# EDGAR Filing Document

**Accession Number:** 0000863520
**File Stem:** 0000940400-25-010421
**Filing Date:** 2025-11
**Character Count:** 837210
**Document Hash:** 870091260e1c84675c01f93e2ede0bcf
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000940400-25-010421.hdr.sgml**: 20251125

**ACCESSION NUMBER**: 0000940400-25-010421

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251125

**DATE AS OF CHANGE**: 20251125

**PERIOD START**: 20251231

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-06110
- **FILM NUMBER:** 251519713

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

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

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

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

## Series and Classes Contracts Data

### Western Asset Core Plus Bond Fund (Series ID: S000000714)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000002081 | Class I      | WACPX           |
| C000002082 | Class FI     | WACIX           |
| C000066989 | Class IS     | WAPSX           |
| C000113704 | CLASS A      | WAPAX           |
| C000113705 | CLASS C      | WAPCX           |
| C000113706 | CLASS R      | WAPRX           |
| C000117035 | Class C1     | LWCPX           |

## Nport-Ex

Schedule of Investments (unaudited)

September 30, 2025

 **Western Asset Core Plus Bond Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity <br>Date<br>| &nbsp;&nbsp; Face <br>Amount†<br>| Value |
| **Corporate Bonds & Notes — 31.2%** | **Corporate Bonds & Notes — 31.2%** | **Corporate Bonds & Notes — 31.2%** | **Corporate Bonds & Notes — 31.2%** | **Corporate Bonds & Notes — 31.2%** |
| **Communication Services — 4.3%** | **Communication Services — 4.3%** | **Communication Services — 4.3%** | **Communication Services — 4.3%** | **Communication Services — 4.3%** |
| *Diversified Telecommunication Services — 1.3%* | *Diversified Telecommunication Services — 1.3%* | *Diversified Telecommunication Services — 1.3%* | *Diversified Telecommunication Services — 1.3%* | *Diversified Telecommunication Services — 1.3%* |
| &nbsp;&nbsp;&nbsp; Altice Financing SA, Senior Secured Notes | &nbsp;&nbsp; 5.750% | &nbsp;&nbsp; 8/15/29 | &nbsp;&nbsp; 4570000<br>| &nbsp;&nbsp;&nbsp; $3442741<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; AT&T Inc., Senior Notes | &nbsp;&nbsp; 2.250% | &nbsp;&nbsp; 2/1/32 | &nbsp;&nbsp; 6530000<br>| &nbsp;&nbsp;&nbsp; 5718659<br>|
| &nbsp;&nbsp;&nbsp; AT&T Inc., Senior Notes | &nbsp;&nbsp; 2.550% | &nbsp;&nbsp; 12/1/33 | &nbsp;&nbsp; 3450000<br>| &nbsp;&nbsp;&nbsp; 2939120<br>|
| &nbsp;&nbsp;&nbsp; AT&T Inc., Senior Notes | &nbsp;&nbsp; 5.350% | &nbsp;&nbsp; 9/1/40 | &nbsp;&nbsp; 870000<br>| &nbsp;&nbsp;&nbsp; 863533<br>|
| &nbsp;&nbsp;&nbsp; AT&T Inc., Senior Notes | &nbsp;&nbsp; 5.550% | &nbsp;&nbsp; 8/15/41 | &nbsp;&nbsp; 2710000<br>| &nbsp;&nbsp;&nbsp; 2729429<br>|
| &nbsp;&nbsp;&nbsp; AT&T Inc., Senior Notes | &nbsp;&nbsp; 4.350% | &nbsp;&nbsp; 6/15/45 | &nbsp;&nbsp; 2489000<br>| &nbsp;&nbsp;&nbsp; 2104413<br>|
| &nbsp;&nbsp;&nbsp; AT&T Inc., Senior Notes | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 9/15/53 | &nbsp;&nbsp; 3630000<br>| &nbsp;&nbsp;&nbsp; 2512817<br>|
| &nbsp;&nbsp;&nbsp; AT&T Inc., Senior Notes | &nbsp;&nbsp; 3.550% | &nbsp;&nbsp; 9/15/55 | &nbsp;&nbsp; 3490000<br>| &nbsp;&nbsp;&nbsp; 2406917<br>|
| &nbsp;&nbsp;&nbsp; AT&T Inc., Senior Notes | &nbsp;&nbsp; 3.800% | &nbsp;&nbsp; 12/1/57 | &nbsp;&nbsp; 670000<br>| &nbsp;&nbsp;&nbsp; 478147<br>|
| &nbsp;&nbsp;&nbsp; AT&T Inc., Senior Notes | &nbsp;&nbsp; 3.650% | &nbsp;&nbsp; 9/15/59 | &nbsp;&nbsp; 370000<br>| &nbsp;&nbsp;&nbsp; 253176<br>|
| &nbsp;&nbsp;&nbsp; NTT Finance Corp., Senior Notes | &nbsp;&nbsp; 4.620% | &nbsp;&nbsp; 7/16/28 | &nbsp;&nbsp; 1200000<br>| &nbsp;&nbsp;&nbsp; 1212059<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; NTT Finance Corp., Senior Notes | &nbsp;&nbsp; 4.876% | &nbsp;&nbsp; 7/16/30 | &nbsp;&nbsp; 3660000<br>| &nbsp;&nbsp;&nbsp; 3719974<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; NTT Finance Corp., Senior Notes | &nbsp;&nbsp; 5.171% | &nbsp;&nbsp; 7/16/32 | &nbsp;&nbsp; 5410000<br>| &nbsp;&nbsp;&nbsp; 5542307<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Verizon Communications Inc., Senior Notes | &nbsp;&nbsp; 3.150% | &nbsp;&nbsp; 3/22/30 | &nbsp;&nbsp; 5170000<br>| &nbsp;&nbsp;&nbsp; 4945243<br>|
| &nbsp;&nbsp;&nbsp; Verizon Communications Inc., Senior Notes | &nbsp;&nbsp; 2.550% | &nbsp;&nbsp; 3/21/31 | &nbsp;&nbsp; 5013000<br>| &nbsp;&nbsp;&nbsp; 4559012<br>|
| &nbsp;&nbsp;&nbsp; Verizon Communications Inc., Senior Notes | &nbsp;&nbsp; 4.780% | &nbsp;&nbsp; 2/15/35 | &nbsp;&nbsp; 2623000<br>| &nbsp;&nbsp;&nbsp; 2581297<br>|
| &nbsp;&nbsp;&nbsp; Verizon Communications Inc., Senior Notes | &nbsp;&nbsp; 5.250% | &nbsp;&nbsp; 3/16/37 | &nbsp;&nbsp; 3390000<br>| &nbsp;&nbsp;&nbsp; 3427160<br>|
| &nbsp;&nbsp;&nbsp; Verizon Communications Inc., Senior Notes | &nbsp;&nbsp; 3.400% | &nbsp;&nbsp; 3/22/41 | &nbsp;&nbsp; 2950000<br>| &nbsp;&nbsp;&nbsp; 2332143<br>|
| &nbsp;&nbsp;&nbsp; Verizon Communications Inc., Senior Notes | &nbsp;&nbsp; 3.850% | &nbsp;&nbsp; 11/1/42 | &nbsp;&nbsp; 350000<br>| &nbsp;&nbsp;&nbsp; 284589<br>|
| &nbsp;&nbsp;&nbsp; Verizon Communications Inc., Senior Notes | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 3/16/47 | &nbsp;&nbsp; 1455000<br>| &nbsp;&nbsp;&nbsp; 1429898<br>|
| &nbsp;&nbsp;&nbsp; Verizon Communications Inc., Senior Notes | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 3/22/50 | &nbsp;&nbsp; 100000<br>| &nbsp;&nbsp;&nbsp; 78732<br>|
| &nbsp;&nbsp;&nbsp; Verizon Communications Inc., Senior Notes | &nbsp;&nbsp; 3.550% | &nbsp;&nbsp; 3/22/51 | &nbsp;&nbsp; 1380000<br>| &nbsp;&nbsp;&nbsp; 1012574<br>|
| *Total Diversified Telecommunication Services* | *Total Diversified Telecommunication Services* | *Total Diversified Telecommunication Services* | *Total Diversified Telecommunication Services* | &nbsp;&nbsp; *54573940* |
| *Entertainment — 0.1%* | *Entertainment — 0.1%* | *Entertainment — 0.1%* | *Entertainment — 0.1%* | *Entertainment — 0.1%* |
| &nbsp;&nbsp;&nbsp; Flutter Treasury DAC, Senior Secured Notes | &nbsp;&nbsp; 5.875% | &nbsp;&nbsp; 6/4/31 | &nbsp;&nbsp; 2700000<br>| &nbsp;&nbsp;&nbsp; 2742349<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Walt Disney Co., Senior Notes | &nbsp;&nbsp; 6.650% | &nbsp;&nbsp; 11/15/37 | &nbsp;&nbsp; 2260000<br>| &nbsp;&nbsp;&nbsp; 2611814<br>|
| &nbsp;&nbsp;&nbsp; Warnermedia Holdings Inc., Senior Notes | &nbsp;&nbsp; 3.755% | &nbsp;&nbsp; 3/15/27 | &nbsp;&nbsp; 945000<br>| &nbsp;&nbsp;&nbsp; 932838<br>|
| *Total Entertainment* | *Total Entertainment* | *Total Entertainment* | *Total Entertainment* | &nbsp;&nbsp; *6287001* |
| *Interactive Media & Services — 0.1%* | *Interactive Media & Services — 0.1%* | *Interactive Media & Services — 0.1%* | *Interactive Media & Services — 0.1%* | *Interactive Media & Services — 0.1%* |
| &nbsp;&nbsp;&nbsp; Alphabet Inc., Senior Notes | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 5/15/35 | &nbsp;&nbsp; 990000<br>| &nbsp;&nbsp;&nbsp; 991294<br>|
| &nbsp;&nbsp;&nbsp; Alphabet Inc., Senior Notes | &nbsp;&nbsp; 5.250% | &nbsp;&nbsp; 5/15/55 | &nbsp;&nbsp; 1300000<br>| &nbsp;&nbsp;&nbsp; 1303802<br>|
| &nbsp;&nbsp;&nbsp; Alphabet Inc., Senior Notes | &nbsp;&nbsp; 5.300% | &nbsp;&nbsp; 5/15/65 | &nbsp;&nbsp; 1430000<br>| &nbsp;&nbsp;&nbsp; 1424067<br>|
| *Total Interactive Media & Services* | *Total Interactive Media & Services* | *Total Interactive Media & Services* | *Total Interactive Media & Services* | &nbsp;&nbsp; *3719163* |
| *Media — 1.6%* | *Media — 1.6%* | *Media — 1.6%* | *Media — 1.6%* | *Media — 1.6%* |
| &nbsp;&nbsp;&nbsp; CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 5/1/32 | &nbsp;&nbsp; 4543000<br>| &nbsp;&nbsp;&nbsp; 4137270<br>|
| &nbsp;&nbsp;&nbsp; Charter Communications Operating LLC/Charter Communications Operating <br> Capital Corp., Senior Secured Notes | &nbsp;&nbsp; 4.200% | &nbsp;&nbsp; 3/15/28 | &nbsp;&nbsp; 9749000<br>| &nbsp;&nbsp;&nbsp; 9705855<br>|
| &nbsp;&nbsp;&nbsp; Charter Communications Operating LLC/Charter Communications Operating <br> Capital Corp., Senior Secured Notes | &nbsp;&nbsp; 5.050% | &nbsp;&nbsp; 3/30/29 | &nbsp;&nbsp; 6160000<br>| &nbsp;&nbsp;&nbsp; 6241573<br>|
| &nbsp;&nbsp;&nbsp; Charter Communications Operating LLC/Charter Communications Operating <br> Capital Corp., Senior Secured Notes | &nbsp;&nbsp; 6.550% | &nbsp;&nbsp; 6/1/34 | &nbsp;&nbsp; 1620000<br>| &nbsp;&nbsp;&nbsp; 1727055<br>|
| &nbsp;&nbsp;&nbsp; Charter Communications Operating LLC/Charter Communications Operating <br> Capital Corp., Senior Secured Notes | &nbsp;&nbsp; 5.375% | &nbsp;&nbsp; 4/1/38 | &nbsp;&nbsp; 3325000<br>| &nbsp;&nbsp;&nbsp; 3137565<br>|

---

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2025 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

September 30, 2025

 **Western Asset Core Plus Bond Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount†<br>| Value |
| *Media — continued* | *Media — continued* | *Media — continued* | *Media — continued* | *Media — continued* |
| &nbsp;&nbsp;&nbsp; Charter Communications Operating LLC/Charter Communications Operating <br> Capital Corp., Senior Secured Notes | &nbsp;&nbsp; 5.750% | &nbsp;&nbsp; 4/1/48 | &nbsp;&nbsp; 2560000<br>| &nbsp;&nbsp;&nbsp; $2321969<br>|
| &nbsp;&nbsp;&nbsp; Charter Communications Operating LLC/Charter Communications Operating <br> Capital Corp., Senior Secured Notes | &nbsp;&nbsp; 6.834% | &nbsp;&nbsp; 10/23/55 | &nbsp;&nbsp; 1238000<br>| &nbsp;&nbsp;&nbsp; 1266462<br>|
| &nbsp;&nbsp;&nbsp; Charter Communications Operating LLC/Charter Communications Operating <br> Capital Corp., Senior Secured Notes | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 4/1/63 | &nbsp;&nbsp; 1630000<br>| &nbsp;&nbsp;&nbsp; 1366896<br>|
| &nbsp;&nbsp;&nbsp; Comcast Corp., Senior Notes | &nbsp;&nbsp; 6.500% | &nbsp;&nbsp; 11/15/35 | &nbsp;&nbsp; 451000<br>| &nbsp;&nbsp;&nbsp; 504894<br>|
| &nbsp;&nbsp;&nbsp; Comcast Corp., Senior Notes | &nbsp;&nbsp; 3.900% | &nbsp;&nbsp; 3/1/38 | &nbsp;&nbsp; 2160000<br>| &nbsp;&nbsp;&nbsp; 1902527<br>|
| &nbsp;&nbsp;&nbsp; Comcast Corp., Senior Notes | &nbsp;&nbsp; 3.969% | &nbsp;&nbsp; 11/1/47 | &nbsp;&nbsp; 5866000<br>| &nbsp;&nbsp;&nbsp; 4587777<br>|
| &nbsp;&nbsp;&nbsp; Comcast Corp., Senior Notes | &nbsp;&nbsp; 2.800% | &nbsp;&nbsp; 1/15/51 | &nbsp;&nbsp; 3670000<br>| &nbsp;&nbsp;&nbsp; 2242281<br>|
| &nbsp;&nbsp;&nbsp; Comcast Corp., Senior Notes | &nbsp;&nbsp; 2.887% | &nbsp;&nbsp; 11/1/51 | &nbsp;&nbsp; 2770000<br>| &nbsp;&nbsp;&nbsp; 1707774<br>|
| &nbsp;&nbsp;&nbsp; Comcast Corp., Senior Notes | &nbsp;&nbsp; 5.350% | &nbsp;&nbsp; 5/15/53 | &nbsp;&nbsp; 3240000<br>| &nbsp;&nbsp;&nbsp; 3040242<br>|
| &nbsp;&nbsp;&nbsp; Comcast Corp., Senior Notes | &nbsp;&nbsp; 2.937% | &nbsp;&nbsp; 11/1/56 | &nbsp;&nbsp; 4000<br>| &nbsp;&nbsp;&nbsp; 2376<br>|
| &nbsp;&nbsp;&nbsp; DISH DBS Corp., Senior Notes | &nbsp;&nbsp; 7.750% | &nbsp;&nbsp; 7/1/26 | &nbsp;&nbsp; 510000<br>| &nbsp;&nbsp;&nbsp; 505829<br>|
| &nbsp;&nbsp;&nbsp; DISH DBS Corp., Senior Secured Notes | &nbsp;&nbsp; 5.250% | &nbsp;&nbsp; 12/1/26 | &nbsp;&nbsp; 6330000<br>| &nbsp;&nbsp;&nbsp; 6225139<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; DISH DBS Corp., Senior Secured Notes | &nbsp;&nbsp; 5.750% | &nbsp;&nbsp; 12/1/28 | &nbsp;&nbsp; 1120000<br>| &nbsp;&nbsp;&nbsp; 1074629<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Fox Corp., Senior Notes | &nbsp;&nbsp; 5.476% | &nbsp;&nbsp; 1/25/39 | &nbsp;&nbsp; 4350000<br>| &nbsp;&nbsp;&nbsp; 4368550<br>|
| &nbsp;&nbsp;&nbsp; Time Warner Cable Enterprises LLC, Senior Secured Notes | &nbsp;&nbsp; 8.375% | &nbsp;&nbsp; 7/15/33 | &nbsp;&nbsp; 2060000<br>| &nbsp;&nbsp;&nbsp; 2417594<br>|
| &nbsp;&nbsp;&nbsp; Time Warner Cable LLC, Senior Secured Notes | &nbsp;&nbsp; 6.550% | &nbsp;&nbsp; 5/1/37 | &nbsp;&nbsp; 3030000<br>| &nbsp;&nbsp;&nbsp; 3153273<br>|
| &nbsp;&nbsp;&nbsp; Time Warner Cable LLC, Senior Secured Notes | &nbsp;&nbsp; 7.300% | &nbsp;&nbsp; 7/1/38 | &nbsp;&nbsp; 1755000<br>| &nbsp;&nbsp;&nbsp; 1918483<br>|
| &nbsp;&nbsp;&nbsp; Time Warner Cable LLC, Senior Secured Notes | &nbsp;&nbsp; 6.750% | &nbsp;&nbsp; 6/15/39 | &nbsp;&nbsp; 1875000<br>| &nbsp;&nbsp;&nbsp; 1962545<br>|
| &nbsp;&nbsp;&nbsp; Time Warner Cable LLC, Senior Secured Notes | &nbsp;&nbsp; 5.875% | &nbsp;&nbsp; 11/15/40 | &nbsp;&nbsp; 1617000<br>| &nbsp;&nbsp;&nbsp; 1546403<br>|
| *Total Media* | *Total Media* | *Total Media* | *Total Media* | &nbsp;&nbsp; *67064961* |
| *Wireless Telecommunication Services — 1.2%* | *Wireless Telecommunication Services — 1.2%* | *Wireless Telecommunication Services — 1.2%* | *Wireless Telecommunication Services — 1.2%* | *Wireless Telecommunication Services — 1.2%* |
| &nbsp;&nbsp;&nbsp; CSC Holdings LLC, Senior Notes | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 11/15/31 | &nbsp;&nbsp; 15000000<br>| &nbsp;&nbsp;&nbsp; 9767105<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Rogers Communications Inc., Senior Notes | &nbsp;&nbsp; 5.300% | &nbsp;&nbsp; 2/15/34 | &nbsp;&nbsp; 3730000<br>| &nbsp;&nbsp;&nbsp; 3785270<br>|
| &nbsp;&nbsp;&nbsp; Sprint Capital Corp., Senior Notes | &nbsp;&nbsp; 8.750% | &nbsp;&nbsp; 3/15/32 | &nbsp;&nbsp; 4670000<br>| &nbsp;&nbsp;&nbsp; 5690835<br>|
| &nbsp;&nbsp;&nbsp; T-Mobile USA Inc., Senior Notes | &nbsp;&nbsp; 3.750% | &nbsp;&nbsp; 4/15/27 | &nbsp;&nbsp; 1950000<br>| &nbsp;&nbsp;&nbsp; 1939220<br>|
| &nbsp;&nbsp;&nbsp; T-Mobile USA Inc., Senior Notes | &nbsp;&nbsp; 3.875% | &nbsp;&nbsp; 4/15/30 | &nbsp;&nbsp; 15295000<br>| &nbsp;&nbsp;&nbsp; 15002513<br>|
| &nbsp;&nbsp;&nbsp; T-Mobile USA Inc., Senior Notes | &nbsp;&nbsp; 2.550% | &nbsp;&nbsp; 2/15/31 | &nbsp;&nbsp; 6710000<br>| &nbsp;&nbsp;&nbsp; 6098782<br>|
| &nbsp;&nbsp;&nbsp; T-Mobile USA Inc., Senior Notes | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 4/15/31 | &nbsp;&nbsp; 1420000<br>| &nbsp;&nbsp;&nbsp; 1351101<br>|
| &nbsp;&nbsp;&nbsp; T-Mobile USA Inc., Senior Notes | &nbsp;&nbsp; 5.150% | &nbsp;&nbsp; 4/15/34 | &nbsp;&nbsp; 3780000<br>| &nbsp;&nbsp;&nbsp; 3868143<br>|
| &nbsp;&nbsp;&nbsp; T-Mobile USA Inc., Senior Notes | &nbsp;&nbsp; 4.375% | &nbsp;&nbsp; 4/15/40 | &nbsp;&nbsp; 2530000<br>| &nbsp;&nbsp;&nbsp; 2285626<br>|
| &nbsp;&nbsp;&nbsp; T-Mobile USA Inc., Senior Notes | &nbsp;&nbsp; 5.875% | &nbsp;&nbsp; 11/15/55 | &nbsp;&nbsp; 1230000<br>| &nbsp;&nbsp;&nbsp; 1257288<br>|
| *Total Wireless Telecommunication Services* | *Total Wireless Telecommunication Services* | *Total Wireless Telecommunication Services* | *Total Wireless Telecommunication Services* | &nbsp;&nbsp; *51045883* |
| **Total Communication Services** | **Total Communication Services** | **Total Communication Services** | **Total Communication Services** | &nbsp;&nbsp; **182690948** |
| **Consumer Discretionary — 2.5%** | **Consumer Discretionary — 2.5%** | **Consumer Discretionary — 2.5%** | **Consumer Discretionary — 2.5%** | **Consumer Discretionary — 2.5%** |
| *Automobile Components — 0.1%* | *Automobile Components — 0.1%* | *Automobile Components — 0.1%* | *Automobile Components — 0.1%* | *Automobile Components — 0.1%* |
| &nbsp;&nbsp;&nbsp; ZF North America Capital Inc., Senior Notes | &nbsp;&nbsp; 6.750% | &nbsp;&nbsp; 4/23/30 | &nbsp;&nbsp; 4360000<br>| &nbsp;&nbsp;&nbsp; 4258082<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; ZF North America Capital Inc., Senior Notes | &nbsp;&nbsp; 7.500% | &nbsp;&nbsp; 3/24/31 | &nbsp;&nbsp; 2090000<br>| &nbsp;&nbsp;&nbsp; 2077076<br> <sup>(a)</sup><br>|
| *Total Automobile Components* | *Total Automobile Components* | *Total Automobile Components* | *Total Automobile Components* | &nbsp;&nbsp; *6335158* |
| *Automobiles — 0.6%* | *Automobiles — 0.6%* | *Automobiles — 0.6%* | *Automobiles — 0.6%* | *Automobiles — 0.6%* |
| &nbsp;&nbsp;&nbsp; Ford Motor Credit Co. LLC, Senior Notes | &nbsp;&nbsp; 3.375% | &nbsp;&nbsp; 11/13/25 | &nbsp;&nbsp; 4120000<br>| &nbsp;&nbsp;&nbsp; 4112582<br>|
| &nbsp;&nbsp;&nbsp; Ford Motor Credit Co. LLC, Senior Notes | &nbsp;&nbsp; 4.950% | &nbsp;&nbsp; 5/28/27 | &nbsp;&nbsp; 3890000<br>| &nbsp;&nbsp;&nbsp; 3884945<br>|
| &nbsp;&nbsp;&nbsp; Ford Motor Credit Co. LLC, Senior Notes | &nbsp;&nbsp; 7.350% | &nbsp;&nbsp; 11/4/27 | &nbsp;&nbsp; 3260000<br>| &nbsp;&nbsp;&nbsp; 3400716<br>|
| &nbsp;&nbsp;&nbsp; Ford Motor Credit Co. LLC, Senior Notes | &nbsp;&nbsp; 2.900% | &nbsp;&nbsp; 2/16/28 | &nbsp;&nbsp; 1550000<br>| &nbsp;&nbsp;&nbsp; 1473856<br>|

---

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2025 Quarterly Report

------

 **Western Asset Core Plus Bond Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount†<br>| Value |
| *Automobiles — continued* | *Automobiles — continued* | *Automobiles — continued* | *Automobiles — continued* | *Automobiles — continued* |
| &nbsp;&nbsp;&nbsp; General Motors Co., Senior Notes | &nbsp;&nbsp; 5.600% | &nbsp;&nbsp; 10/15/32 | &nbsp;&nbsp; 650000<br>| &nbsp;&nbsp;&nbsp; $675300<br>|
| &nbsp;&nbsp;&nbsp; General Motors Co., Senior Notes | &nbsp;&nbsp; 6.600% | &nbsp;&nbsp; 4/1/36 | &nbsp;&nbsp; 1170000<br>| &nbsp;&nbsp;&nbsp; 1263400<br>|
| &nbsp;&nbsp;&nbsp; General Motors Co., Senior Notes | &nbsp;&nbsp; 5.150% | &nbsp;&nbsp; 4/1/38 | &nbsp;&nbsp; 1150000<br>| &nbsp;&nbsp;&nbsp; 1100792<br>|
| &nbsp;&nbsp;&nbsp; General Motors Co., Senior Notes | &nbsp;&nbsp; 6.250% | &nbsp;&nbsp; 10/2/43 | &nbsp;&nbsp; 1080000<br>| &nbsp;&nbsp;&nbsp; 1098878<br>|
| &nbsp;&nbsp;&nbsp; General Motors Financial Co. Inc., Senior Notes | &nbsp;&nbsp; 4.350% | &nbsp;&nbsp; 1/17/27 | &nbsp;&nbsp; 880000<br>| &nbsp;&nbsp;&nbsp; 881230<br>|
| &nbsp;&nbsp;&nbsp; Nissan Motor Co. Ltd., Senior Notes | &nbsp;&nbsp; 4.345% | &nbsp;&nbsp; 9/17/27 | &nbsp;&nbsp; 2390000<br>| &nbsp;&nbsp;&nbsp; 2346708<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; PM General Purchaser LLC, Senior Secured Notes | &nbsp;&nbsp; 9.500% | &nbsp;&nbsp; 10/1/28 | &nbsp;&nbsp; 4471000<br>| &nbsp;&nbsp;&nbsp; 3878592<br> <sup>(a)</sup><br>|
| *Total Automobiles* | *Total Automobiles* | *Total Automobiles* | *Total Automobiles* | &nbsp;&nbsp; *24116999* |
| *Broadline Retail — 0.3%* | *Broadline Retail — 0.3%* | *Broadline Retail — 0.3%* | *Broadline Retail — 0.3%* | *Broadline Retail — 0.3%* |
| &nbsp;&nbsp;&nbsp; Amazon.com Inc., Senior Notes | &nbsp;&nbsp; 4.250% | &nbsp;&nbsp; 8/22/57 | &nbsp;&nbsp; 2970000<br>| &nbsp;&nbsp;&nbsp; 2497775<br>|
| &nbsp;&nbsp;&nbsp; Prosus NV, Senior Notes | &nbsp;&nbsp; 3.061% | &nbsp;&nbsp; 7/13/31 | &nbsp;&nbsp; 12990000<br>| &nbsp;&nbsp;&nbsp; 11798944<br> <sup>(a)</sup><br>|
| *Total Broadline Retail* | *Total Broadline Retail* | *Total Broadline Retail* | *Total Broadline Retail* | &nbsp;&nbsp; *14296719* |
| *Hotels, Restaurants & Leisure — 1.3%* | *Hotels, Restaurants & Leisure — 1.3%* | *Hotels, Restaurants & Leisure — 1.3%* | *Hotels, Restaurants & Leisure — 1.3%* | *Hotels, Restaurants & Leisure — 1.3%* |
| &nbsp;&nbsp;&nbsp; Carnival Corp., Senior Notes | &nbsp;&nbsp; 5.875% | &nbsp;&nbsp; 6/15/31 | &nbsp;&nbsp; 1470000<br>| &nbsp;&nbsp;&nbsp; 1507313<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Carnival Corp., Senior Notes | &nbsp;&nbsp; 6.125% | &nbsp;&nbsp; 2/15/33 | &nbsp;&nbsp; 2420000<br>| &nbsp;&nbsp;&nbsp; 2482112<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Las Vegas Sands Corp., Senior Notes | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 8/18/26 | &nbsp;&nbsp; 600000<br>| &nbsp;&nbsp;&nbsp; 595390<br>|
| &nbsp;&nbsp;&nbsp; Las Vegas Sands Corp., Senior Notes | &nbsp;&nbsp; 5.625% | &nbsp;&nbsp; 6/15/28 | &nbsp;&nbsp; 1480000<br>| &nbsp;&nbsp;&nbsp; 1513418<br>|
| &nbsp;&nbsp;&nbsp; Las Vegas Sands Corp., Senior Notes | &nbsp;&nbsp; 3.900% | &nbsp;&nbsp; 8/8/29 | &nbsp;&nbsp; 3140000<br>| &nbsp;&nbsp;&nbsp; 3039403<br>|
| &nbsp;&nbsp;&nbsp; Las Vegas Sands Corp., Senior Notes | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 8/15/29 | &nbsp;&nbsp; 4200000<br>| &nbsp;&nbsp;&nbsp; 4376248<br>|
| &nbsp;&nbsp;&nbsp; Las Vegas Sands Corp., Senior Notes | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 6/14/30 | &nbsp;&nbsp; 260000<br>| &nbsp;&nbsp;&nbsp; 270879<br>|
| &nbsp;&nbsp;&nbsp; McDonald's Corp., Senior Notes | &nbsp;&nbsp; 3.600% | &nbsp;&nbsp; 7/1/30 | &nbsp;&nbsp; 80000<br>| &nbsp;&nbsp;&nbsp; 78150<br>|
| &nbsp;&nbsp;&nbsp; McDonald's Corp., Senior Notes | &nbsp;&nbsp; 4.200% | &nbsp;&nbsp; 4/1/50 | &nbsp;&nbsp; 6670000<br>| &nbsp;&nbsp;&nbsp; 5488690<br>|
| &nbsp;&nbsp;&nbsp; Melco Resorts Finance Ltd., Senior Notes | &nbsp;&nbsp; 7.625% | &nbsp;&nbsp; 4/17/32 | &nbsp;&nbsp; 2040000<br>| &nbsp;&nbsp;&nbsp; 2140146<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Melco Resorts Finance Ltd., Senior Notes | &nbsp;&nbsp; 6.500% | &nbsp;&nbsp; 9/24/33 | &nbsp;&nbsp; 1460000<br>| &nbsp;&nbsp;&nbsp; 1464803<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; NCL Corp. Ltd., Senior Notes | &nbsp;&nbsp; 5.875% | &nbsp;&nbsp; 1/15/31 | &nbsp;&nbsp; 830000<br>| &nbsp;&nbsp;&nbsp; 830567<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; NCL Corp. Ltd., Senior Notes | &nbsp;&nbsp; 6.250% | &nbsp;&nbsp; 9/15/33 | &nbsp;&nbsp; 480000<br>| &nbsp;&nbsp;&nbsp; 482784<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Royal Caribbean Cruises Ltd., Senior Notes | &nbsp;&nbsp; 5.625% | &nbsp;&nbsp; 9/30/31 | &nbsp;&nbsp; 2510000<br>| &nbsp;&nbsp;&nbsp; 2561195<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Royal Caribbean Cruises Ltd., Senior Notes | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 2/1/33 | &nbsp;&nbsp; 5790000<br>| &nbsp;&nbsp;&nbsp; 5939850<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Sands China Ltd., Senior Notes | &nbsp;&nbsp; 3.800% | &nbsp;&nbsp; 1/8/26 | &nbsp;&nbsp; 350000<br>| &nbsp;&nbsp;&nbsp; 349302<br>|
| &nbsp;&nbsp;&nbsp; Sands China Ltd., Senior Notes | &nbsp;&nbsp; 2.300% | &nbsp;&nbsp; 3/8/27 | &nbsp;&nbsp; 6770000<br>| &nbsp;&nbsp;&nbsp; 6578855<br>|
| &nbsp;&nbsp;&nbsp; Sands China Ltd., Senior Notes | &nbsp;&nbsp; 5.400% | &nbsp;&nbsp; 8/8/28 | &nbsp;&nbsp; 3950000<br>| &nbsp;&nbsp;&nbsp; 4043718<br>|
| &nbsp;&nbsp;&nbsp; Sands China Ltd., Senior Notes | &nbsp;&nbsp; 2.850% | &nbsp;&nbsp; 3/8/29 | &nbsp;&nbsp; 3980000<br>| &nbsp;&nbsp;&nbsp; 3746940<br>|
| &nbsp;&nbsp;&nbsp; Sands China Ltd., Senior Notes | &nbsp;&nbsp; 3.250% | &nbsp;&nbsp; 8/8/31 | &nbsp;&nbsp; 1690000<br>| &nbsp;&nbsp;&nbsp; 1558892<br>|
| &nbsp;&nbsp;&nbsp; Viking Cruises Ltd., Senior Notes | &nbsp;&nbsp; 7.000% | &nbsp;&nbsp; 2/15/29 | &nbsp;&nbsp; 2090000<br>| &nbsp;&nbsp;&nbsp; 2101940<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Viking Cruises Ltd., Senior Notes | &nbsp;&nbsp; 5.875% | &nbsp;&nbsp; 10/15/33 | &nbsp;&nbsp; 3040000<br>| &nbsp;&nbsp;&nbsp; 3045933<br> <sup>(a)(b)</sup><br>|
| *Total Hotels, Restaurants & Leisure* | *Total Hotels, Restaurants & Leisure* | *Total Hotels, Restaurants & Leisure* | *Total Hotels, Restaurants & Leisure* | &nbsp;&nbsp; *54196528* |
| *Specialty Retail — 0.2%* | *Specialty Retail — 0.2%* | *Specialty Retail — 0.2%* | *Specialty Retail — 0.2%* | *Specialty Retail — 0.2%* |
| &nbsp;&nbsp;&nbsp; Home Depot Inc., Senior Notes | &nbsp;&nbsp; 2.700% | &nbsp;&nbsp; 4/15/30 | &nbsp;&nbsp; 1480000<br>| &nbsp;&nbsp;&nbsp; 1394508<br>|
| &nbsp;&nbsp;&nbsp; Home Depot Inc., Senior Notes | &nbsp;&nbsp; 3.300% | &nbsp;&nbsp; 4/15/40 | &nbsp;&nbsp; 3220000<br>| &nbsp;&nbsp;&nbsp; 2640034<br>|
| &nbsp;&nbsp;&nbsp; Home Depot Inc., Senior Notes | &nbsp;&nbsp; 3.350% | &nbsp;&nbsp; 4/15/50 | &nbsp;&nbsp; 5295000<br>| &nbsp;&nbsp;&nbsp; 3827286<br>|
| &nbsp;&nbsp;&nbsp; Lowe's Cos. Inc., Senior Notes | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 4/15/30 | &nbsp;&nbsp; 540000<br>| &nbsp;&nbsp;&nbsp; 547281<br>|
| *Total Specialty Retail* | *Total Specialty Retail* | *Total Specialty Retail* | *Total Specialty Retail* | &nbsp;&nbsp; *8409109* |
| **Total Consumer Discretionary** | **Total Consumer Discretionary** | **Total Consumer Discretionary** | **Total Consumer Discretionary** | &nbsp;&nbsp; **107354513** |
| **Consumer Staples — 1.2%** | **Consumer Staples — 1.2%** | **Consumer Staples — 1.2%** | **Consumer Staples — 1.2%** | **Consumer Staples — 1.2%** |
| *Beverages — 0.2%* | *Beverages — 0.2%* | *Beverages — 0.2%* | *Beverages — 0.2%* | *Beverages — 0.2%* |
| &nbsp;&nbsp;&nbsp; Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide Inc., Senior Notes | &nbsp;&nbsp; 4.900% | &nbsp;&nbsp; 2/1/46 | &nbsp;&nbsp; 3442000<br>| &nbsp;&nbsp;&nbsp; 3226987<br>|

