# EDGAR Filing Document

**Accession Number:** 0001506768
**File Stem:** 0000894189-26-004398
**Filing Date:** 2026-2
**Character Count:** 131871
**Document Hash:** fddacea1aedce0538b825ca5f1ef78af
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000894189-26-004398.hdr.sgml**: 20260224

**ACCESSION NUMBER**: 0000894189-26-004398

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260224

**DATE AS OF CHANGE**: 20260224

**PERIOD START**: 20251231

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22509
- **FILM NUMBER:** 26670802

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

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

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

## Series and Classes Contracts Data

### LoCorr Hedged Core Fund (Series ID: S000084437)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000248819 | Class A      | LHEAX           |
| C000248820 | Class I      | LHEIX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Excelsior

  - **State:** MN

  - **Foreign country:** US

  - **Zip / Postal Code:** 55331

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

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

- **a. Name of Series:** LoCorr Hedged Core Fund

- **b. EDGAR series identifier (if any):** S000084437

- **c. LEI of Series:** 52990054J3L7XVZL3M95

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

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

- **b. Date as of which information is reported:** 2025-12-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $265378651.06

**Total Liabilities:** $23178073.68

**Net Assets:** $242200577.38

**Amount of Assets Invested in Other Investment Companies:** $26414259.58

**Cash Not Reported:** $16992521.12

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -32387.260000000000 | **1-Year:** 22184.020000000000 | **5-Year:** 27310.060000000000 | **10-Year:** 46.510000000000 | **30-Year:** 0.000000000000

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

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

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000248819 | 0.31%                | -0.41%               | 0.20%                |
| Class ID C000248820 | 0.41%                | -0.41%               | 0.23%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $43474.93                | $-203411.98                                |
| Month 2  | $234458.49               | $1208297.22                                |
| Month 3  | $-308818.95              | $1141766.49                                |

