# EDGAR Filing Document

**Accession Number:** 0000889512
**File Stem:** 0000940400-25-004849
**Filing Date:** 2025-10
**Character Count:** 73519
**Document Hash:** 4ef8271333fdbdf6c7e3870d2ca37d55
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000940400-25-004849.hdr.sgml**: 20251021

**ACCESSION NUMBER**: 0000940400-25-004849

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250829

**FILED AS OF DATE**: 20251021

**DATE AS OF CHANGE**: 20251021

**PERIOD START**: 20260228

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** LEGG MASON PARTNERS INSTITUTIONAL TRUST
- **CENTRAL INDEX KEY:** 0000889512

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 0831

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-06740
- **FILM NUMBER:** 251406980

**BUSINESS ADDRESS:**
- **STREET 1:** LEGG MASON & CO., LLC
- **STREET 2:** 620 EIGHTH AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10018
- **BUSINESS PHONE:** 1-877-721-1926

**MAIL ADDRESS:**
- **STREET 1:** LEGG MASON & CO., LLC
- **STREET 2:** 620 EIGHTH AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10018

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** CITIFUNDS INSTITUTIONAL TRUST
- **DATE OF NAME CHANGE:** 19981030

## Series and Classes Contracts Data

### Western Asset SMASh Series M Fund (Series ID: S000014681)

| Class ID   | Class Name          | Ticker Symbol   |
|:---|:---|:---|
| C000040179 | SMASh Series M Fund | LMSMX           |

## 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 Partners Institutional Trust

- **b. Investment Company Act file number:** 811-06740

- **c. CIK number of Registrant:** 0000889512

- **d. LEI of Registrant:** 54930003LJE4ZPPMRV82

- **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:** 1-877-656-3863

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

- **a. Name of Series:** Western Asset SMASh Series M Fund

- **b. EDGAR series identifier (if any):** S000014681

- **c. LEI of Series:** 549300IQMLUT4BTBM734

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

- **a. Date of fiscal year-end:** 2026-02-28

- **b. Date as of which information is reported:** 2025-08-29

**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:** $693134953.67

**Total Liabilities:** $263958639.84

**Net Assets:** $429176313.83

**Delayed Delivery Securities:** $13700000.00

**Stand-by Commitments:** $249841250.57

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 464.84000000 | **1-Year:** 51412.63000000 | **5-Year:** 210209.31000000 | **10-Year:** 23794.41000000 | **30-Year:** 235.95000000