---

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2025 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

September 30, 2025

 **Western Asset Core Plus Bond Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount†<br>| Value |
| *Beverages — continued* | *Beverages — continued* | *Beverages — continued* | *Beverages — continued* | *Beverages — continued* |
| &nbsp;&nbsp;&nbsp; Anheuser-Busch InBev Worldwide Inc., Senior Notes | &nbsp;&nbsp; 5.550% | &nbsp;&nbsp; 1/23/49 | &nbsp;&nbsp; 3560000<br>| &nbsp;&nbsp;&nbsp; $3601734<br>|
| *Total Beverages* | *Total Beverages* | *Total Beverages* | *Total Beverages* | &nbsp;&nbsp; *6828721* |
| *Consumer Staples Distribution & Retail — 0.1%* | *Consumer Staples Distribution & Retail — 0.1%* | *Consumer Staples Distribution & Retail — 0.1%* | *Consumer Staples Distribution & Retail — 0.1%* | *Consumer Staples Distribution & Retail — 0.1%* |
| &nbsp;&nbsp;&nbsp; Kroger Co., Senior Notes | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 9/15/34 | &nbsp;&nbsp; 3270000<br>| &nbsp;&nbsp;&nbsp; *3299505*<br>|
| *Food Products — 0.2%* | *Food Products — 0.2%* | *Food Products — 0.2%* | *Food Products — 0.2%* | *Food Products — 0.2%* |
| &nbsp;&nbsp;&nbsp; Mars Inc., Senior Notes | &nbsp;&nbsp; 3.200% | &nbsp;&nbsp; 4/1/30 | &nbsp;&nbsp; 210000<br>| &nbsp;&nbsp;&nbsp; 202109<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Mars Inc., Senior Notes | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 3/1/32 | &nbsp;&nbsp; 780000<br>| &nbsp;&nbsp;&nbsp; 798325<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Mars Inc., Senior Notes | &nbsp;&nbsp; 5.200% | &nbsp;&nbsp; 3/1/35 | &nbsp;&nbsp; 1860000<br>| &nbsp;&nbsp;&nbsp; 1902139<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Mars Inc., Senior Notes | &nbsp;&nbsp; 5.700% | &nbsp;&nbsp; 5/1/55 | &nbsp;&nbsp; 6610000<br>| &nbsp;&nbsp;&nbsp; 6700337<br> <sup>(a)</sup><br>|
| *Total Food Products* | *Total Food Products* | *Total Food Products* | *Total Food Products* | &nbsp;&nbsp; *9602910* |
| *Personal Care Products — 0.0%††* | *Personal Care Products — 0.0%††* | *Personal Care Products — 0.0%††* | *Personal Care Products — 0.0%††* | *Personal Care Products — 0.0%††* |
| &nbsp;&nbsp;&nbsp; Kenvue Inc., Senior Notes | &nbsp;&nbsp; 4.900% | &nbsp;&nbsp; 3/22/33 | &nbsp;&nbsp; 1197000<br>| &nbsp;&nbsp;&nbsp; *1217298*<br>|
| *Tobacco — 0.7%* | *Tobacco — 0.7%* | *Tobacco — 0.7%* | *Tobacco — 0.7%* | *Tobacco — 0.7%* |
| &nbsp;&nbsp;&nbsp; Altria Group Inc., Senior Notes | &nbsp;&nbsp; 4.800% | &nbsp;&nbsp; 2/14/29 | &nbsp;&nbsp; 975000<br>| &nbsp;&nbsp;&nbsp; 990763<br>|
| &nbsp;&nbsp;&nbsp; Altria Group Inc., Senior Notes | &nbsp;&nbsp; 2.450% | &nbsp;&nbsp; 2/4/32 | &nbsp;&nbsp; 3750000<br>| &nbsp;&nbsp;&nbsp; 3302246<br>|
| &nbsp;&nbsp;&nbsp; Altria Group Inc., Senior Notes | &nbsp;&nbsp; 6.875% | &nbsp;&nbsp; 11/1/33 | &nbsp;&nbsp; 1610000<br>| &nbsp;&nbsp;&nbsp; 1820311<br>|
| &nbsp;&nbsp;&nbsp; Altria Group Inc., Senior Notes | &nbsp;&nbsp; 5.800% | &nbsp;&nbsp; 2/14/39 | &nbsp;&nbsp; 3130000<br>| &nbsp;&nbsp;&nbsp; 3247578<br>|
| &nbsp;&nbsp;&nbsp; Altria Group Inc., Senior Notes | &nbsp;&nbsp; 3.875% | &nbsp;&nbsp; 9/16/46 | &nbsp;&nbsp; 3130000<br>| &nbsp;&nbsp;&nbsp; 2402818<br>|
| &nbsp;&nbsp;&nbsp; Altria Group Inc., Senior Notes | &nbsp;&nbsp; 5.950% | &nbsp;&nbsp; 2/14/49 | &nbsp;&nbsp; 830000<br>| &nbsp;&nbsp;&nbsp; 848773<br>|
| &nbsp;&nbsp;&nbsp; Altria Group Inc., Senior Notes | &nbsp;&nbsp; 3.700% | &nbsp;&nbsp; 2/4/51 | &nbsp;&nbsp; 2620000<br>| &nbsp;&nbsp;&nbsp; 1889861<br>|
| &nbsp;&nbsp;&nbsp; Altria Group Inc., Senior Notes | &nbsp;&nbsp; 6.200% | &nbsp;&nbsp; 2/14/59 | &nbsp;&nbsp; 1664000<br>| &nbsp;&nbsp;&nbsp; 1729631<br>|
| &nbsp;&nbsp;&nbsp; BAT Capital Corp., Senior Notes | &nbsp;&nbsp; 3.557% | &nbsp;&nbsp; 8/15/27 | &nbsp;&nbsp; 406000<br>| &nbsp;&nbsp;&nbsp; 401939<br>|
| &nbsp;&nbsp;&nbsp; BAT Capital Corp., Senior Notes | &nbsp;&nbsp; 4.540% | &nbsp;&nbsp; 8/15/47 | &nbsp;&nbsp; 4515000<br>| &nbsp;&nbsp;&nbsp; 3788576<br>|
| &nbsp;&nbsp;&nbsp; BAT Capital Corp., Senior Notes | &nbsp;&nbsp; 7.081% | &nbsp;&nbsp; 8/2/53 | &nbsp;&nbsp; 210000<br>| &nbsp;&nbsp;&nbsp; 240858<br>|
| &nbsp;&nbsp;&nbsp; BAT Capital Corp., Senior Notes | &nbsp;&nbsp; 6.250% | &nbsp;&nbsp; 8/15/55 | &nbsp;&nbsp; 20000<br>| &nbsp;&nbsp;&nbsp; 20927<br>|
| &nbsp;&nbsp;&nbsp; Philip Morris International Inc., Senior Notes | &nbsp;&nbsp; 4.875% | &nbsp;&nbsp; 2/13/29 | &nbsp;&nbsp; 3360000<br>| &nbsp;&nbsp;&nbsp; 3433485<br>|
| &nbsp;&nbsp;&nbsp; Philip Morris International Inc., Senior Notes | &nbsp;&nbsp; 5.125% | &nbsp;&nbsp; 2/13/31 | &nbsp;&nbsp; 930000<br>| &nbsp;&nbsp;&nbsp; 962884<br>|
| &nbsp;&nbsp;&nbsp; Philip Morris International Inc., Senior Notes | &nbsp;&nbsp; 5.250% | &nbsp;&nbsp; 2/13/34 | &nbsp;&nbsp; 2110000<br>| &nbsp;&nbsp;&nbsp; 2179611<br>|
| &nbsp;&nbsp;&nbsp; Philip Morris International Inc., Senior Notes | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 3/20/42 | &nbsp;&nbsp; 805000<br>| &nbsp;&nbsp;&nbsp; 727108<br>|
| &nbsp;&nbsp;&nbsp; Reynolds American Inc., Senior Notes | &nbsp;&nbsp; 5.850% | &nbsp;&nbsp; 8/15/45 | &nbsp;&nbsp; 2579000<br>| &nbsp;&nbsp;&nbsp; 2557203<br>|
| *Total Tobacco* | *Total Tobacco* | *Total Tobacco* | *Total Tobacco* | &nbsp;&nbsp; *30544572* |
| **Total Consumer Staples** | **Total Consumer Staples** | **Total Consumer Staples** | **Total Consumer Staples** | &nbsp;&nbsp; **51493006** |
| **Energy — 4.5%** | **Energy — 4.5%** | **Energy — 4.5%** | **Energy — 4.5%** | **Energy — 4.5%** |
| *Energy Equipment & Services — 0.0%††* | *Energy Equipment & Services — 0.0%††* | *Energy Equipment & Services — 0.0%††* | *Energy Equipment & Services — 0.0%††* | *Energy Equipment & Services — 0.0%††* |
| &nbsp;&nbsp;&nbsp; Halliburton Co., Senior Notes | &nbsp;&nbsp; 4.850% | &nbsp;&nbsp; 11/15/35 | &nbsp;&nbsp; 1580000<br>| &nbsp;&nbsp;&nbsp; *1557260*<br>|
| *Oil, Gas & Consumable Fuels — 4.5%* | *Oil, Gas & Consumable Fuels — 4.5%* | *Oil, Gas & Consumable Fuels — 4.5%* | *Oil, Gas & Consumable Fuels — 4.5%* | *Oil, Gas & Consumable Fuels — 4.5%* |
| &nbsp;&nbsp;&nbsp; Blue Racer Midstream LLC/Blue Racer Finance Corp., Senior Notes | &nbsp;&nbsp; 7.250% | &nbsp;&nbsp; 7/15/32 | &nbsp;&nbsp; 3980000<br>| &nbsp;&nbsp;&nbsp; 4188608<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; BP Capital Markets America Inc., Senior Notes | &nbsp;&nbsp; 3.633% | &nbsp;&nbsp; 4/6/30 | &nbsp;&nbsp; 1410000<br>| &nbsp;&nbsp;&nbsp; 1381725<br>|
| &nbsp;&nbsp;&nbsp; BP Capital Markets America Inc., Senior Notes | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 2/24/50 | &nbsp;&nbsp; 2970000<br>| &nbsp;&nbsp;&nbsp; 1966504<br>|
| &nbsp;&nbsp;&nbsp; BP Capital Markets America Inc., Senior Notes | &nbsp;&nbsp; 2.772% | &nbsp;&nbsp; 11/10/50 | &nbsp;&nbsp; 1220000<br>| &nbsp;&nbsp;&nbsp; 767334<br>|
| &nbsp;&nbsp;&nbsp; Cameron LNG LLC, Senior Secured Notes | &nbsp;&nbsp; 2.902% | &nbsp;&nbsp; 7/15/31 | &nbsp;&nbsp; 1030000<br>| &nbsp;&nbsp;&nbsp; 941215<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Cameron LNG LLC, Senior Secured Notes | &nbsp;&nbsp; 3.302% | &nbsp;&nbsp; 1/15/35 | &nbsp;&nbsp; 2071000<br>| &nbsp;&nbsp;&nbsp; 1799253<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Cheniere Energy Partners LP, Senior Notes | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 3/1/31 | &nbsp;&nbsp; 2281000<br>| &nbsp;&nbsp;&nbsp; 2200468<br>|
| &nbsp;&nbsp;&nbsp; Cheniere Energy Partners LP, Senior Notes | &nbsp;&nbsp; 3.250% | &nbsp;&nbsp; 1/31/32 | &nbsp;&nbsp; 2620000<br>| &nbsp;&nbsp;&nbsp; 2387835<br>|
| &nbsp;&nbsp;&nbsp; Chord Energy Corp., Senior Notes | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 10/1/30 | &nbsp;&nbsp; 1630000<br>| &nbsp;&nbsp;&nbsp; 1619670<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Columbia Pipelines Operating Co. LLC, Senior Notes | &nbsp;&nbsp; 6.036% | &nbsp;&nbsp; 11/15/33 | &nbsp;&nbsp; 1665000<br>| &nbsp;&nbsp;&nbsp; 1777235<br> <sup>(a)</sup><br>|

---

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2025 Quarterly Report

------

 **Western Asset Core Plus Bond Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount†<br>| Value |
| *Oil, Gas & Consumable Fuels — continued* | *Oil, Gas & Consumable Fuels — continued* | *Oil, Gas & Consumable Fuels — continued* | *Oil, Gas & Consumable Fuels — continued* | *Oil, Gas & Consumable Fuels — continued* |
| &nbsp;&nbsp;&nbsp; Continental Resources Inc., Senior Notes | &nbsp;&nbsp; 2.268% | &nbsp;&nbsp; 11/15/26 | &nbsp;&nbsp; 1660000<br>| &nbsp;&nbsp;&nbsp; $1618964<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Continental Resources Inc., Senior Notes | &nbsp;&nbsp; 4.375% | &nbsp;&nbsp; 1/15/28 | &nbsp;&nbsp; 299000<br>| &nbsp;&nbsp;&nbsp; 297156<br>|
| &nbsp;&nbsp;&nbsp; Continental Resources Inc., Senior Notes | &nbsp;&nbsp; 5.750% | &nbsp;&nbsp; 1/15/31 | &nbsp;&nbsp; 429000<br>| &nbsp;&nbsp;&nbsp; 442596<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Coterra Energy Inc., Senior Notes | &nbsp;&nbsp; 3.900% | &nbsp;&nbsp; 5/15/27 | &nbsp;&nbsp; 1739000<br>| &nbsp;&nbsp;&nbsp; 1728414<br>|
| &nbsp;&nbsp;&nbsp; Coterra Energy Inc., Senior Notes | &nbsp;&nbsp; 4.375% | &nbsp;&nbsp; 3/15/29 | &nbsp;&nbsp; 1949000<br>| &nbsp;&nbsp;&nbsp; 1945707<br>|
| &nbsp;&nbsp;&nbsp; Crescent Energy Finance LLC, Senior Notes | &nbsp;&nbsp; 7.375% | &nbsp;&nbsp; 1/15/33 | &nbsp;&nbsp; 1430000<br>| &nbsp;&nbsp;&nbsp; 1393484<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Devon Energy Corp., Senior Notes | &nbsp;&nbsp; 5.250% | &nbsp;&nbsp; 10/15/27 | &nbsp;&nbsp; 638000<br>| &nbsp;&nbsp;&nbsp; 638055<br>|
| &nbsp;&nbsp;&nbsp; Devon Energy Corp., Senior Notes | &nbsp;&nbsp; 5.875% | &nbsp;&nbsp; 6/15/28 | &nbsp;&nbsp; 114000<br>| &nbsp;&nbsp;&nbsp; 114008<br>|
| &nbsp;&nbsp;&nbsp; Devon Energy Corp., Senior Notes | &nbsp;&nbsp; 5.600% | &nbsp;&nbsp; 7/15/41 | &nbsp;&nbsp; 1610000<br>| &nbsp;&nbsp;&nbsp; 1551030<br>|
| &nbsp;&nbsp;&nbsp; Ecopetrol SA, Senior Notes | &nbsp;&nbsp; 8.375% | &nbsp;&nbsp; 1/19/36 | &nbsp;&nbsp; 5740000<br>| &nbsp;&nbsp;&nbsp; 5931763<br>|
| &nbsp;&nbsp;&nbsp; Ecopetrol SA, Senior Notes | &nbsp;&nbsp; 5.875% | &nbsp;&nbsp; 5/28/45 | &nbsp;&nbsp; 6530000<br>| &nbsp;&nbsp;&nbsp; 4999126<br>|
| &nbsp;&nbsp;&nbsp; Energy Transfer LP, Junior Subordinated Notes (6.500% to 11/15/26 then 5 year <br> Treasury Constant Maturity Rate + 5.694%) | &nbsp;&nbsp; 6.500% | &nbsp;&nbsp; 11/15/26 | &nbsp;&nbsp; 4275000<br>| &nbsp;&nbsp;&nbsp; 4306250<br> <sup>(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Energy Transfer LP, Junior Subordinated Notes (7.125% to 5/15/30 then 5 year <br> Treasury Constant Maturity Rate + 5.306%) | &nbsp;&nbsp; 7.125% | &nbsp;&nbsp; 5/15/30 | &nbsp;&nbsp; 15052000<br>| &nbsp;&nbsp;&nbsp; 15582011<br> <sup>(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Energy Transfer LP, Senior Notes | &nbsp;&nbsp; 5.250% | &nbsp;&nbsp; 4/15/29 | &nbsp;&nbsp; 520000<br>| &nbsp;&nbsp;&nbsp; 535144<br>|
| &nbsp;&nbsp;&nbsp; Energy Transfer LP, Senior Notes | &nbsp;&nbsp; 3.750% | &nbsp;&nbsp; 5/15/30 | &nbsp;&nbsp; 2810000<br>| &nbsp;&nbsp;&nbsp; 2729307<br>|
| &nbsp;&nbsp;&nbsp; Energy Transfer LP, Senior Notes | &nbsp;&nbsp; 5.550% | &nbsp;&nbsp; 5/15/34 | &nbsp;&nbsp; 30000<br>| &nbsp;&nbsp;&nbsp; 30794<br>|
| &nbsp;&nbsp;&nbsp; Energy Transfer LP, Senior Notes | &nbsp;&nbsp; 5.300% | &nbsp;&nbsp; 4/1/44 | &nbsp;&nbsp; 1170000<br>| &nbsp;&nbsp;&nbsp; 1072595<br>|
| &nbsp;&nbsp;&nbsp; Energy Transfer LP, Senior Notes | &nbsp;&nbsp; 5.400% | &nbsp;&nbsp; 10/1/47 | &nbsp;&nbsp; 1413000<br>| &nbsp;&nbsp;&nbsp; 1294388<br>|
| &nbsp;&nbsp;&nbsp; Energy Transfer LP, Senior Notes | &nbsp;&nbsp; 6.250% | &nbsp;&nbsp; 4/15/49 | &nbsp;&nbsp; 870000<br>| &nbsp;&nbsp;&nbsp; 878722<br>|
| &nbsp;&nbsp;&nbsp; Enterprise Products Operating LLC, Senior Notes | &nbsp;&nbsp; 3.125% | &nbsp;&nbsp; 7/31/29 | &nbsp;&nbsp; 850000<br>| &nbsp;&nbsp;&nbsp; 820211<br>|
| &nbsp;&nbsp;&nbsp; Enterprise Products Operating LLC, Senior Notes | &nbsp;&nbsp; 2.800% | &nbsp;&nbsp; 1/31/30 | &nbsp;&nbsp; 577000<br>| &nbsp;&nbsp;&nbsp; 545409<br>|
| &nbsp;&nbsp;&nbsp; Enterprise Products Operating LLC, Senior Notes | &nbsp;&nbsp; 6.650% | &nbsp;&nbsp; 10/15/34 | &nbsp;&nbsp; 2105000<br>| &nbsp;&nbsp;&nbsp; 2392663<br>|
| &nbsp;&nbsp;&nbsp; Enterprise Products Operating LLC, Senior Notes | &nbsp;&nbsp; 3.700% | &nbsp;&nbsp; 1/31/51 | &nbsp;&nbsp; 2197000<br>| &nbsp;&nbsp;&nbsp; 1639999<br>|
| &nbsp;&nbsp;&nbsp; Enterprise Products Operating LLC, Senior Notes | &nbsp;&nbsp; 5.550% | &nbsp;&nbsp; 2/16/55 | &nbsp;&nbsp; 1830000<br>| &nbsp;&nbsp;&nbsp; 1810163<br>|
| &nbsp;&nbsp;&nbsp; Enterprise Products Operating LLC, Senior Notes | &nbsp;&nbsp; 3.950% | &nbsp;&nbsp; 1/31/60 | &nbsp;&nbsp; 870000<br>| &nbsp;&nbsp;&nbsp; 649550<br>|
| &nbsp;&nbsp;&nbsp; Enterprise Products Operating LLC, Senior Notes (5.375% to 2/15/28 then 3 mo. <br> Term SOFR + 2.832%) | &nbsp;&nbsp; 5.375% | &nbsp;&nbsp; 2/15/78 | &nbsp;&nbsp; 2335000<br>| &nbsp;&nbsp;&nbsp; 2322100<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; EOG Resources Inc., Senior Notes | &nbsp;&nbsp; 3.900% | &nbsp;&nbsp; 4/1/35 | &nbsp;&nbsp; 1400000<br>| &nbsp;&nbsp;&nbsp; 1300746<br>|
| &nbsp;&nbsp;&nbsp; EQT Corp., Senior Notes | &nbsp;&nbsp; 3.125% | &nbsp;&nbsp; 5/15/26 | &nbsp;&nbsp; 600000<br>| &nbsp;&nbsp;&nbsp; 594622<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; EQT Corp., Senior Notes | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 1/15/29 | &nbsp;&nbsp; 1278000<br>| &nbsp;&nbsp;&nbsp; 1296572<br>|
| &nbsp;&nbsp;&nbsp; EQT Corp., Senior Notes | &nbsp;&nbsp; 3.625% | &nbsp;&nbsp; 5/15/31 | &nbsp;&nbsp; 3383000<br>| &nbsp;&nbsp;&nbsp; 3164849<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Expand Energy Corp., Senior Notes | &nbsp;&nbsp; 5.375% | &nbsp;&nbsp; 2/1/29 | &nbsp;&nbsp; 920000<br>| &nbsp;&nbsp;&nbsp; 920369<br>|
| &nbsp;&nbsp;&nbsp; Expand Energy Corp., Senior Notes | &nbsp;&nbsp; 5.375% | &nbsp;&nbsp; 3/15/30 | &nbsp;&nbsp; 2710000<br>| &nbsp;&nbsp;&nbsp; 2755939<br>|
| &nbsp;&nbsp;&nbsp; Expand Energy Corp., Senior Notes | &nbsp;&nbsp; 4.750% | &nbsp;&nbsp; 2/1/32 | &nbsp;&nbsp; 2810000<br>| &nbsp;&nbsp;&nbsp; 2762798<br>|
| &nbsp;&nbsp;&nbsp; Exxon Mobil Corp., Senior Notes | &nbsp;&nbsp; 3.452% | &nbsp;&nbsp; 4/15/51 | &nbsp;&nbsp; 1450000<br>| &nbsp;&nbsp;&nbsp; 1063649<br>|
| &nbsp;&nbsp;&nbsp; Florida Gas Transmission Co. LLC, Senior Notes | &nbsp;&nbsp; 5.750% | &nbsp;&nbsp; 7/15/35 | &nbsp;&nbsp; 4060000<br>| &nbsp;&nbsp;&nbsp; 4213237<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Gulfstream Natural Gas System LLC, Senior Notes | &nbsp;&nbsp; 5.600% | &nbsp;&nbsp; 7/23/35 | &nbsp;&nbsp; 5050000<br>| &nbsp;&nbsp;&nbsp; 5177086<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; KazMunayGas National Co. JSC, Senior Notes | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 4/14/33 | &nbsp;&nbsp; 7610000<br>| &nbsp;&nbsp;&nbsp; 6874170<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Kinder Morgan Energy Partners LP, Senior Notes | &nbsp;&nbsp; 7.300% | &nbsp;&nbsp; 8/15/33 | &nbsp;&nbsp; 1497000<br>| &nbsp;&nbsp;&nbsp; 1713492<br>|
| &nbsp;&nbsp;&nbsp; Kinder Morgan Energy Partners LP, Senior Notes | &nbsp;&nbsp; 6.550% | &nbsp;&nbsp; 9/15/40 | &nbsp;&nbsp; 1450000<br>| &nbsp;&nbsp;&nbsp; 1580482<br>|
| &nbsp;&nbsp;&nbsp; Kinder Morgan Inc., Senior Notes | &nbsp;&nbsp; 7.800% | &nbsp;&nbsp; 8/1/31 | &nbsp;&nbsp; 226000<br>| &nbsp;&nbsp;&nbsp; 262314<br>|
| &nbsp;&nbsp;&nbsp; MPLX LP, Senior Notes | &nbsp;&nbsp; 4.800% | &nbsp;&nbsp; 2/15/29 | &nbsp;&nbsp; 2590000<br>| &nbsp;&nbsp;&nbsp; 2628046<br>|
| &nbsp;&nbsp;&nbsp; MPLX LP, Senior Notes | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 4/15/38 | &nbsp;&nbsp; 1340000<br>| &nbsp;&nbsp;&nbsp; 1212715<br>|
| &nbsp;&nbsp;&nbsp; MPLX LP, Senior Notes | &nbsp;&nbsp; 4.700% | &nbsp;&nbsp; 4/15/48 | &nbsp;&nbsp; 1470000<br>| &nbsp;&nbsp;&nbsp; 1232130<br>|

---

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2025 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

September 30, 2025

 **Western Asset Core Plus Bond Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount†<br>| Value |
| *Oil, Gas & Consumable Fuels — continued* | *Oil, Gas & Consumable Fuels — continued* | *Oil, Gas & Consumable Fuels — continued* | *Oil, Gas & Consumable Fuels — continued* | *Oil, Gas & Consumable Fuels — continued* |
| &nbsp;&nbsp;&nbsp; Occidental Petroleum Corp., Senior Notes | &nbsp;&nbsp; 3.200% | &nbsp;&nbsp; 8/15/26 | &nbsp;&nbsp; 2617000<br>| &nbsp;&nbsp;&nbsp; $2589800<br>|
| &nbsp;&nbsp;&nbsp; Occidental Petroleum Corp., Senior Notes | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 2/15/27 | &nbsp;&nbsp; 3630000<br>| &nbsp;&nbsp;&nbsp; 3553529<br>|
| &nbsp;&nbsp;&nbsp; Occidental Petroleum Corp., Senior Notes | &nbsp;&nbsp; 7.500% | &nbsp;&nbsp; 5/1/31 | &nbsp;&nbsp; 1130000<br>| &nbsp;&nbsp;&nbsp; 1269917<br>|
| &nbsp;&nbsp;&nbsp; Occidental Petroleum Corp., Senior Notes | &nbsp;&nbsp; 7.875% | &nbsp;&nbsp; 9/15/31 | &nbsp;&nbsp; 3792000<br>| &nbsp;&nbsp;&nbsp; 4314250<br>|
| &nbsp;&nbsp;&nbsp; Occidental Petroleum Corp., Senior Notes | &nbsp;&nbsp; 6.450% | &nbsp;&nbsp; 9/15/36 | &nbsp;&nbsp; 1275000<br>| &nbsp;&nbsp;&nbsp; 1355927<br>|
| &nbsp;&nbsp;&nbsp; Occidental Petroleum Corp., Senior Notes | &nbsp;&nbsp; 4.200% | &nbsp;&nbsp; 3/15/48 | &nbsp;&nbsp; 1530000<br>| &nbsp;&nbsp;&nbsp; 1129090<br>|
| &nbsp;&nbsp;&nbsp; ONEOK Inc., Senior Notes | &nbsp;&nbsp; 5.800% | &nbsp;&nbsp; 11/1/30 | &nbsp;&nbsp; 2410000<br>| &nbsp;&nbsp;&nbsp; 2540465<br>|
| &nbsp;&nbsp;&nbsp; ONEOK Inc., Senior Notes | &nbsp;&nbsp; 6.050% | &nbsp;&nbsp; 9/1/33 | &nbsp;&nbsp; 580000<br>| &nbsp;&nbsp;&nbsp; 615241<br>|
| &nbsp;&nbsp;&nbsp; ONEOK Inc., Senior Notes | &nbsp;&nbsp; 6.625% | &nbsp;&nbsp; 9/1/53 | &nbsp;&nbsp; 570000<br>| &nbsp;&nbsp;&nbsp; 606754<br>|
| &nbsp;&nbsp;&nbsp; Permian Resources Operating LLC, Senior Notes | &nbsp;&nbsp; 6.250% | &nbsp;&nbsp; 2/1/33 | &nbsp;&nbsp; 4180000<br>| &nbsp;&nbsp;&nbsp; 4260967<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Pioneer Natural Resources Co., Senior Notes | &nbsp;&nbsp; 2.150% | &nbsp;&nbsp; 1/15/31 | &nbsp;&nbsp; 1610000<br>| &nbsp;&nbsp;&nbsp; 1448283<br>|
| &nbsp;&nbsp;&nbsp; Reliance Industries Ltd., Senior Notes | &nbsp;&nbsp; 2.875% | &nbsp;&nbsp; 1/12/32 | &nbsp;&nbsp; 6110000<br>| &nbsp;&nbsp;&nbsp; 5553126<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Reliance Industries Ltd., Senior Notes | &nbsp;&nbsp; 3.625% | &nbsp;&nbsp; 1/12/52 | &nbsp;&nbsp; 6280000<br>| &nbsp;&nbsp;&nbsp; 4657070<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Southern Natural Gas Co. LLC, Senior Notes | &nbsp;&nbsp; 8.000% | &nbsp;&nbsp; 3/1/32 | &nbsp;&nbsp; 2503000<br>| &nbsp;&nbsp;&nbsp; 2911457<br>|
| &nbsp;&nbsp;&nbsp; Targa Resources Corp., Senior Notes | &nbsp;&nbsp; 4.950% | &nbsp;&nbsp; 4/15/52 | &nbsp;&nbsp; 2370000<br>| &nbsp;&nbsp;&nbsp; 2030957<br>|
| &nbsp;&nbsp;&nbsp; Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior <br> Notes | &nbsp;&nbsp; 6.875% | &nbsp;&nbsp; 1/15/29 | &nbsp;&nbsp; 1220000<br>| &nbsp;&nbsp;&nbsp; 1242854<br>|
| &nbsp;&nbsp;&nbsp; Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior <br> Notes | &nbsp;&nbsp; 4.875% | &nbsp;&nbsp; 2/1/31 | &nbsp;&nbsp; 2045000<br>| &nbsp;&nbsp;&nbsp; 2051482<br>|
| &nbsp;&nbsp;&nbsp; Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior <br> Notes | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 1/15/32 | &nbsp;&nbsp; 190000<br>| &nbsp;&nbsp;&nbsp; 180259<br>|
| &nbsp;&nbsp;&nbsp; Tennessee Gas Pipeline Co. LLC, Senior Notes | &nbsp;&nbsp; 2.900% | &nbsp;&nbsp; 3/1/30 | &nbsp;&nbsp; 2350000<br>| &nbsp;&nbsp;&nbsp; 2201759<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Transcontinental Gas Pipe Line Co. LLC, Senior Notes | &nbsp;&nbsp; 7.850% | &nbsp;&nbsp; 2/1/26 | &nbsp;&nbsp; 3057000<br>| &nbsp;&nbsp;&nbsp; 3063392<br>|
| &nbsp;&nbsp;&nbsp; Venture Global LNG Inc., Senior Secured Notes | &nbsp;&nbsp; 7.000% | &nbsp;&nbsp; 1/15/30 | &nbsp;&nbsp; 2100000<br>| &nbsp;&nbsp;&nbsp; 2174529<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Venture Global Plaquemines LNG LLC, Senior Secured Notes | &nbsp;&nbsp; 6.750% | &nbsp;&nbsp; 1/15/36 | &nbsp;&nbsp; 5240000<br>| &nbsp;&nbsp;&nbsp; 5569082<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Viper Energy Partners LLC, Senior Notes | &nbsp;&nbsp; 5.700% | &nbsp;&nbsp; 8/1/35 | &nbsp;&nbsp; 3750000<br>| &nbsp;&nbsp;&nbsp; 3815044<br>|
| &nbsp;&nbsp;&nbsp; Western Midstream Operating LP, Senior Notes | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 3/1/28 | &nbsp;&nbsp; 413000<br>| &nbsp;&nbsp;&nbsp; 413710<br>|
| &nbsp;&nbsp;&nbsp; Western Midstream Operating LP, Senior Notes | &nbsp;&nbsp; 4.050% | &nbsp;&nbsp; 2/1/30 | &nbsp;&nbsp; 2935000<br>| &nbsp;&nbsp;&nbsp; 2865829<br>|
| &nbsp;&nbsp;&nbsp; Williams Cos. Inc., Senior Notes | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 11/15/30 | &nbsp;&nbsp; 760000<br>| &nbsp;&nbsp;&nbsp; 726664<br>|
| &nbsp;&nbsp;&nbsp; Williams Cos. Inc., Senior Notes | &nbsp;&nbsp; 7.750% | &nbsp;&nbsp; 6/15/31 | &nbsp;&nbsp; 5348000<br>| &nbsp;&nbsp;&nbsp; 6177318<br>|
| &nbsp;&nbsp;&nbsp; Williams Cos. Inc., Senior Notes | &nbsp;&nbsp; 8.750% | &nbsp;&nbsp; 3/15/32 | &nbsp;&nbsp; 985000<br>| &nbsp;&nbsp;&nbsp; 1195989<br>|
| &nbsp;&nbsp;&nbsp; Williams Cos. Inc., Senior Notes | &nbsp;&nbsp; 5.150% | &nbsp;&nbsp; 3/15/34 | &nbsp;&nbsp; 2520000<br>| &nbsp;&nbsp;&nbsp; 2559581<br>|
| *Total Oil, Gas & Consumable Fuels* | *Total Oil, Gas & Consumable Fuels* | *Total Oil, Gas & Consumable Fuels* | *Total Oil, Gas & Consumable Fuels* | &nbsp;&nbsp; *188126997* |
| **Total Energy** | **Total Energy** | **Total Energy** | **Total Energy** | &nbsp;&nbsp; **189684257** |
| **Financials — 9.0%** | **Financials — 9.0%** | **Financials — 9.0%** | **Financials — 9.0%** | **Financials — 9.0%** |
| *Banks — 5.6%* | *Banks — 5.6%* | *Banks — 5.6%* | *Banks — 5.6%* | *Banks — 5.6%* |
| &nbsp;&nbsp;&nbsp; BAC Capital Trust XIV, Ltd. GTD (3 mo. Term SOFR + 0.662%) | &nbsp;&nbsp; 4.699% | &nbsp;&nbsp; 10/15/25 | &nbsp;&nbsp; 7226000<br>| &nbsp;&nbsp;&nbsp; 6060796<br> <sup>(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Bank of America Corp., Senior Notes | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 1/21/44 | &nbsp;&nbsp; 2270000<br>| &nbsp;&nbsp;&nbsp; 2221139<br>|
| &nbsp;&nbsp;&nbsp; Bank of America Corp., Senior Notes (2.572% to 10/20/31 then SOFR + 1.210%) | &nbsp;&nbsp; 2.572% | &nbsp;&nbsp; 10/20/32 | &nbsp;&nbsp; 1060000<br>| &nbsp;&nbsp;&nbsp; 950400<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Bank of America Corp., Senior Notes (2.592% to 4/29/30 then SOFR + 2.150%) | &nbsp;&nbsp; 2.592% | &nbsp;&nbsp; 4/29/31 | &nbsp;&nbsp; 8720000<br>| &nbsp;&nbsp;&nbsp; 8083245<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Bank of America Corp., Senior Notes (3.419% to 12/20/27 then 3 mo. Term SOFR <br> + 1.302%) | &nbsp;&nbsp; 3.419% | &nbsp;&nbsp; 12/20/28 | &nbsp;&nbsp; 7641000<br>| &nbsp;&nbsp;&nbsp; 7525734<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Bank of America Corp., Senior Notes (3.970% to 3/5/28 then 3 mo. Term SOFR + <br> 1.332%) | &nbsp;&nbsp; 3.970% | &nbsp;&nbsp; 3/5/29 | &nbsp;&nbsp; 4810000<br>| &nbsp;&nbsp;&nbsp; 4787321<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Bank of America Corp., Senior Notes (4.083% to 3/20/50 then 3 mo. Term SOFR + <br> 3.412%) | &nbsp;&nbsp; 4.083% | &nbsp;&nbsp; 3/20/51 | &nbsp;&nbsp; 6570000<br>| &nbsp;&nbsp;&nbsp; 5350531<br> <sup>(d)</sup><br>|