**Designated Index Information**

- **Index Name:** N/A

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                                 | Title                                                     | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| N/A                                  | NY Harb ULSD Fut  Feb26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         4 | NC      | $-4249.60     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | MSCI EmgMkt       Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $-186.58      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | MSCI EAFE         Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $-456.58      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | MXN/USD FWD 20260121                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $1400.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | MXN/USD FWD 20260121                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $53508.53     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | MXN/USD FWD 20260318                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $28965.51     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | NATURAL GAS FUTR  Feb26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       -12 | NC      | $12723.84     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | NATURAL GAS FUTR  Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        -1 | NC      | $3848.01      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | NATURAL GAS FUTR  Apr26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        -1 | NC      | $3628.01      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | NIKKEI 225  (OSE) Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | JP        |         7 | NC      | $-13141.69    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | NOK/USD FWD 20260121                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-1781.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | NOK/USD FWD 20260121                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-632.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | NASDAQ 100 E-MINI Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        11 | NC      | $-11730.33    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | NEW ZEALAND $ FUT Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-557.00      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | MEXICAN PESO FUT  Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |        40 | NC      | $737.26       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | MINI BOVESPA FUT  Feb26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | BR        |       -48 | NC      | $-3059.38     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MARS INC                             | Mars Inc                                                  | CUSIP: 571676AX3<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   2220000 | PA      | $2251004.52   | 0.93%             | 2028-03-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| MARS INC                             | Mars Inc                                                  | CUSIP: 571676AY1<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   2095000 | PA      | $2142322.01   | 0.88%             | 2030-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                          | CUSIP: 91282CEV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  21316900 | PA      | $21084579.04  | 8.71%             | 2029-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                          | CUSIP: 91282CGH8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6525800 | PA      | $6528094.21   | 2.70%             | 2028-01-31      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                          | CUSIP: 91282CGQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8210000 | PA      | $8320642.56   | 3.44%             | 2030-02-28      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                          | CUSIP: 91282CGT2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6210100 | PA      | $6227808.47   | 2.57%             | 2028-03-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| N/A                                  | BP CURRENCY FUT   Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |        10 | NC      | $-2910.28     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | BRL/USD FWD 20260121                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-63114.91    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | BRL/USD FWD 20260121                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-14687.69    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | CAD/USD FWD 20260121                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-102265.26   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | CAD/USD FWD 20260121                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $18682.66     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | CAD/USD FWD 20260318                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-45056.06    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | CAD/USD FWD 20260318                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $8824.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | C$ CURRENCY FUT   Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |        -4 | NC      | $-2427.80     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | C$ CURRENCY FUT   Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |        18 | NC      | $2484.83      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | CAC40 10 EURO FUT Jan26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | FR        |        17 | NC      | $10080.22     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | CAN 10YR BOND FUT Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |        25 | NC      | $-29986.10    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | BRENT CRUDE FUTR  Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |       -11 | NC      | $-8343.71     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | BRENT CRUDE FUTR  Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        27 | NC      | $-10614.29    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | BRENT CRUDE FUTR  Apr26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         7 | NC      | $-5318.89     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | BRENT CRUDE FUTR  May26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         1 | NC      | $-1221.27     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | BRENT CRUDE FUTR  Jun26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         1 | NC      | $-121.27      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | GBP/USD FWD 20260102                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $296.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | CHF CURRENCY FUT  Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |        14 | NC      | $-11446.05    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | US 10YR NOTE (CBT)Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -17 | NC      | $74.58        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | US 10YR NOTE (CBT)Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        57 | NC      | $-49295.48    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | AUST 10Y BOND FUT Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | AU        |       -69 | NC      | $12085.03     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | GBP/USD FWD 20260102                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $554.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | GBP/USD FWD 20260121                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-34581.27    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | GASOLINE RBOB FUT May26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         1 | NC      | $-732.67      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | AUST 3YR BOND FUT Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | AU        |         3 | NC      | $6.40         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BX Trust                             | BX Trust 2025-DELC                                        | CUSIP: 05594MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1001245.70   | 0.41%             | 2042-12-15      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| BX Trust                             | BX Trust 2021-VIEW                                        | CUSIP: 05606GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    720000 | PA      | $719125.49    | 0.30%             | 2036-06-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| BX Trust                             | BX Commercial Mortgage Trust 2022-AHP                     | CUSIP: 05610FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $899452.98    | 0.37%             | 2039-01-17      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| BofA Auto Trust                      | BofA Auto Trust 2024-1                                    | CUSIP: 09709AAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    209976 | PA      | $211774.91    | 0.09%             | 2028-11-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PART               | Brixmor Operating Partnership LP                          | CUSIP: 11120VAC7<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    280000 | PA      | $279833.77    | 0.12%             | 2026-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                         | Broadcom Inc                                              | CUSIP: 11135FCK5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    355000 | PA      | $360964.70    | 0.15%             | 2030-07-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC                    | Brown & Brown Inc                                         | CUSIP: 115236AH4<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |    375000 | PA      | $376889.06    | 0.16%             | 2026-12-23      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| N/A                                  | LONG GILT FUTURE  Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        26 | NC      | $8215.08      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | Low Su Gasoil G   Feb26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         9 | NC      | $4713.73      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | Low Su Gasoil G   Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         2 | NC      | $-452.54      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | Low Su Gasoil G   Apr26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         1 | NC      | $123.73       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | JPN 10Y BOND(OSE) Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | JP        |         1 | NC      | $-66.73       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | JPY/USD FWD 20260105                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-8081.