# EDGAR Filing Document

**Accession Number:** 0000863520
**File Stem:** 0001752724-25-174670
**Filing Date:** 2025-7
**Character Count:** 186638
**Document Hash:** ebc8bb9b92f77f8c70a6156162a2c920
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-174670.hdr.sgml**: 20250723

**ACCESSION NUMBER**: 0001752724-25-174670

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250530

**FILED AS OF DATE**: 20250723

**DATE AS OF CHANGE**: 20250723

**PERIOD START**: 20250531

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-06110
- **FILM NUMBER:** 251142299

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

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

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

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

## Series and Classes Contracts Data

### Western Asset Total Return Unconstrained Fund (Series ID: S000012738)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000034298 | Class I      | WAARX           |
| C000034299 | Class FI     | WARIX           |
| C000066992 | Class IS     | WAASX           |
| C000113713 | CLASS A      | WAUAX           |
| C000113714 | CLASS C      | WAUCX           |
| C000113715 | CLASS R      | WAURX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

  - **Street Address 1:** 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 Unconstrained Fund

- **b. EDGAR series identifier (if any):** S000012738

- **c. LEI of Series:** 549300TRHXU9STZER182

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

- **a. Date of fiscal year-end:** 2025-05-31

- **b. Date as of which information is reported:** 2025-05-30

**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:** $165315827.66

**Total Liabilities:** $29340181.18

**Net Assets:** $135975646.48

**Delayed Delivery Securities:** $179859.90

**Stand-by Commitments:** $28076644.51

**Cash Not Reported:** $1519382.29

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 168.92000000 | **1-Year:** 3897.97000000 | **5-Year:** 30879.29000000 | **10-Year:** 8517.06000000 | **30-Year:** 216.29000000