---

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2025 Quarterly Report

------

 **Western Asset Core Plus Bond Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount†<br>| Value |
| *Banks — continued* | *Banks — continued* | *Banks — continued* | *Banks — continued* | *Banks — continued* |
| &nbsp;&nbsp;&nbsp; Bank of America Corp., Senior Notes (4.330% to 3/15/49 then 3 mo. Term SOFR + <br> 1.782%) | &nbsp;&nbsp; 4.330% | &nbsp;&nbsp; 3/15/50 | &nbsp;&nbsp; 2690000<br>| &nbsp;&nbsp;&nbsp; $2296878<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Bank of America Corp., Senior Notes (4.376% to 4/27/27 then SOFR + 1.580%) | &nbsp;&nbsp; 4.376% | &nbsp;&nbsp; 4/27/28 | &nbsp;&nbsp; 620000<br>| &nbsp;&nbsp;&nbsp; 622336<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Bank of America Corp., Senior Notes (4.571% to 4/27/32 then SOFR + 1.830%) | &nbsp;&nbsp; 4.571% | &nbsp;&nbsp; 4/27/33 | &nbsp;&nbsp; 6660000<br>| &nbsp;&nbsp;&nbsp; 6661039<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Bank of America Corp., Subordinated Notes | &nbsp;&nbsp; 4.450% | &nbsp;&nbsp; 3/3/26 | &nbsp;&nbsp; 3050000<br>| &nbsp;&nbsp;&nbsp; 3052334<br>|
| &nbsp;&nbsp;&nbsp; Bank of America Corp., Subordinated Notes (2.482% to 9/21/31 then 5 year <br> Treasury Constant Maturity Rate + 1.200%) | &nbsp;&nbsp; 2.482% | &nbsp;&nbsp; 9/21/36 | &nbsp;&nbsp; 1880000<br>| &nbsp;&nbsp;&nbsp; 1632612<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Bank of Montreal, Subordinated Notes (3.803% to 12/15/27 then USD 5 year ICE <br> Swap Rate + 1.432%) | &nbsp;&nbsp; 3.803% | &nbsp;&nbsp; 12/15/32 | &nbsp;&nbsp; 10000<br>| &nbsp;&nbsp;&nbsp; 9824<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Bank of Nova Scotia, Subordinated Notes (4.588% to 5/4/32 then 5 year Treasury <br> Constant Maturity Rate + 2.050%) | &nbsp;&nbsp; 4.588% | &nbsp;&nbsp; 5/4/37 | &nbsp;&nbsp; 4500000<br>| &nbsp;&nbsp;&nbsp; 4356760<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Barclays PLC, Subordinated Notes (5.088% to 6/20/29 then 3 mo. USD LIBOR + <br> 3.054%) | &nbsp;&nbsp; 5.088% | &nbsp;&nbsp; 6/20/30 | &nbsp;&nbsp; 2290000<br>| &nbsp;&nbsp;&nbsp; 2321129<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BNP Paribas SA, Junior Subordinated Notes (8.000% to 8/22/31 then 5 year <br> Treasury Constant Maturity Rate + 3.727%) | &nbsp;&nbsp; 8.000% | &nbsp;&nbsp; 8/22/31 | &nbsp;&nbsp; 3110000<br>| &nbsp;&nbsp;&nbsp; 3354617<br> <sup>(a)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BNP Paribas SA, Junior Subordinated Notes (8.500% to 8/14/28 then 5 year <br> Treasury Constant Maturity Rate + 4.354%) | &nbsp;&nbsp; 8.500% | &nbsp;&nbsp; 8/14/28 | &nbsp;&nbsp; 7380000<br>| &nbsp;&nbsp;&nbsp; 7894401<br> <sup>(a)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BNP Paribas SA, Senior Notes | &nbsp;&nbsp; 4.400% | &nbsp;&nbsp; 8/14/28 | &nbsp;&nbsp; 3970000<br>| &nbsp;&nbsp;&nbsp; 3983577<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; BNP Paribas SA, Senior Notes (5.125% to 1/13/28 then 1 year Treasury Constant <br> Maturity Rate + 1.450%) | &nbsp;&nbsp; 5.125% | &nbsp;&nbsp; 1/13/29 | &nbsp;&nbsp; 3510000<br>| &nbsp;&nbsp;&nbsp; 3580800<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BNP Paribas SA, Senior Notes (5.198% to 1/10/29 then 3 mo. Term SOFR + <br> 2.829%) | &nbsp;&nbsp; 5.198% | &nbsp;&nbsp; 1/10/30 | &nbsp;&nbsp; 829000<br>| &nbsp;&nbsp;&nbsp; 848631<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BNP Paribas SA, Senior Notes (5.894% to 12/5/33 then SOFR + 1.866%) | &nbsp;&nbsp; 5.894% | &nbsp;&nbsp; 12/5/34 | &nbsp;&nbsp; 8945000<br>| &nbsp;&nbsp;&nbsp; 9552230<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; CaixaBank SA, Senior Notes (4.885% to 7/3/30 then SOFR + 1.360%) | &nbsp;&nbsp; 4.885% | &nbsp;&nbsp; 7/3/31 | &nbsp;&nbsp; 4710000<br>| &nbsp;&nbsp;&nbsp; 4760098<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Citigroup Inc., Senior Notes | &nbsp;&nbsp; 8.125% | &nbsp;&nbsp; 7/15/39 | &nbsp;&nbsp; 1915000<br>| &nbsp;&nbsp;&nbsp; 2456157<br>|
| &nbsp;&nbsp;&nbsp; Citigroup Inc., Senior Notes | &nbsp;&nbsp; 4.650% | &nbsp;&nbsp; 7/30/45 | &nbsp;&nbsp; 2462000<br>| &nbsp;&nbsp;&nbsp; 2227539<br>|
| &nbsp;&nbsp;&nbsp; Citigroup Inc., Senior Notes | &nbsp;&nbsp; 4.650% | &nbsp;&nbsp; 7/23/48 | &nbsp;&nbsp; 1230000<br>| &nbsp;&nbsp;&nbsp; 1097964<br>|
| &nbsp;&nbsp;&nbsp; Citigroup Inc., Senior Notes (2.561% to 5/1/31 then SOFR + 1.167%) | &nbsp;&nbsp; 2.561% | &nbsp;&nbsp; 5/1/32 | &nbsp;&nbsp; 5320000<br>| &nbsp;&nbsp;&nbsp; 4796157<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Citigroup Inc., Senior Notes (3.520% to 10/27/27 then 3 mo. Term SOFR + <br> 1.413%) | &nbsp;&nbsp; 3.520% | &nbsp;&nbsp; 10/27/28 | &nbsp;&nbsp; 6280000<br>| &nbsp;&nbsp;&nbsp; 6197095<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Citigroup Inc., Senior Notes (3.980% to 3/20/29 then 3 mo. Term SOFR + 1.600%) | &nbsp;&nbsp; 3.980% | &nbsp;&nbsp; 3/20/30 | &nbsp;&nbsp; 7640000<br>| &nbsp;&nbsp;&nbsp; 7549162<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Citigroup Inc., Senior Notes (4.412% to 3/31/30 then SOFR + 3.914%) | &nbsp;&nbsp; 4.412% | &nbsp;&nbsp; 3/31/31 | &nbsp;&nbsp; 5260000<br>| &nbsp;&nbsp;&nbsp; 5252410<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Citigroup Inc., Senior Notes (4.910% to 5/24/32 then SOFR + 2.086%) | &nbsp;&nbsp; 4.910% | &nbsp;&nbsp; 5/24/33 | &nbsp;&nbsp; 670000<br>| &nbsp;&nbsp;&nbsp; 678304<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Citigroup Inc., Subordinated Notes | &nbsp;&nbsp; 4.450% | &nbsp;&nbsp; 9/29/27 | &nbsp;&nbsp; 4150000<br>| &nbsp;&nbsp;&nbsp; 4167975<br>|
| &nbsp;&nbsp;&nbsp; Citigroup Inc., Subordinated Notes | &nbsp;&nbsp; 6.125% | &nbsp;&nbsp; 8/25/36 | &nbsp;&nbsp; 133000<br>| &nbsp;&nbsp;&nbsp; 142168<br>|
| &nbsp;&nbsp;&nbsp; Citigroup Inc., Subordinated Notes | &nbsp;&nbsp; 6.675% | &nbsp;&nbsp; 9/13/43 | &nbsp;&nbsp; 1884000<br>| &nbsp;&nbsp;&nbsp; 2132596<br>|
| &nbsp;&nbsp;&nbsp; Citigroup Inc., Subordinated Notes | &nbsp;&nbsp; 4.750% | &nbsp;&nbsp; 5/18/46 | &nbsp;&nbsp; 150000<br>| &nbsp;&nbsp;&nbsp; 133375<br>|
| &nbsp;&nbsp;&nbsp; Cooperatieve Rabobank UA, Senior Notes (3.649% to 4/6/27 then 1 year Treasury <br> Constant Maturity Rate + 1.220%) | &nbsp;&nbsp; 3.649% | &nbsp;&nbsp; 4/6/28 | &nbsp;&nbsp; 960000<br>| &nbsp;&nbsp;&nbsp; 953334<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Cooperatieve Rabobank UA, Senior Notes (3.758% to 4/6/32 then 1 year Treasury <br> Constant Maturity Rate + 1.420%) | &nbsp;&nbsp; 3.758% | &nbsp;&nbsp; 4/6/33 | &nbsp;&nbsp; 5210000<br>| &nbsp;&nbsp;&nbsp; 4955687<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Credit Agricole SA, Senior Notes (4.818% to 9/25/32 then SOFR + 1.360%) | &nbsp;&nbsp; 4.818% | &nbsp;&nbsp; 9/25/33 | &nbsp;&nbsp; 3360000<br>| &nbsp;&nbsp;&nbsp; 3340446<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Credit Agricole SA, Subordinated Notes (4.000% to 1/10/28 then USD 5 year ICE <br> Swap Rate + 1.644%) | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 1/10/33 | &nbsp;&nbsp; 330000<br>| &nbsp;&nbsp;&nbsp; 325121<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Danske Bank A/S, Senior Notes (4.298% to 4/1/27 then 1 year Treasury Constant <br> Maturity Rate + 1.750%) | &nbsp;&nbsp; 4.298% | &nbsp;&nbsp; 4/1/28 | &nbsp;&nbsp; 250000<br>| &nbsp;&nbsp;&nbsp; 250292<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; HSBC Holdings PLC, Subordinated Notes (4.762% to 3/29/32 then SOFR + <br> 2.530%) | &nbsp;&nbsp; 4.762% | &nbsp;&nbsp; 3/29/33 | &nbsp;&nbsp; 6190000<br>| &nbsp;&nbsp;&nbsp; 6163056<br> <sup>(d)</sup><br>|

---

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2025 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

September 30, 2025

 **Western Asset Core Plus Bond Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount†<br>| Value |
| *Banks — continued* | *Banks — continued* | *Banks — continued* | *Banks — continued* | *Banks — continued* |
| &nbsp;&nbsp;&nbsp; Intesa Sanpaolo SpA, Subordinated Notes | &nbsp;&nbsp; 5.710% | &nbsp;&nbsp; 1/15/26 | &nbsp;&nbsp; 3150000<br>| &nbsp;&nbsp;&nbsp; $3157089<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; JPMorgan Chase & Co., Senior Notes (1.953% to 2/4/31 then SOFR + 1.065%) | &nbsp;&nbsp; 1.953% | &nbsp;&nbsp; 2/4/32 | &nbsp;&nbsp; 6960000<br>| &nbsp;&nbsp;&nbsp; 6154464<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; JPMorgan Chase & Co., Senior Notes (2.522% to 4/22/30 then SOFR + 2.040%) | &nbsp;&nbsp; 2.522% | &nbsp;&nbsp; 4/22/31 | &nbsp;&nbsp; 6130000<br>| &nbsp;&nbsp;&nbsp; 5687529<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; JPMorgan Chase & Co., Senior Notes (3.109% to 4/22/40 then 3 mo. Term SOFR <br> + 2.460%) | &nbsp;&nbsp; 3.109% | &nbsp;&nbsp; 4/22/41 | &nbsp;&nbsp; 5150000<br>| &nbsp;&nbsp;&nbsp; 4049595<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; JPMorgan Chase & Co., Senior Notes (3.109% to 4/22/50 then SOFR + 2.440%) | &nbsp;&nbsp; 3.109% | &nbsp;&nbsp; 4/22/51 | &nbsp;&nbsp; 1420000<br>| &nbsp;&nbsp;&nbsp; 982646<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; JPMorgan Chase & Co., Senior Notes (4.493% to 3/24/30 then 3 mo. Term SOFR <br> + 3.790%) | &nbsp;&nbsp; 4.493% | &nbsp;&nbsp; 3/24/31 | &nbsp;&nbsp; 4150000<br>| &nbsp;&nbsp;&nbsp; 4190687<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; JPMorgan Chase & Co., Subordinated Notes | &nbsp;&nbsp; 4.950% | &nbsp;&nbsp; 6/1/45 | &nbsp;&nbsp; 410000<br>| &nbsp;&nbsp;&nbsp; 386388<br>|
| &nbsp;&nbsp;&nbsp; JPMorgan Chase & Co., Subordinated Notes (5.576% to 7/23/35 then SOFR + <br> 1.635%) | &nbsp;&nbsp; 5.576% | &nbsp;&nbsp; 7/23/36 | &nbsp;&nbsp; 4410000<br>| &nbsp;&nbsp;&nbsp; 4574965<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; PNC Financial Services Group Inc., Senior Notes (5.582% to 6/12/28 then SOFR + <br> 1.841%) | &nbsp;&nbsp; 5.582% | &nbsp;&nbsp; 6/12/29 | &nbsp;&nbsp; 4620000<br>| &nbsp;&nbsp;&nbsp; 4788198<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Royal Bank of Canada, Senior Notes | &nbsp;&nbsp; 3.875% | &nbsp;&nbsp; 5/4/32 | &nbsp;&nbsp; 1770000<br>| &nbsp;&nbsp;&nbsp; 1718517<br>|
| &nbsp;&nbsp;&nbsp; Royal Bank of Canada, Senior Notes | &nbsp;&nbsp; 5.150% | &nbsp;&nbsp; 2/1/34 | &nbsp;&nbsp; 1960000<br>| &nbsp;&nbsp;&nbsp; 2043075<br>|
| &nbsp;&nbsp;&nbsp; Santander UK Group Holdings PLC, Senior Notes (5.136% to 9/22/35 then SOFR + <br> 1.578%) | &nbsp;&nbsp; 5.136% | &nbsp;&nbsp; 9/22/36 | &nbsp;&nbsp; 2730000<br>| &nbsp;&nbsp;&nbsp; 2705886<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Toronto-Dominion Bank, Senior Notes | &nbsp;&nbsp; 4.456% | &nbsp;&nbsp; 6/8/32 | &nbsp;&nbsp; 1490000<br>| &nbsp;&nbsp;&nbsp; 1489543<br>|
| &nbsp;&nbsp;&nbsp; Truist Bank, Subordinated Notes (4.632% to 9/17/29 then 5 year Treasury <br> Constant Maturity Rate + 1.150%) | &nbsp;&nbsp; 4.632% | &nbsp;&nbsp; 9/17/29 | &nbsp;&nbsp; 2961000<br>| &nbsp;&nbsp;&nbsp; 2985158<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Truist Financial Corp., Senior Notes (6.047% to 6/8/26 then SOFR + 2.050%) | &nbsp;&nbsp; 6.047% | &nbsp;&nbsp; 6/8/27 | &nbsp;&nbsp; 90000<br>| &nbsp;&nbsp;&nbsp; 91058<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; US Bancorp, Senior Notes (5.775% to 6/12/28 then SOFR + 2.020%) | &nbsp;&nbsp; 5.775% | &nbsp;&nbsp; 6/12/29 | &nbsp;&nbsp; 3240000<br>| &nbsp;&nbsp;&nbsp; 3372497<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; US Bancorp, Senior Notes (5.836% to 6/10/33 then SOFR + 2.260%) | &nbsp;&nbsp; 5.836% | &nbsp;&nbsp; 6/12/34 | &nbsp;&nbsp; 2350000<br>| &nbsp;&nbsp;&nbsp; 2504909<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Wells Fargo & Co., Senior Notes | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 10/23/26 | &nbsp;&nbsp; 2330000<br>| &nbsp;&nbsp;&nbsp; 2306798<br>|
| &nbsp;&nbsp;&nbsp; Wells Fargo & Co., Senior Notes | &nbsp;&nbsp; 4.150% | &nbsp;&nbsp; 1/24/29 | &nbsp;&nbsp; 3180000<br>| &nbsp;&nbsp;&nbsp; 3179620<br>|
| &nbsp;&nbsp;&nbsp; Wells Fargo & Co., Senior Notes (2.393% to 6/2/27 then SOFR + 2.100%) | &nbsp;&nbsp; 2.393% | &nbsp;&nbsp; 6/2/28 | &nbsp;&nbsp; 5400000<br>| &nbsp;&nbsp;&nbsp; 5250402<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Wells Fargo & Co., Senior Notes (2.879% to 10/30/29 then 3 mo. Term SOFR + <br> 1.432%) | &nbsp;&nbsp; 2.879% | &nbsp;&nbsp; 10/30/30 | &nbsp;&nbsp; 3860000<br>| &nbsp;&nbsp;&nbsp; 3655555<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Wells Fargo & Co., Senior Notes (3.350% to 3/2/32 then SOFR + 1.500%) | &nbsp;&nbsp; 3.350% | &nbsp;&nbsp; 3/2/33 | &nbsp;&nbsp; 5770000<br>| &nbsp;&nbsp;&nbsp; 5372672<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Wells Fargo & Co., Senior Notes (4.478% to 4/4/30 then 3 mo. Term SOFR + <br> 4.032%) | &nbsp;&nbsp; 4.478% | &nbsp;&nbsp; 4/4/31 | &nbsp;&nbsp; 6620000<br>| &nbsp;&nbsp;&nbsp; 6658308<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Wells Fargo & Co., Senior Notes (5.013% to 4/4/50 then 3 mo. Term SOFR + <br> 4.502%) | &nbsp;&nbsp; 5.013% | &nbsp;&nbsp; 4/4/51 | &nbsp;&nbsp; 12190000<br>| &nbsp;&nbsp;&nbsp; 11391453<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Wells Fargo & Co., Senior Notes (5.557% to 7/25/33 then SOFR + 1.990%) | &nbsp;&nbsp; 5.557% | &nbsp;&nbsp; 7/25/34 | &nbsp;&nbsp; 1180000<br>| &nbsp;&nbsp;&nbsp; 1239890<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Wells Fargo & Co., Subordinated Notes | &nbsp;&nbsp; 4.650% | &nbsp;&nbsp; 11/4/44 | &nbsp;&nbsp; 4050000<br>| &nbsp;&nbsp;&nbsp; 3588528<br>|
| *Total Banks* | *Total Banks* | *Total Banks* | *Total Banks* | &nbsp;&nbsp; *236250700* |
| *Capital Markets — 2.4%* | *Capital Markets — 2.4%* | *Capital Markets — 2.4%* | *Capital Markets — 2.4%* | *Capital Markets — 2.4%* |
| &nbsp;&nbsp;&nbsp; Charles Schwab Corp., Senior Notes (6.136% to 8/24/33 then SOFR + 2.010%) | &nbsp;&nbsp; 6.136% | &nbsp;&nbsp; 8/24/34 | &nbsp;&nbsp; 2110000<br>| &nbsp;&nbsp;&nbsp; 2299421<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; CI Financial Corp., Senior Notes | &nbsp;&nbsp; 7.500% | &nbsp;&nbsp; 5/30/29 | &nbsp;&nbsp; 5360000<br>| &nbsp;&nbsp;&nbsp; 5714627<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Credit Suisse AG AT1 Claim | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 61000000<br>| &nbsp;&nbsp;&nbsp; 0<br> \*<sup>(e)(f)(g)</sup><br>|
| &nbsp;&nbsp;&nbsp; Goldman Sachs Group Inc., Senior Notes | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 11/16/26 | &nbsp;&nbsp; 3153000<br>| &nbsp;&nbsp;&nbsp; 3133337<br>|
| &nbsp;&nbsp;&nbsp; Goldman Sachs Group Inc., Senior Notes | &nbsp;&nbsp; 2.600% | &nbsp;&nbsp; 2/7/30 | &nbsp;&nbsp; 1160000<br>| &nbsp;&nbsp;&nbsp; 1086820<br>|
| &nbsp;&nbsp;&nbsp; Goldman Sachs Group Inc., Senior Notes | &nbsp;&nbsp; 6.250% | &nbsp;&nbsp; 2/1/41 | &nbsp;&nbsp; 4800000<br>| &nbsp;&nbsp;&nbsp; 5275661<br>|
| &nbsp;&nbsp;&nbsp; Goldman Sachs Group Inc., Senior Notes | &nbsp;&nbsp; 4.750% | &nbsp;&nbsp; 10/21/45 | &nbsp;&nbsp; 4434000<br>| &nbsp;&nbsp;&nbsp; 4053567<br>|
| &nbsp;&nbsp;&nbsp; Goldman Sachs Group Inc., Senior Notes (2.615% to 4/22/31 then SOFR + <br> 1.281%) | &nbsp;&nbsp; 2.615% | &nbsp;&nbsp; 4/22/32 | &nbsp;&nbsp; 7070000<br>| &nbsp;&nbsp;&nbsp; 6416025<br> <sup>(d)</sup><br>|

---

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2025 Quarterly Report

------

 **Western Asset Core Plus Bond Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount†<br>| Value |
| *Capital Markets — continued* | *Capital Markets — continued* | *Capital Markets — continued* | *Capital Markets — continued* | *Capital Markets — continued* |
| &nbsp;&nbsp;&nbsp; Goldman Sachs Group Inc., Senior Notes (2.650% to 10/21/31 then SOFR + <br> 1.264%) | &nbsp;&nbsp; 2.650% | &nbsp;&nbsp; 10/21/32 | &nbsp;&nbsp; 2000000<br>| &nbsp;&nbsp;&nbsp; $1799227<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Goldman Sachs Group Inc., Senior Notes (2.908% to 7/21/41 then SOFR + <br> 1.472%) | &nbsp;&nbsp; 2.908% | &nbsp;&nbsp; 7/21/42 | &nbsp;&nbsp; 1420000<br>| &nbsp;&nbsp;&nbsp; 1048347<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Goldman Sachs Group Inc., Senior Notes (3.210% to 4/22/41 then SOFR + <br> 1.513%) | &nbsp;&nbsp; 3.210% | &nbsp;&nbsp; 4/22/42 | &nbsp;&nbsp; 3096000<br>| &nbsp;&nbsp;&nbsp; 2395092<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Goldman Sachs Group Inc., Senior Notes (3.615% to 3/15/27 then SOFR + <br> 1.846%) | &nbsp;&nbsp; 3.615% | &nbsp;&nbsp; 3/15/28 | &nbsp;&nbsp; 5790000<br>| &nbsp;&nbsp;&nbsp; 5747357<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Goldman Sachs Group Inc., Senior Notes (3.814% to 4/23/28 then 3 mo. Term <br> SOFR + 1.420%) | &nbsp;&nbsp; 3.814% | &nbsp;&nbsp; 4/23/29 | &nbsp;&nbsp; 1765000<br>| &nbsp;&nbsp;&nbsp; 1750176<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Goldman Sachs Group Inc., Subordinated Notes | &nbsp;&nbsp; 6.750% | &nbsp;&nbsp; 10/1/37 | &nbsp;&nbsp; 304000<br>| &nbsp;&nbsp;&nbsp; 340744<br>|
| &nbsp;&nbsp;&nbsp; Goldman Sachs Group Inc., Subordinated Notes | &nbsp;&nbsp; 5.150% | &nbsp;&nbsp; 5/22/45 | &nbsp;&nbsp; 2531000<br>| &nbsp;&nbsp;&nbsp; 2389960<br>|
| &nbsp;&nbsp;&nbsp; KKR Group Finance Co. II LLC, Senior Notes | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 2/1/43 | &nbsp;&nbsp; 908000<br>| &nbsp;&nbsp;&nbsp; 899165<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Morgan Stanley, Senior Notes (2.511% to 10/20/31 then SOFR + 1.200%) | &nbsp;&nbsp; 2.511% | &nbsp;&nbsp; 10/20/32 | &nbsp;&nbsp; 90000<br>| &nbsp;&nbsp;&nbsp; 80316<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Morgan Stanley, Senior Notes (2.699% to 1/22/30 then SOFR + 1.143%) | &nbsp;&nbsp; 2.699% | &nbsp;&nbsp; 1/22/31 | &nbsp;&nbsp; 9370000<br>| &nbsp;&nbsp;&nbsp; 8757402<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Morgan Stanley, Senior Notes (3.622% to 4/1/30 then SOFR + 3.120%) | &nbsp;&nbsp; 3.622% | &nbsp;&nbsp; 4/1/31 | &nbsp;&nbsp; 5560000<br>| &nbsp;&nbsp;&nbsp; 5396346<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Morgan Stanley, Senior Notes (3.772% to 1/24/28 then 3 mo. Term SOFR + <br> 1.402%) | &nbsp;&nbsp; 3.772% | &nbsp;&nbsp; 1/24/29 | &nbsp;&nbsp; 7533000<br>| &nbsp;&nbsp;&nbsp; 7468523<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Morgan Stanley, Senior Notes (4.431% to 1/23/29 then 3 mo. Term SOFR + <br> 1.890%) | &nbsp;&nbsp; 4.431% | &nbsp;&nbsp; 1/23/30 | &nbsp;&nbsp; 1160000<br>| &nbsp;&nbsp;&nbsp; 1165731<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Morgan Stanley Private Bank NA, Senior Notes (4.734% to 7/18/30 then SOFR + <br> 1.080%) | &nbsp;&nbsp; 4.734% | &nbsp;&nbsp; 7/18/31 | &nbsp;&nbsp; 2600000<br>| &nbsp;&nbsp;&nbsp; 2640086<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; UBS AG, Senior Notes | &nbsp;&nbsp; 7.500% | &nbsp;&nbsp; 2/15/28 | &nbsp;&nbsp; 5790000<br>| &nbsp;&nbsp;&nbsp; 6234978<br>|
| &nbsp;&nbsp;&nbsp; UBS Group AG, Junior Subordinated Notes (7.750% to 4/12/31 then USD 5 year <br> SOFR ICE Swap Rate + 4.160%) | &nbsp;&nbsp; 7.750% | &nbsp;&nbsp; 4/12/31 | &nbsp;&nbsp; 2550000<br>| &nbsp;&nbsp;&nbsp; 2756346<br> <sup>(a)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; UBS Group AG, Junior Subordinated Notes (9.250% to 11/13/28 then 5 year <br> Treasury Constant Maturity Rate + 4.745%) | &nbsp;&nbsp; 9.250% | &nbsp;&nbsp; 11/13/28 | &nbsp;&nbsp; 7010000<br>| &nbsp;&nbsp;&nbsp; 7750915<br> <sup>(a)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; UBS Group AG, Junior Subordinated Notes (9.250% to 11/13/33 then 5 year <br> Treasury Constant Maturity Rate + 4.758%) | &nbsp;&nbsp; 9.250% | &nbsp;&nbsp; 11/13/33 | &nbsp;&nbsp; 2480000<br>| &nbsp;&nbsp;&nbsp; 2956934<br> <sup>(a)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; UBS Group AG, Senior Notes (4.194% to 4/1/30 then SOFR + 3.730%) | &nbsp;&nbsp; 4.194% | &nbsp;&nbsp; 4/1/31 | &nbsp;&nbsp; 1180000<br>| &nbsp;&nbsp;&nbsp; 1166855<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; UBS Group AG, Senior Notes (4.751% to 5/12/27 then 1 year Treasury Constant <br> Maturity Rate + 1.750%) | &nbsp;&nbsp; 4.751% | &nbsp;&nbsp; 5/12/28 | &nbsp;&nbsp; 4430000<br>| &nbsp;&nbsp;&nbsp; 4468892<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; UBS Group AG, Senior Notes (9.016% to 11/15/32 then SOFR + 5.020%) | &nbsp;&nbsp; 9.016% | &nbsp;&nbsp; 11/15/33 | &nbsp;&nbsp; 3510000<br>| &nbsp;&nbsp;&nbsp; 4399154<br> <sup>(a)(d)</sup><br>|
| *Total Capital Markets* | *Total Capital Markets* | *Total Capital Markets* | *Total Capital Markets* | &nbsp;&nbsp; *99592004* |
| *Consumer Finance — 0.0%††* | *Consumer Finance — 0.0%††* | *Consumer Finance — 0.0%††* | *Consumer Finance — 0.0%††* | *Consumer Finance — 0.0%††* |
| &nbsp;&nbsp;&nbsp; American Express Co., Senior Notes | &nbsp;&nbsp; 4.050% | &nbsp;&nbsp; 5/3/29 | &nbsp;&nbsp; 1690000<br>| &nbsp;&nbsp;&nbsp; *1693563*<br>|
| *Financial Services — 0.7%* | *Financial Services — 0.7%* | *Financial Services — 0.7%* | *Financial Services — 0.7%* | *Financial Services — 0.7%* |
| &nbsp;&nbsp;&nbsp; AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Senior Notes | &nbsp;&nbsp; 2.450% | &nbsp;&nbsp; 10/29/26 | &nbsp;&nbsp; 12550000<br>| &nbsp;&nbsp;&nbsp; 12333709<br>|
| &nbsp;&nbsp;&nbsp; AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Senior Notes | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 10/29/28 | &nbsp;&nbsp; 5360000<br>| &nbsp;&nbsp;&nbsp; 5167017<br>|
| &nbsp;&nbsp;&nbsp; Berkshire Hathaway Energy Co., Senior Notes | &nbsp;&nbsp; 6.125% | &nbsp;&nbsp; 4/1/36 | &nbsp;&nbsp; 6000<br>| &nbsp;&nbsp;&nbsp; 6531<br>|
| &nbsp;&nbsp;&nbsp; Block Inc., Senior Notes | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 8/15/33 | &nbsp;&nbsp; 2010000<br>| &nbsp;&nbsp;&nbsp; 2059687<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; ILFC E-Capital Trust II, Ltd. GTD | &nbsp;&nbsp; 6.520% | &nbsp;&nbsp; 12/21/65 | &nbsp;&nbsp; 2870000<br>| &nbsp;&nbsp;&nbsp; 2465221<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Jane Street Group/JSG Finance Inc., Senior Secured Notes | &nbsp;&nbsp; 7.125% | &nbsp;&nbsp; 4/30/31 | &nbsp;&nbsp; 4230000<br>| &nbsp;&nbsp;&nbsp; 4440135<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Visa Inc., Senior Notes | &nbsp;&nbsp; 4.300% | &nbsp;&nbsp; 12/14/45 | &nbsp;&nbsp; 1450000<br>| &nbsp;&nbsp;&nbsp; 1281156<br>|
| *Total Financial Services* | *Total Financial Services* | *Total Financial Services* | *Total Financial Services* | &nbsp;&nbsp; *27753456* |
| *Insurance — 0.2%* | *Insurance — 0.2%* | *Insurance — 0.2%* | *Insurance — 0.2%* | *Insurance — 0.2%* |
| &nbsp;&nbsp;&nbsp; Aon North America Inc., Senior Notes | &nbsp;&nbsp; 5.450% | &nbsp;&nbsp; 3/1/34 | &nbsp;&nbsp; 5620000<br>| &nbsp;&nbsp;&nbsp; 5856746<br>|

---

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2025 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