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

- **3-Month:** 0.02000000 | **1-Year:** 748.40000000 | **5-Year:** 1917.70000000 | **10-Year:** 1.84000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000040179 | 2.60%                | -1.10%               | 3.47%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $100624.54               | $5722500.52                                |
| Month 2  | $2251530.08              | $-5108871.61                               |
| Month 3  | $1209495.95              | $5412056.15                                |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| INTERCONTINENTAL EXCHANGE, INC.             | CDS CDX.NA.IG.44.V1                                                              | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |         1 | NC      | $3085393.70   | 0.72%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36188MYN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    370637 | PA      | $348746.55    | 0.08%             | 2045-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138EGQ64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17016 | PA      | $17338.91     | 0.00%             | 2040-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 3617MB5P0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50839 | PA      | $47902.40     | 0.01%             | 2050-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2021-VOLT                                           | CUSIP: 05609VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8787271 | PA      | $8776173.65   | 2.04%             | 2036-09-15      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F022691<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17900000 | PA      | $14865048.38  | 3.46%             | 2055-09-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                              | Fannie Mae-Aces                                                                  | CUSIP: 3136B8TR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5135731 | PA      | $70902.36     | 0.02%             | 2028-02-25      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38378KYB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13182784 | PA      | $10398.58     | 0.00%             | 2054-06-16      | Variable      | 0.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 3622ACPG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    166966 | PA      | $169958.21    | 0.04%             | 2053-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                              | Fannie Mae-Aces                                                                  | CUSIP: 3136BDHY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  74520000 | PA      | $278525.95    | 0.06%             | 2030-12-25      | Variable      | 0.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi              | Freddie Mac Multiclass Certificates Series 2020-RR07                             | CUSIP: 3137FRVC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6000000 | PA      | $364515.30    | 0.08%             | 2028-09-27      | Variable      | 2.47%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                              | Fannie Mae-Aces                                                                  | CUSIP: 3136BARE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7880773 | PA      | $121922.66    | 0.03%             | 2028-01-25      | Variable      | 1.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F050692<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1600000 | PA      | $1578178.98   | 0.37%             | 2055-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36241LUX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    544876 | PA      | $544042.82    | 0.13%             | 2041-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T              | Renaissance Home Equity Loan Trust 2007-3                                        | CUSIP: 75971FAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    131930 | PA      | $105071.01    | 0.02%             | 2037-09-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36178NF95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5523490 | PA      | $5025106.44   | 1.17%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve              | Structured Asset Mortgage Investments II Trust 2005-AR7                          | CUSIP: 86359LQM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     78820 | PA      | $74355.57     | 0.02%             | 2046-03-25      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                              | Fannie Mae-Aces                                                                  | CUSIP: 3136B8TZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  27890042 | PA      | $520774.03    | 0.12%             | 2028-02-25      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36178WGQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7380010 | PA      | $6615400.19   | 1.54%             | 2042-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru              | SMB Private Education Loan Trust 2024-A                                          | CUSIP: 831943AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9975706 | PA      | $10218505.98  | 2.38%             | 2056-03-15      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| Residential Funding Securities              | RFSC Series 2002-RP2 Trust                                                       | CUSIP: 760985PC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1067 | PA      | $1043.59      | 0.00%             | 2032-10-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136A6Q56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5196 | PA      | $4747.45      | 0.00%             | 2042-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F042699<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13100000 | PA      | $12601438.76  | 2.94%             | 2055-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi              | CWABS Inc Asset-Backed Certificates Trust 2004-5                                 | CUSIP: 1266716C5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1426761 | PA      | $1401842.04   | 0.33%             | 2034-10-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36188MYH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    217480 | PA      | $203828.02    | 0.05%             | 2045-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                             | Impac CMB Trust Series 2004-7                                                    | CUSIP: 45254NKF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1122118 | PA      | $1110472.24   | 0.26%             | 2034-11-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In              | RALI Series 2006-QO7 Trust                                                       | CUSIP: 751150AH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    224513 | PA      | $220616.87    | 0.05%             | 2046-09-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| FED HOME LN DISCOUNT NT                     | Federal Home Loan Bank Discount Notes                                            | CUSIP: 313385MQ6<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |    970000 | PA      | $965812.30    | 0.23%             | 2025-10-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru              | SMB Private Education Loan Trust 2021-C                                          | CUSIP: 83208AAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2081212 | PA      | $1864802.13   | 0.43%             | 2053-01-15      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                 | PRKCM 2021-AFC1 Trust                                                            | CUSIP: 69357TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13366330 | PA      | $11390830.88  | 2.65%             | 2056-08-25      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137F72D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  