000 | PA      | $46996.37     | 0.15%             | 2029-01-24      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                      | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      200000 | PA      | $189219.49    | 0.61%             | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                              | Air Lease Corp                                                                  | CUSIP: 00914AAH5<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |       30000 | PA      | $28374.62     | 0.09%             | 2025-07-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| HILTON WORLDWIDE FINANCE                    | Hilton Worldwide Finance LLC                                                    | CUSIP: 43289DAH6<br>LEI: 549300406TN7EY0NPH20 | Long             | LON              | CORP              | US        |       30000 | PA      | $29880.60     | 0.10%             | 2026-06-21      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                       | Continental Resources Inc/OK                                                    | CUSIP: 212015AQ4<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |       30000 | PA      | $22240.46     | 0.07%             | 2044-06-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X6ZK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      261281 | PA      | $248860.27    | 0.80%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                | Ecopetrol SA                                                                    | CUSIP: 279158AJ8<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |       70000 | PA      | $48724.09     | 0.16%             | 2045-05-28      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F020620<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      100000 | PA      | $81431.96     | 0.26%             | 2053-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         -40 | NC      | $-17250.00    | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         -71 | NC      | $-3106.25     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| ECMC Group Student Loan Trust               | ECMC Group Student Loan Trust 2020-2                                            | CUSIP: 26829HAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      137410 | PA      | $133084.64    | 0.43%             | 2069-11-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| NCL CORPORATION LTD                         | NCL Corp Ltd                                                                    | CUSIP: 62886HBA8<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | BM        |      130000 | PA      | $102111.10    | 0.33%             | 2026-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                    | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |           1 | NC      | $61194.48     | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      380000 | PA      | $381395.31    | 1.22%             | 2027-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      920000 | PA      | $914968.75    | 2.94%             | 2027-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 31329KXS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       48871 | PA      | $46715.55     | 0.15%             | 2038-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Virgin Media Bristol LLC                    | VIRGIN/O2 01/29 TL                                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       20000 | PA      | $19785.00     | 0.06%             | 2029-01-31      | Floating      | 7.52%                 | No            |                  2 | On Loan: No      |
| Pilot Travel Centers LLC                    | PILOT TRAVEL CEN 07/28 TL                                                       | CUSIP: 72165NBH1<br>LEI: 549300115UILLXNE1Z49 | Long             | LON              | CORP              | US        |       48531 | PA      | $47911.89     | 0.15%             | 2028-08-06      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179UQ62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       49815 | PA      | $48781.90     | 0.16%             | 2049-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MARS INC                                    | Mars Inc                                                                        | CUSIP: 000000000<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |       10000 | PA      | $8932.03      | 0.03%             | 2030-04-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         -10 | NC      | $-12031.25    | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         -18 | NC      | $-5625.00     | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                      | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |     -200000 | PA      | $-189219.49   | -0.61%            | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Non Gold Pool                                                       | CUSIP: 31288QFS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       60623 | PA      | $58398.43     | 0.19%             | 2047-11-01      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                       | Northrop Grumman Corp                                                           | CUSIP: 666807BN1<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |       40000 | PA      | $36889.99     | 0.12%             | 2028-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                      | Diamondback Energy Inc                                                          | CUSIP: 25278XAN9<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |       20000 | PA      | $17546.43     | 0.06%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SUZANO AUSTRIA GMBH                         | Suzano Austria GmbH                                                             | CUSIP: 86964WAJ1<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |       10000 | PA      | $8389.27      | 0.03%             | 2031-01-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                        | Glencore Funding LLC                                                            | CUSIP: 378272AN8<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |       30000 | PA      | $28311.69     | 0.09%             | 2027-03-27      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                  | AbbVie Inc                                                                      | CUSIP: 00287YBX6<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |       70000 | PA      | $63103.18     | 0.20%             | 2029-11-21      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          -3 | NC      | $-1293.75     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| LAS VEGAS SANDS CORP                        | Las Vegas Sands Corp                                                            | CUSIP: 517834AH0<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |       80000 | PA      | $73517.74     | 0.24%             | 2025-06-25      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| RAYTHEON TECH CORP                          | Raytheon Technologies Corp                                                      | CUSIP: 75513EAD3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |       50000 | PA      | $41607.19     | 0.13%             | 2030-07-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          -1 | NC      | $-100.00      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| TARGA RESOURCES CORP                        | Targa Resources Corp                                                            | CUSIP: 87612KAA0<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9801.32      | 0.03%             | 2027-07-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                        | Freeport-McMoRan Inc                                                            | CUSIP: 35671DCH6<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |       20000 | PA      | $18627.89     | 0.06%             | 2030-08-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Caesars Resort Collection LLC               | CAESARS RESORT 07/21/25                                                         | CUSIP: 12769LAD1<br>LEI: 549300V3UCT773B1KR38 | Long             | LON              | CORP              | US        |       50538 | PA      | $50366.16     | 0.16%             | 2025-07-20      | Floating      | 7.89%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2017-C41                                  | CUSIP: 95001ABH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       70000 | PA      | $60316.42     | 0.19%             | 2050-11-15      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association   | CURRENCY CONTRACT - IDR                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $399.