September 30, 2025

 **Western Asset Core Plus Bond Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount†<br>| Value |
| *Insurance — continued* | *Insurance — continued* | *Insurance — continued* | *Insurance — continued* | *Insurance — continued* |
| &nbsp;&nbsp;&nbsp; MetLife Inc., Junior Subordinated Notes | &nbsp;&nbsp; 6.400% | &nbsp;&nbsp; 12/15/36 | &nbsp;&nbsp; 1593000<br>| &nbsp;&nbsp;&nbsp; $1678240<br>|
| &nbsp;&nbsp;&nbsp; Teachers Insurance & Annuity Association of America, Subordinated Notes | &nbsp;&nbsp; 4.900% | &nbsp;&nbsp; 9/15/44 | &nbsp;&nbsp; 2385000<br>| &nbsp;&nbsp;&nbsp; 2206595<br> <sup>(a)</sup><br>|
| *Total Insurance* | *Total Insurance* | *Total Insurance* | *Total Insurance* | &nbsp;&nbsp; *9741581* |
| *Mortgage Real Estate Investment Trusts (REITs) — 0.1%* | *Mortgage Real Estate Investment Trusts (REITs) — 0.1%* | *Mortgage Real Estate Investment Trusts (REITs) — 0.1%* | *Mortgage Real Estate Investment Trusts (REITs) — 0.1%* | *Mortgage Real Estate Investment Trusts (REITs) — 0.1%* |
| &nbsp;&nbsp;&nbsp; Blackstone Holdings Finance Co. LLC, Senior Notes | &nbsp;&nbsp; 2.850% | &nbsp;&nbsp; 8/5/51 | &nbsp;&nbsp; 3306000<br>| &nbsp;&nbsp;&nbsp;&nbsp; *2095732*<br> <sup>(a)</sup><br>|
| **Total Financials** | **Total Financials** | **Total Financials** | **Total Financials** | &nbsp;&nbsp; **377127036** |
| **Health Care — 2.4%** | **Health Care — 2.4%** | **Health Care — 2.4%** | **Health Care — 2.4%** | **Health Care — 2.4%** |
| *Biotechnology — 0.3%* | *Biotechnology — 0.3%* | *Biotechnology — 0.3%* | *Biotechnology — 0.3%* | *Biotechnology — 0.3%* |
| &nbsp;&nbsp;&nbsp; AbbVie Inc., Senior Notes | &nbsp;&nbsp; 5.050% | &nbsp;&nbsp; 3/15/34 | &nbsp;&nbsp; 4370000<br>| &nbsp;&nbsp;&nbsp; 4498340<br>|
| &nbsp;&nbsp;&nbsp; AbbVie Inc., Senior Notes | &nbsp;&nbsp; 4.550% | &nbsp;&nbsp; 3/15/35 | &nbsp;&nbsp; 140000<br>| &nbsp;&nbsp;&nbsp; 137868<br>|
| &nbsp;&nbsp;&nbsp; AbbVie Inc., Senior Notes | &nbsp;&nbsp; 4.875% | &nbsp;&nbsp; 11/14/48 | &nbsp;&nbsp; 1365000<br>| &nbsp;&nbsp;&nbsp; 1266790<br>|
| &nbsp;&nbsp;&nbsp; AbbVie Inc., Senior Notes | &nbsp;&nbsp; 4.250% | &nbsp;&nbsp; 11/21/49 | &nbsp;&nbsp; 1696000<br>| &nbsp;&nbsp;&nbsp; 1429854<br>|
| &nbsp;&nbsp;&nbsp; Gilead Sciences Inc., Senior Notes | &nbsp;&nbsp; 4.750% | &nbsp;&nbsp; 3/1/46 | &nbsp;&nbsp; 3525000<br>| &nbsp;&nbsp;&nbsp; 3241799<br>|
| *Total Biotechnology* | *Total Biotechnology* | *Total Biotechnology* | *Total Biotechnology* | &nbsp;&nbsp; *10574651* |
| *Health Care Equipment & Supplies — 0.3%* | *Health Care Equipment & Supplies — 0.3%* | *Health Care Equipment & Supplies — 0.3%* | *Health Care Equipment & Supplies — 0.3%* | *Health Care Equipment & Supplies — 0.3%* |
| &nbsp;&nbsp;&nbsp; Medline Borrower LP/Medline Co-Issuer Inc., Senior Secured Notes | &nbsp;&nbsp; 6.250% | &nbsp;&nbsp; 4/1/29 | &nbsp;&nbsp; 2040000<br>| &nbsp;&nbsp;&nbsp; 2094375<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Solventum Corp., Senior Notes | &nbsp;&nbsp; 5.400% | &nbsp;&nbsp; 3/1/29 | &nbsp;&nbsp; 1617000<br>| &nbsp;&nbsp;&nbsp; 1669068<br>|
| &nbsp;&nbsp;&nbsp; Solventum Corp., Senior Notes | &nbsp;&nbsp; 5.450% | &nbsp;&nbsp; 3/13/31 | &nbsp;&nbsp; 3300000<br>| &nbsp;&nbsp;&nbsp; 3442749<br>|
| &nbsp;&nbsp;&nbsp; Solventum Corp., Senior Notes | &nbsp;&nbsp; 5.600% | &nbsp;&nbsp; 3/23/34 | &nbsp;&nbsp; 4410000<br>| &nbsp;&nbsp;&nbsp; 4593721<br>|
| &nbsp;&nbsp;&nbsp; Solventum Corp., Senior Notes | &nbsp;&nbsp; 5.900% | &nbsp;&nbsp; 4/30/54 | &nbsp;&nbsp; 1666000<br>| &nbsp;&nbsp;&nbsp; 1712651<br>|
| *Total Health Care Equipment & Supplies* | *Total Health Care Equipment & Supplies* | *Total Health Care Equipment & Supplies* | *Total Health Care Equipment & Supplies* | &nbsp;&nbsp; *13512564* |
| *Health Care Providers & Services — 1.1%* | *Health Care Providers & Services — 1.1%* | *Health Care Providers & Services — 1.1%* | *Health Care Providers & Services — 1.1%* | *Health Care Providers & Services — 1.1%* |
| &nbsp;&nbsp;&nbsp; Centene Corp., Senior Notes | &nbsp;&nbsp; 3.375% | &nbsp;&nbsp; 2/15/30 | &nbsp;&nbsp; 1160000<br>| &nbsp;&nbsp;&nbsp; 1067852<br>|
| &nbsp;&nbsp;&nbsp; Cigna Group, Senior Notes | &nbsp;&nbsp; 4.375% | &nbsp;&nbsp; 10/15/28 | &nbsp;&nbsp; 2680000<br>| &nbsp;&nbsp;&nbsp; 2694448<br>|
| &nbsp;&nbsp;&nbsp; Cigna Group, Senior Notes | &nbsp;&nbsp; 4.800% | &nbsp;&nbsp; 8/15/38 | &nbsp;&nbsp; 1962000<br>| &nbsp;&nbsp;&nbsp; 1873101<br>|
| &nbsp;&nbsp;&nbsp; CommonSpirit Health, Secured Notes | &nbsp;&nbsp; 4.350% | &nbsp;&nbsp; 11/1/42 | &nbsp;&nbsp; 410000<br>| &nbsp;&nbsp;&nbsp; 353422<br>|
| &nbsp;&nbsp;&nbsp; CVS Health Corp., Senior Notes | &nbsp;&nbsp; 4.300% | &nbsp;&nbsp; 3/25/28 | &nbsp;&nbsp; 1660000<br>| &nbsp;&nbsp;&nbsp; 1661323<br>|
| &nbsp;&nbsp;&nbsp; CVS Health Corp., Senior Notes | &nbsp;&nbsp; 2.125% | &nbsp;&nbsp; 9/15/31 | &nbsp;&nbsp; 660000<br>| &nbsp;&nbsp;&nbsp; 573048<br>|
| &nbsp;&nbsp;&nbsp; CVS Health Corp., Senior Notes | &nbsp;&nbsp; 4.125% | &nbsp;&nbsp; 4/1/40 | &nbsp;&nbsp; 1673000<br>| &nbsp;&nbsp;&nbsp; 1422250<br>|
| &nbsp;&nbsp;&nbsp; CVS Health Corp., Senior Notes | &nbsp;&nbsp; 5.125% | &nbsp;&nbsp; 7/20/45 | &nbsp;&nbsp; 2580000<br>| &nbsp;&nbsp;&nbsp; 2343430<br>|
| &nbsp;&nbsp;&nbsp; CVS Pass-Through Trust, Secured Trust | &nbsp;&nbsp; 6.036% | &nbsp;&nbsp; 12/10/28 | &nbsp;&nbsp; 2619604<br>| &nbsp;&nbsp;&nbsp; 2674543<br>|
| &nbsp;&nbsp;&nbsp; Elevance Health Inc., Senior Notes | &nbsp;&nbsp; 4.100% | &nbsp;&nbsp; 5/15/32 | &nbsp;&nbsp; 3100000<br>| &nbsp;&nbsp;&nbsp; 3015371<br>|
| &nbsp;&nbsp;&nbsp; Elevance Health Inc., Senior Notes | &nbsp;&nbsp; 4.375% | &nbsp;&nbsp; 12/1/47 | &nbsp;&nbsp; 2500000<br>| &nbsp;&nbsp;&nbsp; 2086789<br>|
| &nbsp;&nbsp;&nbsp; HCA Inc., Senior Notes | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 6/15/47 | &nbsp;&nbsp; 920000<br>| &nbsp;&nbsp;&nbsp; 878186<br>|
| &nbsp;&nbsp;&nbsp; HCA Inc., Senior Notes | &nbsp;&nbsp; 7.500% | &nbsp;&nbsp; 11/15/95 | &nbsp;&nbsp; 10000000<br>| &nbsp;&nbsp;&nbsp; 11142182<br>|
| &nbsp;&nbsp;&nbsp; Humana Inc., Senior Notes | &nbsp;&nbsp; 3.950% | &nbsp;&nbsp; 3/15/27 | &nbsp;&nbsp; 10000<br>| &nbsp;&nbsp;&nbsp; 9971<br>|
| &nbsp;&nbsp;&nbsp; Humana Inc., Senior Notes | &nbsp;&nbsp; 2.150% | &nbsp;&nbsp; 2/3/32 | &nbsp;&nbsp; 3750000<br>| &nbsp;&nbsp;&nbsp; 3199192<br>|
| &nbsp;&nbsp;&nbsp; UnitedHealth Group Inc., Senior Notes | &nbsp;&nbsp; 2.000% | &nbsp;&nbsp; 5/15/30 | &nbsp;&nbsp; 5070000<br>| &nbsp;&nbsp;&nbsp; 4597112<br>|
| &nbsp;&nbsp;&nbsp; UnitedHealth Group Inc., Senior Notes | &nbsp;&nbsp; 4.200% | &nbsp;&nbsp; 5/15/32 | &nbsp;&nbsp; 630000<br>| &nbsp;&nbsp;&nbsp; 621220<br>|
| &nbsp;&nbsp;&nbsp; UnitedHealth Group Inc., Senior Notes | &nbsp;&nbsp; 2.900% | &nbsp;&nbsp; 5/15/50 | &nbsp;&nbsp; 1080000<br>| &nbsp;&nbsp;&nbsp; 696772<br>|
| &nbsp;&nbsp;&nbsp; UnitedHealth Group Inc., Senior Notes | &nbsp;&nbsp; 3.875% | &nbsp;&nbsp; 8/15/59 | &nbsp;&nbsp; 4755000<br>| &nbsp;&nbsp;&nbsp; 3495007<br>|
| &nbsp;&nbsp;&nbsp; UnitedHealth Group Inc., Senior Notes | &nbsp;&nbsp; 3.125% | &nbsp;&nbsp; 5/15/60 | &nbsp;&nbsp; 1570000<br>| &nbsp;&nbsp;&nbsp; 973818<br>|
| *Total Health Care Providers & Services* | *Total Health Care Providers & Services* | *Total Health Care Providers & Services* | *Total Health Care Providers & Services* | &nbsp;&nbsp; *45379037* |
| *Pharmaceuticals — 0.7%* | *Pharmaceuticals — 0.7%* | *Pharmaceuticals — 0.7%* | *Pharmaceuticals — 0.7%* | *Pharmaceuticals — 0.7%* |
| &nbsp;&nbsp;&nbsp; 1261229 BC Ltd., Senior Secured Notes | &nbsp;&nbsp; 10.000% | &nbsp;&nbsp; 4/15/32 | &nbsp;&nbsp; 5510000<br>| &nbsp;&nbsp;&nbsp; 5652390<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Bausch Health Cos. Inc., Senior Notes | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 2/15/29 | &nbsp;&nbsp; 1164000<br>| &nbsp;&nbsp;&nbsp; 874111<br> <sup>(a)</sup><br>|

---

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2025 Quarterly Report

------

 **Western Asset Core Plus Bond Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount†<br>| Value |
| *Pharmaceuticals — continued* | *Pharmaceuticals — continued* | *Pharmaceuticals — continued* | *Pharmaceuticals — continued* | *Pharmaceuticals — continued* |
| &nbsp;&nbsp;&nbsp; Bristol-Myers Squibb Co., Senior Notes | &nbsp;&nbsp; 5.100% | &nbsp;&nbsp; 2/22/31 | &nbsp;&nbsp; 4020000<br>| &nbsp;&nbsp;&nbsp; $4181650<br>|
| &nbsp;&nbsp;&nbsp; Bristol-Myers Squibb Co., Senior Notes | &nbsp;&nbsp; 5.200% | &nbsp;&nbsp; 2/22/34 | &nbsp;&nbsp; 2440000<br>| &nbsp;&nbsp;&nbsp; 2531201<br>|
| &nbsp;&nbsp;&nbsp; Eli Lilly & Co., Senior Notes | &nbsp;&nbsp; 4.700% | &nbsp;&nbsp; 2/9/34 | &nbsp;&nbsp; 4310000<br>| &nbsp;&nbsp;&nbsp; 4359721<br>|
| &nbsp;&nbsp;&nbsp; Eli Lilly & Co., Senior Notes | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 2/9/54 | &nbsp;&nbsp; 1400000<br>| &nbsp;&nbsp;&nbsp; 1325596<br>|
| &nbsp;&nbsp;&nbsp; Eli Lilly & Co., Senior Notes | &nbsp;&nbsp; 5.100% | &nbsp;&nbsp; 2/9/64 | &nbsp;&nbsp; 1860000<br>| &nbsp;&nbsp;&nbsp; 1760415<br>|
| &nbsp;&nbsp;&nbsp; Pfizer Inc., Senior Notes | &nbsp;&nbsp; 1.700% | &nbsp;&nbsp; 5/28/30 | &nbsp;&nbsp; 3680000<br>| &nbsp;&nbsp;&nbsp; 3301936<br>|
| &nbsp;&nbsp;&nbsp; Teva Pharmaceutical Finance Netherlands III BV, Senior Notes | &nbsp;&nbsp; 4.100% | &nbsp;&nbsp; 10/1/46 | &nbsp;&nbsp; 8190000<br>| &nbsp;&nbsp;&nbsp; 6119405<br>|
| *Total Pharmaceuticals* | *Total Pharmaceuticals* | *Total Pharmaceuticals* | *Total Pharmaceuticals* | &nbsp;&nbsp; *30106425* |
| **Total Health Care** | **Total Health Care** | **Total Health Care** | **Total Health Care** | &nbsp;&nbsp; **99572677** |
| **Industrials — 2.4%** | **Industrials — 2.4%** | **Industrials — 2.4%** | **Industrials — 2.4%** | **Industrials — 2.4%** |
| *Aerospace & Defense — 1.0%* | *Aerospace & Defense — 1.0%* | *Aerospace & Defense — 1.0%* | *Aerospace & Defense — 1.0%* | *Aerospace & Defense — 1.0%* |
| &nbsp;&nbsp;&nbsp; Boeing Co., Senior Notes | &nbsp;&nbsp; 3.100% | &nbsp;&nbsp; 5/1/26 | &nbsp;&nbsp; 700000<br>| &nbsp;&nbsp;&nbsp; 695436<br>|
| &nbsp;&nbsp;&nbsp; Boeing Co., Senior Notes | &nbsp;&nbsp; 2.700% | &nbsp;&nbsp; 2/1/27 | &nbsp;&nbsp; 2840000<br>| &nbsp;&nbsp;&nbsp; 2783159<br>|
| &nbsp;&nbsp;&nbsp; Boeing Co., Senior Notes | &nbsp;&nbsp; 2.800% | &nbsp;&nbsp; 3/1/27 | &nbsp;&nbsp; 10000<br>| &nbsp;&nbsp;&nbsp; 9802<br>|
| &nbsp;&nbsp;&nbsp; Boeing Co., Senior Notes | &nbsp;&nbsp; 3.200% | &nbsp;&nbsp; 3/1/29 | &nbsp;&nbsp; 3580000<br>| &nbsp;&nbsp;&nbsp; 3455426<br>|
| &nbsp;&nbsp;&nbsp; Boeing Co., Senior Notes | &nbsp;&nbsp; 3.250% | &nbsp;&nbsp; 2/1/35 | &nbsp;&nbsp; 1094000<br>| &nbsp;&nbsp;&nbsp; 949869<br>|
| &nbsp;&nbsp;&nbsp; Boeing Co., Senior Notes | &nbsp;&nbsp; 3.550% | &nbsp;&nbsp; 3/1/38 | &nbsp;&nbsp; 2720000<br>| &nbsp;&nbsp;&nbsp; 2249702<br>|
| &nbsp;&nbsp;&nbsp; Boeing Co., Senior Notes | &nbsp;&nbsp; 3.750% | &nbsp;&nbsp; 2/1/50 | &nbsp;&nbsp; 1280000<br>| &nbsp;&nbsp;&nbsp; 946405<br>|
| &nbsp;&nbsp;&nbsp; Bombardier Inc., Senior Notes | &nbsp;&nbsp; 7.250% | &nbsp;&nbsp; 7/1/31 | &nbsp;&nbsp; 540000<br>| &nbsp;&nbsp;&nbsp; 573092<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Bombardier Inc., Senior Notes | &nbsp;&nbsp; 6.750% | &nbsp;&nbsp; 6/15/33 | &nbsp;&nbsp; 1200000<br>| &nbsp;&nbsp;&nbsp; 1253770<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; General Dynamics Corp., Senior Notes | &nbsp;&nbsp; 4.250% | &nbsp;&nbsp; 4/1/40 | &nbsp;&nbsp; 1045000<br>| &nbsp;&nbsp;&nbsp; 956207<br>|
| &nbsp;&nbsp;&nbsp; L3Harris Technologies Inc., Senior Notes | &nbsp;&nbsp; 5.054% | &nbsp;&nbsp; 4/27/45 | &nbsp;&nbsp; 510000<br>| &nbsp;&nbsp;&nbsp; 494161<br>|
| &nbsp;&nbsp;&nbsp; Lockheed Martin Corp., Senior Notes | &nbsp;&nbsp; 3.900% | &nbsp;&nbsp; 6/15/32 | &nbsp;&nbsp; 2230000<br>| &nbsp;&nbsp;&nbsp; 2181378<br>|
| &nbsp;&nbsp;&nbsp; Lockheed Martin Corp., Senior Notes | &nbsp;&nbsp; 4.150% | &nbsp;&nbsp; 6/15/53 | &nbsp;&nbsp; 4630000<br>| &nbsp;&nbsp;&nbsp; 3766540<br>|
| &nbsp;&nbsp;&nbsp; Lockheed Martin Corp., Senior Notes | &nbsp;&nbsp; 5.200% | &nbsp;&nbsp; 2/15/64 | &nbsp;&nbsp; 1570000<br>| &nbsp;&nbsp;&nbsp; 1483194<br>|
| &nbsp;&nbsp;&nbsp; Northrop Grumman Corp., Senior Notes | &nbsp;&nbsp; 3.250% | &nbsp;&nbsp; 1/15/28 | &nbsp;&nbsp; 10000<br>| &nbsp;&nbsp;&nbsp; 9837<br>|
| &nbsp;&nbsp;&nbsp; Northrop Grumman Corp., Senior Notes | &nbsp;&nbsp; 5.250% | &nbsp;&nbsp; 5/1/50 | &nbsp;&nbsp; 8320000<br>| &nbsp;&nbsp;&nbsp; 8020057<br>|
| &nbsp;&nbsp;&nbsp; RTX Corp., Senior Notes | &nbsp;&nbsp; 4.125% | &nbsp;&nbsp; 11/16/28 | &nbsp;&nbsp; 2820000<br>| &nbsp;&nbsp;&nbsp; 2818440<br>|
| &nbsp;&nbsp;&nbsp; RTX Corp., Senior Notes | &nbsp;&nbsp; 2.250% | &nbsp;&nbsp; 7/1/30 | &nbsp;&nbsp; 4430000<br>| &nbsp;&nbsp;&nbsp; 4059144<br>|
| &nbsp;&nbsp;&nbsp; RTX Corp., Senior Notes | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 3/15/31 | &nbsp;&nbsp; 850000<br>| &nbsp;&nbsp;&nbsp; 918029<br>|
| &nbsp;&nbsp;&nbsp; RTX Corp., Senior Notes | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 6/1/42 | &nbsp;&nbsp; 3629000<br>| &nbsp;&nbsp;&nbsp; 3283525<br>|
| &nbsp;&nbsp;&nbsp; RTX Corp., Senior Notes | &nbsp;&nbsp; 3.030% | &nbsp;&nbsp; 3/15/52 | &nbsp;&nbsp; 2200000<br>| &nbsp;&nbsp;&nbsp; 1451690<br>|
| *Total Aerospace & Defense* | *Total Aerospace & Defense* | *Total Aerospace & Defense* | *Total Aerospace & Defense* | &nbsp;&nbsp; *42358863* |
| *Air Freight & Logistics — 0.2%* | *Air Freight & Logistics — 0.2%* | *Air Freight & Logistics — 0.2%* | *Air Freight & Logistics — 0.2%* | *Air Freight & Logistics — 0.2%* |
| &nbsp;&nbsp;&nbsp; DP World Ltd., Senior Notes | &nbsp;&nbsp; 6.850% | &nbsp;&nbsp; 7/2/37 | &nbsp;&nbsp; 5630000<br>| &nbsp;&nbsp;&nbsp;&nbsp; *6464600*<br> <sup>(h)</sup><br>|
| *Building Products — 0.1%* | *Building Products — 0.1%* | *Building Products — 0.1%* | *Building Products — 0.1%* | *Building Products — 0.1%* |
| &nbsp;&nbsp;&nbsp; Quikrete Holdings Inc., Senior Secured Notes | &nbsp;&nbsp; 6.375% | &nbsp;&nbsp; 3/1/32 | &nbsp;&nbsp; 1960000<br>| &nbsp;&nbsp;&nbsp;&nbsp; *2031783*<br> <sup>(a)</sup><br>|
| *Commercial Services & Supplies — 0.1%* | *Commercial Services & Supplies — 0.1%* | *Commercial Services & Supplies — 0.1%* | *Commercial Services & Supplies — 0.1%* | *Commercial Services & Supplies — 0.1%* |
| &nbsp;&nbsp;&nbsp; RR Donnelley & Sons Co., Senior Secured Notes | &nbsp;&nbsp; 9.500% | &nbsp;&nbsp; 8/1/29 | &nbsp;&nbsp; 2120000<br>| &nbsp;&nbsp;&nbsp; 2174675<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Waste Connections Inc., Senior Notes | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 3/1/34 | &nbsp;&nbsp; 2330000<br>| &nbsp;&nbsp;&nbsp; 2380308<br>|
| *Total Commercial Services & Supplies* | *Total Commercial Services & Supplies* | *Total Commercial Services & Supplies* | *Total Commercial Services & Supplies* | &nbsp;&nbsp; *4554983* |
| *Ground Transportation — 0.2%* | *Ground Transportation — 0.2%* | *Ground Transportation — 0.2%* | *Ground Transportation — 0.2%* | *Ground Transportation — 0.2%* |
| &nbsp;&nbsp;&nbsp; Union Pacific Corp., Senior Notes | &nbsp;&nbsp; 2.891% | &nbsp;&nbsp; 4/6/36 | &nbsp;&nbsp; 2540000<br>| &nbsp;&nbsp;&nbsp; 2140024<br>|
| &nbsp;&nbsp;&nbsp; Union Pacific Corp., Senior Notes | &nbsp;&nbsp; 3.839% | &nbsp;&nbsp; 3/20/60 | &nbsp;&nbsp; 2130000<br>| &nbsp;&nbsp;&nbsp; 1580339<br>|
| &nbsp;&nbsp;&nbsp; Union Pacific Corp., Senior Notes | &nbsp;&nbsp; 3.750% | &nbsp;&nbsp; 2/5/70 | &nbsp;&nbsp; 4395000<br>| &nbsp;&nbsp;&nbsp; 3062867<br>|
| *Total Ground Transportation* | *Total Ground Transportation* | *Total Ground Transportation* | *Total Ground Transportation* | &nbsp;&nbsp; *6783230* |

---

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2025 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

September 30, 2025

 **Western Asset Core Plus Bond Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount†<br>| Value |
| *Industrial Conglomerates — 0.1%* | *Industrial Conglomerates — 0.1%* | *Industrial Conglomerates — 0.1%* | *Industrial Conglomerates — 0.1%* | *Industrial Conglomerates — 0.1%* |
| &nbsp;&nbsp;&nbsp; Honeywell International Inc., Senior Notes | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 3/1/35 | &nbsp;&nbsp; 2140000<br>| &nbsp;&nbsp;&nbsp; $2176688<br>|
| &nbsp;&nbsp;&nbsp; Siemens Funding BV, Senior Notes | &nbsp;&nbsp; 4.900% | &nbsp;&nbsp; 5/28/32 | &nbsp;&nbsp; 2780000<br>| &nbsp;&nbsp;&nbsp; 2854490<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Siemens Funding BV, Senior Notes | &nbsp;&nbsp; 5.900% | &nbsp;&nbsp; 5/28/65 | &nbsp;&nbsp; 1030000<br>| &nbsp;&nbsp;&nbsp; 1118586<br> <sup>(a)</sup><br>|
| *Total Industrial Conglomerates* | *Total Industrial Conglomerates* | *Total Industrial Conglomerates* | *Total Industrial Conglomerates* | &nbsp;&nbsp; *6149764* |
| *Passenger Airlines — 0.6%* | *Passenger Airlines — 0.6%* | *Passenger Airlines — 0.6%* | *Passenger Airlines — 0.6%* | *Passenger Airlines — 0.6%* |
| &nbsp;&nbsp;&nbsp; American Airlines Inc., Senior Secured Notes | &nbsp;&nbsp; 8.500% | &nbsp;&nbsp; 5/15/29 | &nbsp;&nbsp; 4100000<br>| &nbsp;&nbsp;&nbsp; 4279490<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Delta Air Lines Inc., Senior Notes | &nbsp;&nbsp; 7.375% | &nbsp;&nbsp; 1/15/26 | &nbsp;&nbsp; 8910000<br>| &nbsp;&nbsp;&nbsp; 8953300<br>|
| &nbsp;&nbsp;&nbsp; Delta Air Lines Inc./SkyMiles IP Ltd., Senior Secured Notes | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 10/20/25 | &nbsp;&nbsp; 1342993<br>| &nbsp;&nbsp;&nbsp; 1341375<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., Senior Secured Notes | &nbsp;&nbsp; 11.000% | &nbsp;&nbsp; 3/12/30 | &nbsp;&nbsp; 7507161<br>| &nbsp;&nbsp;&nbsp; 3,195,198<br> \*<sup>(a)(i)</sup><br>|
| &nbsp;&nbsp;&nbsp; United Airlines Inc., Senior Secured Notes | &nbsp;&nbsp; 4.625% | &nbsp;&nbsp; 4/15/29 | &nbsp;&nbsp; 9000000<br>| &nbsp;&nbsp;&nbsp; 8868994<br> <sup>(a)</sup><br>|
| *Total Passenger Airlines* | *Total Passenger Airlines* | *Total Passenger Airlines* | *Total Passenger Airlines* | &nbsp;&nbsp; *26638357* |
| *Trading Companies & Distributors — 0.1%* | *Trading Companies & Distributors — 0.1%* | *Trading Companies & Distributors — 0.1%* | *Trading Companies & Distributors — 0.1%* | *Trading Companies & Distributors — 0.1%* |
| &nbsp;&nbsp;&nbsp; Air Lease Corp., Senior Notes | &nbsp;&nbsp; 5.300% | &nbsp;&nbsp; 2/1/28 | &nbsp;&nbsp; 450000<br>| &nbsp;&nbsp;&nbsp; 458285<br>|
| &nbsp;&nbsp;&nbsp; Herc Holdings Inc., Senior Notes | &nbsp;&nbsp; 7.000% | &nbsp;&nbsp; 6/15/30 | &nbsp;&nbsp; 870000<br>| &nbsp;&nbsp;&nbsp; 904401<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Herc Holdings Inc., Senior Notes | &nbsp;&nbsp; 7.250% | &nbsp;&nbsp; 6/15/33 | &nbsp;&nbsp; 870000<br>| &nbsp;&nbsp;&nbsp; 908886<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; United Rentals North America Inc., Senior Notes | &nbsp;&nbsp; 6.125% | &nbsp;&nbsp; 3/15/34 | &nbsp;&nbsp; 1970000<br>| &nbsp;&nbsp;&nbsp; 2050914<br> <sup>(a)</sup><br>|
| *Total Trading Companies & Distributors* | *Total Trading Companies & Distributors* | *Total Trading Companies & Distributors* | *Total Trading Companies & Distributors* | &nbsp;&nbsp; *4322486* |
| **Total Industrials** | **Total Industrials** | **Total Industrials** | **Total Industrials** | &nbsp;&nbsp; **99304066** |
| **Information Technology — 1.6%** | **Information Technology — 1.6%** | **Information Technology — 1.6%** | **Information Technology — 1.6%** | **Information Technology — 1.6%** |
| *Electronic Equipment, Instruments & Components — 0.0%††* | *Electronic Equipment, Instruments & Components — 0.0%††* | *Electronic Equipment, Instruments & Components — 0.0%††* | *Electronic Equipment, Instruments & Components — 0.0%††* | *Electronic Equipment, Instruments & Components — 0.0%††* |
| &nbsp;&nbsp;&nbsp; EquipmentShare.com Inc., Senior Secured Notes | &nbsp;&nbsp; 8.000% | &nbsp;&nbsp; 3/15/33 | &nbsp;&nbsp; 1330000<br>| &nbsp;&nbsp;&nbsp;&nbsp; *1422631*<br> <sup>(a)</sup><br>|
| *IT Services — 0.0%††* | *IT Services — 0.0%††* | *IT Services — 0.0%††* | *IT Services — 0.0%††* | *IT Services — 0.0%††* |
| &nbsp;&nbsp;&nbsp; Mastercard Inc., Senior Notes | &nbsp;&nbsp; 3.850% | &nbsp;&nbsp; 3/26/50 | &nbsp;&nbsp; 1210000<br>| &nbsp;&nbsp;&nbsp; *970696*<br>|
| *Semiconductors & Semiconductor Equipment — 0.9%* | *Semiconductors & Semiconductor Equipment — 0.9%* | *Semiconductors & Semiconductor Equipment — 0.9%* | *Semiconductors & Semiconductor Equipment — 0.9%* | *Semiconductors & Semiconductor Equipment — 0.9%* |
| &nbsp;&nbsp;&nbsp; Broadcom Inc., Senior Notes | &nbsp;&nbsp; 4.150% | &nbsp;&nbsp; 11/15/30 | &nbsp;&nbsp; 1207000<br>| &nbsp;&nbsp;&nbsp; 1202672<br>|
| &nbsp;&nbsp;&nbsp; Broadcom Inc., Senior Notes | &nbsp;&nbsp; 3.137% | &nbsp;&nbsp; 11/15/35 | &nbsp;&nbsp; 10210000<br>| &nbsp;&nbsp;&nbsp; 8837061<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Broadcom Inc., Senior Notes | &nbsp;&nbsp; 4.800% | &nbsp;&nbsp; 2/15/36 | &nbsp;&nbsp; 1900000<br>| &nbsp;&nbsp;&nbsp; 1894970<br>|
| &nbsp;&nbsp;&nbsp; Broadcom Inc., Senior Notes | &nbsp;&nbsp; 3.187% | &nbsp;&nbsp; 11/15/36 | &nbsp;&nbsp; 154000<br>| &nbsp;&nbsp;&nbsp; 131480<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Broadcom Inc., Senior Notes | &nbsp;&nbsp; 4.926% | &nbsp;&nbsp; 5/15/37 | &nbsp;&nbsp; 145000<br>| &nbsp;&nbsp;&nbsp; 144674<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Foundry JV Holdco LLC, Senior Secured Notes | &nbsp;&nbsp; 5.900% | &nbsp;&nbsp; 1/25/30 | &nbsp;&nbsp; 5930000<br>| &nbsp;&nbsp;&nbsp; 6256742<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Foundry JV Holdco LLC, Senior Secured Notes | &nbsp;&nbsp; 5.875% | &nbsp;&nbsp; 1/25/34 | &nbsp;&nbsp; 2290000<br>| &nbsp;&nbsp;&nbsp; 2387940<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Intel Corp., Senior Notes | &nbsp;&nbsp; 4.750% | &nbsp;&nbsp; 3/25/50 | &nbsp;&nbsp; 7465000<br>| &nbsp;&nbsp;&nbsp; 6328013<br>|
| &nbsp;&nbsp;&nbsp; Intel Corp., Senior Notes | &nbsp;&nbsp; 3.050% | &nbsp;&nbsp; 8/12/51 | &nbsp;&nbsp; 610000<br>| &nbsp;&nbsp;&nbsp; 387330<br>|
| &nbsp;&nbsp;&nbsp; Micron Technology Inc., Senior Notes | &nbsp;&nbsp; 5.300% | &nbsp;&nbsp; 1/15/31 | &nbsp;&nbsp; 3470000<br>| &nbsp;&nbsp;&nbsp; 3591890<br>|
| &nbsp;&nbsp;&nbsp; Micron Technology Inc., Senior Notes | &nbsp;&nbsp; 5.875% | &nbsp;&nbsp; 2/9/33 | &nbsp;&nbsp; 2791000<br>| &nbsp;&nbsp;&nbsp; 2965579<br>|
| &nbsp;&nbsp;&nbsp; Micron Technology Inc., Senior Notes | &nbsp;&nbsp; 6.050% | &nbsp;&nbsp; 11/1/35 | &nbsp;&nbsp; 100000<br>| &nbsp;&nbsp;&nbsp; 106903<br>|
| &nbsp;&nbsp;&nbsp; QUALCOMM Inc., Senior Notes | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 5/20/35 | &nbsp;&nbsp; 2480000<br>| &nbsp;&nbsp;&nbsp; 2532974<br>|
| *Total Semiconductors & Semiconductor Equipment* | *Total Semiconductors & Semiconductor Equipment* | *Total Semiconductors & Semiconductor Equipment* | *Total Semiconductors & Semiconductor Equipment* | &nbsp;&nbsp; *36768228* |
| *Software — 0.7%* | *Software — 0.7%* | *Software — 0.7%* | *Software — 0.7%* | *Software — 0.7%* |
| &nbsp;&nbsp;&nbsp; Oracle Corp., Senior Notes | &nbsp;&nbsp; 2.950% | &nbsp;&nbsp; 4/1/30 | &nbsp;&nbsp; 730000<br>| &nbsp;&nbsp;&nbsp; 688013<br>|
| &nbsp;&nbsp;&nbsp; Oracle Corp., Senior Notes | &nbsp;&nbsp; 4.650% | &nbsp;&nbsp; 5/6/30 | &nbsp;&nbsp; 4800000<br>| &nbsp;&nbsp;&nbsp; 4869008<br>|
| &nbsp;&nbsp;&nbsp; Oracle Corp., Senior Notes | &nbsp;&nbsp; 2.875% | &nbsp;&nbsp; 3/25/31 | &nbsp;&nbsp; 6350000<br>| &nbsp;&nbsp;&nbsp; 5832253<br>|
| &nbsp;&nbsp;&nbsp; Oracle Corp., Senior Notes | &nbsp;&nbsp; 4.800% | &nbsp;&nbsp; 9/26/32 | &nbsp;&nbsp; 1550000<br>| &nbsp;&nbsp;&nbsp; 1552388<br>|
| &nbsp;&nbsp;&nbsp; Oracle Corp., Senior Notes | &nbsp;&nbsp; 5.200% | &nbsp;&nbsp; 9/26/35 | &nbsp;&nbsp; 580000<br>| &nbsp;&nbsp;&nbsp; 583415<br>|
| &nbsp;&nbsp;&nbsp; Oracle Corp., Senior Notes | &nbsp;&nbsp; 5.875% | &nbsp;&nbsp; 9/26/45 | &nbsp;&nbsp; 1520000<br>| &nbsp;&nbsp;&nbsp; 1525006<br>|
| &nbsp;&nbsp;&nbsp; Oracle Corp., Senior Notes | &nbsp;&nbsp; 3.600% | &nbsp;&nbsp; 4/1/50 | &nbsp;&nbsp; 810000<br>| &nbsp;&nbsp;&nbsp; 570616<br>|