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

- **3-Month:** 63.44000000 | **1-Year:** 2014.62000000 | **5-Year:** 5011.68000000 | **10-Year:** 1807.78000000 | **30-Year:** 532.75000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000034298 | 0.09%                | 0.87%                | -0.11%               |
| Class ID C000034299 | 0.13%                | 0.88%                | -0.11%               |
| Class ID C000066992 | 0.12%                | 0.88%                | -0.11%               |
| Class ID C000113713 | 0.14%                | 0.87%                | -0.22%               |
| Class ID C000113714 | 0.03%                | 0.87%                | -0.32%               |
| Class ID C000113715 | 0.06%                | 0.87%                | -0.22%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-749607.20              | $557084.41                                 |
| Month 2  | $-297251.74              | $276701.79                                 |
| Month 3  | $-291142.26              | $-420188.20                                |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| CHICAGO MERCANTILE EXCHANGE INC.                        | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        62 | NC      | $-20601.00    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                         | CDS CDX.NA.IG.44.V1                                                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-68725.64    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                         | Sands China Ltd                                                                 | CUSIP: 80007RAS4<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |    200000 | PA      | $173774.60    | 0.13%             | 2031-08-08      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Connecticut Avenue Securities Trust 2023-R05                                    | CUSIP: 207942AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    393000 | PA      | $410771.54    | 0.30%             | 2043-06-25      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Equity Loan T                          | CWHEQ Revolving Home Equity Loan Trust Series 2007-A                            | CUSIP: 126682AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    446305 | PA      | $419281.42    | 0.31%             | 2037-04-15      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| Apollo Aviation Securitization                          | AASET 2025-1                                                                    | CUSIP: 00258PAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    245428 | PA      | $246580.78    | 0.18%             | 2050-02-16      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| Clover CLO                                              | Clover CLO 2021-3 LLC                                                           | CUSIP: 18915FAG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $245978.80    | 0.18%             | 2035-01-25      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F060667<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    700000 | PA      | $706942.40    | 0.52%             | 2055-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust                                 | Fremont Home Loan Trust 2006-B                                                  | CUSIP: 35729QAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300915 | PA      | $93760.85     | 0.07%             | 2036-08-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                                | Cooperatieve Rabobank UA                                                        | CUSIP: 000000000<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    600000 | PA      | $683120.50    | 0.50%             | N/A             | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X6L74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    243502 | PA      | $230819.91    | 0.17%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418EDX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75017 | PA      | $66592.00     | 0.05%             | 2042-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                         | CDS CDX.NA.HY.44.V1                                                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |         1 | NC      | $446251.99    | 0.33%             |  |  |  | No            |                  2 | On Loan: No      |
| Clover CLO                                              | Clover CLO 2018-1 LLC                                                           | CUSIP: 18914GAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    340000 | PA      | $343275.02    | 0.25%             | 2037-04-20      | Floating      | 7.72%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                  | Venture Global LNG Inc                                                          | CUSIP: 92332YAE1<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |     50000 | PA      | $49819.24     | 0.04%             | 2030-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 3617MKLU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34039 | PA      | $30442.53     | 0.02%             | 2050-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FXKP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30977 | PA      | $29276.60     | 0.02%             | 2058-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    830000 | PA      | $775012.50    | 0.57%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| METLIFE INC                                             | MetLife Inc                                                                     | CUSIP: 59156RAP3<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |    340000 | PA      | $345066.34    | 0.25%             | 2036-12-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3617MB5B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53282 | PA      | $49304.17     | 0.04%             | 2050-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                       | PRPM 2024-NQM4 Trust                                                            | CUSIP: 69381UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    268377 | PA      | $268329.50    | 0.20%             | 2069-12-26      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 912810QN1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12190000 | PA      | $12126669.17  | 8.92%             | 2041-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3617MB5S4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28640 | PA      | $26502.16     | 0.02%             | 2050-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION                   | USD CALL VERSUS CHF PUT                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |    865000 | NC      | $3578.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SMR 2022-IND Mortgage Trust                             | SMR 2022-IND Mortgage Trust                                                     | CUSIP: 78458MAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    631817 | PA      | $615594.56    | 0.45%             | 2039-02-15      | Floating      | 10.33%                | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortga                          | MF1 2024-FL16                                                                   | CUSIP: 55287EAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    350000 | PA      | $350873.67    | 0.26%             | 2039-11-18      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QMK37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    378586 | PA      | $327759.71    | 0.24%             | 2041-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DPWM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    141995 | PA      | $147145.20    | 0.11%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 36179VHV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     87268 | PA      | $83490.56     | 0.06%             | 2050-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KYVF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    140637 | PA      | $118914.28    | 0.09%             | 2041-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                                    | Freeport-McMoRan Inc                                                            | CUSIP: 35671DBC8<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |    260000 | PA      | $240272.73    | 0.18%             | 2043-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418DPR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58119 | PA      | $55472.74     | 0.04%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                              | Verus Securitization Trust 2022-6                                               | CUSIP: 92539AAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1110674 | PA      | $1115007.99   | 0.82%             | 2067-06-25      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3622AB6B3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     82496 | PA      | $78032.38     | 0.06%             | 2052-08-20      | 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        |       -67 | NC      | $-2931.25     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Gallatin Funding Ltd                                    | Gallatin CLO X 2023-1 Ltd                                                       | CUSIP: 36362MAG2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    360000 | PA      | $362821.00    | 0.27%             | 2035-10-14      | Floating      | 8.09%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                         | Sands China Ltd                                                                 | CUSIP: 80007RAQ8<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |    330000 | PA      | $299472.86    | 0.22%             | 2029-03-08      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3622AC4M9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    666119 | PA      | $683508.12    | 0.50%             | 2054-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BRASKEM NETHERLANDS                                     | Braskem Netherlands Finance BV                                                  | CUSIP: 10554TAD7<br>LEI: 2549000TLMHFQ74DS330 | Long             | DBT              | CORP              | NL        |    400000 | PA      | $328321.52    | 0.24%             | 2030-01-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X4MM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32996 | PA      | $31463.10     | 0.02%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                            | CD 2017-CD5 Mortgage Trust                                                      | CUSIP: 12515HAZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    340000 | PA      | $330062.34    | 0.24%             | 2050-08-15      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFCD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59278 | PA      | $56455.01     | 0.04%             | 2051-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F020661<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $233187.08    | 0.17%             | 2054-06-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AM                                 | United Rentals North America Inc                                                | CUSIP: 911365BR4<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |    210000 | PA      | $213120.39    | 0.16%             | 2034-03-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Blueberry Park CLO                                      | Blueberry Park CLO Ltd                                                          | CUSIP: 09609QAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    260000 | PA      | $259684.70    | 0.19%             | 2037-10-20      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       149 | NC      | $25143.75     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3622ABFC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     70121 | PA      | $58434.04     | 0.04%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                        | CIFC Funding 2015-I Ltd                                                         | CUSIP: 12548MBH7<br>LEI: 5493001TP5YQV9X08Z14 | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $401800.00    | 0.30%             | 2031-01-22      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                             | BNP Paribas SA                                                                  | CUSIP: 09659W2P8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    530000 | PA      | $467717.36    | 0.34%             | 2032-04-19      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAIN INC                                   | Caesars Entertainment Inc                                                       | CUSIP: 12769GAC4<br>LEI: 549300FA4CTCW903Y781 | Long             | DBT              | CORP              | US        |     20000 | PA      | $20173.40     | 0.01%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 36179TUB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    226881 | PA      | $210395.16    | 0.15%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HERC HOLDINGS ESCROW INC                                | Herc Holdings Escrow Inc                                                        | CUSIP: 42703NAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     30000 | PA      | $30897.06     | 0.02%             | 2033-06-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                | Devon Energy Corp                                                               | CUSIP: 25179MBD4<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |     26000 | PA      | $26012.91     | 0.02%             | 2027-10-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                         | Lehman XS Trust Series 2006-16N                                                 | CUSIP: 52522DAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7068 | PA      | $9910.57      | 0.01%             | 2046-11-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                      | Dominican Republic International Bond                                           | CUSIP: 25714PEW4<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |  15700000 | PA      | $273371.94    | 0.20%             | 2035-09-15      | Fixed         | 11.25%                | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                  | Pacific Gas and Electric Co                                                     | CUSIP: 694308JW8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     60000 | PA      | $56595.49     | 0.04%             | 2028-06-15      | 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        |       -67 | NC      | $-16750.