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | JPY/USD FWD 20260105                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $5591.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | JPN YEN CURR FUT  Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |       -19 | NC      | $4979.03      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | GOLD 100 OZ FUTR  Feb26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         8 | NC      | $62003.04     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | HSCEI Futures     Jan26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | HK        |        13 | NC      | $-7541.51     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | HANG SENG IDX FUT Jan26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | HK        |        12 | NC      | $-20749.30    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | ILS/USD FWD 20260121                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $2077.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | INR/USD FWD 20260121                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $813.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | INR/USD FWD 20260121                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $1026.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | JPN 10Y BOND(OSE) Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | JP        |        -8 | NC      | $42958.63     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | IFSC NIFTY 50 FUT Jan26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | IN        |        -2 | NC      | $47.16        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | JPY/USD FWD 20260106                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-1707.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | JPY/USD FWD 20260106                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $3684.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | JPY/USD FWD 20260121                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-41862.11    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | JPY/USD FWD 20260121                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $28371.61     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | JPY/USD FWD 20260218                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $614.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | ICE 3MTH SONIA FU Mar27                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |         7 | NC      | $1442.05      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | ICE 3MTH SONIA FU Mar28                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |         2 | NC      | $267.59       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | ICE 3MTH SONIA FU Jun27                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        26 | NC      | $7477.12      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | ICE 3MTH SONIA FU Sep26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |         5 | NC      | $803.77       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | ICE 3MTH SONIA FU Sep27                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |         4 | NC      | $804.78       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | ICE 3MTH SONIA FU Dec26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |         6 | NC      | $1392.50      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | ICE 3MTH SONIA FU Dec27                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |         3 | NC      | $687.83       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| AT&T INC                             | AT&T Inc                                                  | CUSIP: 00206RJX1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    625000 | PA      | $610795.99    | 0.25%             | 2027-06-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                            | Amgen Inc                                                 | CUSIP: 031162DP2<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    615000 | PA      | $629598.76    | 0.26%             | 2028-03-02      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| ARDN 2025-ARCP Mortgage Trust        | ARDN 2025-ARCP Mortgage Trust                             | CUSIP: 039961AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1001555.60   | 0.41%             | 2035-06-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                 | Bank of America Corp                                      | CUSIP: 06051GKP3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1445000 | PA      | $1450915.79   | 0.60%             | 2028-04-27      | Variable      | 4.38%                 | 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        |    600000 | PA      | $616619.64    | 0.25%             | 2043-07-25      | Floating      | 6.57%                 | 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        |    750000 | PA      | $777782.10    | 0.32%             | 2043-06-25      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK             | Federal Farm Credit Banks Funding Corp                    | CUSIP: 3133ENAF7<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |   1000000 | PA      | $981077.57    | 0.41%             | 2026-10-07      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK             | Federal Farm Credit Banks Funding Corp                    | CUSIP: 3133ERRW3<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |    400000 | PA      | $400767.51    | 0.17%             | 2026-09-03      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK             | Federal Farm Credit Banks Funding Corp                    | CUSIP: 3133ERT84<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |   2000000 | PA      | $2024161.44   | 0.84%             | 2028-01-14      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                           | AbbVie Inc                                                | CUSIP: 00287YDS5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    235000 | PA      | $240943.65    | 0.10%             | 2029-03-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| FED CAISSES DESJARDINS               | Federation des Caisses Desjardins du Quebec               | CUSIP: 31429KAK9<br>LEI: 549300B2Q47IR0CR5B54 | Long             | DBT              | CORP              | CA        |    535000 | PA      | $553195.35    | 0.23%             | 2028-03-14      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PVT BANK              | Morgan Stanley Private Bank NA                            | CUSIP: 61776NZW6<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |   2415000 | PA      | $2422561.37   | 1.00%             | 2031-11-19      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| MTN Commercial Mortgage Trust        | MTN Commercial Mortgage Trust 2022-LPFL                   | CUSIP: 62475WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    825000 | PA      | $824486.52    | 0.34%             | 2039-03-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                      | MVW 2025-1 LLC                                            | CUSIP: 627924AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    711300 | PA      | $721411.56    | 0.30%             | 2042-09-22      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL LFE GLB FND II             | Principal Life Global Funding II                          | CUSIP: 74256LEK1<br>LEI: 635400WSLKBQWSOIIT41 | Long             | DBT              | CORP              | US        |    365000 | PA      | $364656.72    | 0.15%             | 2026-01-12      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| PROLOGIS TARGETED US                 | Prologis Targeted US Logistics Fund LP                    | CUSIP: 74350LAA2<br>LEI: 5493004DTBWUQ9F2VJ87 | Long             | DBT              | CORP              | US        |    545000 | PA      | $561446.11    | 0.23%             | 2029-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ROPER TECHNOLOGIES INC               | Roper Technologies Inc                                    | CUSIP: 776696AK2<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |    415000 | PA      | $416644.30    | 0.17%             | 2028-09-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| SCG Hotel Issuer Inc                 | SCG Trust 2025-SNIP                                       | CUSIP: 78398JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $751171.28    | 0.31%             | 2042-09-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| SOUTH BOW USA INFRA HLDS             | South Bow USA Infrastructure Holdings LLC                 | CUSIP: 83007CAB8<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |    275000 | PA      | $277558.25    | 0.11%             | 2027-09-01      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                  | Southern California Edison Co                             | CUSIP: 842400GV9<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    150000 | PA      | $149456.74    | 0.06%             | 2026-02-01      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORP                    | State Street Corp                                         | CUSIP: 857477CU5<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    440000 | PA      | $446848.09    | 0.18%             | 2028-02-28      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| SYSCO CORPORATION                    | Sysco Corp                                                | CUSIP: 871829BF3<br>LEI: 5RGWIFLMGH3YS7KWI652 | Long             | DBT              | CORP              | US        |    405000 | PA      | $401036.84    | 0.17%             | 2027-07-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                     | T-Mobile USA Inc                                          | CUSIP: 87264ADA0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    410000 | PA      | $417541.84    | 0.17%             | 2028-07-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                     | T-Mobile USA Inc                                          | CUSIP: 87264ADE2<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    800000 | PA      | $817662.98    | 0.34%             | 2029-01-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| T-Mobile US Trust                    | T-Mobile US Trust 2024-2                                  | CUSIP: 87268CAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $251221.18    | 0.10%             | 2029-05-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Tesla Auto Lease Trust               | Tesla Auto Lease Trust 2024-B                             | CUSIP: 881934AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1100000 | PA      | $1105347.54   | 0.46%             | 2027-10-20      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner        | Toyota Auto Receivables 2024-D Owner Trust                | CUSIP: 89239TAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    350000 | PA      | $352438.59    | 0.15%             | 2029-06-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| RTX CORP                             | RTX Corp                                                  | CUSIP: 913017CY3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    375000 | PA      | $376382.05    | 0.16%             | 2028-11-16      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                  | 10YR MINI JGB FUT Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | SG        |        -9 | NC      | $6230.51      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | CORN FUTURE       Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       -39 | NC      | $14988.28     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | CHF/USD FWD 20260105                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $205.