---

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2025 Quarterly Report

------

 **Western Asset Core Plus Bond Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount†<br>| Value |
| *Software — continued* | *Software — continued* | *Software — continued* | *Software — continued* | *Software — continued* |
| &nbsp;&nbsp;&nbsp; Oracle Corp., Senior Notes | &nbsp;&nbsp; 5.375% | &nbsp;&nbsp; 9/27/54 | &nbsp;&nbsp; 3400000<br>| &nbsp;&nbsp;&nbsp; $3125498<br>|
| &nbsp;&nbsp;&nbsp; Oracle Corp., Senior Notes | &nbsp;&nbsp; 5.950% | &nbsp;&nbsp; 9/26/55 | &nbsp;&nbsp; 1370000<br>| &nbsp;&nbsp;&nbsp; 1366734<br>|
| &nbsp;&nbsp;&nbsp; Synopsys Inc., Senior Notes | &nbsp;&nbsp; 4.850% | &nbsp;&nbsp; 4/1/30 | &nbsp;&nbsp; 1720000<br>| &nbsp;&nbsp;&nbsp; 1752488<br>|
| &nbsp;&nbsp;&nbsp; Synopsys Inc., Senior Notes | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 4/1/32 | &nbsp;&nbsp; 1360000<br>| &nbsp;&nbsp;&nbsp; 1390233<br>|
| &nbsp;&nbsp;&nbsp; Synopsys Inc., Senior Notes | &nbsp;&nbsp; 5.150% | &nbsp;&nbsp; 4/1/35 | &nbsp;&nbsp; 1140000<br>| &nbsp;&nbsp;&nbsp; 1160124<br>|
| &nbsp;&nbsp;&nbsp; Synopsys Inc., Senior Notes | &nbsp;&nbsp; 5.700% | &nbsp;&nbsp; 4/1/55 | &nbsp;&nbsp; 2290000<br>| &nbsp;&nbsp;&nbsp; 2312777<br>|
| *Total Software* | *Total Software* | *Total Software* | *Total Software* | &nbsp;&nbsp; *26728553* |
| **Total Information Technology** | **Total Information Technology** | **Total Information Technology** | **Total Information Technology** | &nbsp;&nbsp; **65890108** |
| **Materials — 1.6%** | **Materials — 1.6%** | **Materials — 1.6%** | **Materials — 1.6%** | **Materials — 1.6%** |
| *Chemicals — 0.5%* | *Chemicals — 0.5%* | *Chemicals — 0.5%* | *Chemicals — 0.5%* | *Chemicals — 0.5%* |
| &nbsp;&nbsp;&nbsp; EQUATE Petrochemical Co. KSC, Senior Notes | &nbsp;&nbsp; 4.250% | &nbsp;&nbsp; 11/3/26 | &nbsp;&nbsp; 4790000<br>| &nbsp;&nbsp;&nbsp; 4781493<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; OCP SA, Senior Notes | &nbsp;&nbsp; 6.750% | &nbsp;&nbsp; 5/2/34 | &nbsp;&nbsp; 9390000<br>| &nbsp;&nbsp;&nbsp; 10218483<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; OCP SA, Senior Notes | &nbsp;&nbsp; 5.125% | &nbsp;&nbsp; 6/23/51 | &nbsp;&nbsp; 2310000<br>| &nbsp;&nbsp;&nbsp; 1933181<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Orbia Advance Corp. SAB de CV, Senior Notes | &nbsp;&nbsp; 2.875% | &nbsp;&nbsp; 5/11/31 | &nbsp;&nbsp; 3859000<br>| &nbsp;&nbsp;&nbsp; 3301770<br> <sup>(a)</sup><br>|
| *Total Chemicals* | *Total Chemicals* | *Total Chemicals* | *Total Chemicals* | &nbsp;&nbsp; *20234927* |
| *Construction Materials — 0.0%††* | *Construction Materials — 0.0%††* | *Construction Materials — 0.0%††* | *Construction Materials — 0.0%††* | *Construction Materials — 0.0%††* |
| &nbsp;&nbsp;&nbsp; Amrize Finance US LLC, Senior Notes | &nbsp;&nbsp; 4.950% | &nbsp;&nbsp; 4/7/30 | &nbsp;&nbsp; 640000<br>| &nbsp;&nbsp;&nbsp; 654432<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Amrize Finance US LLC, Senior Notes | &nbsp;&nbsp; 5.400% | &nbsp;&nbsp; 4/7/35 | &nbsp;&nbsp; 1290000<br>| &nbsp;&nbsp;&nbsp; 1329663<br> <sup>(a)</sup><br>|
| *Total Construction Materials* | *Total Construction Materials* | *Total Construction Materials* | *Total Construction Materials* | &nbsp;&nbsp; *1984095* |
| *Metals & Mining — 0.9%* | *Metals & Mining — 0.9%* | *Metals & Mining — 0.9%* | *Metals & Mining — 0.9%* | *Metals & Mining — 0.9%* |
| &nbsp;&nbsp;&nbsp; Barrick North America Finance LLC, Senior Notes | &nbsp;&nbsp; 5.700% | &nbsp;&nbsp; 5/30/41 | &nbsp;&nbsp; 2334000<br>| &nbsp;&nbsp;&nbsp; 2402183<br>|
| &nbsp;&nbsp;&nbsp; Barrick North America Finance LLC, Senior Notes | &nbsp;&nbsp; 5.750% | &nbsp;&nbsp; 5/1/43 | &nbsp;&nbsp; 1170000<br>| &nbsp;&nbsp;&nbsp; 1212164<br>|
| &nbsp;&nbsp;&nbsp; First Quantum Minerals Ltd., Secured Notes | &nbsp;&nbsp; 9.375% | &nbsp;&nbsp; 3/1/29 | &nbsp;&nbsp; 1570000<br>| &nbsp;&nbsp;&nbsp; 1665888<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; First Quantum Minerals Ltd., Senior Notes | &nbsp;&nbsp; 8.625% | &nbsp;&nbsp; 6/1/31 | &nbsp;&nbsp; 200000<br>| &nbsp;&nbsp;&nbsp; 210403<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; First Quantum Minerals Ltd., Senior Notes | &nbsp;&nbsp; 8.000% | &nbsp;&nbsp; 3/1/33 | &nbsp;&nbsp; 1940000<br>| &nbsp;&nbsp;&nbsp; 2050787<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; First Quantum Minerals Ltd., Senior Notes | &nbsp;&nbsp; 7.250% | &nbsp;&nbsp; 2/15/34 | &nbsp;&nbsp; 2440000<br>| &nbsp;&nbsp;&nbsp; 2524468<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Freeport-McMoRan Inc., Senior Notes | &nbsp;&nbsp; 5.450% | &nbsp;&nbsp; 3/15/43 | &nbsp;&nbsp; 3232000<br>| &nbsp;&nbsp;&nbsp; 3114907<br>|
| &nbsp;&nbsp;&nbsp; Glencore Finance Canada Ltd., Senior Notes | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 11/15/41 | &nbsp;&nbsp; 870000<br>| &nbsp;&nbsp;&nbsp; 900171<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Glencore Funding LLC, Senior Notes | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 3/27/27 | &nbsp;&nbsp; 30000<br>| &nbsp;&nbsp;&nbsp; 29872<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Glencore Funding LLC, Senior Notes | &nbsp;&nbsp; 5.673% | &nbsp;&nbsp; 4/1/35 | &nbsp;&nbsp; 5060000<br>| &nbsp;&nbsp;&nbsp; 5261816<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Glencore Funding LLC, Senior Notes | &nbsp;&nbsp; 6.141% | &nbsp;&nbsp; 4/1/55 | &nbsp;&nbsp; 2170000<br>| &nbsp;&nbsp;&nbsp; 2270593<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Southern Copper Corp., Senior Notes | &nbsp;&nbsp; 7.500% | &nbsp;&nbsp; 7/27/35 | &nbsp;&nbsp; 7220000<br>| &nbsp;&nbsp;&nbsp; 8548061<br>|
| &nbsp;&nbsp;&nbsp; Teck Resources Ltd., Senior Notes | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 8/15/40 | &nbsp;&nbsp; 641000<br>| &nbsp;&nbsp;&nbsp; 659991<br>|
| &nbsp;&nbsp;&nbsp; Yamana Gold Inc., Senior Notes | &nbsp;&nbsp; 4.625% | &nbsp;&nbsp; 12/15/27 | &nbsp;&nbsp; 6860000<br>| &nbsp;&nbsp;&nbsp; 6871870<br>|
| *Total Metals & Mining* | *Total Metals & Mining* | *Total Metals & Mining* | *Total Metals & Mining* | &nbsp;&nbsp; *37723174* |
| *Paper & Forest Products — 0.2%* | *Paper & Forest Products — 0.2%* | *Paper & Forest Products — 0.2%* | *Paper & Forest Products — 0.2%* | *Paper & Forest Products — 0.2%* |
| &nbsp;&nbsp;&nbsp; Suzano Austria GmbH, Senior Notes | &nbsp;&nbsp; 3.750% | &nbsp;&nbsp; 1/15/31 | &nbsp;&nbsp; 10050000<br>| &nbsp;&nbsp;&nbsp; *9520393*<br>|
| **Total Materials** | **Total Materials** | **Total Materials** | **Total Materials** | &nbsp;&nbsp; **69462589** |
| **Real Estate — 0.1%** | **Real Estate — 0.1%** | **Real Estate — 0.1%** | **Real Estate — 0.1%** | **Real Estate — 0.1%** |
| *Specialized REITs — 0.1%* | *Specialized REITs — 0.1%* | *Specialized REITs — 0.1%* | *Specialized REITs — 0.1%* | *Specialized REITs — 0.1%* |
| &nbsp;&nbsp;&nbsp; Millrose Properties Inc., Senior Notes | &nbsp;&nbsp; 6.375% | &nbsp;&nbsp; 8/1/30 | &nbsp;&nbsp; 1780000<br>| &nbsp;&nbsp;&nbsp; 1811613<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Millrose Properties Inc., Senior Notes | &nbsp;&nbsp; 6.250% | &nbsp;&nbsp; 9/15/32 | &nbsp;&nbsp; 520000<br>| &nbsp;&nbsp;&nbsp; 521684<br> <sup>(a)</sup><br>|
| **Total Real Estate** | **Total Real Estate** | **Total Real Estate** | **Total Real Estate** | &nbsp;&nbsp; **2333297** |
| **Utilities — 1.6%** | **Utilities — 1.6%** | **Utilities — 1.6%** | **Utilities — 1.6%** | **Utilities — 1.6%** |
| *Electric Utilities — 1.4%* | *Electric Utilities — 1.4%* | *Electric Utilities — 1.4%* | *Electric Utilities — 1.4%* | *Electric Utilities — 1.4%* |
| &nbsp;&nbsp;&nbsp; American Transmission Systems Inc., Senior Notes | &nbsp;&nbsp; 2.650% | &nbsp;&nbsp; 1/15/32 | &nbsp;&nbsp; 3100000<br>| &nbsp;&nbsp;&nbsp; 2782846<br> <sup>(a)</sup><br>|

---

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2025 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

September 30, 2025

 **Western Asset Core Plus Bond Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount†<br>| Value |
| *Electric Utilities — continued* | *Electric Utilities — continued* | *Electric Utilities — continued* | *Electric Utilities — continued* | *Electric Utilities — continued* |
| &nbsp;&nbsp;&nbsp; Duke Energy Carolinas LLC, First Mortgage Bonds | &nbsp;&nbsp; 5.300% | &nbsp;&nbsp; 2/15/40 | &nbsp;&nbsp; 220000<br>| &nbsp;&nbsp;&nbsp; $222638<br>|
| &nbsp;&nbsp;&nbsp; Exelon Corp., Senior Notes | &nbsp;&nbsp; 5.625% | &nbsp;&nbsp; 6/15/35 | &nbsp;&nbsp; 2726000<br>| &nbsp;&nbsp;&nbsp; 2846593<br>|
| &nbsp;&nbsp;&nbsp; FirstEnergy Corp., Senior Notes | &nbsp;&nbsp; 3.900% | &nbsp;&nbsp; 7/15/27 | &nbsp;&nbsp; 6522000<br>| &nbsp;&nbsp;&nbsp; 6483598<br>|
| &nbsp;&nbsp;&nbsp; FirstEnergy Corp., Senior Notes | &nbsp;&nbsp; 4.850% | &nbsp;&nbsp; 7/15/47 | &nbsp;&nbsp; 5044000<br>| &nbsp;&nbsp;&nbsp; 4471270<br>|
| &nbsp;&nbsp;&nbsp; Florida Power & Light Co., First Mortgage Bonds | &nbsp;&nbsp; 5.700% | &nbsp;&nbsp; 3/15/55 | &nbsp;&nbsp; 1910000<br>| &nbsp;&nbsp;&nbsp; 1982274<br>|
| &nbsp;&nbsp;&nbsp; Georgia Power Co., Senior Notes | &nbsp;&nbsp; 5.200% | &nbsp;&nbsp; 3/15/35 | &nbsp;&nbsp; 2410000<br>| &nbsp;&nbsp;&nbsp; 2471338<br>|
| &nbsp;&nbsp;&nbsp; NRG Energy Inc., Senior Notes | &nbsp;&nbsp; 5.750% | &nbsp;&nbsp; 1/15/34 | &nbsp;&nbsp; 1150000<br>| &nbsp;&nbsp;&nbsp; 1149545<br> <sup>(a)(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; NRG Energy Inc., Senior Notes | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 1/15/36 | &nbsp;&nbsp; 5670000<br>| &nbsp;&nbsp;&nbsp; 5674358<br> <sup>(a)(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; NRG Energy Inc., Senior Secured Notes | &nbsp;&nbsp; 5.407% | &nbsp;&nbsp; 10/15/35 | &nbsp;&nbsp; 1700000<br>| &nbsp;&nbsp;&nbsp; 1706844<br> <sup>(a)(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Oglethorpe Power Corp., First Mortgage Bonds | &nbsp;&nbsp; 5.900% | &nbsp;&nbsp; 2/1/55 | &nbsp;&nbsp; 2340000<br>| &nbsp;&nbsp;&nbsp; 2370342<br>|
| &nbsp;&nbsp;&nbsp; Oncor Electric Delivery Co. LLC, Secured Notes | &nbsp;&nbsp; 5.800% | &nbsp;&nbsp; 4/1/55 | &nbsp;&nbsp; 1630000<br>| &nbsp;&nbsp;&nbsp; 1680697<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Oncor Electric Delivery Co. LLC, Senior Secured Notes | &nbsp;&nbsp; 5.350% | &nbsp;&nbsp; 4/1/35 | &nbsp;&nbsp; 1320000<br>| &nbsp;&nbsp;&nbsp; 1366107<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Pacific Gas and Electric Co., First Mortgage Bonds | &nbsp;&nbsp; 2.100% | &nbsp;&nbsp; 8/1/27 | &nbsp;&nbsp; 4340000<br>| &nbsp;&nbsp;&nbsp; 4172873<br>|
| &nbsp;&nbsp;&nbsp; Pacific Gas and Electric Co., First Mortgage Bonds | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 2/1/31 | &nbsp;&nbsp; 3850000<br>| &nbsp;&nbsp;&nbsp; 3431591<br>|
| &nbsp;&nbsp;&nbsp; Pacific Gas and Electric Co., First Mortgage Bonds | &nbsp;&nbsp; 3.300% | &nbsp;&nbsp; 8/1/40 | &nbsp;&nbsp; 1070000<br>| &nbsp;&nbsp;&nbsp; 811518<br>|
| &nbsp;&nbsp;&nbsp; Pacific Gas and Electric Co., First Mortgage Bonds | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 8/1/50 | &nbsp;&nbsp; 4040000<br>| &nbsp;&nbsp;&nbsp; 2760398<br>|
| &nbsp;&nbsp;&nbsp; Progress Energy Inc., Senior Notes | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 12/1/39 | &nbsp;&nbsp; 4800000<br>| &nbsp;&nbsp;&nbsp; 5092895<br>|
| &nbsp;&nbsp;&nbsp; RWE Finance US LLC, Senior Notes | &nbsp;&nbsp; 5.125% | &nbsp;&nbsp; 9/18/35 | &nbsp;&nbsp; 4710000<br>| &nbsp;&nbsp;&nbsp; 4648794<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Vistra Operations Co. LLC, Senior Notes | &nbsp;&nbsp; 6.875% | &nbsp;&nbsp; 4/15/32 | &nbsp;&nbsp; 890000<br>| &nbsp;&nbsp;&nbsp; 931480<br> <sup>(a)</sup><br>|
| *Total Electric Utilities* | *Total Electric Utilities* | *Total Electric Utilities* | *Total Electric Utilities* | &nbsp;&nbsp; *57057999* |
| *Gas Utilities — 0.1%* | *Gas Utilities — 0.1%* | *Gas Utilities — 0.1%* | *Gas Utilities — 0.1%* | *Gas Utilities — 0.1%* |
| &nbsp;&nbsp;&nbsp; Snam SpA, Senior Notes | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 5/28/30 | &nbsp;&nbsp; 1680000<br>| &nbsp;&nbsp;&nbsp; 1704721<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Snam SpA, Senior Notes | &nbsp;&nbsp; 5.750% | &nbsp;&nbsp; 5/28/35 | &nbsp;&nbsp; 3880000<br>| &nbsp;&nbsp;&nbsp; 4026502<br> <sup>(a)</sup><br>|
| *Total Gas Utilities* | *Total Gas Utilities* | *Total Gas Utilities* | *Total Gas Utilities* | &nbsp;&nbsp; *5731223* |
| *Independent Power and Renewable Electricity Producers — 0.0%††* | *Independent Power and Renewable Electricity Producers — 0.0%††* | *Independent Power and Renewable Electricity Producers — 0.0%††* | *Independent Power and Renewable Electricity Producers — 0.0%††* | *Independent Power and Renewable Electricity Producers — 0.0%††* |
| &nbsp;&nbsp;&nbsp; Lightning Power LLC, Senior Secured Notes | &nbsp;&nbsp; 7.250% | &nbsp;&nbsp; 8/15/32 | &nbsp;&nbsp; 1337000<br>| &nbsp;&nbsp;&nbsp;&nbsp; *1416473*<br> <sup>(a)</sup><br>|
| *Multi-Utilities — 0.1%* | *Multi-Utilities — 0.1%* | *Multi-Utilities — 0.1%* | *Multi-Utilities — 0.1%* | *Multi-Utilities — 0.1%* |
| &nbsp;&nbsp;&nbsp; Consolidated Edison Co. of New York Inc., Senior Notes | &nbsp;&nbsp; 3.350% | &nbsp;&nbsp; 4/1/30 | &nbsp;&nbsp; 880000<br>| &nbsp;&nbsp;&nbsp; 852601<br>|
| &nbsp;&nbsp;&nbsp; Consolidated Edison Co. of New York Inc., Senior Notes | &nbsp;&nbsp; 3.950% | &nbsp;&nbsp; 4/1/50 | &nbsp;&nbsp; 380000<br>| &nbsp;&nbsp;&nbsp; 303351<br>|
| &nbsp;&nbsp;&nbsp; Dominion Energy Inc., Senior Notes | &nbsp;&nbsp; 7.000% | &nbsp;&nbsp; 6/15/38 | &nbsp;&nbsp; 1350000<br>| &nbsp;&nbsp;&nbsp; 1537990<br>|
| *Total Multi-Utilities* | *Total Multi-Utilities* | *Total Multi-Utilities* | *Total Multi-Utilities* | &nbsp;&nbsp; *2693942* |
| **Total Utilities** | **Total Utilities** | **Total Utilities** | **Total Utilities** | &nbsp;&nbsp; **66899637** |
| **Total Corporate Bonds & Notes (Cost — $1,356,005,629)** | **Total Corporate Bonds & Notes (Cost — $1,356,005,629)** | **Total Corporate Bonds & Notes (Cost — $1,356,005,629)** | **Total Corporate Bonds & Notes (Cost — $1,356,005,629)** | &nbsp;&nbsp; **1311812134** |
| **Mortgage-Backed Securities — 25.8%** | **Mortgage-Backed Securities — 25.8%** | **Mortgage-Backed Securities — 25.8%** | **Mortgage-Backed Securities — 25.8%** | **Mortgage-Backed Securities — 25.8%** |
| *FHLMC — 7.1%* | *FHLMC — 7.1%* | *FHLMC — 7.1%* | *FHLMC — 7.1%* | *FHLMC — 7.1%* |
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 2/1/26- <br>5/1/27<br>| &nbsp;&nbsp; 13285 | &nbsp;&nbsp;&nbsp; 13263<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 8/1/33- <br>6/1/46<br>| &nbsp;&nbsp; 15273020 | &nbsp;&nbsp;&nbsp; 14504830<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) | &nbsp;&nbsp; 1.500% | &nbsp;&nbsp; 11/1/40 | &nbsp;&nbsp; 23772360<br>| &nbsp;&nbsp;&nbsp; 19960453<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) | &nbsp;&nbsp; 2.000% | &nbsp;&nbsp; 1/1/41- <br>4/1/51<br>| &nbsp;&nbsp; 84374941 | &nbsp;&nbsp;&nbsp; 72313465<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 7/1/47 | &nbsp;&nbsp; 270122<br>| &nbsp;&nbsp;&nbsp; 266969<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 1/1/50 | &nbsp;&nbsp; 914160<br>| &nbsp;&nbsp;&nbsp; 820808<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 7/1/50- <br>2/1/52<br>| &nbsp;&nbsp; 91452974 | &nbsp;&nbsp;&nbsp; 78652056<br>|

---

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2025 Quarterly Report

------

 **Western Asset Core Plus Bond Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount†<br>| Value |
| *FHLMC — continued* | *FHLMC — continued* | *FHLMC — continued* | *FHLMC — continued* | *FHLMC — continued* |
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 1/1/53- <br>4/1/54<br>| &nbsp;&nbsp; 30844992 | &nbsp;&nbsp;&nbsp; $31401404<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) | &nbsp;&nbsp; 6.500% | &nbsp;&nbsp; 5/1/53 | &nbsp;&nbsp; 6202554 | &nbsp;&nbsp;&nbsp; 6522594<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 7/1/53- <br>9/1/53<br>| &nbsp;&nbsp; 18881285 | &nbsp;&nbsp;&nbsp; 19575951<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer <br> Cash Fallbacks + 1.627%) | &nbsp;&nbsp; 3.005% | &nbsp;&nbsp; 11/1/48 | &nbsp;&nbsp; 21713346<br>| &nbsp;&nbsp;&nbsp; 21235818<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Gold | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 3/1/28- <br>1/1/40<br>| &nbsp;&nbsp; 230836 | &nbsp;&nbsp;&nbsp; 233745<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Gold | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 8/1/33- <br>3/1/45<br>| &nbsp;&nbsp; 8838799 | &nbsp;&nbsp;&nbsp; 8421638<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Gold | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 2/1/43- <br>5/1/47<br>| &nbsp;&nbsp; 27320932 | &nbsp;&nbsp;&nbsp; 24827442<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Gold | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 8/1/47 | &nbsp;&nbsp; 153445<br>| &nbsp;&nbsp;&nbsp; 147781<br>|
| *Total FHLMC* | *Total FHLMC* | *Total FHLMC* | *Total FHLMC* | &nbsp;&nbsp; *298898217* |
| *FNMA — 13.9%* | *FNMA — 13.9%* | *FNMA — 13.9%* | *FNMA — 13.9%* | *FNMA — 13.9%* |
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 6.500% | &nbsp;&nbsp; 2/1/29- <br>6/1/35<br>| &nbsp;&nbsp; 41121 | &nbsp;&nbsp;&nbsp; 42505<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 5/1/29- <br>7/1/53<br>| &nbsp;&nbsp; 11727746 | &nbsp;&nbsp;&nbsp; 12181758<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 7.000% | &nbsp;&nbsp; 8/1/29- <br>12/1/37<br>| &nbsp;&nbsp; 96286 | &nbsp;&nbsp;&nbsp; 100573<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 7.500% | &nbsp;&nbsp; 11/1/29 | &nbsp;&nbsp; 430<br>| &nbsp;&nbsp;&nbsp; 444<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 9/1/33- <br>12/1/46<br>| &nbsp;&nbsp; 30592403 | &nbsp;&nbsp;&nbsp; 28932577<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 10/1/33- <br>7/1/53<br>| &nbsp;&nbsp; 35856739 | &nbsp;&nbsp;&nbsp; 36332322<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 7/1/35- <br>3/1/52<br>| &nbsp;&nbsp; 114752035 | &nbsp;&nbsp;&nbsp; 104349135<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 5/1/37- <br>9/1/56<br>| &nbsp;&nbsp; 37614429 | &nbsp;&nbsp;&nbsp; 38486070<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 3/1/38- <br>2/1/52<br>| &nbsp;&nbsp; 97935909 | &nbsp;&nbsp;&nbsp; 85729213<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 2.000% | &nbsp;&nbsp; 8/1/40- <br>3/1/52<br>| &nbsp;&nbsp; 83041481 | &nbsp;&nbsp;&nbsp; 69441897<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 10/1/41- <br>8/1/58<br>| &nbsp;&nbsp; 15488289 | &nbsp;&nbsp;&nbsp; 15059078<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 1.500% | &nbsp;&nbsp; 1/1/42 | &nbsp;&nbsp; 725054<br>| &nbsp;&nbsp;&nbsp; 611327<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 4/1/42- <br>1/1/57<br>| &nbsp;&nbsp; 25411470 | &nbsp;&nbsp;&nbsp; 24128259<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 10/1/55 | &nbsp;&nbsp; 4000000 | &nbsp;&nbsp;&nbsp; 3370608<br> <sup>(j)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 10/1/55 | &nbsp;&nbsp; 18600000 | &nbsp;&nbsp;&nbsp; 16995853<br> <sup>(j)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 10/1/55 | &nbsp;&nbsp; (12717603)<br>| &nbsp;&nbsp;&nbsp; 95202281<br> <sup>(j)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 10/1/55 | &nbsp;&nbsp; 56300000 | &nbsp;&nbsp;&nbsp; 54616192<br> <sup>(j)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) (12 mo. Moving Treasury Average <br> + 1.827%) | &nbsp;&nbsp; 6.034% | &nbsp;&nbsp; 11/1/35 | &nbsp;&nbsp; 5573<br>| &nbsp;&nbsp;&nbsp; 5690<br> <sup>(d)</sup><br>|
| *Total FNMA* | *Total FNMA* | *Total FNMA* | *Total FNMA* | &nbsp;&nbsp; *585585782* |

---

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2025 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

September 30, 2025

 **Western Asset Core Plus Bond Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount†<br>| Value |
| *GNMA — 4.8%* | *GNMA — 4.8%* | *GNMA — 4.8%* | *GNMA — 4.8%* | *GNMA — 4.8%* |
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) | &nbsp;&nbsp; 6.500% | &nbsp;&nbsp; 4/15/28- <br>1/15/39<br>| &nbsp;&nbsp; 636750 | &nbsp;&nbsp;&nbsp; $660756<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) | &nbsp;&nbsp; 7.000% | &nbsp;&nbsp; 8/15/28- <br>7/15/31<br>| &nbsp;&nbsp; 9356 | &nbsp;&nbsp;&nbsp; 9757<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 1/15/29- <br>2/15/37<br>| &nbsp;&nbsp; 1996973 | &nbsp;&nbsp;&nbsp; 2059971<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) | &nbsp;&nbsp; 7.500% | &nbsp;&nbsp; 12/15/30- <br>9/15/31<br>| &nbsp;&nbsp; 3410 | &nbsp;&nbsp;&nbsp; 3432<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) | &nbsp;&nbsp; 8.000% | &nbsp;&nbsp; 12/15/30 | &nbsp;&nbsp; 5102<br>| &nbsp;&nbsp;&nbsp; 5136<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 7/15/33- <br>6/15/36<br>| &nbsp;&nbsp; 1678617 | &nbsp;&nbsp;&nbsp; 1741177<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 9/15/42- <br>11/15/42<br>| &nbsp;&nbsp; 19155637 | &nbsp;&nbsp;&nbsp; 17518344<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 4/15/47- <br>3/15/50<br>| &nbsp;&nbsp; 16463614 | &nbsp;&nbsp;&nbsp; 16030697<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 6/15/48- <br>5/15/50<br>| &nbsp;&nbsp; 6441577 | &nbsp;&nbsp;&nbsp; 5952736<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 7/20/40- <br>5/20/53<br>| &nbsp;&nbsp; 18118104 | &nbsp;&nbsp;&nbsp; 18174006<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 7/20/41- <br>9/20/52<br>| &nbsp;&nbsp; 21959688 | &nbsp;&nbsp;&nbsp; 21453310<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 10/20/45- <br>6/20/52<br>| &nbsp;&nbsp; 24339836 | &nbsp;&nbsp;&nbsp; 22100863<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 10/20/49- <br>2/20/50<br>| &nbsp;&nbsp; 4860250 | &nbsp;&nbsp;&nbsp; 4589496<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 1/20/50- <br>3/20/52<br>| &nbsp;&nbsp; 22399121 | &nbsp;&nbsp;&nbsp; 19753868<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 12/20/50- <br>8/20/51<br>| &nbsp;&nbsp; 26394480 | &nbsp;&nbsp;&nbsp; 22628383<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 2.000% | &nbsp;&nbsp; 2/20/51 | &nbsp;&nbsp; 20057149<br>| &nbsp;&nbsp;&nbsp; 16110137<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 7/20/53- <br>8/20/53<br>| &nbsp;&nbsp; 18145277 | &nbsp;&nbsp;&nbsp; 18377099<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 9/20/53 | &nbsp;&nbsp; 14654592<br>| &nbsp;&nbsp;&nbsp; 15090363<br>|
| *Total GNMA* | *Total GNMA* | *Total GNMA* | *Total GNMA* | &nbsp;&nbsp; *202259531* |
| **Total Mortgage-Backed Securities (Cost — $1,156,029,177)** | **Total Mortgage-Backed Securities (Cost — $1,156,029,177)** | **Total Mortgage-Backed Securities (Cost — $1,156,029,177)** | **Total Mortgage-Backed Securities (Cost — $1,156,029,177)** | &nbsp;&nbsp; **1086743530** |
| **Collateralized Mortgage Obligations**<sup>(k)</sup> **— 15.7%** | **Collateralized Mortgage Obligations**<sup>(k)</sup> **— 15.7%** | **Collateralized Mortgage Obligations**<sup>(k)</sup> **— 15.7%** | **Collateralized Mortgage Obligations**<sup>(k)</sup> **— 15.7%** | **Collateralized Mortgage Obligations**<sup>(k)</sup> **— 15.7%** |
| &nbsp;&nbsp;&nbsp; 245 Park Avenue Trust, 2017-245P A | &nbsp;&nbsp; 3.508% | &nbsp;&nbsp; 6/5/37 | &nbsp;&nbsp; 9410000<br>| &nbsp;&nbsp;&nbsp; 9227971<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; 280 Park Avenue Mortgage Trust, 2017-280P E (1 mo. Term SOFR + 2.419%) | &nbsp;&nbsp; 6.637% | &nbsp;&nbsp; 9/15/34 | &nbsp;&nbsp; 880000<br>| &nbsp;&nbsp;&nbsp; 853585<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; 280 Park Avenue Mortgage Trust, 2017-280P F (1 mo. Term SOFR + 3.127%) | &nbsp;&nbsp; 7.345% | &nbsp;&nbsp; 9/15/34 | &nbsp;&nbsp; 1780000<br>| &nbsp;&nbsp;&nbsp; 1722446<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Alternative Loan Trust, 2006-6CB 1A4 | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 5/25/36 | &nbsp;&nbsp; 2280971<br>| &nbsp;&nbsp;&nbsp; 1872998<br>|
| &nbsp;&nbsp;&nbsp; Alternative Loan Trust, 2006-23CB 2A6, PAC (-4.000 x 1 mo. Term SOFR + <br> 27.942%) | &nbsp;&nbsp; 11.310% | &nbsp;&nbsp; 8/25/36 | &nbsp;&nbsp; 2365521<br>| &nbsp;&nbsp;&nbsp; 1307619<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Alternative Loan Trust, 2006-OA9 2A1B (1 mo. Term SOFR + 0.514%) | &nbsp;&nbsp; 4.650% | &nbsp;&nbsp; 7/20/46 | &nbsp;&nbsp; 180515<br>| &nbsp;&nbsp;&nbsp; 154813<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Banc of America Funding Trust, 2015-R2 3A2 (1 mo. Term SOFR + 0.374%) | &nbsp;&nbsp; 4.532% | &nbsp;&nbsp; 4/29/37 | &nbsp;&nbsp; 1833158<br>| &nbsp;&nbsp;&nbsp; 1829903<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BANK5, 2023-5YR1 A2 | &nbsp;&nbsp; 5.779% | &nbsp;&nbsp; 4/15/56 | &nbsp;&nbsp; 4500000<br>| &nbsp;&nbsp;&nbsp; 4609361<br>|
| &nbsp;&nbsp;&nbsp; Bear Stearns Asset Backed Securities Trust, 2004-AC6 A1 | &nbsp;&nbsp; 5.750% | &nbsp;&nbsp; 11/25/34 | &nbsp;&nbsp; 1223238<br>| &nbsp;&nbsp;&nbsp; 1093892<br>|
| &nbsp;&nbsp;&nbsp; Bear Stearns Asset Backed Securities Trust, 2006-AC4 A2 (-4.333 x 1 mo. Term <br> SOFR + 35.754%) | &nbsp;&nbsp; 17.738% | &nbsp;&nbsp; 7/25/36 | &nbsp;&nbsp; 1105309<br>| &nbsp;&nbsp;&nbsp; 1332375<br> <sup>(d)</sup><br>|