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| LAS VEGAS SANDS CORP                                    | Las Vegas Sands Corp                                                            | CUSIP: 517834AF4<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    340000 | PA      | $319123.66    | 0.23%             | 2029-08-08      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                   | Continental Resources Inc/OK                                                    | CUSIP: 212015AU5<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |    100000 | PA      | $95985.75     | 0.07%             | 2026-11-15      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                | Lloyds Banking Group PLC                                                        | CUSIP: 000000000<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $281228.32    | 0.21%             | N/A             | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| PM GENERAL PURCHASER LLC                                | PM General Purchaser LLC                                                        | CUSIP: 69356MAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    100000 | PA      | $64775.00     | 0.05%             | 2028-10-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XF4V0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    159022 | PA      | $131207.65    | 0.10%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 36179UGE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50321 | PA      | $49509.79     | 0.04%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                   | Time Warner Cable LLC                                                           | CUSIP: 88732JAN8<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    320000 | PA      | $341190.67    | 0.25%             | 2038-07-01      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2017-2                   | CUSIP: 35563PBH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    226482 | PA      | $225360.37    | 0.17%             | 2056-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                            | GS Mortgage Securities Trust 2015-GC30                                          | CUSIP: 36250GAX3<br>LEI: 549300L45M7638EL0H21 | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $738104.00    | 0.54%             | 2050-05-10      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| HERC HOLDINGS ESCROW INC                                | Herc Holdings Escrow Inc                                                        | CUSIP: 42703NAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     30000 | PA      | $30925.52     | 0.02%             | 2030-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION                   | USD CALL VERSUS CHF PUT                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |   -865000 | NC      | $-592.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Se                          | Natixis Commercial Mortgage Securities Trust 2019-FAME                          | CUSIP: 63873VAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    562000 | PA      | $390589.72    | 0.29%             | 2036-08-15      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 912810TV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    870000 | PA      | $844511.71    | 0.62%             | 2053-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3622ACCK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    162003 | PA      | $158541.29    | 0.12%             | 2053-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bank                                                    | BANK 2022-BNK39                                                                 | CUSIP: 06539VAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    240000 | PA      | $211298.38    | 0.16%             | 2055-02-15      | Variable      | 2.93%                 | No            |                  2 | On Loan: No      |
| Dividend Solar Loans LLC                                | Dividend Solar Loans 2018-1 LLC                                                 | CUSIP: 255396AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1762372 | PA      | $1530117.36   | 1.13%             | 2038-07-20      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| GFL ENVIRONMENTAL INC                                   | GFL Environmental Inc                                                           | CUSIP: 36168QAL8<br>LEI: 549300FYK4MBXWIVZU26 | Long             | DBT              | CORP              | CA        |     80000 | PA      | $76967.51     | 0.06%             | 2028-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3137HHLW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    105838 | PA      | $105448.13    | 0.08%             | 2054-12-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| BOMBARDIER INC                                          | Bombardier Inc                                                                  | CUSIP: 097751CD1<br>LEI: W7L3VLU8EHQY34Z36697 | Long             | DBT              | CORP              | CA        |     30000 | PA      | $30457.83     | 0.02%             | 2033-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                         | Danske Bank A/S                                                                 | CUSIP: 23636ABC4<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    320000 | PA      | $317717.55    | 0.23%             | 2028-04-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE ESCROW CL                                 | CREDIT SUISSE ESCROW CL                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1680000 | PA      | $0.00         | 0.00%             | 2050-01-01      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | US 5YR NOTE (CBT)                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       352 | NC      | $131547.85    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| DISH DBS CORP                                           | DISH DBS Corp                                                                   | CUSIP: 25470XBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    150000 | PA      | $138744.16    | 0.10%             | 2026-12-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                      | Banco Santander SA                                                              | CUSIP: 05964HAQ8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    200000 | PA      | $198193.94    | 0.15%             | 2028-03-24      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| CRESCENT ENERGY FINANCE                                 | Crescent Energy Finance LLC                                                     | CUSIP: 45344LAE3<br>LEI: 54930061FUL6DBLFUW14 | Long             | DBT              | CORP              | US        |     40000 | PA      | $37156.86     | 0.03%             | 2033-01-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38376G5V8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1962649 | PA      | $19.63        | 0.00%             | 2046-09-16      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XNNH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    269479 | PA      | $217318.41    | 0.16%             | 2042-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                           | Carnival Corp                                                                   | CUSIP: 143658BZ4<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |    100000 | PA      | $100122.50    | 0.07%             | 2031-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KYWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    232211 | PA      | $195114.59    | 0.14%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                                | Cheniere Energy Partners LP                                                     | CUSIP: 16411QAN1<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     70000 | PA      | $61451.37     | 0.05%             | 2032-01-31      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| LIGHTNING POWER LLC                                     | Lightning Power LLC                                                             | CUSIP: 53229KAA7<br>LEI: 254900BWCHJ03XRL8K59 | Long             | DBT              | CORP              | US        |     40000 | PA      | $41963.23     | 0.03%             | 2032-08-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38379RPH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    421498 | PA      | $11201.47     | 0.01%             | 2058-07-16      | Variable      | 0.56%                 | 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        |       -31 | NC      | $-6781.25     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BrightSpire Capital, Inc                                | BRSP 2021-FL1 Ltd                                                               | CUSIP: 05591XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    607595 | PA      | $606043.28    | 0.45%             | 2038-08-19      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort                          | First Horizon Alternative Mortgage Securities Trust 2005-AA12                   | CUSIP: 32051GQ57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25145 | PA      | $17879.65     | 0.01%             | 2036-02-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                | Devon Energy Corp                                                               | CUSIP: 25179MBF9<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |     60000 | PA      | $58488.77     | 0.04%             | 2030-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                           | DISH DBS Corp                                                                   | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    320000 | PA      | $271408.64    | 0.20%             | 2028-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 91282CLL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    370000 | PA      | $366003.71    | 0.27%             | 2027-09-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Jamestown CLO Ltd                                       | Jamestown CLO XII Ltd                                                           | CUSIP: 47047JAQ7<br>LEI: 254900TDIR3OOT3N8P57 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $502529.95    | 0.37%             | 2032-04-20      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| MSWF Commercial Mortgage Trust                          | MSWF Commercial Mortgage Trust 2023-1                                           | CUSIP: 55376CAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    160000 | PA      | $162867.33    | 0.12%             | 2056-05-15      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                | Vistra Operations Co LLC                                                        | CUSIP: 92840VAR3<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     30000 | PA      | $31229.01     | 0.02%             | 2032-04-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XQFP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    184784 | PA      | $150502.20    | 0.11%             | 2042-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                | EQT Corp                                                                        | CUSIP: 26884LAF6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    112000 | PA      | $110168.98    | 0.08%             | 2027-10-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | US 10YR NOTE (CBT)                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -183 | NC      | $-94808.32    | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| JANE STREET GRP/JSG FIN                                 | Jane Street Group / JSG Finance Inc                                             | CUSIP: 47077WAD0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     50000 | PA      | $50118.00     | 0.04%             | 2032-11-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418ECZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    234585 | PA      | $203007.35    | 0.15%             | 2042-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd                          | Palmer Square Loan Funding 2022-3 Ltd                                           | CUSIP: 69690CAU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    520000 | PA      | $519516.19    | 0.38%             | 2031-04-15      | Floating      | 7.26%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICALS NE                                 | Teva Pharmaceutical Finance Netherlands III BV                                  | CUSIP: 88167AAT8<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $201964.40    | 0.15%             | 2032-12-01      | Fixed         | 6.00%                 | 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        |     50000 | PA      | $46101.44     | 0.03%             | 2038-04-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Sycamore Tree CLO Ltd                                   | Sycamore Tree CLO 2024-5 Ltd                                                    | CUSIP: 87122YAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    340000 | PA      | $342565.27    | 0.25%             | 2036-04-20      | Floating      | 8.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DVMC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1094424 | PA      | $949047.87    | 0.70%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                                  | Mosaic Solar Loan Trust 2021-1                                                  | CUSIP: 61947DAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    313460 | PA      | $248085.25    | 0.18%             | 2046-12-20      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                          | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H9CB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8481569 | PA      | $182053.48    | 0.13%             | 2032-09-25      | Variable      | 0.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 36241LUX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28544 | PA      | $27950.77     | 0.02%             | 2041-04-20      | 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        |      -542 | NC      | $-3387.50     | -0.00%            |  |  |  | No            |                  1 | 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        |        41 | NC      | $29659.74     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Chase Commercial Mor                          | J.P. Morgan Chase Commercial Mortgage Securities Trust 2021-HTL5                | CUSIP: 46654PAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    640000 | PA      | $632552.26    | 0.47%             | 2038-11-15      | Floating      | 8.86%                 | No            |                  2 | On Loan: No      |