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | CHF/USD FWD 20260121                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-2636.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | CHF/USD FWD 20260121                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $19208.02     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | CHF/USD FWD 20260318                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-1147.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | CHF/USD FWD 20260318                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $5474.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | CLP/USD FWD 20260121                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-3481.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | CLP/USD FWD 20260121                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $7905.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | CNH/USD FWD 20260105                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-375.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA             | AerCap Ireland Capital DAC / AerCap Global Aviation Trust | CUSIP: 00774MBD6<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1055000 | PA      | $1075021.98   | 0.44%             | 2027-01-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| AMCOR GROUP FINANCE                  | Amcor Group Finance PLC                                   | CUSIP: 02344BAA4<br>LEI: 2549008XHB8M1L64J275 | Long             | DBT              | CORP              | GB        |    470000 | PA      | $486140.44    | 0.20%             | 2029-05-23      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                  | CNH/USD FWD 20260105                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $360.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | COTTON NO.2 FUTR  Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       -13 | NC      | $10021.32     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | DJIA MINI e-CBOT  Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        14 | NC      | $-32375.62    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | EURO FX CURR FUT  Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |        -1 | NC      | $616.80       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| AMERICAN HOMES 4 RENT                | American Homes 4 Rent LP                                  | CUSIP: 02666TAB3<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |    255000 | PA      | $259425.08    | 0.11%             | 2029-02-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| BMW Vehicle Lease Trust              | BMW Vehicle Lease Trust                                   | CUSIP: 05613MAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $250880.13    | 0.10%             | 2027-10-25      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| N/A                                  | EURO FX CURR FUT  Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |        36 | NC      | $-3479.52     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | EUR/USD FWD 20260102                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $82.65        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | EUR/USD FWD 20260102                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $208.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | EUR/USD FWD 20260121                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-34775.05    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | EUR/USD FWD 20260121                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $24779.24     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | EUR/USD FWD 20260318                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $3653.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | EUR/USD FWD 20260318                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $16166.25     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | DAX INDEX FUTURE  Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | DE        |         6 | NC      | $25358.28     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | COPPER FUTURE     Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         1 | NC      | $6773.05      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | Euro-BTP Future   Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |        -1 | NC      | $6.51         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | Euro-BTP Future   Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |         8 | NC      | $-3295.88     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | ECX EMISSION      Dec26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               |  | NL        |         2 | NC      | $706.60       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | EURO-BOBL FUTURE  Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |      -165 | NC      | $4287.95      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | E-Mini Russ 2000  Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        23 | NC      | $-64967.93    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA CORP                 | Bank of America Corp                                      | CUSIP: 06051GML0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2010000 | PA      | $2076637.01   | 0.86%             | 2031-01-24      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| BOEING CO                            | Boeing Co/The                                             | CUSIP: 097023DB8<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    915000 | PA      | $899564.70    | 0.37%             | 2028-02-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                  | 3 MONTH SOFR FUT  Mar27                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -3 | NC      | $-430.04      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | 3 MONTH SOFR FUT  Jun27                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -1 | NC      | $-151.68      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | 3 MONTH SOFR FUT  Jun27                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        92 | NC      | $12452.36     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | 3 MONTH SOFR FUT  Jun28                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         8 | NC      | $-833.50      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | 3 MONTH SOFR FUT  Dec26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -3 | NC      | $-392.54      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | 3 MONTH SOFR FUT  Dec27                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -2 | NC      | $-203.36      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | EURO STOXX 50     Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | DE        |        86 | NC      | $69575.36     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| HCA INC                              | HCA Inc                                                   | CUSIP: 404119CY3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    325000 | PA      | $331149.47    | 0.14%             | 2028-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                    | HSBC Holdings PLC                                         | CUSIP: 404280DU0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    550000 | PA      | $572798.40    | 0.24%             | 2029-03-09      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE RLTY HLDGS LP             | Healthcare Realty Holdings LP                             | CUSIP: 42225UAF1<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1390516.26   | 0.57%             | 2027-07-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Honda Auto Receivables Owner T       | Honda Auto Receivables 2024-4 Owner Trust                 | CUSIP: 43816DAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $502777.90    | 0.21%             | 2029-05-15      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| HONEYWELL INTERNATIONAL              | Honeywell International Inc                               | CUSIP: 438516CQ7<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |    235000 | PA      | $241552.13    | 0.10%             | 2029-09-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust       | Hyundai Auto Receivables Trust 2025-A                     | CUSIP: 44935CAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1146167 | PA      | $1147394.72   | 0.47%             | 2027-12-15      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| IP 2025-IP Mortgage Trust            | IP 2025-IP Mortgage Trust                                 | CUSIP: 449843AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $763756.58    | 0.32%             | 2042-06-10      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                  | JPMorgan Chase & Co                                       | CUSIP: 46647PEY8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2465000 | PA      | $2547253.57   | 1.05%             | 2031-04-22      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| KITE REALTY GROUP LP                 | Kite Realty Group LP                                      | CUSIP: 49803XAA1<br>LEI: 549300X6R2GYI8Y3OD81 | Long             | DBT              | CORP              | US        |    755000 | PA      | $753794.85    | 0.31%             | 2026-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KRE Commercial Mortgage Trust        | KRE Commercial Mortgage Trust 2025-AIP4                   | CUSIP: 50077KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $998751.10    | 0.41%             | 2042-03-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                 | Kraft Heinz Foods Co                                      | CUSIP: 50077LBC9<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |    520000 | PA      | $518674.09    | 0.21%             | 2027-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| KSL Resorts                          | KSL Commercial Mortgage Trust 2024-HT2                    | CUSIP: 500937AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    242727 | PA      | $242651.39    | 0.10%             | 2039-12-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH INC                    | L3Harris Technologies Inc                                 | CUSIP: 502431AP4<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |    820000 | PA      | $831974.98    | 0.34%             | 2027-01-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| LAD Auto Receivables Trust           | LAD Auto Receivables Trust 2024-3                         | CUSIP: 505709AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    350000 | PA      | $351212.61    | 0.15%             | 2029-03-15      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| LINEAGE OP LP                        | Lineage OP LP                                             | CUSIP: 53567YAA7<br>LEI: 254900CSRDL1G4SRQE89 | Long             | DBT              | CORP              | US        |    485000 | PA      | $489652.62    | 0.20%             | 2030-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| M&T Bank Auto Receivables Trus       | M&T Bank Auto Receivables Trust 2025-1                    | CUSIP: 55287XAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1250000 | PA      | $1266035.25   | 0.52%             | 2030-06-17      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                  | CNH/USD FWD 20260121                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-17680.37    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | CNH/USD FWD 20260121                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $52935.27     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | COFFEE 'C' FUTURE Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         6 | NC      | $-32679.10    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | COCOA FUTURE - IC Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -2 | NC      | $-5340.29     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | GBP/USD FWD 20260121                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $81170.38     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | GBP/USD FWD 20260218                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-348.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | GBP/USD FWD 20260318                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $123.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | GBP/USD FWD 20260318                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $46226.48     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | FTSE/MIB IDX FUT  Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | IT        |         3 | NC      | $7687.10      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | FTSE Taiwan Index Jan26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | SG        |         2 | NC      | $1896.20      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | GASOLINE RBOB FUT Feb26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         1 | NC      | $-909.07      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | GASOLINE RBOB FUT Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         2 | NC      | $-2645.54     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | GASOLINE RBOB FUT Apr26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         1 | NC      | $-993.07      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | FTSE CHINA A50    Jan26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | SG        |         4 | NC      | $-487.08      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CVS HEALTH CORP                      | CVS Health Corp                                           | CUSIP: 126650CU2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    995000 | PA      | $989976.01    | 0.41%             | 2026-06-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                      | CVS Health Corp                                           | CUSIP: 126650DW7<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    575000 | PA      | $587544.69    | 0.24%             | 2029-01-30      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust       | Carvana Auto Receivables Trust 2024-P4                    | CUSIP: 14076LAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $503065.00    | 0.21%             | 2030-01-10      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust              | CarMax Auto Owner Trust 2024-4                            | CUSIP: 14290DAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $404210.52    | 0.17%             | 2029-10-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                          | CUSIP: 91282CHM6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1405000 | PA      | $1412206.12   | 0.58%             | 2026-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                          | CUSIP: 91282CKD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    940000 | PA      | $959424.22    | 0.40%             | 2029-02-28      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                          | CUSIP: 91282CKJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5629400 | PA      | $5698887.91   | 2.35%             | 2027-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                          | CUSIP: 91282CKP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7961300 | PA      | $8222219.19   | 3.39%             | 2029-04-30      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                          | CUSIP: 91282CNK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6100000 | PA      | $6150992.22   | 2.54%             | 2030-06-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                          | CUSIP: 91282CPA3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11105000 | PA      | $11072032.03  | 4.57%             | 2030-09-30      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS               | Verizon Communications Inc                                | CUSIP: 92343VGH1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    655000 | PA      | $629037.52    | 0.26%             | 2028-03-22      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Verizon Master Trust                 | Verizon Master Trust                                      | CUSIP: 92348KDY6<br>LEI: 5493007MUBNP1GFMEB89 | Long             | ABS-O            | CORP              | US        |   1590000 | PA      | $1608756.28   | 0.66%             | 2030-03-20      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust       | Carvana Auto Receivables Trust 2023-P1                    | CUSIP: 14688EAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $507236.10    | 0.21%             | 2029-01-10      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                        | Citigroup Inc                                             | CUSIP: 172967QF1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    540000 | PA      | $542340.23    | 0.22%             | 2031-09-11      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                          | Citibank NA                                               | CUSIP: 17325FBN7<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |    880000 | PA      | $889077.53    | 0.37%             | 2027-05-29      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| CNH Equipment Trust                  | CNH Equipment Trust 2024-C                                | CUSIP: 18978GAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $250967.55    | 0.10%             | 2030-01-15      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Connecticut Avenue Securities Trust 2022-R04              | CUSIP: 20753YCK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1536330.60   | 0.63%             | 2042-03-25      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Connecticut Avenue Securities Trust 2022-R06              | CUSIP: 20754NAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1554212.70   | 0.64%             | 2042-05-25      | Floating      | 7.72%                 | No            |                  2 | On Loan: No      |
| WALMART INC                          | Walmart Inc                                               | CUSIP: 931142FN8<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |    120000 | PA      | $122059.88    | 0.05%             | 2030-04-28      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag       | Wells Fargo Commercial Mortgage Trust 2024-SVEN           | CUSIP: 949937AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $519629.65    | 0.21%             | 2037-06-10      | Fixed         | 6.01%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                | Wells Fargo & Co                                          | CUSIP: 95000U3W1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1225000 | PA      | $1265553.70   | 0.52%             | 2031-04-23      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag       | Wells Fargo Commercial Mortgage Trust 2025-NYCH           | CUSIP: 95004KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $999998.70    | 0.41%             | 2042-06-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Connecticut Avenue Securities Trust 2023-R04              | CUSIP: 20754QAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1572178.20   | 0.65%             | 2043-05-25      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Connecticut Avenue Securities Trust 2023-R02              | CUSIP: 20755AAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    970000 | PA      | $1005359.02   | 0.42%             | 2043-01-25      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                   | Credit Agricole SA                                        | CUSIP: 22535WAR8<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    250000 | PA      | $256881.91    | 0.11%             | 2031-05-27      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                     | Deutsche Bank AG/New York NY                              | CUSIP: 251526CX5<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    290000 | PA      | $294611.55    | 0.12%             | 2030-09-11      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                | Duke Energy Carolinas LLC                                 | CUSIP: 26442CBP8<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |    525000 | PA      | $540886.02    | 0.22%             | 2030-03-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                         | Enbridge Inc                                              | CUSIP: 29250NBX2<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    445000 | PA      | $467774.84    | 0.19%             | 2028-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                   | Energy Transfer LP                                        | CUSIP: 29273VAR1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    975000 | PA      | $990721.03    | 0.41%             | 2026-12-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC       | Enterprise Fleet Financing 2025-1 LLC                     | CUSIP: 29390HAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1016713.50   | 0.42%             | 2029-02-20      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| ESSEX PORTFOLIO LP                   | Essex Portfolio LP                                        | CUSIP: 29717PAY3<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |    240000 | PA      | $228044.58    | 0.09%             | 2028-03-01      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                           | Federal National Mortgage Association                     | CUSIP: 3135G0Q22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |    250000 | PA      | $246935.38    | 0.10%             | 2026-09-24      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Pass-throu       | ILPT Commercial Mortgage Trust 2025-LPF2                  | CUSIP: 451955AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $1275160.75   | 0.53%             | 2042-07-13      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| N/A                                  | NY Harb ULSD Fut  Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         1 | NC      | $-480.67      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | JPY/USD FWD 20260318                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-4054.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| World Omni Automobile Lease Se       | World Omni Automobile Lease Securitization Trust 2025-A   | CUSIP: 98164PAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    722529 | PA      | $724504.83    | 0.30%             | 2027-12-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| World Omni Auto Receivables Tr       | World Omni Auto Receivables Trust 2024-A                  | CUSIP: 98164RAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    211380 | PA      | $212525.02    | 0.09%             | 2029-03-15      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| World Omni Auto Receivables Tr       | World Omni Auto Receivables Trust 2025-A                  | CUSIP: 98164YAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1012281.90   | 0.42%             | 2030-03-15      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| Guaranteed Funding (DK) Limite       | DK Trust 2025-LXP                                         | CUSIP: 23292LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $751161.90    | 0.31%             | 2037-08-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK               | Federal Home Loan Banks                                   | CUSIP: 3130ATHW0<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |    425000 | PA      | $429396.91    | 0.18%             | 2027-09-10      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK               | Federal Home Loan Banks                                   | CUSIP: 3130ATUS4<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   1100000 | PA      | $1116021.84   | 0.46%             | 2027-12-10      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK               | Federal Home Loan Banks                                   | CUSIP: 3130AWGR5<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |    500000 | PA      | $501469.31    | 0.21%             | 2026-06-12      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK               | Federal Home Loan Banks                                   | CUSIP: 3130AWTQ3<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |    250000 | PA      | $251724.95    | 0.10%             | 2026-09-11      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK               | Federal Home Loan Banks                                   | CUSIP: 3130B2PJ8<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |    250000 | PA      | $250031.43    | 0.10%             | 2026-09-04      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK               | Federal Home Loan Banks                                   | CUSIP: 3130B3A29<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |    700000 | PA      | $702193.72    | 0.29%             | 2026-10-09      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK               | Federal Home Loan Banks                                   | CUSIP: 3130B5K64<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   3000000 | PA      | $3017430.93   | 1.25%             | 2027-03-10      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK             | Federal Farm Credit Banks Funding Corp                    | CUSIP: 3133ERTT8<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |    425000 | PA      | $424787.41    | 0.18%             | 2027-06-23      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK             | Federal Farm Credit Banks Funding Corp                    | CUSIP: 3133ERZ46<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |   2388000 | PA      | $2422413.32   | 1.00%             | 2028-01-28      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK             | Federal Farm Credit Banks Funding Corp                    | CUSIP: 3133ETFH5<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |   2000000 | PA      | $2009194.56   | 0.83%             | 2028-04-26      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO             | Florida Power & Light Co                                  | CUSIP: 341081GK7<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |    605000 | PA      | $620499.76    | 0.26%             | 2028-04-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO             | Florida Power & Light Co                                  | CUSIP: 341081GN1<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |    765000 | PA      | $774789.70    | 0.32%             | 2028-05-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust         | Ford Credit Auto Owner Trust 2024-C                       | CUSIP: 34532UAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $250864.03    | 0.10%             | 2029-07-15      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust         | Ford Credit Auto Owner Trust 2024-D                       | CUSIP: 34535VAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     75000 | PA      | $75902.29     | 0.03%             | 2029-08-15      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                  | Freddie Mac STACR REMIC Trust 2023-DNA2                   | CUSIP: 35564KT66<br>LEI: 5493000IRI80KQJUNK40 | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1560588.30   | 0.64%             | 2043-04-25      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                  | Freddie Mac STACR REMIC Trust 2023-HQA1                   | CUSIP: 35564KX87<br>LEI: 5493000IRHY5YZIPQD14 | Long             | ABS-MBS          | CORP              | US        |   1505000 | PA      | $1576350.70   | 0.65%             | 2043-05-25      | Floating      | 7.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                  | Freddie Mac STACR REMIC Trust 2022-DNA5                   | CUSIP: 35564KYP8<br>LEI: 5493000IS349P4O9HR58 | Long             | ABS-MBS          | CORP              | US        |    365000 | PA      | $383944.60    | 0.16%             | 2042-06-25      | Floating      | 8.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                  | Freddie Mac STACR REMIC Trust 2023-HQA3                   | CUSIP: 35564NAA1<br>LEI: 529900ZTXRUUVE8G8W08 | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1569348.00   | 0.65%             | 2043-11-25      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| HALEON US CAPITAL LLC                | Haleon US Capital LLC                                     | CUSIP: 36264FAK7<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |   1065000 | PA      | $1057385.26   | 0.44%             | 2027-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC              | Goldman Sachs Group Inc/The                               | CUSIP: 38141GA46<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    315000 | PA      | $334173.61    | 0.14%             | 2029-10-24      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC              | Goldman Sachs Group Inc/The                               | CUSIP: 38141GC93<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    360000 | PA      | $372078.50    | 0.15%             | 2031-04-23      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| MIRA Trust                           | MIRA Trust 2023-MILE                                      | CUSIP: 55318EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $779112.08    | 0.32%             | 2038-06-10      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ AUTO RECEIVABLES       | Mercedes-Benz Auto Receivables Trust 2025-1               | CUSIP: 58773DAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1015748.50   | 0.42%             | 2029-12-17      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| MET LIFE GLOB FUNDING I              | Metropolitan Life Global Funding I                        | CUSIP: 592179KF1<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |    155000 | PA      | $158200.34    | 0.07%             | 2028-01-06      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PVT BANK              | Morgan Stanley Private Bank NA                            | CUSIP: 61776NZU0<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |   1150000 | PA      | $1153815.07   | 0.48%             | 2028-11-17      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC               | Philip Morris International Inc                           | CUSIP: 718172DN6<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    460000 | PA      | $468189.38    | 0.19%             | 2029-11-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Porsche Financial Auto Securit       | Porsche Financial Auto Securitization Trust 2024-1        | CUSIP: 73328EAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $502048.60    | 0.21%             | 2030-01-22      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| Porsche Innovative Lease Owner       | Porsche Innovative Lease Owner Trust 2024-2               | CUSIP: 73328NAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $250529.23    | 0.10%             | 2027-10-20      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                  | AUD/USD FWD 20260102                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-714.