---

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2025 Quarterly Report

------

 **Western Asset Core Plus Bond Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount†<br>| Value |
| **Collateralized Mortgage Obligations**<sup>(k)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(k)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(k)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(k)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(k)</sup> **— continued** |
| &nbsp;&nbsp;&nbsp; Bear Stearns Mortgage Funding Trust, 2007-AR2 A1 (1 mo. Term SOFR + 0.454%) | &nbsp;&nbsp; 4.612% | &nbsp;&nbsp; 3/25/37 | &nbsp;&nbsp; 16096<br>| &nbsp;&nbsp;&nbsp; $14653<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Benchmark Mortgage Trust, 2019-B12 WMA | &nbsp;&nbsp; 4.388% | &nbsp;&nbsp; 8/15/52 | &nbsp;&nbsp; 4000000<br>| &nbsp;&nbsp;&nbsp; 3685013<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Benchmark Mortgage Trust, 2020-IG1 AS | &nbsp;&nbsp; 2.909% | &nbsp;&nbsp; 9/15/43 | &nbsp;&nbsp; 13500000<br>| &nbsp;&nbsp;&nbsp; 11288495<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Benchmark Mortgage Trust, 2023-V2 A3 | &nbsp;&nbsp; 5.812% | &nbsp;&nbsp; 5/15/55 | &nbsp;&nbsp; 4400000<br>| &nbsp;&nbsp;&nbsp; 4550134<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BIG Commercial Mortgage Trust, 2022-BIG F (1 mo. Term SOFR + 5.436%) | &nbsp;&nbsp; 9.586% | &nbsp;&nbsp; 2/15/39 | &nbsp;&nbsp; 8160000<br>| &nbsp;&nbsp;&nbsp; 8183746<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BX Commercial Mortgage Trust, 2021-XL2 J (1 mo. Term SOFR + 4.004%) | &nbsp;&nbsp; 8.154% | &nbsp;&nbsp; 10/15/38 | &nbsp;&nbsp; 3500000<br>| &nbsp;&nbsp;&nbsp; 3512427<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BX Commercial Mortgage Trust, 2022-LP2 G (1 mo. Term SOFR + 4.106%) | &nbsp;&nbsp; 8.256% | &nbsp;&nbsp; 2/15/39 | &nbsp;&nbsp; 9254000<br>| &nbsp;&nbsp;&nbsp; 9253927<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BX Commercial Mortgage Trust, 2024-BIO2 D | &nbsp;&nbsp; 7.970% | &nbsp;&nbsp; 8/13/41 | &nbsp;&nbsp; 2950000<br>| &nbsp;&nbsp;&nbsp; 2945354<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BX Commercial Mortgage Trust, 2025-COPT A (1 mo. Term SOFR + 1.750%) | &nbsp;&nbsp; 5.900% | &nbsp;&nbsp; 8/15/42 | &nbsp;&nbsp; 4350000<br>| &nbsp;&nbsp;&nbsp; 4362136<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; CD Mortgage Trust, 2017-CD3 A4 | &nbsp;&nbsp; 3.631% | &nbsp;&nbsp; 2/10/50 | &nbsp;&nbsp; 4000000<br>| &nbsp;&nbsp;&nbsp; 3885617<br>|
| &nbsp;&nbsp;&nbsp; Chevy Chase Funding LLC Mortgage-Backed Certificates Series, 2005-4A A1 (1 <br> mo. Term SOFR + 0.314%) | &nbsp;&nbsp; 4.472% | &nbsp;&nbsp; 10/25/36 | &nbsp;&nbsp; 169379<br>| &nbsp;&nbsp;&nbsp; 162837<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Citigroup Commercial Mortgage Trust, 2017-P7 B | &nbsp;&nbsp; 4.137% | &nbsp;&nbsp; 4/14/50 | &nbsp;&nbsp; 9194000<br>| &nbsp;&nbsp;&nbsp; 8712623<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Commercial Mortgage Trust, 2015-DC1 B | &nbsp;&nbsp; 4.035% | &nbsp;&nbsp; 2/10/48 | &nbsp;&nbsp; 7160000<br>| &nbsp;&nbsp;&nbsp; 6830246<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Commercial Mortgage Trust, 2020-CX A | &nbsp;&nbsp; 2.173% | &nbsp;&nbsp; 11/10/46 | &nbsp;&nbsp; 10440000<br>| &nbsp;&nbsp;&nbsp; 9021669<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; CSMC Trust, 2014-USA A2 | &nbsp;&nbsp; 3.953% | &nbsp;&nbsp; 9/15/37 | &nbsp;&nbsp; 6435000<br>| &nbsp;&nbsp;&nbsp; 5909945<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; CSMC Trust, 2022-CNTR A (1 mo. Term SOFR + 3.944%) | &nbsp;&nbsp; 8.095% | &nbsp;&nbsp; 1/9/28 | &nbsp;&nbsp; 33000000<br>| &nbsp;&nbsp;&nbsp; 21889418<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; DTP Commercial Mortgage Trust, 2023-STE2 A | &nbsp;&nbsp; 6.038% | &nbsp;&nbsp; 1/15/41 | &nbsp;&nbsp; 3110000<br>| &nbsp;&nbsp;&nbsp; 3195466<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Extended Stay America Trust, 2021-ESH A (1 mo. Term SOFR + 1.194%) | &nbsp;&nbsp; 5.344% | &nbsp;&nbsp; 7/15/38 | &nbsp;&nbsp; 3836906<br>| &nbsp;&nbsp;&nbsp; 3839889<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Extended Stay America Trust, 2025-ESH A (1 mo. Term SOFR + 1.300%) | &nbsp;&nbsp; 5.450% | &nbsp;&nbsp; 10/15/42 | &nbsp;&nbsp; 3790000<br>| &nbsp;&nbsp;&nbsp; 3811318<br> <sup>(a)(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multiclass Certificates, 2020-RR02 <br> BX, IO | &nbsp;&nbsp; 1.666% | &nbsp;&nbsp; 8/27/28 | &nbsp;&nbsp; 15503008<br>| &nbsp;&nbsp;&nbsp; 615500<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multiclass Certificates, 2020-RR07 <br> AX, IO | &nbsp;&nbsp; 2.468% | &nbsp;&nbsp; 9/27/28 | &nbsp;&nbsp; 34072000<br>| &nbsp;&nbsp;&nbsp; 2006527<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multifamily ML Certificates, 2020-<br> ML07 XUS, IO | &nbsp;&nbsp; 2.016% | &nbsp;&nbsp; 10/25/36 | &nbsp;&nbsp; 32198168<br>| &nbsp;&nbsp;&nbsp; 4053105<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multifamily PC REMIC Trust, 2019-<br> RR01 X, IO | &nbsp;&nbsp; 1.534% | &nbsp;&nbsp; 6/25/28 | &nbsp;&nbsp; 23500000<br>| &nbsp;&nbsp;&nbsp; 794730<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-<br> Through Certificates, K095 XAM, IO | &nbsp;&nbsp; 1.368% | &nbsp;&nbsp; 6/25/29 | &nbsp;&nbsp; 6300000<br>| &nbsp;&nbsp;&nbsp; 273470<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-<br> Through Certificates, K104 XAM, IO | &nbsp;&nbsp; 1.500% | &nbsp;&nbsp; 1/25/30 | &nbsp;&nbsp; 16296000<br>| &nbsp;&nbsp;&nbsp; 876114<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-<br> Through Certificates, K159 X1, IO | &nbsp;&nbsp; 0.271% | &nbsp;&nbsp; 11/25/33 | &nbsp;&nbsp; 20769185<br>| &nbsp;&nbsp;&nbsp; 176148<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-<br> Through Certificates, K737 X1, IO | &nbsp;&nbsp; 0.723% | &nbsp;&nbsp; 10/25/26 | &nbsp;&nbsp; 37521841<br>| &nbsp;&nbsp;&nbsp; 183392<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-<br> Through Certificates, K1520 X1, IO | &nbsp;&nbsp; 0.576% | &nbsp;&nbsp; 2/25/36 | &nbsp;&nbsp; 12867182<br>| &nbsp;&nbsp;&nbsp; 440072<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-<br> Through Certificates, KC05 X1, IO | &nbsp;&nbsp; 1.341% | &nbsp;&nbsp; 6/25/27 | &nbsp;&nbsp; 11193799<br>| &nbsp;&nbsp;&nbsp; 124473<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 2957 ZA, PAC | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 3/15/35 | &nbsp;&nbsp; 3436781<br>| &nbsp;&nbsp;&nbsp; 3532812<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 3422 AI, IO, Step bond <br> (4.650% to 6/1/26 then 5.650%) | &nbsp;&nbsp; 4.650% | &nbsp;&nbsp; 1/15/38 | &nbsp;&nbsp; 205980<br>| &nbsp;&nbsp;&nbsp; 2123<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 3639 EY | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 2/15/30 | &nbsp;&nbsp; 817675<br>| &nbsp;&nbsp;&nbsp; 829830<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 3973 SA, IO (-1.000 x 30 Day <br> Average SOFR + 6.376%) | &nbsp;&nbsp; 2.003% | &nbsp;&nbsp; 12/15/41 | &nbsp;&nbsp; 1526423<br>| &nbsp;&nbsp;&nbsp; 166391<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4054 SA, IO (-1.000 x 30 Day <br> Average SOFR + 5.936%) | &nbsp;&nbsp; 1.563% | &nbsp;&nbsp; 8/15/39 | &nbsp;&nbsp; 1067356<br>| &nbsp;&nbsp;&nbsp; 84701<br> <sup>(d)</sup><br>|

---

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2025 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

September 30, 2025

 **Western Asset Core Plus Bond Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount†<br>| Value |
| **Collateralized Mortgage Obligations**<sup>(k)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(k)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(k)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(k)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(k)</sup> **— continued** |
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4146 DI, IO | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 12/15/31 | &nbsp;&nbsp; 476368<br>| &nbsp;&nbsp;&nbsp; $12547<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4391 MZ | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 9/15/44 | &nbsp;&nbsp; 10706045<br>| &nbsp;&nbsp;&nbsp; 9703002<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4992 PI, IO, PAC | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 7/25/50 | &nbsp;&nbsp; 8928906<br>| &nbsp;&nbsp;&nbsp; 1187767<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5063 AI, IO | &nbsp;&nbsp; 2.000% | &nbsp;&nbsp; 1/25/51 | &nbsp;&nbsp; 19374807<br>| &nbsp;&nbsp;&nbsp; 2620022<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5129 KI, IO | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 11/25/49 | &nbsp;&nbsp; 7187550<br>| &nbsp;&nbsp;&nbsp; 1202632<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5168 CI, IO | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 11/25/51 | &nbsp;&nbsp; 8320248<br>| &nbsp;&nbsp;&nbsp; 1662069<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5179 GI, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 1/25/52 | &nbsp;&nbsp; 18165392<br>| &nbsp;&nbsp;&nbsp; 3119897<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5180 IN, IO | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 7/25/51 | &nbsp;&nbsp; 16957496<br>| &nbsp;&nbsp;&nbsp; 3352098<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5206 IJ, IO | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 4/15/48 | &nbsp;&nbsp; 3642755<br>| &nbsp;&nbsp;&nbsp; 748166<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5261 IB, IO | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 1/25/50 | &nbsp;&nbsp; 7960432<br>| &nbsp;&nbsp;&nbsp; 1324094<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5282 GI, IO | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 2/25/50 | &nbsp;&nbsp; 15533135<br>| &nbsp;&nbsp;&nbsp; 3321632<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5397 IC, IO | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 4/25/52 | &nbsp;&nbsp; 22860679<br>| &nbsp;&nbsp;&nbsp; 3988141<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5482 FC (30 Day Average <br> SOFR + 1.300%) | &nbsp;&nbsp; 5.656% | &nbsp;&nbsp; 12/25/54 | &nbsp;&nbsp; 4744040<br>| &nbsp;&nbsp;&nbsp; 4757772<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5483 FD (30 Day Average <br> SOFR + 1.300%) | &nbsp;&nbsp; 5.656% | &nbsp;&nbsp; 12/25/54 | &nbsp;&nbsp; 4276503<br>| &nbsp;&nbsp;&nbsp; 4299031<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit <br> Risk Trust, 2021-DNA2 B1 (30 Day Average SOFR + 3.400%) | &nbsp;&nbsp; 7.756% | &nbsp;&nbsp; 8/25/33 | &nbsp;&nbsp; 10010000<br>| &nbsp;&nbsp;&nbsp; 11102191<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit <br> Risk Trust, 2021-DNA5 B1 (30 Day Average SOFR + 3.050%) | &nbsp;&nbsp; 7.406% | &nbsp;&nbsp; 1/25/34 | &nbsp;&nbsp; 13330000<br>| &nbsp;&nbsp;&nbsp; 14150560<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit <br> Risk Trust, 2022-DNA5 M1B (30 Day Average SOFR + 4.500%) | &nbsp;&nbsp; 8.856% | &nbsp;&nbsp; 6/25/42 | &nbsp;&nbsp; 16500000<br>| &nbsp;&nbsp;&nbsp; 17463620<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit <br> Risk Trust, 2022-DNA5 M2 (30 Day Average SOFR + 6.750%) | &nbsp;&nbsp; 11.106% | &nbsp;&nbsp; 6/25/42 | &nbsp;&nbsp; 7600000<br>| &nbsp;&nbsp;&nbsp; 8289986<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit <br> Risk Trust, 2022-DNA6 M1B (30 Day Average SOFR + 3.700%) | &nbsp;&nbsp; 8.056% | &nbsp;&nbsp; 9/25/42 | &nbsp;&nbsp; 5000000<br>| &nbsp;&nbsp;&nbsp; 5257979<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit <br> Risk Trust, 2023-DNA2 B1 (30 Day Average SOFR + 7.600%) | &nbsp;&nbsp; 11.948% | &nbsp;&nbsp; 4/25/43 | &nbsp;&nbsp; 5000000<br>| &nbsp;&nbsp;&nbsp; 5635926<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust, <br> 2017-2 M1 | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 8/25/56 | &nbsp;&nbsp; 1499450<br>| &nbsp;&nbsp;&nbsp; 1494177<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust, <br> 2024-1 MT | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 11/25/63 | &nbsp;&nbsp; 8604128<br>| &nbsp;&nbsp;&nbsp; 7284465<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) STRIPS, 283 IO, IO | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 10/15/27 | &nbsp;&nbsp; 49571<br>| &nbsp;&nbsp;&nbsp; 1033<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) STRIPS, 334 S7, IO (-1.000 x 30 Day <br> Average SOFR + 5.986%) | &nbsp;&nbsp; 1.613% | &nbsp;&nbsp; 8/15/44 | &nbsp;&nbsp; 3092632<br>| &nbsp;&nbsp;&nbsp; 334724<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) STRIPS, 390 C14, IO | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 11/15/52 | &nbsp;&nbsp; 3529840<br>| &nbsp;&nbsp;&nbsp; 869407<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) STRIPS, 390 C17, IO | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 11/15/52 | &nbsp;&nbsp; 626992<br>| &nbsp;&nbsp;&nbsp; 162488<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) STRIPS, 400 C1, IO | &nbsp;&nbsp; 1.500% | &nbsp;&nbsp; 2/25/52 | &nbsp;&nbsp; 5869686<br>| &nbsp;&nbsp;&nbsp; 614170<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) — CAS, 2019-R05 1B1 (30 Day <br> Average SOFR + 4.214%) | &nbsp;&nbsp; 8.571% | &nbsp;&nbsp; 7/25/39 | &nbsp;&nbsp; 3172390<br>| &nbsp;&nbsp;&nbsp; 3235162<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) — CAS, 2020-R02 2B1 (30 Day <br> Average SOFR + 3.114%) | &nbsp;&nbsp; 7.471% | &nbsp;&nbsp; 1/25/40 | &nbsp;&nbsp; 2450000<br>| &nbsp;&nbsp;&nbsp; 2507125<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) ACES, 2019-M4 A2 | &nbsp;&nbsp; 3.610% | &nbsp;&nbsp; 2/25/31 | &nbsp;&nbsp; 4450198<br>| &nbsp;&nbsp;&nbsp; 4331191<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) ACES, 2020-M6 A | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 10/25/37 | &nbsp;&nbsp; 2933011<br>| &nbsp;&nbsp;&nbsp; 2637630<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2010-27 AS, IO (-1.000 x <br> 30 Day Average SOFR + 6.366%) | &nbsp;&nbsp; 2.009% | &nbsp;&nbsp; 4/25/40 | &nbsp;&nbsp; 720630<br>| &nbsp;&nbsp;&nbsp; 74055<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2011-59 NZ | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 7/25/41 | &nbsp;&nbsp; 349587<br>| &nbsp;&nbsp;&nbsp; 362485<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2012-46 BA | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 5/25/42 | &nbsp;&nbsp; 1316683<br>| &nbsp;&nbsp;&nbsp; 1386071<br>|

---

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2025 Quarterly Report

------

 **Western Asset Core Plus Bond Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount†<br>| Value |
| **Collateralized Mortgage Obligations**<sup>(k)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(k)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(k)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(k)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(k)</sup> **— continued** |
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2012-51 B | &nbsp;&nbsp; 7.000% | &nbsp;&nbsp; 5/25/42 | &nbsp;&nbsp; 1934422<br>| &nbsp;&nbsp;&nbsp; $2101424<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2012-74 OA, PO | &nbsp;&nbsp; 0.000% | &nbsp;&nbsp; 3/25/42 | &nbsp;&nbsp; 87834<br>| &nbsp;&nbsp;&nbsp; 80460<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2012-75 AO, PO | &nbsp;&nbsp; 0.000% | &nbsp;&nbsp; 3/25/42 | &nbsp;&nbsp; 52557<br>| &nbsp;&nbsp;&nbsp; 48143<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2012-118 VZ | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 11/25/42 | &nbsp;&nbsp; 8070324<br>| &nbsp;&nbsp;&nbsp; 7445457<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2012-134 MS, IO (-1.000 <br> x 30 Day Average SOFR + 6.036%) | &nbsp;&nbsp; 1.679% | &nbsp;&nbsp; 12/25/42 | &nbsp;&nbsp; 891062<br>| &nbsp;&nbsp;&nbsp; 110470<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2012-134 SK, IO (-1.000 x <br> 30 Day Average SOFR + 6.036%) | &nbsp;&nbsp; 1.679% | &nbsp;&nbsp; 12/25/42 | &nbsp;&nbsp; 2865902<br>| &nbsp;&nbsp;&nbsp; 344773<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2013-29 QI, IO | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 4/25/43 | &nbsp;&nbsp; 1855316<br>| &nbsp;&nbsp;&nbsp; 318738<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2013-54 BS, IO (-1.000 x <br> 30 Day Average SOFR + 6.036%) | &nbsp;&nbsp; 1.679% | &nbsp;&nbsp; 6/25/43 | &nbsp;&nbsp; 2032309<br>| &nbsp;&nbsp;&nbsp; 233586<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2013-124 SB, IO (-1.000 x <br> 30 Day Average SOFR + 5.836%) | &nbsp;&nbsp; 1.479% | &nbsp;&nbsp; 12/25/43 | &nbsp;&nbsp; 4534435<br>| &nbsp;&nbsp;&nbsp; 512476<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2014-6 Z | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 2/25/44 | &nbsp;&nbsp; 8895440<br>| &nbsp;&nbsp;&nbsp; 7910372<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2015-65 CZ | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 9/25/45 | &nbsp;&nbsp; 8715832<br>| &nbsp;&nbsp;&nbsp; 7816455<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2016-23 ST, IO (-1.000 x <br> 30 Day Average SOFR + 5.886%) | &nbsp;&nbsp; 1.529% | &nbsp;&nbsp; 11/25/45 | &nbsp;&nbsp; 7014730<br>| &nbsp;&nbsp;&nbsp; 726455<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2016-61 BS, IO (-1.000 x <br> 30 Day Average SOFR + 5.986%) | &nbsp;&nbsp; 1.629% | &nbsp;&nbsp; 9/25/46 | &nbsp;&nbsp; 2617892<br>| &nbsp;&nbsp;&nbsp; 172564<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2020-45 AI, IO | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 7/25/50 | &nbsp;&nbsp; 7795825<br>| &nbsp;&nbsp;&nbsp; 1566682<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2021-3 NI, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 2/25/51 | &nbsp;&nbsp; 11442319<br>| &nbsp;&nbsp;&nbsp; 1749693<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2021-3 QI, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 2/25/51 | &nbsp;&nbsp; 33694083<br>| &nbsp;&nbsp;&nbsp; 5678646<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2021-8 DI, IO, PAC | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 3/25/51 | &nbsp;&nbsp; 3940105<br>| &nbsp;&nbsp;&nbsp; 872145<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2021-28 LB | &nbsp;&nbsp; 2.000% | &nbsp;&nbsp; 4/25/51 | &nbsp;&nbsp; 6970243<br>| &nbsp;&nbsp;&nbsp; 5814396<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2024-18 IO, IO | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 11/25/49 | &nbsp;&nbsp; 6980698<br>| &nbsp;&nbsp;&nbsp; 1195274<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2024-22 IC, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 10/25/51 | &nbsp;&nbsp; 22887871<br>| &nbsp;&nbsp;&nbsp; 3095363<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) STRIPS, 384 14, IO | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 1/25/40 | &nbsp;&nbsp; 189536<br>| &nbsp;&nbsp;&nbsp; 31776<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) STRIPS, 427 C73, IO | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 12/25/48 | &nbsp;&nbsp; 42791347<br>| &nbsp;&nbsp;&nbsp; 7080273<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) STRIPS, 440 C6, IO | &nbsp;&nbsp; 2.000% | &nbsp;&nbsp; 10/25/52 | &nbsp;&nbsp; 2838143<br>| &nbsp;&nbsp;&nbsp; 366348<br>|
| &nbsp;&nbsp;&nbsp; First Horizon Alternative Mortgage Securities Trust, 2007-FA3 A1 (1 mo. Term <br> SOFR + 0.444%) | &nbsp;&nbsp; 4.602% | &nbsp;&nbsp; 6/25/37 | &nbsp;&nbsp; 6397147<br>| &nbsp;&nbsp;&nbsp; 1376745<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; FREMF Mortgage Trust, 2019-K103 X2A, IO | &nbsp;&nbsp; 0.100% | &nbsp;&nbsp; 12/25/51 | &nbsp;&nbsp; 670775370<br>| &nbsp;&nbsp;&nbsp; 2212989<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2006-16 GS, IO (-1.000 x 1 <br> mo. Term SOFR + 6.876%) | &nbsp;&nbsp; 2.740% | &nbsp;&nbsp; 4/20/36 | &nbsp;&nbsp; 228157<br>| &nbsp;&nbsp;&nbsp; 11968<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2007-51 SG, IO (-1.000 x 1 <br> mo. Term SOFR + 6.466%) | &nbsp;&nbsp; 2.330% | &nbsp;&nbsp; 8/20/37 | &nbsp;&nbsp; 928329<br>| &nbsp;&nbsp;&nbsp; 8445<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2010-116 MH | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 7/20/40 | &nbsp;&nbsp; 16502999<br>| &nbsp;&nbsp;&nbsp; 16945423<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2012-152 IO, IO | &nbsp;&nbsp; 0.694% | &nbsp;&nbsp; 1/16/54 | &nbsp;&nbsp; 13740151<br>| &nbsp;&nbsp;&nbsp; 405759<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2013-50 IO, IO | &nbsp;&nbsp; 0.064% | &nbsp;&nbsp; 10/16/48 | &nbsp;&nbsp; 18780493<br>| &nbsp;&nbsp;&nbsp; 34323<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2013-72 IO, IO | &nbsp;&nbsp; 0.566% | &nbsp;&nbsp; 11/16/47 | &nbsp;&nbsp; 6598287<br>| &nbsp;&nbsp;&nbsp; 134295<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2013-150 IA, IO | &nbsp;&nbsp; 0.282% | &nbsp;&nbsp; 11/20/42 | &nbsp;&nbsp; 655720<br>| &nbsp;&nbsp;&nbsp; 34596<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2014-17 AM | &nbsp;&nbsp; 3.535% | &nbsp;&nbsp; 6/16/48 | &nbsp;&nbsp; 224614<br>| &nbsp;&nbsp;&nbsp; 217501<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2014-160 EI, IO | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 7/16/26 | &nbsp;&nbsp; 7393<br>| &nbsp;&nbsp;&nbsp; 27<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2014-176 IA, IO | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 11/20/44 | &nbsp;&nbsp; 243094<br>| &nbsp;&nbsp;&nbsp; 42810<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2016-21 ST, IO (-1.000 x 1 <br> mo. Term SOFR + 6.036%) | &nbsp;&nbsp; 1.900% | &nbsp;&nbsp; 2/20/46 | &nbsp;&nbsp; 9274024<br>| &nbsp;&nbsp;&nbsp; 1117035<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2016-84 IG, IO, PAC | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 11/16/45 | &nbsp;&nbsp; 1754382<br>| &nbsp;&nbsp;&nbsp; 343305<br>|

---

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2025 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

September 30, 2025

 **Western Asset Core Plus Bond Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount†<br>| Value |
| **Collateralized Mortgage Obligations**<sup>(k)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(k)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(k)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(k)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(k)</sup> **— continued** |
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2016-113 IO, IO | &nbsp;&nbsp; 1.139% | &nbsp;&nbsp; 2/16/58 | &nbsp;&nbsp; 8686720<br>| &nbsp;&nbsp;&nbsp; $527650<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2016-135 SB, IO (-1.000 x 1 <br> mo. Term SOFR + 5.986%) | &nbsp;&nbsp; 1.839% | &nbsp;&nbsp; 10/16/46 | &nbsp;&nbsp; 4150087<br>| &nbsp;&nbsp;&nbsp; 561173<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2016-152 IO, IO | &nbsp;&nbsp; 0.768% | &nbsp;&nbsp; 8/15/58 | &nbsp;&nbsp; 13939099<br>| &nbsp;&nbsp;&nbsp; 535125<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2017-7 IO, IO | &nbsp;&nbsp; 0.542% | &nbsp;&nbsp; 12/16/58 | &nbsp;&nbsp; 25463238<br>| &nbsp;&nbsp;&nbsp; 712619<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2017-8 IO, IO | &nbsp;&nbsp; 0.444% | &nbsp;&nbsp; 8/16/58 | &nbsp;&nbsp; 11634567<br>| &nbsp;&nbsp;&nbsp; 218594<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2017-28 IO, IO | &nbsp;&nbsp; 0.677% | &nbsp;&nbsp; 2/16/57 | &nbsp;&nbsp; 13041367<br>| &nbsp;&nbsp;&nbsp; 477448<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2017-53 IO, IO | &nbsp;&nbsp; 0.523% | &nbsp;&nbsp; 11/16/56 | &nbsp;&nbsp; 20758062<br>| &nbsp;&nbsp;&nbsp; 571191<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2017-111 IO, IO | &nbsp;&nbsp; 0.526% | &nbsp;&nbsp; 2/16/59 | &nbsp;&nbsp; 4398992<br>| &nbsp;&nbsp;&nbsp; 132767<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2017-132 IA, IO | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 9/20/47 | &nbsp;&nbsp; 1551888<br>| &nbsp;&nbsp;&nbsp; 281903<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2017-145 IO, IO | &nbsp;&nbsp; 0.503% | &nbsp;&nbsp; 4/16/57 | &nbsp;&nbsp; 19934261<br>| &nbsp;&nbsp;&nbsp; 484301<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2017-157 IO, IO | &nbsp;&nbsp; 0.520% | &nbsp;&nbsp; 12/16/59 | &nbsp;&nbsp; 13943248<br>| &nbsp;&nbsp;&nbsp; 457178<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2017-171 IO, IO | &nbsp;&nbsp; 0.652% | &nbsp;&nbsp; 9/16/59 | &nbsp;&nbsp; 10351499<br>| &nbsp;&nbsp;&nbsp; 387240<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2017-H11 IO, IO | &nbsp;&nbsp; 2.265% | &nbsp;&nbsp; 5/20/67 | &nbsp;&nbsp; 12189548<br>| &nbsp;&nbsp;&nbsp; 419613<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2017-H15 KI, IO | &nbsp;&nbsp; 2.276% | &nbsp;&nbsp; 7/20/67 | &nbsp;&nbsp; 15153837<br>| &nbsp;&nbsp;&nbsp; 819491<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2017-H18 BI, IO | &nbsp;&nbsp; 1.361% | &nbsp;&nbsp; 9/20/67 | &nbsp;&nbsp; 10001120<br>| &nbsp;&nbsp;&nbsp; 277067<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2017-H20 IB, IO | &nbsp;&nbsp; 2.343% | &nbsp;&nbsp; 10/20/67 | &nbsp;&nbsp; 4851335<br>| &nbsp;&nbsp;&nbsp; 148390<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2017-H22 IC, IO | &nbsp;&nbsp; 2.580% | &nbsp;&nbsp; 11/20/67 | &nbsp;&nbsp; 1076202<br>| &nbsp;&nbsp;&nbsp; 38684<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2018-37 QA | &nbsp;&nbsp; 2.750% | &nbsp;&nbsp; 3/20/48 | &nbsp;&nbsp; 2475646<br>| &nbsp;&nbsp;&nbsp; 2224803<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2018-H17 DI, IO | &nbsp;&nbsp; 1.900% | &nbsp;&nbsp; 9/20/68 | &nbsp;&nbsp; 26647496<br>| &nbsp;&nbsp;&nbsp; 1067389<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2019-137 PI, IO, PAC | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 11/20/49 | &nbsp;&nbsp; 2339174<br>| &nbsp;&nbsp;&nbsp; 452041<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2019-H16 ID, IO | &nbsp;&nbsp; 1.422% | &nbsp;&nbsp; 10/20/69 | &nbsp;&nbsp; 17626680<br>| &nbsp;&nbsp;&nbsp; 998932<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-118 IO, IO | &nbsp;&nbsp; 0.884% | &nbsp;&nbsp; 6/16/62 | &nbsp;&nbsp; 20490523<br>| &nbsp;&nbsp;&nbsp; 1284231<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-155 IO, IO | &nbsp;&nbsp; 1.271% | &nbsp;&nbsp; 9/16/60 | &nbsp;&nbsp; 18906373<br>| &nbsp;&nbsp;&nbsp; 1680340<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2021-21 AH | &nbsp;&nbsp; 1.400% | &nbsp;&nbsp; 6/16/63 | &nbsp;&nbsp; 23988876<br>| &nbsp;&nbsp;&nbsp; 18621463<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2021-63 IO, IO | &nbsp;&nbsp; 0.816% | &nbsp;&nbsp; 4/16/61 | &nbsp;&nbsp; 22455335<br>| &nbsp;&nbsp;&nbsp; 1328931<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2021-110 IO, IO | &nbsp;&nbsp; 0.875% | &nbsp;&nbsp; 11/16/63 | &nbsp;&nbsp; 10920503<br>| &nbsp;&nbsp;&nbsp; 738707<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2021-134 HI, IO | &nbsp;&nbsp; 1.433% | &nbsp;&nbsp; 6/16/61 | &nbsp;&nbsp; 25945138<br>| &nbsp;&nbsp;&nbsp; 2403280<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2021-159 JI, IO, PAC | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 6/20/51 | &nbsp;&nbsp; 4389597<br>| &nbsp;&nbsp;&nbsp; 396120<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2021-191 NI, IO | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 10/20/51 | &nbsp;&nbsp; 1422727<br>| &nbsp;&nbsp;&nbsp; 284189<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2021-218 IO, IO | &nbsp;&nbsp; 0.965% | &nbsp;&nbsp; 10/16/61 | &nbsp;&nbsp; 2730729<br>| &nbsp;&nbsp;&nbsp; 201233<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2022-4 Z | &nbsp;&nbsp; 1.900% | &nbsp;&nbsp; 3/16/64 | &nbsp;&nbsp; 2588829<br>| &nbsp;&nbsp;&nbsp; 1069241<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2023-80 IA, IO | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 10/20/47 | &nbsp;&nbsp; 8916528<br>| &nbsp;&nbsp;&nbsp; 1667865<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2023-92 AH | &nbsp;&nbsp; 2.000% | &nbsp;&nbsp; 6/16/64 | &nbsp;&nbsp; 35182765<br>| &nbsp;&nbsp;&nbsp; 26595926<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2024-151 KS, IO (-1.000 x <br> 30 Day Average SOFR + 6.050%) | &nbsp;&nbsp; 1.661% | &nbsp;&nbsp; 9/20/54 | &nbsp;&nbsp; 3716196<br>| &nbsp;&nbsp;&nbsp; 375547<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2025-55 SD, IO (-1.000 x 30 <br> Day Average SOFR + 5.950%) | &nbsp;&nbsp; 1.561% | &nbsp;&nbsp; 3/20/55 | &nbsp;&nbsp; 15368391<br>| &nbsp;&nbsp;&nbsp; 1497622<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2025-95 SB, IO (-1.000 x 30 <br> Day Average SOFR + 5.800%) | &nbsp;&nbsp; 1.411% | &nbsp;&nbsp; 5/20/55 | &nbsp;&nbsp; 17522581<br>| &nbsp;&nbsp;&nbsp; 1608350<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2025-108 SC, IO (-1.000 x <br> 30 Day Average SOFR + 5.880%) | &nbsp;&nbsp; 1.491% | &nbsp;&nbsp; 6/20/55 | &nbsp;&nbsp; 29204420<br>| &nbsp;&nbsp;&nbsp; 2794378<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2025-114 WS, IO (-1.000 x <br> 30 Day Average SOFR + 5.150%) | &nbsp;&nbsp; 0.761% | &nbsp;&nbsp; 7/20/55 | &nbsp;&nbsp; 19932173<br>| &nbsp;&nbsp;&nbsp; 925271<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2025-141 SE, IO (-1.000 x <br> 30 Day Average SOFR + 5.850%) | &nbsp;&nbsp; 1.461% | &nbsp;&nbsp; 8/20/55 | &nbsp;&nbsp; 20600284<br>| &nbsp;&nbsp;&nbsp; 1931147<br> <sup>(d)</sup><br>|