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 3617JYJ79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       26943 | PA      | $25464.38     | 0.08%             | 2049-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          21 | NC      | $4593.75      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179UGE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       25837 | PA      | $25831.37     | 0.08%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179WBY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       72832 | PA      | $63400.83     | 0.20%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CARRIER GLOBAL CORP                         | Carrier Global Corp                                                             | CUSIP: 14448CAQ7<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |       10000 | PA      | $8418.94      | 0.03%             | 2030-02-15      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                 | Oracle Corp                                                                     | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |       50000 | PA      | $41456.35     | 0.13%             | 2031-03-25      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                               | United States Treasury Bill                                                     | CUSIP: 912796ZM4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      120000 | PA      | $119632.27    | 0.38%             | 2023-01-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | SOFR 1 YEAR MIDCURVE                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          11 | NC      | $1443.75      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CAMERON LNG LLC                             | Cameron LNG LLC                                                                 | CUSIP: 133434AB6<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |       60000 | PA      | $48307.02     | 0.16%             | 2035-01-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                            | Altria Group Inc                                                                | CUSIP: 02209SAV5<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |       30000 | PA      | $20059.39     | 0.06%             | 2046-09-16      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XAKK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      171373 | PA      | $145944.77    | 0.47%             | 2041-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133AYLJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       94152 | PA      | $76720.63     | 0.25%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 3622AAKS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       63399 | PA      | $56490.58     | 0.18%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GJT7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      200000 | PA      | $160076.82    | 0.51%             | 2032-04-22      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                     | MPLX LP                                                                         | CUSIP: 55336VAJ9<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |       20000 | PA      | $19693.44     | 0.06%             | 2025-06-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F022618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1500000 | PA      | $1269771.47   | 4.07%             | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                        | Kraft Heinz Foods Co                                                            | CUSIP: 50077LAZ9<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |       30000 | PA      | $26041.29     | 0.08%             | 2049-10-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                  | CUSIP: 6174468Q5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |       40000 | PA      | $37170.61     | 0.12%             | 2026-04-28      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                 | CDS DAIMLER AG                                                                  | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DCR              | CORP              | FR        |           1 | NC      | $-5725.53     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Impac CMB Trust                             | Impac CMB Trust Series 2005-7                                                   | CUSIP: 45254NQX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      129748 | PA      | $109033.74    | 0.35%             | 2035-11-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION   | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              | CORP              | US        |           1 | NC      | $6386.23      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                       | Time Warner Cable LLC                                                           | CUSIP: 88732JAJ7<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9520.61      | 0.03%             | 2037-05-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| GUARDIAN LIFE GLOB FUND                     | Guardian Life Global Funding                                                    | CUSIP: 40139LAG8<br>LEI: 635400NHILJ5JEKILC36 | Long             | DBT              | CORP              | US        |       20000 | PA      | $18114.65     | 0.06%             | 2025-06-23      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                      | CUSIP: 21H052611<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      100000 | PA      | $100559.16    | 0.32%             | 2053-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                  | AbbVie Inc                                                                      | CUSIP: 00287YDB2<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |       60000 | PA      | $53882.71     | 0.17%             | 2045-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                    | Western Midstream Operating LP                                                  | CUSIP: 958667AD9<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9985.00      | 0.03%             | 2023-01-13      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                             | CVS Health Corp                                                                 | CUSIP: 126650DR8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |       20000 | PA      | $15857.42     | 0.05%             | 2031-09-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA BRISTOL LLC                    | Virgin Media Bristol LLC                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       50000 | PA      | $49089.50     | 0.16%             | 2028-01-31      | Floating      | 6.84%                 | No            |                  2 | On Loan: No      |
| SUZANO AUSTRIA GMBH                         | Suzano Austria GmbH                                                             | CUSIP: 86964WAK8<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |      130000 | PA      | $101348.52    | 0.33%             | 2032-01-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION   | SWOP IRS USD                                                                    | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              | CORP              | US        |     -300000 | NC      | $-274.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                   | CUSIP: 172967NN7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       20000 | PA      | $17105.83     | 0.05%             | 2033-03-17      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-27

**Name of Applicant:** Legg Mason ETF Investment Trust

**Signature:** Christopher Berarducci

**Name of Signer:** Christopher Berarducci

**Title:** Principal Financial Officer