34812346 | PA      | $427004.76    | 0.10%             | 2027-09-25      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 3622AAKS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    320470 | PA      | $279716.05    | 0.07%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FTZM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  44865769 | PA      | $4379554.06   | 1.02%             | 2035-02-25      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2021-ARIA                                                               | CUSIP: 05608RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8415000 | PA      | $8417325.06   | 1.96%             | 2036-10-15      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136AARL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    210298 | PA      | $25425.77     | 0.01%             | 2042-12-25      | Floating      | 1.69%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                 | Extended Stay America Trust 2021-ESH                                             | CUSIP: 30227FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3139805 | PA      | $3141361.70   | 0.73%             | 2038-07-15      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Park Blue CLO Ltd                           | Park Blue CLO 2025-VIII Ltd                                                      | CUSIP: 70019WAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6100000 | PA      | $6104575.00   | 1.42%             | 2038-10-25      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                | GS Mortgage Securities Corp Trust 2021-ROSS                                      | CUSIP: 36264YAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2894000 | PA      | $2499577.03   | 0.58%             | 2026-05-15      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137BXR20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  45521990 | PA      | $331668.67    | 0.08%             | 2027-03-25      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                             | Goodgreen 2021-1 Trust                                                           | CUSIP: 38217UAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6437281 | PA      | $5320872.29   | 1.24%             | 2056-10-15      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2021-DNA2                                          | CUSIP: 35564KDB2<br>LEI: 5493007ZK0X40BI7UF30 | Long             | ABS-MBS          | CORP              | US        |   5131907 | PA      | $5248627.28   | 1.22%             | 2033-08-25      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC Series 2019-UVIL                                                            | CUSIP: 12656DAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10000000 | PA      | $9362027.00   | 2.18%             | 2041-12-15      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FMCT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5496754 | PA      | $160081.98    | 0.04%             | 2029-05-25      | Variable      | 1.08%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Lo              | Arbor Realty Commercial Real Estate Notes 2021-FL3 Ltd                           | CUSIP: 03880KAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    415965 | PA      | $416522.67    | 0.10%             | 2034-08-15      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T              | Alternative Loan Trust 2005-24                                                   | CUSIP: 12667GNS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    154836 | PA      | $139885.98    | 0.03%             | 2035-07-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortga              | MF1 2021-FL7 Ltd                                                                 | CUSIP: 55284AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1337027 | PA      | $1335382.28   | 0.31%             | 2036-10-16      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FWHG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  40248953 | PA      | $3691766.79   | 0.86%             | 2035-07-25      | Variable      | 1.44%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C              | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2003-4               | CUSIP: 16678RAJ6<br>LEI: 549300YJP2VT3ZPGT715 | Long             | ABS-MBS          | CORP              | US        |    405639 | PA      | $396941.30    | 0.09%             | 2034-10-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140FXF98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1228500 | PA      | $1150858.11   | 0.27%             | 2057-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137F83S0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  53342533 | PA      | $2210818.62   | 0.52%             | 2030-10-25      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                 | CUSIP: 91282CNJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  59890000 | PA      | $60208165.63  | 14.03%            | 2032-06-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F062697<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16300000 | PA      | $16893755.21  | 3.94%             | 2055-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC 2017-RPL3 Trust                                                             | CUSIP: 12651YAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9375448 | PA      | $8974978.61   | 2.09%             | 2057-08-01      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140HWJ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4360922 | PA      | $3998108.36   | 0.93%             | 2031-11-01      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 3622AANA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  21390137 | PA      | $19817093.57  | 4.62%             | 2048-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo              | Merrill Lynch Mortgage Investors Trust Series 2006-A1                            | CUSIP: 59020U5U5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    231362 | PA      | $127559.90    | 0.03%             | 2036-03-25      | Variable      | 4.58%                 | No            |                  2 | On Loan: No      |
| BNY MELLON CASH RESERVE EOD FUND            | BNY MELLON CASH RESERVE EOD FUND                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   3485731 | NS      | $3485730.83   | 0.81%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                       | CUSIP: 21H060697<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  50900000 | PA      | $51925118.87  | 12.10%            | 2055-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                | GS Mortgage Securities Trust 2018-GS9                                            | CUSIP: 36255NAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1725000 | PA      | $1600261.63   | 0.37%             | 2051-03-10      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu              | JPMBB Commercial Mortgage Securities Trust 2015-C30                              | CUSIP: 46644UBE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10544000 | PA      | $10405793.47  | 2.42%             | 2048-07-15      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan               | New Residential Mortgage Loan Trust 2016-4                                       | CUSIP: 64829LAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2281430 | PA      | $2198188.32   | 0.51%             | 2056-11-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XFN49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130885 | PA      | $119512.47    | 0.03%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F020695<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  28200000 | PA      | $22403183.75  | 5.22%             | 2055-09-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC 2017-RPL3 Trust                                                             | CUSIP: 12651YAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9239292 | PA      | $9024075.62   | 2.10%             | 2057-08-01      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| Empower CLO Ltd.                            | Empower CLO 2023-2 Ltd                                                           | CUSIP: 29247BAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3320000 | PA      | $3318539.53   | 0.77%             | 2038-10-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138AFB90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6486 | PA      | $6609.27      | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 3622A3CG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2856425 | PA      | $2671245.62   | 0.62%             | 2048-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36195JJM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13076 | PA      | $11912.30     | 0.00%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138LUTG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52247 | PA      | $51713.00     | 0.01%             | 2042-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 3622AB4U3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    990820 | PA      | $958710.29    | 0.22%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F040693<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $2799849.42   | 0.65%             | 2055-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36241LW51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48710 | PA      | $48635.89     | 0.01%             | 2041-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                   | Towd Point Mortgage Trust 2020-2                                                 | CUSIP: 89176UAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8740000 | PA      | $6847905.37   | 1.60%             | 2060-04-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Apex Credit CLO LLC                         | Apex Credit CLO 2021-II LLC                                                      | CUSIP: 03755QAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    920000 | PA      | $920690.00    | 0.21%             | 2034-10-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140FXTS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1415868 | PA      | $1127449.27   | 0.26%             | 2061-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                              | Fannie Mae-Aces                                                                  | CUSIP: 3136B7GP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9270120 | PA      | $163318.19    | 0.04%             | 2030-02-25      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| Greystone Commercial Real Esta              | Greystone CRE Notes 2021-FL3 Ltd                                                 | CUSIP: 39809PAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    306403 | PA      | $306756.58    | 0.07%             | 2039-07-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | U.S. TREASURY BOND                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -5 | NC      | $1007.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36178WDN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8554608 | PA      | $7763484.66   | 1.81%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC 2017-RPL1 Trust                                                             | CUSIP: 22945AAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2316063 | PA      | $2263618.50   | 0.53%             | 2057-07-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                                 | SREIT Trust 2021-PALM                                                            | CUSIP: 85237AAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2930000 | PA      | $2921631.63   | 0.68%             | 2034-10-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 3617JYLP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    180184 | PA      | $164145.92    | 0.04%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                 | CUSIP: 91282CJL6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2020000 | PA      | $2023129.61   | 0.47%             | 2025-11-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136ADKM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    366302 | PA      | $63390.72     | 0.01%             | 2043-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                              | Fannie Mae-Aces                                                                  | CUSIP: 3136BBBW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2288615 | PA      | $133915.78    | 0.03%             | 2034-09-25      | Variable      | 1.40%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgage              | MASTR Adjustable Rate Mortgages Trust 2005-7                                     | CUSIP: 576433D52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     55534 | PA      | $33440.89     | 0.01%             | 2035-09-25      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38379GZ83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    322931 | PA      | $64686.39     | 0.02%             | 2044-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2020-B21 Mortgage Trust                                                | CUSIP: 08163LAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8020000 | PA      | $6819734.82   | 1.59%             | 2053-12-17      | Fixed         | 2.46%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 5 YEAR U.S. TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      4310 | NC      | $1692515.74   | 0.39%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 3622AAHA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    124542 | PA      | $113453.29    | 0.03%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 3617MKLU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    397042 | PA      | $363169.12    | 0.08%             | 2050-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38379U6W1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    706357 | PA      | $25797.28     | 0.01%             | 2057-02-16      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140FXKP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1573058 | PA      | $1515720.48   | 0.35%             | 2058-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 3617MB5B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    132434 | PA      | $124808.63    | 0.03%             | 2050-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                       | CUSIP: 21H052694<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19700000 | PA      | $19850763.31  | 4.63%             | 2055-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 3617K1ZG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1333590 | PA      | $1256768.20   | 0.29%             | 2049-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 3617MB5S4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     85439 | PA      | $80519.39     | 0.02%             | 2050-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F032690<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $180703.38    | 0.04%             | 2055-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RAAC Series                                 | RAAC Series 2006-SP1 Trust                                                       | CUSIP: 76112B3F5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    259018 | PA      | $255306.84    | 0.06%             | 2045-09-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | ULTRA U.S. TREASURY BOND                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -400 | NC      | $134645.28    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2021-R01                                     | CUSIP: 20754RAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7141301 | PA      | $7172991.31   | 1.67%             | 2041-10-25      