---

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2025 Quarterly Report

------

 **Western Asset Core Plus Bond Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount†<br>| Value |
| **Collateralized Mortgage Obligations**<sup>(k)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(k)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(k)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(k)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(k)</sup> **— continued** |
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2025-159 GS, IO (-1.000 x <br> 30 Day Average SOFR + 6.570%) | &nbsp;&nbsp; 2.230% | &nbsp;&nbsp; 9/20/55 | &nbsp;&nbsp; 7900000<br>| &nbsp;&nbsp;&nbsp; $823238<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; GreenPoint Mortgage Funding Trust, 2005-AR4 1A2A (1 mo. Term SOFR + 0.754%) | &nbsp;&nbsp; 4.912% | &nbsp;&nbsp; 10/25/45 | &nbsp;&nbsp; 600540<br>| &nbsp;&nbsp;&nbsp; 591053<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; GreenPoint Mortgage Funding Trust, 2006-AR3 3A1 (1 mo. Term SOFR + 0.574%) | &nbsp;&nbsp; 4.732% | &nbsp;&nbsp; 4/25/36 | &nbsp;&nbsp; 55559<br>| &nbsp;&nbsp;&nbsp; 55277<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; GS Mortgage Securities Corp. II, 2024-70P E | &nbsp;&nbsp; 9.263% | &nbsp;&nbsp; 3/10/41 | &nbsp;&nbsp; 8125000<br>| &nbsp;&nbsp;&nbsp; 8431023<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; GS Mortgage Securities Corp. Trust, 2018-LUAU G (1 mo. Term SOFR + 4.747%) | &nbsp;&nbsp; 8.897% | &nbsp;&nbsp; 11/15/32 | &nbsp;&nbsp; 10448000<br>| &nbsp;&nbsp;&nbsp; 10404939<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; GS Mortgage Securities Corp. Trust, 2018-SRP5 A (1 mo. Term SOFR + 1.847%) | &nbsp;&nbsp; 5.998% | &nbsp;&nbsp; 9/15/31 | &nbsp;&nbsp; 12629252<br>| &nbsp;&nbsp;&nbsp; 9843516<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; GS Mortgage Securities Trust, 2015-GC30 B | &nbsp;&nbsp; 4.113% | &nbsp;&nbsp; 5/10/50 | &nbsp;&nbsp; 11340000<br>| &nbsp;&nbsp;&nbsp; 10815525<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; GS Mortgage Securities Trust, 2017-GS8 A4 | &nbsp;&nbsp; 3.469% | &nbsp;&nbsp; 11/10/50 | &nbsp;&nbsp; 4690000<br>| &nbsp;&nbsp;&nbsp; 4607533<br>|
| &nbsp;&nbsp;&nbsp; GS Mortgage-Backed Securities Trust, 2022-NQM1 A4 | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 5/25/62 | &nbsp;&nbsp; 9926695<br>| &nbsp;&nbsp;&nbsp; 9235437<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; GS Mortgage-Backed Securities Trust, 2025-NQM4 A2 | &nbsp;&nbsp; 5.310% | &nbsp;&nbsp; 10/25/65 | &nbsp;&nbsp; 6241000<br>| &nbsp;&nbsp;&nbsp; 6253539<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; GSR Mortgage Loan Trust, 2005-AR7 1A1 | &nbsp;&nbsp; 6.120% | &nbsp;&nbsp; 11/25/35 | &nbsp;&nbsp; 501870<br>| &nbsp;&nbsp;&nbsp; 254958<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; HarborView Mortgage Loan Trust, 2005-3 2A1A (1 mo. Term SOFR + 0.594%) | &nbsp;&nbsp; 4.728% | &nbsp;&nbsp; 6/19/35 | &nbsp;&nbsp; 910579<br>| &nbsp;&nbsp;&nbsp; 891988<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; HarborView Mortgage Loan Trust, 2005-7 1A1 (Enterprise 11th District COFI <br> Replacement Index + 1.850%) | &nbsp;&nbsp; 4.783% | &nbsp;&nbsp; 6/19/45 | &nbsp;&nbsp; 1747411<br>| &nbsp;&nbsp;&nbsp; 784548<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; HarborView Mortgage Loan Trust, 2006-13 A (1 mo. Term SOFR + 0.294%) | &nbsp;&nbsp; 4.428% | &nbsp;&nbsp; 11/19/46 | &nbsp;&nbsp; 71182<br>| &nbsp;&nbsp;&nbsp; 49634<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; HOMES Trust, 2023-NQM1 A1 | &nbsp;&nbsp; 6.182% | &nbsp;&nbsp; 1/25/68 | &nbsp;&nbsp; 6344360<br>| &nbsp;&nbsp;&nbsp; 6350074<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; IndyMac INDX Mortgage Loan Trust, 2005-AR13 1A1 | &nbsp;&nbsp; 3.998% | &nbsp;&nbsp; 8/25/35 | &nbsp;&nbsp; 96738<br>| &nbsp;&nbsp;&nbsp; 43066<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; JPMorgan Chase Commercial Mortgage Securities Trust, 2015-FL7 D (PRIME + <br> 0.693%) | &nbsp;&nbsp; 8.193% | &nbsp;&nbsp; 5/15/28 | &nbsp;&nbsp; 10175200<br>| &nbsp;&nbsp;&nbsp; 8425575<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; JPMorgan Mortgage Trust, 2022-LTV1 A3 | &nbsp;&nbsp; 3.514% | &nbsp;&nbsp; 7/25/52 | &nbsp;&nbsp; 10422590<br>| &nbsp;&nbsp;&nbsp; 9349052<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Legacy Mortgage Asset Trust, 2021-GS1 A1 | &nbsp;&nbsp; 5.892% | &nbsp;&nbsp; 10/25/66 | &nbsp;&nbsp; 8583311<br>| &nbsp;&nbsp;&nbsp; 8590323<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; MASTR Adjustable Rate Mortgages Trust, 2004-6 5A1 | &nbsp;&nbsp; 6.534% | &nbsp;&nbsp; 7/25/34 | &nbsp;&nbsp; 24168<br>| &nbsp;&nbsp;&nbsp; 23712<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; MASTR Adjustable Rate Mortgages Trust, 2006-OA1 1A1 (1 mo. Term SOFR + <br> 0.324%) | &nbsp;&nbsp; 4.482% | &nbsp;&nbsp; 4/25/46 | &nbsp;&nbsp; 58868<br>| &nbsp;&nbsp;&nbsp; 54564<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; MASTR Reperforming Loan Trust, 2005-2 1A1F (1 mo. Term SOFR + 0.464%) | &nbsp;&nbsp; 4.622% | &nbsp;&nbsp; 5/25/35 | &nbsp;&nbsp; 1531405<br>| &nbsp;&nbsp;&nbsp; 738201<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; MF1 LLC, 2022-FL10 A (1 mo. Term SOFR + 2.635%) | &nbsp;&nbsp; 6.769% | &nbsp;&nbsp; 9/17/37 | &nbsp;&nbsp; 6583265<br>| &nbsp;&nbsp;&nbsp; 6592155<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; MHC Commercial Mortgage Trust, 2021-MHC E (1 mo. Term SOFR + 2.215%) | &nbsp;&nbsp; 6.365% | &nbsp;&nbsp; 4/15/38 | &nbsp;&nbsp; 127200<br>| &nbsp;&nbsp;&nbsp; 127419<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Morgan Stanley Mortgage Loan Trust, 2005-3AR 2A2 | &nbsp;&nbsp; 3.582% | &nbsp;&nbsp; 7/25/35 | &nbsp;&nbsp; 439640<br>| &nbsp;&nbsp;&nbsp; 393437<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Morgan Stanley Residential Mortgage Loan Trust, 2025-SPL1 A3 | &nbsp;&nbsp; 4.250% | &nbsp;&nbsp; 2/25/65 | &nbsp;&nbsp; 8000000<br>| &nbsp;&nbsp;&nbsp; 7719730<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Mortgage Loan Resecuritization Trust, 2009-RS1 A85 (1 mo. Term SOFR + 0.454%) | &nbsp;&nbsp; 4.735% | &nbsp;&nbsp; 4/16/36 | &nbsp;&nbsp; 15226537<br>| &nbsp;&nbsp;&nbsp; 14968132<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Multifamily Trust, 2016-1 B | &nbsp;&nbsp; 9.625% | &nbsp;&nbsp; 4/25/46 | &nbsp;&nbsp; 1109158<br>| &nbsp;&nbsp;&nbsp; 1104575<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Nomura Asset Acceptance Corp. Alternative Loan Trust, 2005-AP2 A5 | &nbsp;&nbsp; 5.476% | &nbsp;&nbsp; 5/25/35 | &nbsp;&nbsp; 38454<br>| &nbsp;&nbsp;&nbsp; 18464<br>|
| &nbsp;&nbsp;&nbsp; NRTH Mortgage Trust, 2024-PARK A (1 mo. Term SOFR + 1.641%) | &nbsp;&nbsp; 5.791% | &nbsp;&nbsp; 3/15/39 | &nbsp;&nbsp; 3540000<br>| &nbsp;&nbsp;&nbsp; 3536989<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; PFP Ltd., 2024-11 A (1 mo. Term SOFR + 1.832%) | &nbsp;&nbsp; 6.050% | &nbsp;&nbsp; 9/17/39 | &nbsp;&nbsp; 4650615<br>| &nbsp;&nbsp;&nbsp; 4652812<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Prime Mortgage Trust, 2006-DR1 2A2 | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 5/25/35 | &nbsp;&nbsp; 7117141<br>| &nbsp;&nbsp;&nbsp; 6099637<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; PRKCM Trust, 2021-AFC1 A1 | &nbsp;&nbsp; 1.510% | &nbsp;&nbsp; 8/25/56 | &nbsp;&nbsp; 10366076<br>| &nbsp;&nbsp;&nbsp; 8805254<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; RAMP Trust, 2004-SL4 A5 | &nbsp;&nbsp; 7.500% | &nbsp;&nbsp; 7/25/32 | &nbsp;&nbsp; 303442<br>| &nbsp;&nbsp;&nbsp; 98411<br>|
| &nbsp;&nbsp;&nbsp; RBSSP Resecuritization Trust, 2009-12 9A2 | &nbsp;&nbsp; 4.608% | &nbsp;&nbsp; 3/25/36 | &nbsp;&nbsp; 3422779<br>| &nbsp;&nbsp;&nbsp; 2294213<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Reperforming Loan REMIC Trust, 2006-R2 AS, IO | &nbsp;&nbsp; 1.516% | &nbsp;&nbsp; 7/25/36 | &nbsp;&nbsp; 3868802<br>| &nbsp;&nbsp;&nbsp; 156166<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Santander Mortgage Asset Receivable Trust, 2025-NQM5 A3 | &nbsp;&nbsp; 5.473% | &nbsp;&nbsp; 8/25/65 | &nbsp;&nbsp; 4000000<br>| &nbsp;&nbsp;&nbsp; 4012541<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; SCOTT Trust, 2023-SFS A | &nbsp;&nbsp; 5.910% | &nbsp;&nbsp; 3/10/40 | &nbsp;&nbsp; 9300000<br>| &nbsp;&nbsp;&nbsp; 9569502<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; SHOW Trust, 2022 BIZ A (1 mo. Term SOFR + 2.984%) | &nbsp;&nbsp; 7.202% | &nbsp;&nbsp; 1/15/27 | &nbsp;&nbsp; 10600000<br>| &nbsp;&nbsp;&nbsp; 7511894<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Soho Trust, 2021-SOHO B | &nbsp;&nbsp; 2.786% | &nbsp;&nbsp; 8/10/38 | &nbsp;&nbsp; 6280000<br>| &nbsp;&nbsp;&nbsp; 4862751<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Structured Adjustable Rate Mortgage Loan Trust, 2004-8 1A1 | &nbsp;&nbsp; 0.000% | &nbsp;&nbsp; 7/25/34 | &nbsp;&nbsp; 294<br>| &nbsp;&nbsp;&nbsp; 289<br> <sup>(d)</sup><br>|

---

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2025 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

September 30, 2025

 **Western Asset Core Plus Bond Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount†<br>| Value |
| **Collateralized Mortgage Obligations**<sup>(k)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(k)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(k)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(k)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(k)</sup> **— continued** |
| &nbsp;&nbsp;&nbsp; Structured Asset Mortgage Investments II Trust, 2006-AR6 1A1 (1 mo. Term SOFR <br> + 0.474%) | &nbsp;&nbsp; 4.632% | &nbsp;&nbsp; 7/25/46 | &nbsp;&nbsp; 58539<br>| &nbsp;&nbsp;&nbsp; $50804<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; SunTrust Alternative Loan Trust, 2006-1F 3A (1 mo. Term SOFR + 0.464%) | &nbsp;&nbsp; 4.622% | &nbsp;&nbsp; 4/25/36 | &nbsp;&nbsp; 15437859<br>| &nbsp;&nbsp;&nbsp; 3584990<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; UBS Commercial Mortgage Trust, 2017-C1 A4 | &nbsp;&nbsp; 3.460% | &nbsp;&nbsp; 6/15/50 | &nbsp;&nbsp; 4740000<br>| &nbsp;&nbsp;&nbsp; 4682878<br>|
| &nbsp;&nbsp;&nbsp; UBS Commercial Mortgage Trust, 2017-C3 A4 | &nbsp;&nbsp; 3.426% | &nbsp;&nbsp; 8/15/50 | &nbsp;&nbsp; 4700000<br>| &nbsp;&nbsp;&nbsp; 4587832<br>|
| &nbsp;&nbsp;&nbsp; UBS Commercial Mortgage Trust, 2018-C11 A3 | &nbsp;&nbsp; 4.312% | &nbsp;&nbsp; 6/15/51 | &nbsp;&nbsp; 601510<br>| &nbsp;&nbsp;&nbsp; 599722<br>|
| &nbsp;&nbsp;&nbsp; VLS Commercial Mortgage Trust, 2020-LAB A | &nbsp;&nbsp; 2.130% | &nbsp;&nbsp; 10/10/42 | &nbsp;&nbsp; 17345000<br>| &nbsp;&nbsp;&nbsp; 14853538<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Wells Fargo Commercial Mortgage Trust, 2017-C41 XA, IO | &nbsp;&nbsp; 1.301% | &nbsp;&nbsp; 11/15/50 | &nbsp;&nbsp; 28664910<br>| &nbsp;&nbsp;&nbsp; 527907<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Wells Fargo Commercial Mortgage Trust, 2018-C44 A5 | &nbsp;&nbsp; 4.212% | &nbsp;&nbsp; 5/15/51 | &nbsp;&nbsp; 4630000<br>| &nbsp;&nbsp;&nbsp; 4605404<br>|
| &nbsp;&nbsp;&nbsp; Wells Fargo Commercial Mortgage Trust, 2022-JS2 G | &nbsp;&nbsp; 3.569% | &nbsp;&nbsp; 12/15/39 | &nbsp;&nbsp; 10000000<br>| &nbsp;&nbsp;&nbsp; 7431864<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Wells Fargo Commercial Mortgage Trust, 2024-C63 A5 | &nbsp;&nbsp; 5.309% | &nbsp;&nbsp; 8/15/57 | &nbsp;&nbsp; 2500000<br>| &nbsp;&nbsp;&nbsp; 2592905<br>|
| **Total Collateralized Mortgage Obligations (Cost — $716,770,428)** | **Total Collateralized Mortgage Obligations (Cost — $716,770,428)** | **Total Collateralized Mortgage Obligations (Cost — $716,770,428)** | **Total Collateralized Mortgage Obligations (Cost — $716,770,428)** | &nbsp;&nbsp; **659726199** |
|  |  |  | &nbsp;&nbsp; Face <br>Amount†/ <br>Units<br>|  |
| **Asset-Backed Securities — 7.6%** | **Asset-Backed Securities — 7.6%** | **Asset-Backed Securities — 7.6%** | **Asset-Backed Securities — 7.6%** | **Asset-Backed Securities — 7.6%** |
| &nbsp;&nbsp;&nbsp; AIMCO CLO Ltd., 2021-15A AR (3 mo. Term SOFR + 1.200%) | &nbsp;&nbsp; 5.522% | &nbsp;&nbsp; 4/17/38 | &nbsp;&nbsp; 11560000<br>| &nbsp;&nbsp;&nbsp; 11588912<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; AIMCO CLO Ltd., 2024-22A A (3 mo. Term SOFR + 1.500%) | &nbsp;&nbsp; 5.825% | &nbsp;&nbsp; 4/19/37 | &nbsp;&nbsp; 5350000<br>| &nbsp;&nbsp;&nbsp; 5369066<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Avis Budget Rental Car Funding AESOP LLC, 2025-4A A | &nbsp;&nbsp; 4.400% | &nbsp;&nbsp; 2/20/32 | &nbsp;&nbsp; 2130000<br>| &nbsp;&nbsp;&nbsp; 2122631<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Bear Stearns Asset-Backed Securities Trust, 2005-CL1 A1 (1 mo. Term SOFR + <br> 0.614%) | &nbsp;&nbsp; 2.709% | &nbsp;&nbsp; 9/25/34 | &nbsp;&nbsp; 230942<br>| &nbsp;&nbsp;&nbsp; 231386<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BlueMountain CLO Ltd., 2021-31A A1 (3 mo. Term SOFR + 1.412%) | &nbsp;&nbsp; 5.737% | &nbsp;&nbsp; 4/19/34 | &nbsp;&nbsp; 970000<br>| &nbsp;&nbsp;&nbsp; 971192<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; CIFC Funding Ltd., 2015-4A A1A2 (3 mo. Term SOFR + 1.332%) | &nbsp;&nbsp; 5.657% | &nbsp;&nbsp; 4/20/34 | &nbsp;&nbsp; 4700000<br>| &nbsp;&nbsp;&nbsp; 4705927<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; CLI Funding LLC, 2024-1A A | &nbsp;&nbsp; 5.630% | &nbsp;&nbsp; 7/20/49 | &nbsp;&nbsp; 7423867<br>| &nbsp;&nbsp;&nbsp; 7493124<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; College Ave Student Loans LLC, 2019-A A1 (1 mo. Term SOFR + 1.514%) | &nbsp;&nbsp; 5.672% | &nbsp;&nbsp; 12/28/48 | &nbsp;&nbsp; 8756392<br>| &nbsp;&nbsp;&nbsp; 8791542<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; College Ave Student Loans LLC, 2024-B A1A | &nbsp;&nbsp; 5.690% | &nbsp;&nbsp; 8/25/54 | &nbsp;&nbsp; 5418842<br>| &nbsp;&nbsp;&nbsp; 5569098<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Conseco Finance Corp., 1999-3 A9 | &nbsp;&nbsp; 6.530% | &nbsp;&nbsp; 2/1/31 | &nbsp;&nbsp; 3870285<br>| &nbsp;&nbsp;&nbsp; 3507317<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; DB Master Finance LLC, 2021-1A A23 | &nbsp;&nbsp; 2.791% | &nbsp;&nbsp; 11/20/51 | &nbsp;&nbsp; 7613375<br>| &nbsp;&nbsp;&nbsp; 6777631<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Elmwood CLO Ltd., 2019-1A A1RR (3 mo. Term SOFR + 1.520%) | &nbsp;&nbsp; 5.845% | &nbsp;&nbsp; 4/20/37 | &nbsp;&nbsp; 10000000<br>| &nbsp;&nbsp;&nbsp; 10035995<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Fortress Credit BSL Ltd., 2025-1A A (3 mo. Term SOFR + 1.270%) | &nbsp;&nbsp; 5.563% | &nbsp;&nbsp; 4/20/38 | &nbsp;&nbsp; 6390000<br>| &nbsp;&nbsp;&nbsp; 6410530<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; GMAC Mortgage Corp. Loan Trust, 2004-HE3 A2VN (1 mo. Term SOFR + 0.614%) | &nbsp;&nbsp; 4.772% | &nbsp;&nbsp; 10/25/34 | &nbsp;&nbsp; 501749<br>| &nbsp;&nbsp;&nbsp; 479964<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; GSRPM Mortgage Loan Trust, 2007-1 A (1 mo. Term SOFR + 0.514%) | &nbsp;&nbsp; 4.672% | &nbsp;&nbsp; 10/25/46 | &nbsp;&nbsp; 3305123<br>| &nbsp;&nbsp;&nbsp; 3111301<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; HalseyPoint CLO Ltd., 2020-3A A1R (3 mo. Term SOFR + 1.480%) | &nbsp;&nbsp; 5.790% | &nbsp;&nbsp; 7/30/37 | &nbsp;&nbsp; 10000000<br>| &nbsp;&nbsp;&nbsp; 10032077<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Hildene Community Funding CDO Ltd., 2015-1A ARR | &nbsp;&nbsp; 2.600% | &nbsp;&nbsp; 11/1/35 | &nbsp;&nbsp; 5594769<br>| &nbsp;&nbsp;&nbsp; 4925909<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Jimmy Johns Funding LLC, 2017-1A A2II | &nbsp;&nbsp; 4.846% | &nbsp;&nbsp; 7/30/47 | &nbsp;&nbsp; 6020980<br>| &nbsp;&nbsp;&nbsp; 6001182<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Kings Park CLO Ltd., 2021-1A A (3 mo. Term SOFR + 1.392%) | &nbsp;&nbsp; 5.717% | &nbsp;&nbsp; 1/21/35 | &nbsp;&nbsp; 9910000<br>| &nbsp;&nbsp;&nbsp; 9929820<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Loanpal Solar Loan Ltd., 2020-3GS A | &nbsp;&nbsp; 2.470% | &nbsp;&nbsp; 12/20/47 | &nbsp;&nbsp; 10600625<br>| &nbsp;&nbsp;&nbsp; 8983684<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Loanpal Solar Loan Ltd., 2021-1GS A | &nbsp;&nbsp; 2.290% | &nbsp;&nbsp; 1/20/48 | &nbsp;&nbsp; 2289934<br>| &nbsp;&nbsp;&nbsp; 1923407<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Long Beach Mortgage Loan Trust, 2006-9 2A3 (1 mo. Term SOFR + 0.434%) | &nbsp;&nbsp; 4.592% | &nbsp;&nbsp; 10/25/36 | &nbsp;&nbsp; 2931670<br>| &nbsp;&nbsp;&nbsp; 917045<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Lunar Structured Aircraft Portfolio Notes, 2021-1 A | &nbsp;&nbsp; 2.636% | &nbsp;&nbsp; 10/15/46 | &nbsp;&nbsp; 7136869<br>| &nbsp;&nbsp;&nbsp; 6751043<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; M&T Equipment Notes, 2024-1A A4 | &nbsp;&nbsp; 4.940% | &nbsp;&nbsp; 8/18/31 | &nbsp;&nbsp; 9460000<br>| &nbsp;&nbsp;&nbsp; 9651777<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Magnetite Ltd., 2021-29A BR (3 mo. Term SOFR + 1.750%) | &nbsp;&nbsp; 6.068% | &nbsp;&nbsp; 7/15/37 | &nbsp;&nbsp; 4840000<br>| &nbsp;&nbsp;&nbsp; 4862396<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Morgan Stanley Resecuritization Trust, 2015-R7 1BXA | &nbsp;&nbsp; 7.060% | &nbsp;&nbsp; 2/26/29 | &nbsp;&nbsp; 8115407<br>| &nbsp;&nbsp;&nbsp; 7332303<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; National Collegiate Student Loan Trust, 2005-2 A51 (1 mo. Term SOFR + 0.484%) | &nbsp;&nbsp; 4.642% | &nbsp;&nbsp; 6/25/33 | &nbsp;&nbsp; 2734867<br>| &nbsp;&nbsp;&nbsp; 2714376<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; National Collegiate Student Loan Trust, 2006-4 A4 (1 mo. Term SOFR + 0.424%) | &nbsp;&nbsp; 4.582% | &nbsp;&nbsp; 5/25/32 | &nbsp;&nbsp; 542678<br>| &nbsp;&nbsp;&nbsp; 542417<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Oak Street Investment Grade Net Lease Fund, 2020-1A A1 | &nbsp;&nbsp; 1.850% | &nbsp;&nbsp; 11/20/50 | &nbsp;&nbsp; 5201905<br>| &nbsp;&nbsp;&nbsp; 4990429<br> <sup>(a)</sup><br>|

---

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2025 Quarterly Report

------

 **Western Asset Core Plus Bond Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount†/<br> Units<br>| Value |
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp; Octagon Ltd., 2022-1A A1R (3 mo. Term SOFR + 1.750%) | &nbsp;&nbsp; 5.935% | &nbsp;&nbsp; 11/16/36 | &nbsp;&nbsp; 25000000<br>| &nbsp;&nbsp;&nbsp; $25045125<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Option One Mortgage Loan Trust, 2007-FXD2 1A1 | &nbsp;&nbsp; 5.820% | &nbsp;&nbsp; 3/25/37 | &nbsp;&nbsp; 12274132<br>| &nbsp;&nbsp;&nbsp; 11161466<br>|
| &nbsp;&nbsp;&nbsp; Origen Manufactured Housing Contract Trust, 2007-A A2 | &nbsp;&nbsp; 6.605% | &nbsp;&nbsp; 4/15/37 | &nbsp;&nbsp; 2173526<br>| &nbsp;&nbsp;&nbsp; 2024537<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Palmer Square CLO Ltd., 2021-1A A1AR (3 mo. Term SOFR + 1.150%) | &nbsp;&nbsp; 5.475% | &nbsp;&nbsp; 4/20/38 | &nbsp;&nbsp; 9460000<br>| &nbsp;&nbsp;&nbsp; 9476240<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Rad CLO Ltd., 2023-22A A1 (3 mo. Term SOFR + 1.830%) | &nbsp;&nbsp; 6.155% | &nbsp;&nbsp; 1/20/37 | &nbsp;&nbsp; 24500000<br>| &nbsp;&nbsp;&nbsp; 24567375<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Renaissance Home Equity Loan Trust, 2003-4 A3 (1 mo. Term SOFR + 1.354%) | &nbsp;&nbsp; 5.512% | &nbsp;&nbsp; 3/25/34 | &nbsp;&nbsp; 3138134<br>| &nbsp;&nbsp;&nbsp; 2873719<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Sagard-Halseypoint CLO Ltd., 2024-8A A1 (3 mo. Term SOFR + 1.390%) | &nbsp;&nbsp; 5.700% | &nbsp;&nbsp; 1/30/38 | &nbsp;&nbsp; 2190000<br>| &nbsp;&nbsp;&nbsp; 2200678<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; SEB Funding LLC, 2024-1A A2 | &nbsp;&nbsp; 7.386% | &nbsp;&nbsp; 4/30/54 | &nbsp;&nbsp; 14060000<br>| &nbsp;&nbsp;&nbsp; 14396273<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Silver Point CLO Ltd., 2025-8A A1 (3 mo. Term SOFR + 1.210%) | &nbsp;&nbsp; 5.432% | &nbsp;&nbsp; 4/15/38 | &nbsp;&nbsp; 9410000<br>| &nbsp;&nbsp;&nbsp; 9433635<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; SMB Private Education Loan Trust, 2015-C R | &nbsp;&nbsp; 21.497% | &nbsp;&nbsp; 9/18/46 | &nbsp;&nbsp; 24595<br>| &nbsp;&nbsp;&nbsp; 6456025<br> <sup>(a)(l)</sup><br>|
| &nbsp;&nbsp;&nbsp; SMB Private Education Loan Trust, 2025-B A1A | &nbsp;&nbsp; 5.020% | &nbsp;&nbsp; 3/17/53 | &nbsp;&nbsp; 4896324<br>| &nbsp;&nbsp;&nbsp; 4956735<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; SpringCastle America Funding LLC, 2020-AA A | &nbsp;&nbsp; 1.970% | &nbsp;&nbsp; 9/25/37 | &nbsp;&nbsp; 5244384<br>| &nbsp;&nbsp;&nbsp; 4971287<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Store Master Funding, 2023-1A A1 | &nbsp;&nbsp; 6.190% | &nbsp;&nbsp; 6/20/53 | &nbsp;&nbsp; 6384633<br>| &nbsp;&nbsp;&nbsp; 6432361<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Store Master Funding, 2024-1A A2 | &nbsp;&nbsp; 5.700% | &nbsp;&nbsp; 5/20/54 | &nbsp;&nbsp; 10445483<br>| &nbsp;&nbsp;&nbsp; 10702752<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Structured Asset Securities Corp. Mortgage Loan Trust, 2006-ARS1 A1 (1 mo. <br> Term SOFR + 0.334%) | &nbsp;&nbsp; 4.492% | &nbsp;&nbsp; 2/25/36 | &nbsp;&nbsp; 1070507<br>| &nbsp;&nbsp;&nbsp; 19304<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Structured Asset Securities Corp. Trust, 2005-SC1 1A2 | &nbsp;&nbsp; 7.326% | &nbsp;&nbsp; 5/25/31 | &nbsp;&nbsp; 2551164<br>| &nbsp;&nbsp;&nbsp; 1831872<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Sunrun Atlas Issuer LLC, 2019-2 A | &nbsp;&nbsp; 3.610% | &nbsp;&nbsp; 2/1/55 | &nbsp;&nbsp; 2131507<br>| &nbsp;&nbsp;&nbsp; 2040632<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Sunrun Demeter Issuer LLC, 2021-2A A | &nbsp;&nbsp; 2.270% | &nbsp;&nbsp; 1/30/57 | &nbsp;&nbsp; 5230153<br>| &nbsp;&nbsp;&nbsp; 4711322<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Sycamore Tree CLO Ltd., 2025-6A A1 (3 mo. Term SOFR + 1.200%) | &nbsp;&nbsp; 5.525% | &nbsp;&nbsp; 4/20/38 | &nbsp;&nbsp; 8200000<br>| &nbsp;&nbsp;&nbsp; 8210250<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Taco Bell Funding LLC, 2025-1A A2I | &nbsp;&nbsp; 4.821% | &nbsp;&nbsp; 8/25/55 | &nbsp;&nbsp; 3730000<br>| &nbsp;&nbsp;&nbsp; 3747045<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Thrust Engine Leasing DAC, 2021-1A A | &nbsp;&nbsp; 4.163% | &nbsp;&nbsp; 7/15/40 | &nbsp;&nbsp; 9669631<br>| &nbsp;&nbsp;&nbsp; 9511129<br> <sup>(a)</sup><br>|
| **Total Asset-Backed Securities (Cost — $355,990,240)** | **Total Asset-Backed Securities (Cost — $355,990,240)** | **Total Asset-Backed Securities (Cost — $355,990,240)** | **Total Asset-Backed Securities (Cost — $355,990,240)** | &nbsp;&nbsp; **321493243** |
|  |  |  | &nbsp;&nbsp; Face <br>Amount†<br>|  |
| **U.S. Government & Agency Obligations — 6.7%** | **U.S. Government & Agency Obligations — 6.7%** | **U.S. Government & Agency Obligations — 6.7%** | **U.S. Government & Agency Obligations — 6.7%** | **U.S. Government & Agency Obligations — 6.7%** |
| *U.S. Government Obligations — 6.7%* | *U.S. Government Obligations — 6.7%* | *U.S. Government Obligations — 6.7%* | *U.S. Government Obligations — 6.7%* | *U.S. Government Obligations — 6.7%* |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | &nbsp;&nbsp; 4.750% | &nbsp;&nbsp; 2/15/41 | &nbsp;&nbsp; 31090000 | &nbsp;&nbsp;&nbsp; 31903684<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | &nbsp;&nbsp; 4.750% | &nbsp;&nbsp; 11/15/43 | &nbsp;&nbsp; 940000 | &nbsp;&nbsp;&nbsp; 950281<br> <sup>(m)</sup><br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | &nbsp;&nbsp; 3.625% | &nbsp;&nbsp; 2/15/44 | &nbsp;&nbsp; 33156000 | &nbsp;&nbsp;&nbsp; 28790028<br> <sup>(m)(n)</sup><br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 5/15/45 | &nbsp;&nbsp; 6340000 | &nbsp;&nbsp;&nbsp; 6585180<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | &nbsp;&nbsp; 2.875% | &nbsp;&nbsp; 8/15/45 | &nbsp;&nbsp; 52040000 | &nbsp;&nbsp;&nbsp; 39557515<br> <sup>(n)</sup><br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 2/15/49 | &nbsp;&nbsp; 26870000 | &nbsp;&nbsp;&nbsp; 20124685<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | &nbsp;&nbsp; 2.000% | &nbsp;&nbsp; 2/15/50 | &nbsp;&nbsp; 2000000 | &nbsp;&nbsp;&nbsp; 1196445<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | &nbsp;&nbsp; 4.750% | &nbsp;&nbsp; 11/15/53 | &nbsp;&nbsp; 13156000 | &nbsp;&nbsp;&nbsp; 13182209<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | &nbsp;&nbsp; 4.250% | &nbsp;&nbsp; 2/15/54 | &nbsp;&nbsp; 6490000 | &nbsp;&nbsp;&nbsp; 5992349<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | &nbsp;&nbsp; 4.250% | &nbsp;&nbsp; 8/15/54 | &nbsp;&nbsp; 12420000 | &nbsp;&nbsp;&nbsp; 11469094<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 11/15/54 | &nbsp;&nbsp; 2350000 | &nbsp;&nbsp;&nbsp; 2263344<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | &nbsp;&nbsp; 4.625% | &nbsp;&nbsp; 2/15/55 | &nbsp;&nbsp; 1050000 | &nbsp;&nbsp;&nbsp; 1032445<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | &nbsp;&nbsp; 4.750% | &nbsp;&nbsp; 5/15/55 | &nbsp;&nbsp; 3240000 | &nbsp;&nbsp;&nbsp; 3251137<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Notes | &nbsp;&nbsp; 3.875% | &nbsp;&nbsp; 5/31/27 | &nbsp;&nbsp; 2160000 | &nbsp;&nbsp;&nbsp; 2167678<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Notes | &nbsp;&nbsp; 3.875% | &nbsp;&nbsp; 6/30/30 | &nbsp;&nbsp; 890000 | &nbsp;&nbsp;&nbsp; 895528<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Notes | &nbsp;&nbsp; 3.875% | &nbsp;&nbsp; 7/31/30 | &nbsp;&nbsp; 2890000 | &nbsp;&nbsp;&nbsp; 2907837<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Notes | &nbsp;&nbsp; 3.625% | &nbsp;&nbsp; 9/30/30 | &nbsp;&nbsp; 620000 | &nbsp;&nbsp;&nbsp; 616876<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Notes | &nbsp;&nbsp; 4.125% | &nbsp;&nbsp; 5/31/32 | &nbsp;&nbsp; 1110000 | &nbsp;&nbsp;&nbsp; 1124222<br>|

---

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2025 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