| BUILDERS FIRSTSOURCE INC                                | Builders FirstSource Inc                                                        | CUSIP: 12008RAT4<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |     60000 | PA      | $60416.40     | 0.04%             | 2035-05-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Trust 2021-ARIA                                                              | CUSIP: 05608RAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1030000 | PA      | $1016548.30   | 0.75%             | 2036-10-15      | Floating      | 7.59%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                         | Sands China Ltd                                                                 | CUSIP: 80007RAF2<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |    340000 | PA      | $340051.92    | 0.25%             | 2025-08-08      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 912810UA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    170000 | PA      | $161752.34    | 0.12%             | 2054-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| LIFEPOINT HEALTH INC                                    | LifePoint Health Inc                                                            | CUSIP: 53219LAV1<br>LEI: 549300G8ZVHRTBBBSZ90 | Long             | DBT              | CORP              | US        |     40000 | PA      | $42905.48     | 0.03%             | 2030-08-15      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                                   | Micron Technology Inc                                                           | CUSIP: 595112CD3<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |    250000 | PA      | $251634.17    | 0.19%             | 2031-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 91282CJX0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2180000 | PA      | $2175103.52   | 1.60%             | 2031-01-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36178WGQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63624 | PA      | $56131.37     | 0.04%             | 2042-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38383FR62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    145678 | PA      | $118539.13    | 0.09%             | 2052-01-20      | Fixed         | 2.00%                 | 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        |       -20 | NC      | $-7187.50     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| VENTURE GLOBAL PLAQUE                                   | Venture Global Plaquemines LNG LLC                                              | CUSIP: 922966AA4<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |     10000 | PA      | $10453.38     | 0.01%             | 2033-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| WYNN RESORTS FINANCE LLC                                | Wynn Resorts Finance LLC / Wynn Resorts Capital Corp                            | CUSIP: 983133AC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    120000 | PA      | $125937.84    | 0.09%             | 2031-02-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Galaxy CLO Ltd                                          | Galaxy XXII CLO Ltd                                                             | CUSIP: 36320TBK8<br>LEI: 54930022KENWLYJ8SJ86 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $249762.43    | 0.18%             | 2034-04-16      | Floating      | 7.51%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit                                         | OHA Credit Funding 18 Ltd                                                       | CUSIP: 67706JAL8<br>LEI: 254900NGFKJYUCJCAJ59 | Long             | ABS-CBDO         | CORP              | BM        |    420000 | PA      | $421565.38    | 0.31%             | 2037-04-20      | Floating      | 7.72%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                                | Neuberger Berman Loan Advisers Clo 43 Ltd                                       | CUSIP: 64134AAQ5<br>LEI: 549300N83MM16HCONB28 | Long             | ABS-CBDO         | CORP              | KY        |    170000 | PA      | $169406.26    | 0.12%             | 2036-07-17      | Floating      | 6.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3622AAKS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    215150 | PA      | $184740.32    | 0.14%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Commercial Mortgage Trust 2019-IMC                                           | CUSIP: 05608BAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    430000 | PA      | $419861.89    | 0.31%             | 2034-04-15      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DN5L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    240429 | PA      | $199027.79    | 0.15%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities,                           | Deutsche Mortgage Securities Inc Mortgage Loan Trust 2004-4                     | CUSIP: 251563FE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2410 | PA      | $2253.79      | 0.00%             | 2034-06-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| PROVINCIA DE BUENOS AIRE                                | Provincia de Buenos Aires/Government Bonds                                      | CUSIP: 000000000<br>LEI: 549300L6AYROPOTQ4L07 | Long             | DBT              | NUSS              | AR        |    469398 | PA      | $340900.39    | 0.25%             | 2037-09-01      | Variable      | 6.62%                 | 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        |       -20 | NC      | $-22187.50    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| DEVON ENERGY CORPORATION                                | Devon Energy Corp                                                               | CUSIP: 25179MBE2<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |     26000 | PA      | $25999.99     | 0.02%             | 2028-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38378NK51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    159310 | PA      | $656.25       | 0.00%             | 2048-02-16      | Variable      | 0.16%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                           | Citigroup Mortgage Loan Trust 2005-9                                            | CUSIP: 17307GK31<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     76622 | PA      | $65531.06     | 0.05%             | 2035-11-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DVLA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    113999 | PA      | $94681.67     | 0.07%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd                                       | Magnetite XXII Ltd                                                              | CUSIP: 55954HBC5<br>LEI: 5493000081NBXWGGSW23 | Long             | ABS-CBDO         | CORP              | KY        |    180000 | PA      | $180675.36    | 0.13%             | 2036-07-15      | Floating      | 7.16%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                  | CCO Holdings LLC / CCO Holdings Capital Corp                                    | CUSIP: 1248EPCP6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1080000 | PA      | $933047.64    | 0.69%             | 2034-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                           | Carnival Corp                                                                   | CUSIP: 143658BX9<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |    270000 | PA      | $270835.50    | 0.20%             | 2033-02-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| TRANS-ALLEGHENY INTERSTA                                | Trans-Allegheny Interstate Line Co                                              | CUSIP: 893045AE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    490000 | PA      | $490000.00    | 0.36%             | 2025-06-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| SUBWAY FUNDING LLC                                      | Subway Funding LLC                                                              | CUSIP: 864300AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    248750 | PA      | $251744.33    | 0.19%             | 2054-07-30      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3622ABCA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     72840 | PA      | $60620.91     | 0.04%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -264 | NC      | $-141900.00   | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QFG86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2499357 | PA      | $2199003.96   | 1.62%             | 2040-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136A54N3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19117 | PA      | $20484.48     | 0.02%             | 2042-05-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICALS NE                                 | Teva Pharmaceutical Finance Netherlands III BV                                  | CUSIP: 88167AAE1<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |    500000 | PA      | $489244.30    | 0.36%             | 2026-10-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| NOTA DO TESOURO NACIONAL                                | Brazil Notas do Tesouro Nacional Serie F                                        | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |  14057000 | PA      | $2111806.50   | 1.55%             | 2031-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                          | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137F9YZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13389302 | PA      | $438480.89    | 0.32%             | 2030-12-25      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit                                         | OHA Credit Funding 11 Ltd                                                       | CUSIP: 67115VAW2<br>LEI: 2549002MG7GTTY5LHR97 | Long             | ABS-CBDO         | CORP              | BM        |    290000 | PA      | $291598.94    | 0.21%             | 2037-07-19      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| NOTA DO TESOURO NACIONAL                                | Brazil Notas do Tesouro Nacional Serie F                                        | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |   6665000 | PA      | $967281.50    | 0.71%             | 2033-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XP3K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92578 | PA      | $92268.56     | 0.07%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd                                       | Magnetite XXV Ltd                                                               | CUSIP: 55955GAD5<br>LEI: 549300WFCL37N4TDUR08 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $251756.18    | 0.19%             | 2032-01-25      | Floating      | 7.84%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133C1NL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     79635 | PA      | $79224.67     | 0.06%             | 2053-04-01      | Fixed         | 5.50%                 | 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        |       138 | NC      | $37337.11     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| SANDS CHINA LTD                                         | Sands China Ltd                                                                 | CUSIP: 80007RAE5<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |    590000 | PA      | $588275.61    | 0.43%             | 2028-08-08      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| GoodLeap Sustainable Home Impr                          | GoodLeap Sustainable Home Solutions Trust 2022-1                                | CUSIP: 38237JAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1557122 | PA      | $837746.78    | 0.62%             | 2049-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                                      | CUSIP: 21H050664<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1400000 | PA      | $1358430.60   | 1.00%             | 2055-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                             | OCP CLO 2016-11 Ltd                                                             | CUSIP: 67110DBL0<br>LEI: 254900QIJ8IQOK988683 | Long             | ABS-CBDO         | CORP              | KY        |    270000 | PA      | $269804.39    | 0.20%             | 2036-04-26      | Floating      | 7.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3622ABFG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     72956 | PA      | $60673.08     | 0.04%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUE                                   | Venture Global Plaquemines LNG LLC                                              | CUSIP: 922966AB2<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |     10000 | PA      | $10539.36     | 0.01%             | 2035-05-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO                                         | Nissan Motor Co Ltd                                                             | CUSIP: 654744AB7<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |    380000 | PA      | $376913.12    | 0.28%             | 2025-09-17      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XN6G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    268467 | PA      | $226775.28    | 0.17%             | 2042-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F030660<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15100000 | PA      | $12850909.66  | 9.45%             | 2055-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NOTA DO TESOURO NACIONAL                                | Brazil Notas do Tesouro Nacional Serie F                                        | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |  13542000 | PA      | $2239760.26   | 1.65%             | 2027-01-01      | Fixed         | 10.00%                | 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        |      -120 | NC      | $-149356.41   | -0.11%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DQBZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    164064 | PA      | $163837.47    | 0.12%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BOMBARDIER INC                                          | Bombardier Inc                                                                  | CUSIP: 097751CB5<br>LEI: W7L3VLU8EHQY34Z36697 | Long             | DBT              | CORP              | CA        |     20000 | PA      | $20650.02     | 0.02%             | 2031-07-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                                     | United Airlines Inc                                                             | CUSIP: 90932LAH0<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |    560000 | PA      | $532266.95    | 0.39%             | 2029-04-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| HOMES Trust                                             | HOMES 2024-NQM1 Trust                                                           | CUSIP: 40390TAA8<br>LEI: 2549001JI3VOZZFMYK81 | Long             | ABS-MBS          | CORP              | US        |    214880 | PA      | $216099.71    | 0.16%             | 2069-07-25      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418EAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    752576 | PA      | $633285.10    | 0.47%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                  | CHL Mortgage Pass-Through Trust 2003-60                                         | CUSIP: 12669FJC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5788 | PA      | $5790.95      | 0.00%             | 2034-02-25      | Variable      | 6.74%                 | No            |                  2 | On Loan: No      |