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140FXG89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3585852 | PA      | $3455115.42   | 0.81%             | 2057-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Antares CLO                                 | Antares CLO 2018-1 Ltd                                                           | CUSIP: 03665MAJ0<br>LEI: 254900BLLG7F7B4DGG41 | Long             | ABS-CBDO         | CORP              | KY        |   5190000 | PA      | $5196183.37   | 1.21%             | 2038-04-20      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 3622AB6B3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    805230 | PA      | $778646.26    | 0.18%             | 2052-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX 2021-MFM1                                                                     | CUSIP: 05608VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    321122 | PA      | $321049.50    | 0.07%             | 2034-01-15      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Warwick Capital CLO Ltd                     | Warwick Capital CLO 7 Ltd                                                        | CUSIP: 93656JAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4960000 | PA      | $4963720.00   | 1.16%             | 2038-10-21      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F052698<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11300000 | PA      | $11365381.69  | 2.65%             | 2055-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortgage-Backed Securities Trust 2018-RPL1                                    | CUSIP: 36256BAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7171799 | PA      | $7034930.60   | 1.64%             | 2057-10-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                               | United States Treasury Bill                                                      | CUSIP: 912797RD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    440000 | PA      | $437517.60    | 0.10%             | 2025-10-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Asset Trust               | Bayview Financial Asset Trust 2007-SSR1                                          | CUSIP: 07325QAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    253666 | PA      | $253232.00    | 0.06%             | 2037-03-25      | Floating      | 5.34%                 | 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        |       -19 | NC      | $-10954.65    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Homebanc Mortgage Trust                     | HomeBanc Mortgage Trust 2004-2                                                   | CUSIP: 43739EAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    786633 | PA      | $750008.08    | 0.17%             | 2034-12-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                              | Fannie Mae-Aces                                                                  | CUSIP: 3136B7GF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5155699 | PA      | $34423.06     | 0.01%             | 2030-02-25      | Variable      | 0.32%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T              | Renaissance Home Equity Loan Trust 2007-3                                        | CUSIP: 75971FAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    577622 | PA      | $459973.80    | 0.11%             | 2037-09-25      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138AFC65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18192 | PA      | $18537.59     | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC 2014-USA OA LLC                                                             | CUSIP: 12649AAC3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   3290000 | PA      | $3033617.54   | 0.71%             | 2037-09-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 3617MKK99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    497418 | PA      | $466398.33    | 0.11%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T              | Alternative Loan Trust 2005-57CB                                                 | CUSIP: 12668AYS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    192944 | PA      | $102116.95    | 0.02%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                 | CUSIP: 91282CJW2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  40000000 | PA      | $40508593.60  | 9.44%             | 2029-01-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137F82T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18218564 | PA      | $674192.54    | 0.16%             | 2030-11-25      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                              | Fannie Mae-Aces                                                                  | CUSIP: 3136B6XJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11351083 | PA      | $10741518.79  | 2.50%             | 2029-08-25      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR U.S. TREASURY NOTE                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       868 | NC      | $438085.16    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138AFV31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8787 | PA      | $8953.65      | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Origen Manufactured Housing                 | Origen Manufactured Housing Contract Trust 2007-A                                | CUSIP: 68620CAB6<br>LEI: 5493001P8LORMOBBQA95 | Long             | ABS-O            | CORP              | US        |     95039 | PA      | $88975.11     | 0.02%             | 2037-04-15      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer              | WaMu Mortgage Pass-Through Certificates Series 2004-AR13 Trust                   | CUSIP: 92922FB64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2803774 | PA      | $2693322.33   | 0.63%             | 2034-11-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX 2021-LBA3 Mortgage Trust                                                      | CUSIP: 05609PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11580000 | PA      | $11575597.28  | 2.70%             | 2036-10-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38378XSQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  41757386 | PA      | $184196.01    | 0.04%             | 2055-01-16      | Variable      | 0.13%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan               | New Residential Mortgage Loan Trust 2019-2                                       | CUSIP: 64830DAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9001973 | PA      | $8864853.14   | 2.07%             | 2057-12-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                              | Fannie Mae-Aces                                                                  | CUSIP: 3136B3YD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $2851709.40   | 0.66%             | 2036-01-25      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31410GPR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49461 | PA      | $52611.69     | 0.01%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136AFRB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122812 | PA      | $2430.87      | 0.00%             | 2028-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                     | Goldman Sachs & Co                                                               | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | Long             | RA               | CORP              | US        |   5000000 | PA      | $5000000.00   | 1.17%             |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 2 YEAR U.S. TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         1 | NC      | $528.07       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36178WDM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2677031 | PA      | $2431046.28   | 0.57%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38378XUN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7376963 | PA      | $44556.86     | 0.01%             | 2055-05-16      | Variable      | 0.