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | AUD/USD FWD 20260102                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $929.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | AUD/USD FWD 20260121                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-26952.38    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | AUD/USD FWD 20260121                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $22372.12     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | AUD/USD FWD 20260318                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $1781.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | AUD/USD FWD 20260318                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $13494.36     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | SET50 FUTURES     Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | TH        |         8 | NC      | $-327.39      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | SOYBEAN OIL FUTR  Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        -7 | NC      | $1758.50      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | 3MO EURO EURIBOR  Mar27                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        -9 | NC      | $-223.77      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | 3MO EURO EURIBOR  Mar28                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        -5 | NC      | $-457.29      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | 3MO EURO EURIBOR  Jun27                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |      -109 | NC      | $-4966.34     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | 3MO EURO EURIBOR  Sep26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |       -10 | NC      | $1244.85      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | 3MO EURO EURIBOR  Sep27                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        -6 | NC      | $-207.94      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | 3MO EURO EURIBOR  Dec26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        -9 | NC      | $-91.56       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | 3MO EURO EURIBOR  Dec27                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        -5 | NC      | $-457.29      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | S&P500 EMINI FUT  Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        20 | NC      | $-13051.70    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | S&P MID 400 EMINI Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        -1 | NC      | $7838.24      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Galaxy Commodity-Polaris II Fund LLC | Galaxy Commodity-Polaris II Fund LLC                      | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |     26668 | NS      | $20652715.44  | 8.53%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | NZD/USD FWD 20260121                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $12659.66     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | NZD/USD FWD 20260318                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-4959.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | NZD/USD FWD 20260318                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $7682.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Euro-OAT Future   Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |        -6 | NC      | $-97.25       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | PLN/USD FWD 20260121                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-311.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | PLN/USD FWD 20260121                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $9051.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | EURO-BUND FUTURE  Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |      -126 | NC      | $16965.93     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | SOYBEAN FUTURE    Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        -6 | NC      | $9434.88      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | SOYBEAN FUTURE    Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         8 | NC      | $-33670.36    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | SEK/USD FWD 20260105                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-396.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | SEK/USD FWD 20260105                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $277.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | SEK/USD FWD 20260121                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-1662.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | SEK/USD FWD 20260121                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $48830.30     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | 3 MONTH SOFR FUT  Mar28                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -1 | NC      | $-76.68       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | 3 MONTH SOFR FUT  Sep26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -2 | NC      | $-365.86      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | 3 MONTH SOFR FUT  Sep27                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -1 | NC      | $-126.68      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | SGD/USD FWD 20260121                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-1665.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | SGD/USD FWD 20260121                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $13407.74     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | SILVER FUTURE     Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         3 | NC      | $62264.03     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | SOYBEAN MEAL FUTR Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        -8 | NC      | $3679.82      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | EURO-BUXL 30Y BND Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |        -9 | NC      | $-2508.70     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GENERAL MILLS INC                    | General Mills Inc                                         | CUSIP: 370334DA9<br>LEI: 2TGYMUGI08PO8X8L6150 | Long             | DBT              | CORP              | US        |    595000 | PA      | $608966.01    | 0.25%             | 2030-01-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO               | General Motors Financial Co Inc                           | CUSIP: 37045XFB7<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    740000 | PA      | $764718.09    | 0.32%             | 2030-01-07      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                  | Global Payments Inc                                       | CUSIP: 37940XAW2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    335000 | PA      | $335738.84    | 0.14%             | 2030-11-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| GM Financial Automobile Leasin       | GM Financial Automobile Leasing Trust 2024-3              | CUSIP: 38012QAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $250448.13    | 0.10%             | 2027-10-20      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| NYC Trust                            | NYCT Trust 2024-3ELV                                      | CUSIP: 62956HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $800998.32    | 0.33%             | 2029-08-15      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Se       | Natixis Commercial Mortgage Securities Trust 2019-LVL     | CUSIP: 63874TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350000 | PA      | $341070.94    | 0.14%             | 2038-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                  | NatWest Markets PLC                                       | CUSIP: 63906YAJ7<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |    525000 | PA      | $544922.96    | 0.22%             | 2029-05-17      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| NRTH PARK Mortgage Trust             | NRTH Commercial Mortgage Trust 2025-PARK                  | CUSIP: 669985AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1300000 | PA      | $1301219.92   | 0.54%             | 2040-10-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| O'REILLY AUTOMOTIVE INC              | O'Reilly Automotive Inc                                   | CUSIP: 67103HAJ6<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |    260000 | PA      | $259476.04    | 0.11%             | 2030-04-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| O'REILLY AUTOMOTIVE INC              | O'Reilly Automotive Inc                                   | CUSIP: 67103HAM9<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |    570000 | PA      | $577704.67    | 0.24%             | 2026-11-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Tru       | Onemain Financial Issuance Trust 2025-1                   | CUSIP: 68270DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $759793.73    | 0.31%             | 2038-07-14      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| ONNI Commercial Mortgage Trust       | ONNI Commerical Mortgage Trust 2024-APT                   | CUSIP: 682939AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $764226.45    | 0.32%             | 2039-07-15      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                          | Oracle Corp                                               | CUSIP: 68389XCY9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    390000 | PA      | $392093.55    | 0.16%             | 2028-08-03      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| PFS Financing Corp.                  | PFS Financing Corp                                        | CUSIP: 69335PFU4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1250000 | PA      | $1273051.25   | 0.53%             | 2030-02-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| PenFed Auto Receivables Owner        | PenFed Auto Receivables Owner Trust 2025-A                | CUSIP: 706916AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $901911.60    | 0.37%             | 2030-07-15      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                          | PepsiCo Inc                                               | CUSIP: 713448GL6<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |    510000 | PA      | $513034.92    | 0.21%             | 2029-01-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| N/A                                  | AUDUSD Crncy Fut  Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |        -1 | NC      | $193.05       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | AUDUSD Crncy Fut  Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |        18 | NC      | $-3372.04     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | SOYBEAN OIL FUTR  Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         4 | NC      | $-1306.