| Carval CLO LTD                                          | CarVal CLO XI C Ltd                                                             | CUSIP: 14688RAJ9<br>LEI: 254900BDRF474L9PWM54 | Long             | ABS-CBDO         | CORP              | KY        |    280000 | PA      | $281467.56    | 0.21%             | 2037-10-20      | Floating      | 7.27%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                   | Time Warner Cable LLC                                                           | CUSIP: 88732JAJ7<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |     10000 | PA      | $10071.60     | 0.01%             | 2037-05-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                           | UBS Commercial Mortgage Trust 2017-C7                                           | CUSIP: 90276WAR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    379764 | PA      | $369044.81    | 0.27%             | 2050-12-15      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38379U5F9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2596512 | PA      | $88337.24     | 0.06%             | 2058-10-16      | Variable      | 0.61%                 | 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        |        -7 | NC      | $-8421.88     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| NETFLIX INC                                             | Netflix Inc                                                                     | CUSIP: 000000000<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |    690000 | PA      | $820318.01    | 0.60%             | 2029-11-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                          | Wells Fargo Commercial Mortgage Trust 2022-ONL                                  | CUSIP: 95003WAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    390000 | PA      | $314782.38    | 0.23%             | 2039-12-15      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38378NF99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    829774 | PA      | $18966.32     | 0.01%             | 2055-09-16      | Variable      | 0.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418ECG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77226 | PA      | $65008.47     | 0.05%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd                          | Palmer Square Loan Funding 2024-1 Ltd                                           | CUSIP: 69703NAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $251131.03    | 0.18%             | 2032-10-15      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| VanEck J. P. Morgan EM Local Currency Bond ETF          | VanEck J. P. Morgan EM Local Currency Bond ETF                                  | CUSIP: 92189H300<br>LEI: 549300CNWPR88MZBEA63 | Long             | EC               | RF                | US        |     16200 | NS      | $399816.00    | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DN6L2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    170605 | PA      | $162137.77    | 0.12%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 91282CLM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1510000 | PA      | $1469064.84   | 1.08%             | 2031-09-30      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| MOUNTAIN VIEW CLO                                       | Mountain View CLO XVI Ltd                                                       | CUSIP: 62432UAU5<br>LEI: 549300MWKXOHYV7Z8O91 | Long             | ABS-CBDO         | CORP              | KY        |    470000 | PA      | $471176.79    | 0.35%             | 2034-04-15      | Floating      | 8.45%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                | Enterprise Products Operating LLC                                               | CUSIP: 29379VBR3<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    130000 | PA      | $126485.64    | 0.09%             | 2078-02-15      | Fixed         | 5.38%                 | 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        |        -7 | NC      | $-9953.13     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| INDIA GOVERNMENT BOND                                   | India Government Bond                                                           | CUSIP: 000000000<br>LEI: 335800IV7VCDQGIOI391 | Long             | DBT              | NUSS              | IN        | 128260000 | PA      | $1492263.68   | 1.10%             | 2030-05-11      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor                          | Morgan Stanley Residential Mortgage Loan Trust 2024-INV2                        | CUSIP: 617939AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    303287 | PA      | $307243.67    | 0.23%             | 2054-02-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| EQUIPMENTSHARE.COM INC                                  | EquipmentShare.com Inc                                                          | CUSIP: 29450YAC3<br>LEI: 254900PWJK48CGPKPI80 | Long             | DBT              | CORP              | US        |     40000 | PA      | $41130.08     | 0.03%             | 2033-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 36179W5E4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     79900 | PA      | $73546.64     | 0.05%             | 2052-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Trust 2018-GW MZ                                                             | CUSIP: 12433RAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $498886.40    | 0.37%             | 2037-05-15      | Floating      | 10.11%                | No            |                  2 | On Loan: No      |
| Switch ABS Issuer, LLC                                  | Switch ABS Issuer LLC                                                           | CUSIP: 871044AL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $244178.58    | 0.18%             | 2055-03-25      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                                      | CUSIP: 21H062669<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2300000 | PA      | $2349122.37   | 1.73%             | 2054-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                          | Morgan Stanley Capital I Trust 2021-L7                                          | CUSIP: 61772TBN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6298768 | PA      | $276096.40    | 0.20%             | 2054-10-15      | Variable      | 1.08%                 | No            |                  2 | On Loan: No      |
| H&E EQUIPMENT SERVICES                                  | H&E Equipment Services Inc                                                      | CUSIP: 404030AJ7<br>LEI: 254900KVLRCDMQRYY541 | Long             | DBT              | CORP              | US        |    870000 | PA      | $877220.13    | 0.65%             | 2028-12-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DPWC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     84076 | PA      | $79524.47     | 0.06%             | 2052-10-01      | Fixed         | 4.50%                 | 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        |       -27 | NC      | $-29953.13    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132D9RN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     91144 | PA      | $76695.95     | 0.06%             | 2042-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 36179TZ65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68854 | PA      | $65921.24     | 0.05%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                           | TransDigm Inc                                                                   | CUSIP: 893647BT3<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    250000 | PA      | $258925.25    | 0.19%             | 2031-12-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36178WDN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     74444 | PA      | $66504.91     | 0.05%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XQQ91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    741549 | PA      | $626390.71    | 0.46%             | 2042-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                          | JP Morgan Chase Commercial Mortgage Securities Trust 2020-MKST                  | CUSIP: 46652DAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2173000 | PA      | $106.69       | 0.00%             | 2036-12-15      | Floating      | 11.69%                | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                             | Legacy Mortgage Asset Trust 2021-GS2                                            | CUSIP: 52476DAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1280366 | PA      | $1281610.46   | 0.94%             | 2061-04-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    534010 | PA      | $449114.20    | 0.33%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                                | Republic of South Africa Government Bond                                        | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |  24880000 | PA      | $919016.93    | 0.68%             | 2041-02-28      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| DIGNITY HEALTH                                          | Dignity Health                                                                  | CUSIP: 254010AE1<br>LEI: TFVG45LTYVO3XKPZWP18 | Long             | DBT              | CORP              | US        |    470000 | PA      | $403625.17    | 0.30%             | 2064-11-01      | Fixed         | 5.27%                 | 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        |       -27 | NC      | $-4640.63     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 36179W5F1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    236298 | PA      | $224545.35    | 0.17%             | 2052-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KYWP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    949166 | PA      | $827980.23    | 0.61%             | 2042-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DC Commercial Mortgage Trust                            | DC Commercial Mortgage Trust 2023-DC                                            | CUSIP: 24023AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $620415.72    | 0.46%             | 2040-09-12      | Fixed         | 6.31%                 | No            |                  2 | On Loan: No      |
| SWCH Commercial Mortgage Trust                          | SWCH Commercial Mortgage Trust 2025-DATA                                        | CUSIP: 78489CAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350000 | PA      | $347532.22    | 0.26%             | 2042-02-15      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                | AT&T Inc                                                                        | CUSIP: 00206RMY5<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    200000 | PA      | $201245.80    | 0.15%             | 2035-08-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3617MQCZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    210835 | PA      | $175008.49    | 0.13%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                            | UBS Group AG                                                                    | CUSIP: 225401AU2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    690000 | PA      | $617917.98    | 0.45%             | 2032-05-14      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QUD52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    262300 | PA      | $266182.69    | 0.20%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3622AAHA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4323 | PA      | $3850.92      | 0.00%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| YPF SOCIEDAD ANONIMA                                    | YPF SA                                                                          | CUSIP: 984245AU4<br>LEI: 5493003N7447U18U5U53 | Long             | DBT              | CORP              | AR        |    134412 | PA      | $136193.95    | 0.10%             | 2026-02-12      | Variable      | 9.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        27 | NC      | $40370.04     | 0.03%             |  |  |  | No            |                  1 | 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        |       -27 | NC      | $-18351.56    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| 720 East CLO Ltd.                                       | 720 East CLO VII Ltd                                                            | CUSIP: 81800WAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $295076.94    | 0.22%             | 2037-04-20      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KQUT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    425955 | PA      | $416888.85    | 0.31%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132D9QM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86476 | PA      | $72902.83     | 0.05%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corpor                          | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-AF2             | CUSIP: 65536XAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35277 | PA      | $32398.42     | 0.02%             | 2036-08-25      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3622ABCD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71364 | PA      | $59413.72     | 0.04%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES INC                                   | American Airlines Inc                                                           | CUSIP: 023771T40<br>LEI: IWUQB36BXD6OWD6X4T14 | Long             | DBT              | CORP              | US        |    110000 | PA      | $114041.40    | 0.08%             | 2029-05-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                          | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FREM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3100000 | PA      | $175841.61    | 0.13%             | 2030-01-25      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| Oak Street Investment Grade Ne                          | Oak Street Investment Grade Net Lease Fund Series 2020-1                        | CUSIP: 67181DAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    162522 | PA      | $146471.69    | 0.11%             | 2050-11-20      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                                | Cheniere Energy Partners LP                                                     | CUSIP: 16411QAK7<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |    170000 | PA      | $159354.76    | 0.12%             | 2031-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd                          | Palmer Square Loan Funding 2024-1 Ltd                                           | CUSIP: 69703NAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    230000 | PA      | $231147.70    | 0.17%             | 2032-10-15      | Floating      | 6.06%                 | 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        |       -27 | NC      | $-9703.13     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Multifamily Structured P                          | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137HBLW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4996783 | PA      | $155533.88    | 0.11%             | 2028-12-25      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Commercial Mortgage Trust 2021-XL2                                           | CUSIP: 05609KAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    749000 | PA      | $739416.32    | 0.54%             | 2038-10-15      | Floating      | 8.33%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                          | Alternative Loan Trust 2005-28CB                                                | CUSIP: 12667GXC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    719837 | PA      | $454969.68    | 0.33%             | 2035-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132E0KM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    252508 | PA      | $250736.80    | 0.18%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US                           | Goldentree Loan Management US Clo 6 Ltd                                         | CUSIP: 38137WBE4<br>LEI: 549300MI5PVR6JHGVV87 | Long             | ABS-CBDO         | CORP              | KY        |    240000 | PA      | $237712.06    | 0.17%             | 2035-04-20      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                                      | Coterra Energy Inc                                                              | CUSIP: 127097AK9<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |    230000 | PA      | $226476.15    | 0.17%             | 2029-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LT                          | Golub Capital Partners CLO 76 B Ltd                                             | CUSIP: 38180BAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    190000 | PA      | $191175.91    | 0.14%             | 2037-10-25      | Floating      | 7.18%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3617MKK99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    229870 | PA      | $211661.66    | 0.16%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                         | Lehman XS Trust Series 2006-GP3                                                 | CUSIP: 525228AD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10409 | PA      | $22950.27     | 0.02%             | 2046-06-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| AGL CLO Ltd.                                            | AGL CLO 25 Ltd                                                                  | CUSIP: 00120NAG9<br>LEI: 2549006GHWX66A91GS48 | Long             | ABS-CBDO         | CORP              | JE        |    460000 | PA      | $463101.46    | 0.34%             | 2036-07-21      | Floating      | 9.57%                 | 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        |       -13 | NC      | $-5687.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Magnetite CLO Ltd                                       | Magnetite XXXIX Ltd                                                             | CUSIP: 559924AN5<br>LEI: 529900728SHVCI48J015 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $248246.45    | 0.18%             | 2037-01-25      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| Warwick Capital CLO Ltd                                 | Warwick Capital CLO 3 Ltd                                                       | CUSIP: 93655PAG2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    310000 | PA      | $311636.55    | 0.23%             | 2037-04-20      | Floating      | 8.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418EDL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    162895 | PA      | $135811.46    | 0.10%             | 2042-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38378XSQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  26101072 | PA      | $115142.27    | 0.08%             | 2055-01-16      | Variable      | 0.13%                 | No            |                  2 | On Loan: No      |
| Apex Credit CLO LLC                                     | Apex Credit CLO 2020 LTD                                                        | CUSIP: 03756ABL0<br>LEI: 549300WAK1RS0910RU63 | Long             | ABS-CBDO         | CORP              | BM        |    280000 | PA      | $278600.78    | 0.20%             | 2035-04-20      | Floating      | 8.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XJGY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    162383 | PA      | $154487.40    | 0.11%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XH5K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    536260 | PA      | $523981.36    | 0.39%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XGC98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1295951 | PA      | $1121509.92   | 0.82%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                | Western Midstream Operating LP                                                  | CUSIP: 958667AC1<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    660000 | PA      | $627692.68    | 0.46%             | 2030-02-01      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| NCL CORPORATION LTD                                     | NCL Corp Ltd                                                                    | CUSIP: 62886HBN0<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | BM        |    380000 | PA      | $400340.26    | 0.29%             | 2029-01-15      | Fixed         | 8.12%                 | 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        |        27 | NC      | $2531.25      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Hayfin US XV, Ltd.                                      | Hayfin US XV Ltd                                                                | CUSIP: 420916AL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    320000 | PA      | $323883.04    | 0.24%             | 2037-04-28      | Floating      | 8.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XK6S4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76721 | PA      | $74338.29     | 0.05%             | 2050-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ocean Trails CLO                                        | Ocean Trails Clo X                                                              | CUSIP: 67516BAE1<br>LEI: 635400RMMLHBGDGXBC03 | Long             | ABS-CBDO         | CORP              | KY        |    360000 | PA      | $351950.11    | 0.26%             | 2034-10-15      | Floating      | 12.09%                | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DPAG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    159175 | PA      | $151081.71    | 0.11%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36178WDM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59448 | PA      | $53143.87     | 0.04%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                | Angel Oak Mortgage Trust 2024-10                                                | CUSIP: 034933AA9<br>LEI: 254900QN92XYN8GJBJ44 | Long             | ABS-MBS          | CORP              | US        |    255922 | PA      | $254949.00    | 0.19%             | 2069-10-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QPJ24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72816 | PA      | $71224.93     | 0.05%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Western Asset Premier Institutional Government Reserves | Western Asset Premier Institutional Government Reserves                         | CUSIP: 52470G494<br>LEI: 549300WB3XRN9YTWFB76 | Long             | STIV             | RF                | US        |  17917734 | NS      | $17917733.84  | 13.18%            |  |  |  | No            |                  1 | On Loan: No      |
| UCFC Manufactured Housing Cont                          | UCFC Manufactured Housing Contract                                              | CUSIP: 90263ABB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    288530 | PA      | $285665.55    | 0.21%             | 2029-01-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN                                 | Jane Street Group / JSG Finance Inc                                             | CUSIP: 47077WAE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     80000 | PA      | $82096.56     | 0.06%             | 2033-05-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | US ULTRA BOND CBT                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -144 | NC      | $-254866.40   | -0.19%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XPG52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90100 | PA      | $75957.56     | 0.06%             | 2042-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F062663<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1100000 | PA      | $1129614.30   | 0.83%             | 2055-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bank                                                    | BANK 2018-BNK15                                                                 | CUSIP: 06036FBG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1050000 | PA      | $994367.43    | 0.73%             | 2061-11-15      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KYWN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1435506 | PA      | $1205067.20   | 0.89%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SPIRIT AVIA HOL RESTRICT                                | SPIRIT AVIA HOL RESTRICT                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        56 | NS      | $335.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418EDM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158619 | PA      | $137267.61    | 0.10%             | 2042-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Cook Park CLO, Ltd                                      | Cook Park CLO Ltd                                                               | CUSIP: 21623PAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $249480.20    | 0.18%             | 2030-04-17      | Floating      | 7.14%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                      | Credit Agricole SA                                                              | CUSIP: 225313AJ4<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    620000 | PA      | $629095.40    | 0.46%             | N/A             | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XKHM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87838 | PA      | $83138.63     | 0.06%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limit                          | Bain Capital Credit CLO 2019-1                                                  | CUSIP: 05683VBG8<br>LEI: 549300B0VI605XM3L529 | Long             | ABS-CBDO         | CORP              | KY        |    360000 | PA      | $361393.52    | 0.27%             | 2034-04-19      | Floating      | 7.37%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                      | LONG GILT                                                                       | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |        13 | NC      | $-3352.13     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| DEVON ENERGY CORPORATION                                | Devon Energy Corp                                                               | CUSIP: 25179MAL7<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |     95000 | PA      | $85290.54     | 0.06%             | 2041-07-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 912810RD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3600000 | PA      | $3086015.62   | 2.27%             | 2043-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3617MB4M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60155 | PA      | $54555.04     | 0.04%             | 2050-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                              | Humana Inc                                                                      | CUSIP: 444859AZ5<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    380000 | PA      | $446679.18    | 0.33%             | 2038-06-15      | Fixed         | 8.15%                 | No            |                  2 | On Loan: No      |
| INDIA GOVERNMENT BOND                                   | India Government Bond                                                           | CUSIP: 000000000<br>LEI: 335800IV7VCDQGIOI391 | Long             | DBT              | NUSS              | IN        | 120000000 | PA      | $1494664.89   | 1.10%             | 2032-08-22      | Fixed         | 7.