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                       | CUSIP: 21H050698<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13400000 | PA      | $13268071.64  | 3.09%             | 2055-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 3622ACPU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    760271 | PA      | $768593.60    | 0.18%             | 2053-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Thrust Engine Leasing                       | Thrust Engine Leasing 2021 DAC                                                   | CUSIP: 88603UAA7<br>LEI: 254900X0E0PUM0VQBP74 | Long             | ABS-O            | CORP              | US        |   7335990 | PA      | $7110578.40   | 1.66%             | 2040-07-15      | Fixed         | 4.16%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC 2021-RPL4 Trust                                                             | CUSIP: 12662GAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5107039 | PA      | $5095285.58   | 1.19%             | 2060-12-27      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F030694<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8600000 | PA      | $7452072.69   | 1.74%             | 2055-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GMAC Mortgage Corporation Loan              | GMACM Mortgage Loan Trust 2006-AR1                                               | CUSIP: 36185MDN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    297707 | PA      | $247337.62    | 0.06%             | 2036-04-19      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co              | Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-9A          | CUSIP: 86359ARF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     46823 | PA      | $45951.87     | 0.01%             | 2033-03-25      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 3617K1Y72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    438175 | PA      | $412934.24    | 0.10%             | 2049-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38379JA50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    382065 | PA      | $59329.37     | 0.01%             | 2045-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                              | Fannie Mae-Aces                                                                  | CUSIP: 3136B56Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  31227934 | PA      | $571315.05    | 0.13%             | 2029-09-25      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| SUNRUN VULCAN ISSUER LLC                    | Sunrun Vulcan Issuer 2021-1 LLC                                                  | CUSIP: 86773QAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2767389 | PA      | $2539216.68   | 0.59%             | 2052-01-30      | Fixed         | 2.46%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137F62P1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  27118258 | PA      | $1063748.92   | 0.25%             | 2030-09-25      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| THE 2023-MIC Trust                          | 2023-MIC Trust/THE                                                               | CUSIP: 87256GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3470000 | PA      | $3779588.89   | 0.88%             | 2038-12-05      | Variable      | 8.73%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR Debt Notes 2015-DNA3                                           | CUSIP: 3137G0GX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1227317 | PA      | $1232855.77   | 0.29%             | 2028-04-25      | Floating      | 8.16%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FUZK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  29422832 | PA      | $3110511.19   | 0.72%             | 2035-05-25      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 3617MB4M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    119588 | PA      | $110489.27    | 0.03%             | 2050-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138X7HH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8840 | PA      | $8774.87      | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co              | Structured Asset Securities Corp Mortgage Pass Through Certificates Ser 2001-SB1 | CUSIP: 86358RDU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3284 | PA      | $3274.07      | 0.00%             | 2031-08-25      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Blackbird Capital Aircraft                  | Blackbird Capital Aircraft Lease Securitization Ltd 2016-1                       | CUSIP: 09228YAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   4320715 | PA      | $4322205.24   | 1.01%             | 2041-12-16      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| KREF 2021-FL2 Ltd                           | KREF 2021-FL2 Ltd                                                                | CUSIP: 48275RAA5<br>LEI: 54930083ELM2GCMVTQ91 | Long             | ABS-CBDO         | CORP              | KY        |   2126365 | PA      | $2127169.98   | 0.50%             | 2039-02-15      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                              | Fannie Mae-Aces                                                                  | CUSIP: 3136BDDH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  35739211 | PA      | $1939277.48   | 0.45%             | 2033-12-25      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                  | Navient Student Loan Trust 2021-1                                                | CUSIP: 63942NAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1545083 | PA      | $1536902.53   | 0.36%             | 2069-12-26      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F060691<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  47400000 | PA      | $48429523.73  | 11.28%            | 2055-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36178DH20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1363320 | PA      | $1239733.69   | 0.29%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BrightSpire Capital, Inc                    | BRSP 2021-FL1 Ltd                                                                | CUSIP: 05591XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2008776 | PA      | $2003837.84   | 0.47%             | 2038-08-19      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 3622AB4Z2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    391545 | PA      | $390574.06    | 0.09%             | 2052-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38375CWH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1083198 | PA      | $139351.37    | 0.03%             | 2042-04-16      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| Abry Liquid Credit CLO 2025-1 Ltd           | ABRY LIQUID CR CLO LTD 2025-1 20381020 FLT                                       | CUSIP: 00383LAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1720000 | PA      | $1721290.00   | 0.40%             | 2038-10-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru              | SMB Private Education Loan Trust 2023-B                                          | CUSIP: 78449HAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2099363 | PA      | $2142773.18   | 0.50%             | 2056-10-16      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                       | CUSIP: 21H042695<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  28100000 | PA      | $27068445.07  | 6.31%             | 2055-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-10-21

**Name of Applicant:** Legg Mason Partners Institutional Trust

**Signature:** Christopher Berarducci

**Name of Signer:** Christopher Berarducci

**Title:** Principal Financial Officer