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | CHF/USD FWD 20260105                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-1058.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | WTI CRUDE FUTURE  Feb26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       -16 | NC      | $-14699.92    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | WTI CRUDE FUTURE  Feb26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        23 | NC      | $4686.53      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | WTI CRUDE FUTURE  Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         4 | NC      | $-2057.56     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | EURO-SCHATZ FUT   Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |      -343 | NC      | $17984.46     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | NZD/USD FWD 20260105                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-7034.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | NZD/USD FWD 20260105                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $6240.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | NZD/USD FWD 20260121                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-11865.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Euro-OAT Future   Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |         3 | NC      | $-812.87      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | SUGAR #11 (WORLD) Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       -36 | NC      | $30907.50     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | TOPIX INDX FUTR   Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | JP        |        21 | NC      | $25566.29     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | WHEAT FUTURE(CBT) Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       -31 | NC      | $46033.50     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | SPI 200 FUTURES   Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | AU        |        -1 | NC      | $1016.61      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | FTSE 100 IDX FUT  Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | GB        |        33 | NC      | $75203.59     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS GROUP AG                         | UBS Group AG                                              | CUSIP: 225401BC1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    975000 | PA      | $995378.87    | 0.41%             | 2027-12-22      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| TRANE TECH FIN LTD                   | Trane Technologies Financing Ltd                          | CUSIP: 456873AE8<br>LEI: 549300A5OEF3CJI2CO89 | Long             | DBT              | CORP              | IE        |    245000 | PA      | $244682.82    | 0.10%             | 2026-03-21      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Toyota Lease Owner Trust             | Toyota Lease Owner Trust 2024-A                           | CUSIP: 89238GAD3<br>LEI: 254900MVSB4M6HOIRE71 | Long             | ABS-O            | CORP              | US        |     87808 | PA      | $88112.48     | 0.04%             | 2027-04-20      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner        | Toyota Auto Receivables 2025-A Owner Trust                | CUSIP: 89240JAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1011879.10   | 0.42%             | 2029-08-15      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| Toyota Lease Owner Trust             | Toyota Lease Owner Trust 2025-B                           | CUSIP: 89240NAD4<br>LEI: 25490023VYI9VGKU0357 | Long             | ABS-O            | CORP              | US        |   1350000 | PA      | $1353552.80   | 0.56%             | 2028-11-20      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| US BANK MMDA - USBGFS 9              | US BANK MMDA - USBGFS 9                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | RF                | US        |  16248674 | NS      | $16248674.09  | 6.71%             |  |  |  | No            |                  1 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                          | CUSIP: 91282CDF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5505000 | PA      | $5188032.45   | 2.14%             | 2028-10-31      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Capital One Multi-Asset Execut       | Capital One Multi-Asset Execution Trust                   | CUSIP: 14041NGE5<br>LEI: R42WS16M9R97TJJKGU15 | Long             | ABS-O            | CORP              | US        |    600000 | PA      | $602449.32    | 0.25%             | 2029-09-15      | Fixed         | 3.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Connecticut Avenue Securities Trust 2022-R07              | CUSIP: 20754MCB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    550000 | PA      | $577937.03    | 0.24%             | 2042-06-25      | Floating      | 8.52%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC               | UnitedHealth Group Inc                                    | CUSIP: 91324PEU2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    835000 | PA      | $841763.89    | 0.35%             | 2029-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC               | UnitedHealth Group Inc                                    | CUSIP: 91324PFN7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    300000 | PA      | $303479.60    | 0.13%             | 2028-06-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| N/A                                  | US 5YR NOTE (CBT) Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -49 | NC      | $-11946.09    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | US 5YR NOTE (CBT) Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       100 | NC      | $-34870.98    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae - CAS                     | Connecticut Avenue Securities Trust 2022-R08              | CUSIP: 20755DAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $516846.80    | 0.21%             | 2042-07-25      | Floating      | 7.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Connecticut Avenue Securities Trust 2023-R01              | CUSIP: 207932AB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $261114.53    | 0.11%             | 2042-12-25      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| N/A                                  | US 2YR NOTE (CBT) Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -10 | NC      | $-2080.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | US 2YR NOTE (CBT) Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        47 | NC      | $-5204.68     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | USD/ZAR FWD 20260121                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-8073.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | USD/ZAR FWD 20260121                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $49606.05     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | US LONG BOND(CBT) Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -11 | NC      | $-8420.22     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | US LONG BOND(CBT) Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        19 | NC      | $-9255.96     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | US 10yr Ultra Fut Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-298.05      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | US ULTRA BOND CBT Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -9 | NC      | $176.97       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | JPY/USD FWD 20260318                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $29237.29     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | KOSPI2 INX FUT    Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | KR        |        13 | NC      | $39246.82     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | KRW/USD FWD 20260121                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-5028.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | KRW/USD FWD 20260121                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $10541.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | KC HRW WHEAT FUT  Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       -23 | NC      | $14966.48     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | LME PRI ALUM FUTR Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -4 | NC      | $-10942.47    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | LME PRI ALUM FUTR Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        16 | NC      | $44235.53     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | LOCORR COMMODITIES INDEX SWP                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               |  | US        |         1 | NC      | $-4596775.00  | -1.90%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | LEAN HOGS FUTURE  Feb26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        -2 | NC      | $-1214.90     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | LME ALUMINUM                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -1 | NC      | $-6246.12     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | LME ALUMINUM                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         1 | NC      | $5925.63      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | LME NICKEL FUTURE Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -2 | NC      | $-19523.72    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | LME NICKEL FUTURE Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         2 | NC      | $26624.26     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | LME COPPER FUTURE Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -4 | NC      | $-71130.60    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | LME COPPER FUTURE Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        12 | NC      | $449148.13    | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | LME ZINC FUTURE   Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -5 | NC      | $-11615.90    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | LME ZINC FUTURE   Mar26                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        12 | NC      | $20674.95     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2026-02-24

**Name of Applicant:** LoCorr Investment Trust

**Signature:** Jon Essen

**Name of Signer:** Jon Essen

**Title:** Treasurer