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                                      | CUSIP: 21H052660<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3000000 | PA      | $2979257.79   | 2.19%             | 2054-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| 1261229 BC LTD                                          | 1261229 BC Ltd                                                                  | CUSIP: 68288AAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    200000 | PA      | $198128.38    | 0.15%             | 2032-04-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| PROSUS NV                                               | Prosus NV                                                                       | CUSIP: 74365PAF5<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |    310000 | PA      | $268771.00    | 0.20%             | 2031-07-13      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| PERMIAN RESOURC OPTG LLC                                | Permian Resources Operating LLC                                                 | CUSIP: 71424VAB6<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9875.07      | 0.01%             | 2033-02-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                | Western Midstream Operating LP                                                  | CUSIP: 958254AD6<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |     50000 | PA      | $42333.96     | 0.03%             | 2044-04-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 5 YEAR U.S. TREASURY NOTE WEEK 5                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        84 | NC      | $656.26       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| VIKING CRUISES LTD                                      | Viking Cruises Ltd                                                              | CUSIP: 92676XAG2<br>LEI: 549300IJP90T4MV2GL84 | Long             | DBT              | CORP              | BM        |    130000 | PA      | $139658.87    | 0.10%             | 2031-07-15      | Fixed         | 9.12%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                        | CSC Holdings LLC                                                                | CUSIP: 126307AS6<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |    250000 | PA      | $228228.03    | 0.17%             | 2028-02-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140N6NC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89749 | PA      | $84844.08     | 0.06%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QP2U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15583 | PA      | $14735.99     | 0.01%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DQC53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     77131 | PA      | $75314.40     | 0.06%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Connecticut Avenue Securities Trust 2023-R06                                    | CUSIP: 20754EAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    370000 | PA      | $383176.22    | 0.28%             | 2043-07-25      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                                   | Argentine Republic Government International Bond                                | CUSIP: 040114HT0<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    480000 | PA      | $323520.00    | 0.24%             | 2035-07-09      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DS6V9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     91702 | PA      | $91369.08     | 0.07%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 3617MB5P0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25562 | PA      | $23649.38     | 0.02%             | 2050-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    570000 | PA      | $481137.89    | 0.35%             | 2043-08-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 10 YEAR U.S. TREASURY NOTE WEEK 5                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        84 | NC      | $1312.50      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MASTR Specialized Loan Trust                            | Mastr Specialized Loan Trust                                                    | CUSIP: 57643BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     50490 | PA      | $49320.18     | 0.04%             | 2046-06-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                         | Sands China Ltd                                                                 | CUSIP: 80007RAN5<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |    500000 | PA      | $476442.10    | 0.35%             | 2027-03-08      | Variable      | 2.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133D4QF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    156189 | PA      | $131358.05    | 0.10%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DVL94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    309422 | PA      | $256023.60    | 0.19%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| QXO BUILDING PRODUCTS                                   | QXO Building Products Inc                                                       | CUSIP: 74825NAA5<br>LEI: 549300HDXQWWCBOYXP31 | Long             | DBT              | CORP              | US        |     70000 | PA      | $71949.49     | 0.05%             | 2032-04-30      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                               | Nelnet Student Loan Trust 2021-A                                                | CUSIP: 64035DAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    360393 | PA      | $336312.98    | 0.25%             | 2062-04-20      | Fixed         | 1.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 36179TXX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23462 | PA      | $23134.41     | 0.02%             | 2048-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                       | General Motors Co                                                               | CUSIP: 37045VAZ3<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |     70000 | PA      | $69686.66     | 0.05%             | 2032-10-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                                      | Ford Motor Co                                                                   | CUSIP: 345370DA5<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |    110000 | PA      | $90819.69     | 0.07%             | 2032-02-12      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DMVG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    109476 | PA      | $104383.31    | 0.08%             | 2051-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 5 YEAR U.S. TREASURY NOTE WEEK 5                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -42 | NC      | $-328.15      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Countrywide Home Loans                                  | CHL Mortgage Pass-Through Trust 2001-HYB1                                       | CUSIP: 12669B2W1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2315 | PA      | $2297.30      | 0.00%             | 2031-06-19      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                                      | Ford Motor Co                                                                   | CUSIP: 345370DB3<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |    210000 | PA      | $205202.02    | 0.15%             | 2032-08-19      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 36179XFH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    244720 | PA      | $232496.60    | 0.17%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                            | UBS Group AG                                                                    | CUSIP: 225401BJ6<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    230000 | PA      | $226257.33    | 0.17%             | N/A             | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| PERMIAN RESOURC OPTG LLC                                | Permian Resources Operating LLC                                                 | CUSIP: 71424VAA8<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |    230000 | PA      | $236080.05    | 0.17%             | 2032-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                            | Ecopetrol SA                                                                    | CUSIP: 279158AV1<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |    310000 | PA      | $295257.84    | 0.22%             | 2036-01-19      | Fixed         | 8.38%                 | 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        |    240000 | PA      | $236426.70    | 0.17%             | 2025-10-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                                   | Argentine Republic Government International Bond                                | CUSIP: 040114HS2<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     15928 | PA      | $12511.44     | 0.01%             | 2030-07-09      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F050668<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2200000 | PA      | $2129799.19   | 1.57%             | 2055-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    350000 | PA      | $346636.72    | 0.25%             | 2034-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 10 YEAR U.S. TREASURY NOTE WEEK 5                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -28 | NC      | $-2187.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 36179UPB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    198628 | PA      | $190078.78    | 0.14%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GCAT                                                    | GCAT 2024-INV3 Trust                                                            | CUSIP: 36830FAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     85515 | PA      | $86902.82     | 0.06%             | 2054-09-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                | Devon Energy Corp                                                               | CUSIP: 25179MAN3<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |    130000 | PA      | $104936.61    | 0.08%             | 2042-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    260000 | PA      | $182431.64    | 0.13%             | 2049-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3617MKP78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    188389 | PA      | $156439.61    | 0.12%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DPT73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     81024 | PA      | $78856.19     | 0.06%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KYVY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     73694 | PA      | $62157.32     | 0.05%             | 2041-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Tesla Sustainable Energy Trust                          | Tesla Sustainable Energy Trust 2024-1                                           | CUSIP: 88164AAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    290000 | PA      | $289536.93    | 0.21%             | 2050-06-20      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                  | Pacific Gas and Electric Co                                                     | CUSIP: 694308KE6<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    800000 | PA      | $799930.68    | 0.59%             | 2025-06-08      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KYT41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    964483 | PA      | $824300.94    | 0.61%             | 2040-09-01      | 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        |       360 | NC      | $78750.00     | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 5 YEAR U.S. TREASURY NOTE WEEK 5                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        42 | NC      | $328.13       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418EER7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1889527 | PA      | $1676437.33   | 1.23%             | 2042-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PPM Clo, Ltd.                                           | PPM CLO 8 Ltd                                                                   | CUSIP: 69382DAJ3<br>LEI: 254900DMFVRHGLYIFG95 | Long             | ABS-CBDO         | CORP              | KY        |    340000 | PA      | $341578.28    | 0.25%             | 2038-04-20      | Floating      | 7.31%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GKJ7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    310000 | PA      | $299752.09    | 0.22%             | 2028-02-04      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Ford Credit Floorplan Master O                          | Ford Credit Floorplan Master Owner Trust A                                      | CUSIP: 34529BAA4<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-O            | CORP              | US        |    270000 | PA      | $271582.32    | 0.20%             | 2030-04-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XBLM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56914 | PA      | $48947.48     | 0.04%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                          | Alternative Loan Trust 2005-76                                                  | CUSIP: 12668BDJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     61174 | PA      | $55076.17     | 0.04%             | 2046-01-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 36179UML3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34546 | PA      | $31978.97     | 0.02%             | 2049-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PETROBRAS GLOBAL FINANCE                                | Petrobras Global Finance BV                                                     | CUSIP: 71647NBK4<br>LEI: 549300FNENFFSMO3GT38 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $201678.50    | 0.15%             | 2033-07-03      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| KAZMUNAYGAS NATIONAL CO                                 | KazMunayGas National Co JSC                                                     | CUSIP: 48126PAA0<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |    350000 | PA      | $294595.88    | 0.22%             | 2033-04-14      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 91282CJR3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2420000 | PA      | $2408656.25   | 1.77%             | 2028-12-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 5 YEAR U.S. TREASURY NOTE WEEK 5                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -42 | NC      | $-7875.00     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CVS PASS-THROUGH TRUST                                  | CVS Pass-Through Trust                                                          | CUSIP: 126650BP4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     23818 | PA      | $24087.85     | 0.02%             | 2028-12-10      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| FLORIDA GAS TRANSMISSION                                | Florida Gas Transmission Co LLC                                                 | CUSIP: 340711BC3<br>LEI: 549300Q0UQF87NXNOC32 | Long             | DBT              | CORP              | US        |    120000 | PA      | $120804.75    | 0.09%             | 2035-07-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| American Money Management Corp                          | AMMC CLO 23 Ltd                                                                 | CUSIP: 00177JBS3<br>LEI: 549300ICO4ZE2FVC2Y46 | Long             | ABS-CBDO         | CORP              | KY        |    280000 | PA      | $281079.26    | 0.21%             | 2035-04-17      | Floating      | 7.98%                 | No            |                  2 | On Loan: No      |
| TEVA PHARM FNC NL II                                    | Teva Pharmaceutical Finance Netherlands II BV                                   | CUSIP: 000000000<br>LEI: 549300HSQCIKJAOYIT23 | Long             | DBT              | CORP              | NL        |    600000 | PA      | $781336.85    | 0.57%             | 2029-09-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                         | United States Treasury Inflation Indexed Bonds                                  | CUSIP: 91282CLE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    825528 | PA      | $819424.57    | 0.60%             | 2034-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                          | HarborView Mortgage Loan Trust 2006-13                                          | CUSIP: 41162KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     57721 | PA      | $42207.55     | 0.03%             | 2046-11-19      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140MRBS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69341 | PA      | $67515.83     | 0.05%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KYV71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    225142 | PA      | $189663.65    | 0.14%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                            | UBS Group AG                                                                    | CUSIP: 225401BH0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    250000 | PA      | $248133.03    | 0.18%             | N/A             | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES/SKYMILES                                | Delta Air Lines Inc / SkyMiles IP Ltd                                           | CUSIP: 830867AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |     57000 | PA      | $56788.98     | 0.04%             | 2025-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 5 YEAR U.S. TREASURY NOTE WEEK 5                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        84 | NC      | $656.29       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                    | Colombia Government International Bond                                          | CUSIP: 195325DZ5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    330000 | PA      | $259957.50    | 0.19%             | 2032-04-22      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| SPIRIT LOYALTY KY LTD/IP                                | Spirit Loyalty Cayman Ltd / Spirit IP Cayman Ltd                                | CUSIP: 84859BAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    245946 | PA      | $191530.41    | 0.14%             | 2030-03-06      | Fixed         | 11.00%                | 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        |     70000 | PA      | $68906.42     | 0.05%             | 2028-02-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3137HHNF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    100577 | PA      | $99976.63     | 0.07%             | 2054-12-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     30000 | PA      | $26452.07     | 0.02%             | 2033-02-04      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3142GRBY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     80443 | PA      | $82984.41     | 0.06%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                                      | CUSIP: 21H030666<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    500000 | PA      | $435683.06    | 0.32%             | 2055-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Spirit Aviation Holdings Inc                            | Spirit Aviation Holdings Inc                                                    | CUSIP: 84863V101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      9649 | NS      | $57797.51     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| American Money Management Corp                          | AMMC CLO 30 Ltd                                                                 | CUSIP: 03165UAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    140000 | PA      | $140688.56    | 0.10%             | 2037-01-15      | Floating      | 8.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 36179UKY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    117100 | PA      | $111770.99    | 0.08%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 10 YEAR U.S. TREASURY NOTE WEEK 5                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -28 | NC      | $-7000.00     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| QUIKRETE HOLDINGS INC                                   | Quikrete Holdings Inc                                                           | CUSIP: 74843PAA8<br>LEI: 5493007KIN86DIZWZT22 | Long             | DBT              | CORP              | US        |     70000 | PA      | $71181.74     | 0.05%             | 2032-03-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 5 YEAR U.S. TREASURY NOTE WEEK 5                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        42 | NC      | $328.15       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 10 YEAR U.S. TREASURY NOTE WEEK 5                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        84 | NC      | $5250.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        43 | NC      | $12362.50     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        43 | NC      | $10750.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs Bank USA                                  | USD/BRL FORWARD                                                                 | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-47.40       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                          | USD/INR FORWARD                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-37990.22    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       259 | NC      | $1618.75      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank, National Association               | CHF/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $222.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America, National Association                   | USD/BRL FORWARD                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1772.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America, National Association                   | USD/GBP FORWARD                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-76583.11    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                  | MXN/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              | CORP              | US        |         1 | NC      | $19035.32     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association               | USD/ZAR FORWARD                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-45720.57    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America, National Association                   | USD/AUD FORWARD                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-3558.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America, National Association                   | CNH/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |         1 | NC      | $13486.05     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America, National Association                   | USD/CHF FORWARD                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |         1 | NC      | $2834.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                          | INR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1579.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                  | USD/CAD FORWARD                                                                 | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-3058.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       -98 | NC      | $-612.50      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Bank of America, National Association                   | USD/CHF FORWARD                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-734.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America, National Association                   | GBP/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |         1 | NC      | $411.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                            | CNH/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1727.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America, National Association                   | USD/EUR FORWARD                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-61091.24    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | EUR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $5487.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America, National Association                   | USD/JPY FORWARD                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-133.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                  | CHF/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              | CORP              | US        |         1 | NC      | $163.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America, National Association                   | USD/CNH FORWARD                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-34390.95    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America, National Association                   | CHF/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1016.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                  | CAD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1301.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -108 | NC      | $-675.00      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Bank of America, National Association                   | EUR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |         1 | NC      | $11466.07     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                  | USD/EUR FORWARD                                                                 | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1362.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America, National Association                   | CHF/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-5974.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                          | NZD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $78729.89     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                          | AUD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $101054.28    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                          | USD/AUD FORWARD                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-11559.19    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                  | USD/AUD FORWARD                                                                 | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              | CORP              | US        |         1 | NC      | $403.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                  | JPY/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              | CORP              | US        |         1 | NC      | $10326.01     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $-75134.25    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                         | IRS BRL                                                                         | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DIR              | CORP              | US        |         1 | NC      | $138705.55    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        98 | NC      | $86362.50     | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $15325.33     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $927711.36    | 0.68%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $35952.18     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $-27448.46    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION               | TRS JPEIFNTR INDEX                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |         1 | NC      | $-11696.93    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $24551.86     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                        | CSC Holdings LLC                                                                | CUSIP: 126307BH9<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |    680000 | PA      | $460310.22    | 0.34%             | 2031-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDI                                        | Ford Motor Credit Co LLC                                                        | CUSIP: 345397B69<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    340000 | PA      | $292687.87    | 0.22%             | 2031-06-17      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                   | Continental Resources Inc/OK                                                    | CUSIP: 212015AT8<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |    270000 | PA      | $268913.03    | 0.20%             | 2031-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| AXIS Equipment Finance Receiva                          | Amur Equipment Finance Receivables XV LLC                                       | CUSIP: 03237FAB1<br>LEI: 254900UXD59DZRJ7U848 | Long             | ABS-O            | CORP              | US        |    220000 | PA      | $220724.13    | 0.16%             | 2031-09-22      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| AUSTRALIAN SECURITIES EXCHANGE TRADE24                  | AUST 10Y BOND                                                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | AU        |        25 | NC      | $32749.23     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 36179UEB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63997 | PA      | $63073.27     | 0.05%             | 2048-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CL6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    375000 | PA      | $307193.83    | 0.23%             | 2063-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MF1MultifamilyHousingMortga                             | MF12025-FL19LLC                                                                 | CUSIP: 55287KAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    270000 | PA      | $270572.56    | 0.20%             | 2042-05-18      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AM                                 | United Rentals North America Inc                                                | CUSIP: 911365BP8<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |     70000 | PA      | $62891.95     | 0.05%             | 2032-01-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133BQSA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83857 | PA      | $79283.33     | 0.06%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F042665<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $3773146.92   | 2.77%             | 2055-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3617JYLP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     77690 | PA      | $69192.49     | 0.05%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QNM33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    310213 | PA      | $268458.76    | 0.20%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 91282CJL6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    550000 | PA      | $551367.32    | 0.41%             | 2025-11-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| SPIRIT AIRLINES LLC                                     | SPIRIT AIRLINES LLC                                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      6856 | NS      | $41067.44     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-07-22

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

**Signature:** Christopher Berarducci

**Name of Signer:** Christopher Berarducci

**Title:** Principal Financial Officer