September 30, 2025

 **Western Asset Core Plus Bond Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount†<br>| Value |
| *U.S. Government Obligations — continued* | *U.S. Government Obligations — continued* | *U.S. Government Obligations — continued* | *U.S. Government Obligations — continued* | *U.S. Government Obligations — continued* |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Notes | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 6/30/32 | &nbsp;&nbsp; 53730000 | &nbsp;&nbsp;&nbsp; $54016490<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Notes | &nbsp;&nbsp; 4.250% | &nbsp;&nbsp; 5/15/35 | &nbsp;&nbsp; 3210000 | &nbsp;&nbsp;&nbsp; 3240094<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Strip Principal (STRIPS) | &nbsp;&nbsp; 0.000% | &nbsp;&nbsp; 5/15/49 | &nbsp;&nbsp; 152060000 | &nbsp;&nbsp;&nbsp; 48468923<br>|
| **Total U.S. Government & Agency Obligations (Cost — $337,414,665)** | **Total U.S. Government & Agency Obligations (Cost — $337,414,665)** | **Total U.S. Government & Agency Obligations (Cost — $337,414,665)** | **Total U.S. Government & Agency Obligations (Cost — $337,414,665)** | &nbsp;&nbsp; **279736044** |
| **Sovereign Bonds — 4.2%** | **Sovereign Bonds — 4.2%** | **Sovereign Bonds — 4.2%** | **Sovereign Bonds — 4.2%** | **Sovereign Bonds — 4.2%** |
| *Argentina — 0.3%* | *Argentina — 0.3%* | *Argentina — 0.3%* | *Argentina — 0.3%* | *Argentina — 0.3%* |
| &nbsp;&nbsp;&nbsp; Argentine Republic Government International Bond, Senior Notes, Step bond <br> (0.750% to 7/9/27 then 1.750%) | &nbsp;&nbsp; 0.750% | &nbsp;&nbsp; 7/9/30 | &nbsp;&nbsp; 3995921<br>| &nbsp;&nbsp;&nbsp; 2703240<br>|
| &nbsp;&nbsp;&nbsp; Argentine Republic Government International Bond, Senior Notes, Step bond <br> (4.125% to 7/9/27 then 4.750%) | &nbsp;&nbsp; 4.125% | &nbsp;&nbsp; 7/9/35 | &nbsp;&nbsp; 120000<br>| &nbsp;&nbsp;&nbsp; 62940<br>|
| &nbsp;&nbsp;&nbsp; Provincia de Buenos Aires, Senior Notes | &nbsp;&nbsp; 6.625% | &nbsp;&nbsp; 9/1/37 | &nbsp;&nbsp; 12906637<br>| &nbsp;&nbsp;&nbsp; 7566516<br> <sup>(a)</sup><br>|
| *Total Argentina* | *Total Argentina* | *Total Argentina* | *Total Argentina* | &nbsp;&nbsp; *10332696* |
| *Bahamas — 0.0%††* | *Bahamas — 0.0%††* | *Bahamas — 0.0%††* | *Bahamas — 0.0%††* | *Bahamas — 0.0%††* |
| &nbsp;&nbsp;&nbsp; Bahamas Government International Bond, Senior Notes | &nbsp;&nbsp; 8.250% | &nbsp;&nbsp; 6/24/36 | &nbsp;&nbsp; 1610000<br>| &nbsp;&nbsp;&nbsp;&nbsp; *1741312*<br> <sup>(a)</sup><br>|
| *Brazil — 2.0%* | *Brazil — 2.0%* | *Brazil — 2.0%* | *Brazil — 2.0%* | *Brazil — 2.0%* |
| &nbsp;&nbsp;&nbsp; Brazil Letras do Tesouro Nacional | &nbsp;&nbsp; 0.000% | &nbsp;&nbsp; 1/1/26 | &nbsp;&nbsp; 77209000 <br><sup>BRL</sup><br>| &nbsp;&nbsp;&nbsp; 14007544<br>|
| &nbsp;&nbsp;&nbsp; Brazil Notas do Tesouro Nacional Serie F, Notes | &nbsp;&nbsp; 10.000% | &nbsp;&nbsp; 1/1/27 | &nbsp;&nbsp; 140000000 <br><sup>BRL</sup><br>| &nbsp;&nbsp;&nbsp; 25187538<br>|
| &nbsp;&nbsp;&nbsp; Brazil Notas do Tesouro Nacional Serie F, Notes | &nbsp;&nbsp; 10.000% | &nbsp;&nbsp; 1/1/33 | &nbsp;&nbsp; 245741000 <br><sup>BRL</sup><br>| &nbsp;&nbsp;&nbsp; 38927653<br>|
| &nbsp;&nbsp;&nbsp; Brazilian Government International Bond, Senior Notes | &nbsp;&nbsp; 6.125% | &nbsp;&nbsp; 3/15/34 | &nbsp;&nbsp; 7580000<br>| &nbsp;&nbsp;&nbsp; 7765710<br>|
| *Total Brazil* | *Total Brazil* | *Total Brazil* | *Total Brazil* | &nbsp;&nbsp; *85888445* |
| *Egypt — 0.2%* | *Egypt — 0.2%* | *Egypt — 0.2%* | *Egypt — 0.2%* | *Egypt — 0.2%* |
| &nbsp;&nbsp;&nbsp; Egypt Government International Bond, Senior Notes | &nbsp;&nbsp; 7.053% | &nbsp;&nbsp; 1/15/32 | &nbsp;&nbsp; 7390000<br>| &nbsp;&nbsp;&nbsp;&nbsp; *7140658*<br> <sup>(h)</sup><br>|
| *Mexico — 0.4%* | *Mexico — 0.4%* | *Mexico — 0.4%* | *Mexico — 0.4%* | *Mexico — 0.4%* |
| &nbsp;&nbsp;&nbsp; Eagle Funding Luxco Sarl, Senior Notes | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 8/17/30 | &nbsp;&nbsp; 17520000<br>| &nbsp;&nbsp;&nbsp;&nbsp; *17796991*<br> <sup>(a)</sup><br>|
| *Nigeria — 0.2%* | *Nigeria — 0.2%* | *Nigeria — 0.2%* | *Nigeria — 0.2%* | *Nigeria — 0.2%* |
| &nbsp;&nbsp;&nbsp; Nigeria Government International Bond, Senior Notes | &nbsp;&nbsp; 7.143% | &nbsp;&nbsp; 2/23/30 | &nbsp;&nbsp; 7670000<br>| &nbsp;&nbsp;&nbsp;&nbsp; *7592816*<br> <sup>(a)</sup><br>|
| *Peru — 0.1%* | *Peru — 0.1%* | *Peru — 0.1%* | *Peru — 0.1%* | *Peru — 0.1%* |
| &nbsp;&nbsp;&nbsp; Peruvian Government International Bond, Senior Notes | &nbsp;&nbsp; 5.375% | &nbsp;&nbsp; 2/8/35 | &nbsp;&nbsp; 4770000<br>| &nbsp;&nbsp;&nbsp; *4870170*<br>|
| *Supranational — 1.0%* | *Supranational — 1.0%* | *Supranational — 1.0%* | *Supranational — 1.0%* | *Supranational — 1.0%* |
| &nbsp;&nbsp;&nbsp; Inter-American Development Bank, Senior Notes | &nbsp;&nbsp; 7.350% | &nbsp;&nbsp; 10/6/30 | &nbsp;&nbsp; 3547000000 <br><sup>INR</sup><br>| &nbsp;&nbsp;&nbsp; *41002978*<br>|
| *Uruguay — 0.0%††* | *Uruguay — 0.0%††* | *Uruguay — 0.0%††* | *Uruguay — 0.0%††* | *Uruguay — 0.0%††* |
| &nbsp;&nbsp;&nbsp; Uruguay Government International Bond, Senior Notes | &nbsp;&nbsp; 7.875% | &nbsp;&nbsp; 1/15/33 | &nbsp;&nbsp; 1<br>| &nbsp;&nbsp;&nbsp; *1*<br>|
| **Total Sovereign Bonds (Cost — $174,143,047)** | **Total Sovereign Bonds (Cost — $174,143,047)** | **Total Sovereign Bonds (Cost — $174,143,047)** | **Total Sovereign Bonds (Cost — $174,143,047)** | &nbsp;&nbsp; **176366067** |
| **Senior Loans — 2.1%** | **Senior Loans — 2.1%** | **Senior Loans — 2.1%** | **Senior Loans — 2.1%** | **Senior Loans — 2.1%** |
| **Communication Services — 0.1%** | **Communication Services — 0.1%** | **Communication Services — 0.1%** | **Communication Services — 0.1%** | **Communication Services — 0.1%** |
| *Entertainment — 0.1%* | *Entertainment — 0.1%* | *Entertainment — 0.1%* | *Entertainment — 0.1%* | *Entertainment — 0.1%* |
| &nbsp;&nbsp;&nbsp; UFC Holdings LLC, Term Loan B5 (2 mo. Term SOFR + 2.000%)  | 6.038% | &nbsp;&nbsp; 11/21/31 | &nbsp;&nbsp; 3711350<br>| &nbsp;&nbsp;&nbsp;&nbsp; *3721148*<br> <sup>(d)(o)(p)</sup><br>|
| *Media — 0.0%††* | *Media — 0.0%††* | *Media — 0.0%††* | *Media — 0.0%††* | *Media — 0.0%††* |
| &nbsp;&nbsp;&nbsp; Nexstar Media Inc., Term Loan B5 (1 mo. Term SOFR + 2.500%)  | 6.663% | &nbsp;&nbsp; 6/28/32 | &nbsp;&nbsp; 2503725<br>| &nbsp;&nbsp;&nbsp;&nbsp; *2503500*<br> <sup>(d)(o)(p)</sup><br>|
| **Total Communication Services** | **Total Communication Services** | **Total Communication Services** | **Total Communication Services** | &nbsp;&nbsp; **6224648** |
| **Consumer Discretionary — 0.4%** | **Consumer Discretionary — 0.4%** | **Consumer Discretionary — 0.4%** | **Consumer Discretionary — 0.4%** | **Consumer Discretionary — 0.4%** |
| *Automobile Components — 0.0%††* | *Automobile Components — 0.0%††* | *Automobile Components — 0.0%††* | *Automobile Components — 0.0%††* | *Automobile Components — 0.0%††* |
| &nbsp;&nbsp;&nbsp; Clarios Global LP, 2024 Term Loan B (1 mo. Term SOFR + 2.500%)  | 6.663% | &nbsp;&nbsp; 5/6/30 | &nbsp;&nbsp; 1325336<br>| &nbsp;&nbsp;&nbsp;&nbsp; *1327615*<br> <sup>(d)(o)(p)</sup><br>|
| *Automobiles — 0.1%* | *Automobiles — 0.1%* | *Automobiles — 0.1%* | *Automobiles — 0.1%* | *Automobiles — 0.1%* |
| &nbsp;&nbsp;&nbsp; Belron Finance LLC, 2031 Dollar Term Loan (3 mo. Term SOFR + 2.500%)  | 6.742% | &nbsp;&nbsp; 10/16/31 | &nbsp;&nbsp; 3711327<br>| &nbsp;&nbsp;&nbsp;&nbsp; *3734541*<br> <sup>(d)(o)(p)</sup><br>|

---

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2025 Quarterly Report

------

 **Western Asset Core Plus Bond Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount†<br>| Value |
| *Broadline Retail — 0.1%* | *Broadline Retail — 0.1%* | *Broadline Retail — 0.1%* | *Broadline Retail — 0.1%* | *Broadline Retail — 0.1%* |
| &nbsp;&nbsp;&nbsp; Peer Holding III BV, Term Loan B5 (3 mo. Term SOFR + 2.500%)  | 6.502% | &nbsp;&nbsp; 7/1/31 | &nbsp;&nbsp; 2477519<br>| &nbsp;&nbsp;&nbsp; $*2483205*<br> <sup>(d)(o)(p)</sup><br>|
| *Hotels, Restaurants & Leisure — 0.2%* | *Hotels, Restaurants & Leisure — 0.2%* | *Hotels, Restaurants & Leisure — 0.2%* | *Hotels, Restaurants & Leisure — 0.2%* | *Hotels, Restaurants & Leisure — 0.2%* |
| &nbsp;&nbsp;&nbsp; Alterra Mountain Co., Term Loan Facility B9 (1 mo. Term SOFR + 2.500%) | 6.663% | &nbsp;&nbsp; 8/17/28 | &nbsp;&nbsp; 10638<br>| &nbsp;&nbsp;&nbsp; 10669<br> <sup>(d)(o)(p)</sup><br>|
| &nbsp;&nbsp;&nbsp; Caesars Entertainment Inc., Incremental Term Loan B1 (1 mo. Term SOFR + <br> 2.250%) | 6.413% | &nbsp;&nbsp; 2/6/31 | &nbsp;&nbsp; 176426<br>| &nbsp;&nbsp;&nbsp; 176243<br> <sup>(d)(o)(p)</sup><br>|
| &nbsp;&nbsp;&nbsp; Caesars Entertainment Inc., Term Loan B (1 mo. Term SOFR + 2.250%) | 6.413% | &nbsp;&nbsp; 2/6/30 | &nbsp;&nbsp; 2474817<br>| &nbsp;&nbsp;&nbsp; 2474161<br> <sup>(d)(o)(p)</sup><br>|
| &nbsp;&nbsp;&nbsp; Flutter Entertainment Public Ltd. Co., 2024 Term Loan B (3 mo. Term SOFR + <br> 1.750%) | 5.752% | &nbsp;&nbsp; 11/30/30 | &nbsp;&nbsp; 1369530<br>| &nbsp;&nbsp;&nbsp; 1367476<br> <sup>(d)(o)(p)</sup><br>|
| &nbsp;&nbsp;&nbsp; Light and Wonder International Inc., Term Loan B2 (1 mo. Term SOFR + 2.250%) | 6.393% | &nbsp;&nbsp; 4/14/29 | &nbsp;&nbsp; 2554885<br>| &nbsp;&nbsp;&nbsp; 2565271<br> <sup>(d)(o)(p)</sup><br>|
| &nbsp;&nbsp;&nbsp; PCI Gaming Authority, 2024 Term Loan B (1 mo. Term SOFR + 2.000%) | 6.163% | &nbsp;&nbsp; 7/18/31 | &nbsp;&nbsp; 2031852<br>| &nbsp;&nbsp;&nbsp; 2030267<br> <sup>(d)(o)(p)</sup><br>|
| *Total Hotels, Restaurants & Leisure* | *Total Hotels, Restaurants & Leisure* | *Total Hotels, Restaurants & Leisure* | *Total Hotels, Restaurants & Leisure* | &nbsp;&nbsp; *8624087* |
| *Specialty Retail — 0.0%††* | *Specialty Retail — 0.0%††* | *Specialty Retail — 0.0%††* | *Specialty Retail — 0.0%††* | *Specialty Retail — 0.0%††* |
| &nbsp;&nbsp;&nbsp; Harbor Freight Tools USA Inc., Initial Term Loan  | 6.413% | &nbsp;&nbsp; 6/11/31 | &nbsp;&nbsp; 1653446<br>| &nbsp;&nbsp;&nbsp;&nbsp; *1626495*<br> <sup>(d)(o)(p)</sup><br>|
| **Total Consumer Discretionary** | **Total Consumer Discretionary** | **Total Consumer Discretionary** | **Total Consumer Discretionary** | &nbsp;&nbsp; **17795943** |
| **Consumer Staples — 0.1%** | **Consumer Staples — 0.1%** | **Consumer Staples — 0.1%** | **Consumer Staples — 0.1%** | **Consumer Staples — 0.1%** |
| *Beverages — 0.1%* | *Beverages — 0.1%* | *Beverages — 0.1%* | *Beverages — 0.1%* | *Beverages — 0.1%* |
| &nbsp;&nbsp;&nbsp; Triton Water Holdings Inc., 2025 Refinancing Term Loan (3 mo. Term SOFR + <br> 2.250%)  | 6.252% | &nbsp;&nbsp; 3/31/28 | &nbsp;&nbsp; 2544726<br>| &nbsp;&nbsp;&nbsp;&nbsp; **2547169**<br> <sup>(d)(o)(p)</sup><br>|
| **Financials — 0.8%** | **Financials — 0.8%** | **Financials — 0.8%** | **Financials — 0.8%** | **Financials — 0.8%** |
| *Capital Markets — 0.2%* | *Capital Markets — 0.2%* | *Capital Markets — 0.2%* | *Capital Markets — 0.2%* | *Capital Markets — 0.2%* |
| &nbsp;&nbsp;&nbsp; Focus Financial Partners LLC, Incremental Term Loan B (1 mo. Term SOFR + <br> 2.750%) | 6.913% | &nbsp;&nbsp; 9/15/31 | &nbsp;&nbsp; 4955037<br>| &nbsp;&nbsp;&nbsp; 4961826<br> <sup>(d)(o)(p)</sup><br>|
| &nbsp;&nbsp;&nbsp; GIP Pilot Acquisition Partners LP, Amendment No. 2 Refinancing Term Loan (3 mo. <br> Term SOFR + 2.000%) | 6.286% | &nbsp;&nbsp; 10/4/30 | &nbsp;&nbsp; 2447939<br>| &nbsp;&nbsp;&nbsp; 2449468<br> <sup>(d)(o)(p)</sup><br>|
| *Total Capital Markets* | *Total Capital Markets* | *Total Capital Markets* | *Total Capital Markets* | &nbsp;&nbsp; *7411294* |
| *Financial Services — 0.4%* | *Financial Services — 0.4%* | *Financial Services — 0.4%* | *Financial Services — 0.4%* | *Financial Services — 0.4%* |
| &nbsp;&nbsp;&nbsp; Boost Newco Borrower LLC, Term Loan B2 (3 mo. Term SOFR + 2.000%) | 6.002% | &nbsp;&nbsp; 1/31/31 | &nbsp;&nbsp; 1293226<br>| &nbsp;&nbsp;&nbsp; 1296595<br> <sup>(d)(o)(p)</sup><br>|
| &nbsp;&nbsp;&nbsp; Citadel Securities LP, 2024 Term Loan Facility (1 mo. Term SOFR + 2.000%) | 6.163% | &nbsp;&nbsp; 10/31/31 | &nbsp;&nbsp; 5563110<br>| &nbsp;&nbsp;&nbsp; 5579827<br> <sup>(d)(o)(p)</sup><br>|
| &nbsp;&nbsp;&nbsp; Jane Street Group LLC, Extended Term Loan (3 mo. Term SOFR + 2.000%) | 6.199% | &nbsp;&nbsp; 12/15/31 | &nbsp;&nbsp; 4953995<br>| &nbsp;&nbsp;&nbsp; 4924593<br> <sup>(d)(o)(p)</sup><br>|
| &nbsp;&nbsp;&nbsp; TransUnion LLC, 2024 Refinancing Term Loan B8 (1 mo. Term SOFR + 1.750%) | 5.913% | &nbsp;&nbsp; 6/24/31 | &nbsp;&nbsp; 3750490<br>| &nbsp;&nbsp;&nbsp; 3751672<br> <sup>(d)(o)(p)</sup><br>|
| *Total Financial Services* | *Total Financial Services* | *Total Financial Services* | *Total Financial Services* | &nbsp;&nbsp; *15552687* |
| *Insurance — 0.1%* | *Insurance — 0.1%* | *Insurance — 0.1%* | *Insurance — 0.1%* | *Insurance — 0.1%* |
| &nbsp;&nbsp;&nbsp; AmWINS Group Inc., Initial Term Loan (3 mo. Term SOFR + 2.250%) | 6.252% | &nbsp;&nbsp; 1/30/32 | &nbsp;&nbsp; 2477519<br>| &nbsp;&nbsp;&nbsp; 2479117<br> <sup>(d)(o)(p)</sup><br>|
| &nbsp;&nbsp;&nbsp; Asurion LLC, New Term Loan B11 (1 mo. Term SOFR + 4.350%) | 8.513% | &nbsp;&nbsp; 8/21/28 | &nbsp;&nbsp; 3873754<br>| &nbsp;&nbsp;&nbsp; 3890431<br> <sup>(d)(o)(p)</sup><br>|
| &nbsp;&nbsp;&nbsp; Asurion LLC, New Term Loan B12 (1 mo. Term SOFR + 4.250%) | 8.413% | &nbsp;&nbsp; 9/19/30 | &nbsp;&nbsp; 252623<br>| &nbsp;&nbsp;&nbsp; 252069<br> <sup>(d)(o)(p)</sup><br>|
| *Total Insurance* | *Total Insurance* | *Total Insurance* | *Total Insurance* | &nbsp;&nbsp; *6621617* |
| *Mortgage Real Estate Investment Trusts (REITs) — 0.1%* | *Mortgage Real Estate Investment Trusts (REITs) — 0.1%* | *Mortgage Real Estate Investment Trusts (REITs) — 0.1%* | *Mortgage Real Estate Investment Trusts (REITs) — 0.1%* | *Mortgage Real Estate Investment Trusts (REITs) — 0.1%* |
| &nbsp;&nbsp;&nbsp; Starwood Property Mortgage LLC, 2025 Repricing Term Loan (1 mo. Term SOFR + <br> 1.750%)  | 5.913% | &nbsp;&nbsp; 11/18/27 | &nbsp;&nbsp; 2477534<br>| &nbsp;&nbsp;&nbsp;&nbsp; *2475986*<br> <sup>(d)(o)(p)</sup><br>|
| **Total Financials** | **Total Financials** | **Total Financials** | **Total Financials** | &nbsp;&nbsp; **32061584** |
| **Health Care — 0.2%** | **Health Care — 0.2%** | **Health Care — 0.2%** | **Health Care — 0.2%** | **Health Care — 0.2%** |
| *Health Care Equipment & Supplies — 0.1%* | *Health Care Equipment & Supplies — 0.1%* | *Health Care Equipment & Supplies — 0.1%* | *Health Care Equipment & Supplies — 0.1%* | *Health Care Equipment & Supplies — 0.1%* |
| &nbsp;&nbsp;&nbsp; Medline Borrower LP, 2028 Refinancing Term Loan (1 mo. Term SOFR + 2.000%)  | 6.163% | &nbsp;&nbsp; 10/23/28 | &nbsp;&nbsp; 3616277<br>| &nbsp;&nbsp;&nbsp;&nbsp; *3619875*<br> <sup>(d)(o)(p)</sup><br>|
| *Health Care Providers & Services — 0.1%* | *Health Care Providers & Services — 0.1%* | *Health Care Providers & Services — 0.1%* | *Health Care Providers & Services — 0.1%* | *Health Care Providers & Services — 0.1%* |
| &nbsp;&nbsp;&nbsp; Phoenix Guarantor Inc., Term Loan B5 (1 mo. Term SOFR + 2.500%) | 6.663% | &nbsp;&nbsp; 2/21/31 | &nbsp;&nbsp; 339<br>| &nbsp;&nbsp;&nbsp; 340<br> <sup>(d)(o)(p)</sup><br>|
| &nbsp;&nbsp;&nbsp; Sotera Health Holdings LLC, 2025 Term Loan (1 mo. Term SOFR + 2.500%) | 6.663% | &nbsp;&nbsp; 5/30/31 | &nbsp;&nbsp; 3580810<br>| &nbsp;&nbsp;&nbsp; 3590514<br> <sup>(d)(o)(p)</sup><br>|
| *Total Health Care Providers & Services* | *Total Health Care Providers & Services* | *Total Health Care Providers & Services* | *Total Health Care Providers & Services* | &nbsp;&nbsp; *3590854* |

---

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2025 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

September 30, 2025

 **Western Asset Core Plus Bond Fund**

(Percentages shown based on Fund net assets)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| Security |  | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount†<br>| Value |
| *Health Care Technology — 0.0%††* | *Health Care Technology — 0.0%††* | *Health Care Technology — 0.0%††* | *Health Care Technology — 0.0%††* | *Health Care Technology — 0.0%††* | *Health Care Technology — 0.0%††* |
| &nbsp;&nbsp;&nbsp; Cotiviti Inc., Initial Term Loan (1 mo. Term SOFR + 2.750%)  | &nbsp;&nbsp;&nbsp; Cotiviti Inc., Initial Term Loan (1 mo. Term SOFR + 2.750%)  | 7.030% | &nbsp;&nbsp; 5/1/31 | &nbsp;&nbsp; 2584390<br>| &nbsp;&nbsp;&nbsp; $*2543466*<br> <sup>(d)(o)(p)</sup><br>|
| *Pharmaceuticals — 0.0%††* | *Pharmaceuticals — 0.0%††* | *Pharmaceuticals — 0.0%††* | *Pharmaceuticals — 0.0%††* | *Pharmaceuticals — 0.0%††* | *Pharmaceuticals — 0.0%††* |
| &nbsp;&nbsp;&nbsp; Jazz Financing Lux Sarl, Dollar Term Loan Facility B2 (1 mo. Term SOFR + 2.250%)  | &nbsp;&nbsp;&nbsp; Jazz Financing Lux Sarl, Dollar Term Loan Facility B2 (1 mo. Term SOFR + 2.250%)  | 6.413% | &nbsp;&nbsp; 5/5/28 | &nbsp;&nbsp; 17167<br>| &nbsp;&nbsp;&nbsp;&nbsp; *17206*<br> <sup>(d)(o)(p)</sup><br>|
| **Total Health Care** | **Total Health Care** | **Total Health Care** | **Total Health Care** | **Total Health Care** | &nbsp;&nbsp; **9771401** |
| **Industrials — 0.1%** | **Industrials — 0.1%** | **Industrials — 0.1%** | **Industrials — 0.1%** | **Industrials — 0.1%** | **Industrials — 0.1%** |
| *Commercial Services & Supplies — 0.0%††* | *Commercial Services & Supplies — 0.0%††* | *Commercial Services & Supplies — 0.0%††* | *Commercial Services & Supplies — 0.0%††* | *Commercial Services & Supplies — 0.0%††* | *Commercial Services & Supplies — 0.0%††* |
| &nbsp;&nbsp;&nbsp; APi Group DE Inc., 2021 Incremental Term Loan B (1 mo. Term SOFR + 1.750%)  | &nbsp;&nbsp;&nbsp; APi Group DE Inc., 2021 Incremental Term Loan B (1 mo. Term SOFR + 1.750%)  | 5.913% | &nbsp;&nbsp; 1/3/29 | &nbsp;&nbsp; 1070981<br>| &nbsp;&nbsp;&nbsp;&nbsp; *1071426*<br> <sup>(d)(o)(p)</sup><br>|
| *Machinery — 0.1%* | *Machinery — 0.1%* | *Machinery — 0.1%* | *Machinery — 0.1%* | *Machinery — 0.1%* | *Machinery — 0.1%* |
| &nbsp;&nbsp;&nbsp; Chart Industries Inc., 2024 Term Loan B (3 mo. Term SOFR + 2.500%)  | &nbsp;&nbsp;&nbsp; Chart Industries Inc., 2024 Term Loan B (3 mo. Term SOFR + 2.500%)  | 6.792% | &nbsp;&nbsp; 3/15/30 | &nbsp;&nbsp; 3553055<br>| &nbsp;&nbsp;&nbsp;&nbsp; *3577482*<br> <sup>(d)(o)(p)</sup><br>|
| **Total Industrials** | **Total Industrials** | **Total Industrials** | **Total Industrials** | **Total Industrials** | &nbsp;&nbsp; **4648908** |
| **Real Estate — 0.1%** | **Real Estate — 0.1%** | **Real Estate — 0.1%** | **Real Estate — 0.1%** | **Real Estate — 0.1%** | **Real Estate — 0.1%** |
| *Specialized REITs — 0.1%* | *Specialized REITs — 0.1%* | *Specialized REITs — 0.1%* | *Specialized REITs — 0.1%* | *Specialized REITs — 0.1%* | *Specialized REITs — 0.1%* |
| &nbsp;&nbsp;&nbsp; Iron Mountain Information Management LLC, Amendment No. 1 Incremental Term <br> Loan B (1 mo. Term SOFR + 2.000%)  | &nbsp;&nbsp;&nbsp; Iron Mountain Information Management LLC, Amendment No. 1 Incremental Term <br> Loan B (1 mo. Term SOFR + 2.000%)  | 6.163% | &nbsp;&nbsp; 1/31/31 | &nbsp;&nbsp; 3711114<br>| &nbsp;&nbsp;&nbsp;&nbsp; **3718072**<br> <sup>(d)(o)(p)</sup><br>|
| **Utilities — 0.3%** | **Utilities — 0.3%** | **Utilities — 0.3%** | **Utilities — 0.3%** | **Utilities — 0.3%** | **Utilities — 0.3%** |
| *Electric Utilities — 0.1%* | *Electric Utilities — 0.1%* | *Electric Utilities — 0.1%* | *Electric Utilities — 0.1%* | *Electric Utilities — 0.1%* | *Electric Utilities — 0.1%* |
| &nbsp;&nbsp;&nbsp; Alpha Generation LLC, Initial Term Loan B (1 mo. Term SOFR + 2.000%)  | &nbsp;&nbsp;&nbsp; Alpha Generation LLC, Initial Term Loan B (1 mo. Term SOFR + 2.000%)  | 6.163% | &nbsp;&nbsp; 9/30/31 | &nbsp;&nbsp; 3711256<br>| &nbsp;&nbsp;&nbsp;&nbsp; *3710792*<br> <sup>(d)(o)(p)</sup><br>|
| *Independent Power and Renewable Electricity Producers — 0.2%* | *Independent Power and Renewable Electricity Producers — 0.2%* | *Independent Power and Renewable Electricity Producers — 0.2%* | *Independent Power and Renewable Electricity Producers — 0.2%* | *Independent Power and Renewable Electricity Producers — 0.2%* | *Independent Power and Renewable Electricity Producers — 0.2%* |
| &nbsp;&nbsp;&nbsp; Calpine Construction Finance Co. LP, Refinancing Term Loan (1 mo. Term SOFR + <br> 2.000%) | &nbsp;&nbsp;&nbsp; Calpine Construction Finance Co. LP, Refinancing Term Loan (1 mo. Term SOFR + <br> 2.000%) | 6.163% | &nbsp;&nbsp; 7/31/30 | &nbsp;&nbsp; 4980000<br>| &nbsp;&nbsp;&nbsp; 4985627<br> <sup>(d)(o)(p)</sup><br>|
| &nbsp;&nbsp;&nbsp; Lightning Power LLC, Initial Term Loan B (3 mo. Term SOFR + 2.250%) | &nbsp;&nbsp;&nbsp; Lightning Power LLC, Initial Term Loan B (3 mo. Term SOFR + 2.250%) | 6.252% | &nbsp;&nbsp; 8/18/31 | &nbsp;&nbsp; 2477488<br>| &nbsp;&nbsp;&nbsp; 2478578<br> <sup>(d)(o)(p)</sup><br>|
| *Total Independent Power and Renewable Electricity Producers* | *Total Independent Power and Renewable Electricity Producers* | *Total Independent Power and Renewable Electricity Producers* | *Total Independent Power and Renewable Electricity Producers* | *Total Independent Power and Renewable Electricity Producers* | &nbsp;&nbsp; *7464205* |
| **Total Utilities** | **Total Utilities** | **Total Utilities** | **Total Utilities** | **Total Utilities** | &nbsp;&nbsp; **11174997** |
| **Total Senior Loans (Cost — $87,237,640)** | **Total Senior Loans (Cost — $87,237,640)** | **Total Senior Loans (Cost — $87,237,640)** | **Total Senior Loans (Cost — $87,237,640)** | **Total Senior Loans (Cost — $87,237,640)** | &nbsp;&nbsp; **87942722** |
| **U.S. Treasury Inflation Protected Securities — 0.8%** | **U.S. Treasury Inflation Protected Securities — 0.8%** | **U.S. Treasury Inflation Protected Securities — 0.8%** | **U.S. Treasury Inflation Protected Securities — 0.8%** | **U.S. Treasury Inflation Protected Securities — 0.8%** | **U.S. Treasury Inflation Protected Securities — 0.8%** |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Notes, Inflation Indexed (Cost — $32,801,833) | &nbsp;&nbsp;&nbsp; U.S. Treasury Notes, Inflation Indexed (Cost — $32,801,833) | &nbsp;&nbsp; 1.875% | &nbsp;&nbsp; 7/15/34 | &nbsp;&nbsp; 32080155<br>| &nbsp;&nbsp;&nbsp; **32559480**<br>|
|  |  | Expiration <br>Date<br>| Contracts | &nbsp;&nbsp; Notional <br>Amount†<br>|  |
| **Purchased Options — 0.2%** | **Purchased Options — 0.2%** | **Purchased Options — 0.2%** | **Purchased Options — 0.2%** | **Purchased Options — 0.2%** | **Purchased Options — 0.2%** |
| **Exchange-Traded Purchased Options — 0.1%** | **Exchange-Traded Purchased Options — 0.1%** | **Exchange-Traded Purchased Options — 0.1%** | **Exchange-Traded Purchased Options — 0.1%** | **Exchange-Traded Purchased Options — 0.1%** | **Exchange-Traded Purchased Options — 0.1%** |
| &nbsp;&nbsp;&nbsp; 3-Month SOFR Futures, Call @ $96.750 | &nbsp;&nbsp;&nbsp; 3-Month SOFR Futures, Call @ $96.750 | 6/12/26 | &nbsp;&nbsp; 2779 | &nbsp;&nbsp; 6947500 | &nbsp;&nbsp;&nbsp; 1528450<br>|
| &nbsp;&nbsp;&nbsp; SOFR 1-Year Mid-Curve Futures, Call @ $97.000 | &nbsp;&nbsp;&nbsp; SOFR 1-Year Mid-Curve Futures, Call @ $97.000 | 12/12/25 | &nbsp;&nbsp; 3556 | &nbsp;&nbsp; 8890000 | &nbsp;&nbsp;&nbsp; 1044575<br>|
| &nbsp;&nbsp;&nbsp; SOFR 1-Year Mid-Curve Futures, Put @ $96.750 | &nbsp;&nbsp;&nbsp; SOFR 1-Year Mid-Curve Futures, Put @ $96.750 | 10/10/25 | &nbsp;&nbsp; 2521 | &nbsp;&nbsp; 6302500 | &nbsp;&nbsp;&nbsp; 63025<br>|
| &nbsp;&nbsp;&nbsp; SOFR 1-Year Mid-Curve Futures, Put @ $96.750 | &nbsp;&nbsp;&nbsp; SOFR 1-Year Mid-Curve Futures, Put @ $96.750 | 12/12/25 | &nbsp;&nbsp; 2522 | &nbsp;&nbsp; 6305000 | &nbsp;&nbsp;&nbsp; 535925<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury 5-Year Notes Futures, Call @ $109.500 | &nbsp;&nbsp;&nbsp; U.S. Treasury 5-Year Notes Futures, Call @ $109.500 | 10/24/25 | &nbsp;&nbsp; 1034 | &nbsp;&nbsp; 1034000 | &nbsp;&nbsp;&nbsp; 242344<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury 5-Year Notes Futures, Put @ $108.500 | &nbsp;&nbsp;&nbsp; U.S. Treasury 5-Year Notes Futures, Put @ $108.500 | 10/24/25 | &nbsp;&nbsp; 3066 | &nbsp;&nbsp; 3066000 | &nbsp;&nbsp;&nbsp; 359297<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury 10-Year Notes Futures, Call @ $114.000 | &nbsp;&nbsp;&nbsp; U.S. Treasury 10-Year Notes Futures, Call @ $114.000 | 10/24/25 | &nbsp;&nbsp; 3021 | &nbsp;&nbsp; 3021000 | &nbsp;&nbsp;&nbsp; 424828<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury 10-Year Notes Futures, Put @ $112.000 | &nbsp;&nbsp;&nbsp; U.S. Treasury 10-Year Notes Futures, Put @ $112.000 | 10/24/25 | &nbsp;&nbsp; 3021 | &nbsp;&nbsp; 3021000 | &nbsp;&nbsp;&nbsp; 1085672<br>|
| **Total Exchange-Traded Purchased Options (Cost — $7,379,817)** | **Total Exchange-Traded Purchased Options (Cost — $7,379,817)** | **Total Exchange-Traded Purchased Options (Cost — $7,379,817)** | **Total Exchange-Traded Purchased Options (Cost — $7,379,817)** | **Total Exchange-Traded Purchased Options (Cost — $7,379,817)** | &nbsp;&nbsp; **5284116** |
|  | Counterparty |  |  |  |  |
| **OTC Purchased Options — 0.1%** | **OTC Purchased Options — 0.1%** | **OTC Purchased Options — 0.1%** | **OTC Purchased Options — 0.1%** | **OTC Purchased Options — 0.1%** | **OTC Purchased Options — 0.1%** |
| &nbsp;&nbsp;&nbsp; Interest rate swaption, Call @ 290.000<sup>bps</sup>, payments received <br> by the Fund on Daily SOFR Compound annually, <br> 290.000<sup>bps</sup>payments made by the Fund annually, maturing on <br> 9/29/28 2.900<sup>bps</sup> <br>| Goldman Sachs <br> Group Inc.<br>| 9/25/26 | &nbsp;&nbsp; 638170000 | &nbsp;&nbsp; 638170000 | &nbsp;&nbsp;&nbsp; 2585884<br>|

---

See Notes to Schedule of Investments.

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Western Asset Core Plus Bond Fund 2025 Quarterly Report

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 **Western Asset Core Plus Bond Fund**

(Percentages shown based on Fund net assets)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| Security | Counterparty | Expiration<br> Date<br>| Contracts | &nbsp;&nbsp; Notional<br> Amount†<br>| Value |
| **OTC Purchased Options — continued** | **OTC Purchased Options — continued** | **OTC Purchased Options — continued** | **OTC Purchased Options — continued** | **OTC Purchased Options — continued** | **OTC Purchased Options — continued** |
| &nbsp;&nbsp;&nbsp; U.S. Dollar/Chinese Yuan Renminbi, Call @ 7.223<sup>CNY</sup> <br>| BNP Paribas SA | 10/27/25 | &nbsp;&nbsp; 23350000 | &nbsp;&nbsp; 23350000 | &nbsp;&nbsp;&nbsp; $896<br>|
| **Total OTC Purchased Options (Cost — $2,695,635)** | **Total OTC Purchased Options (Cost — $2,695,635)** | **Total OTC Purchased Options (Cost — $2,695,635)** | **Total OTC Purchased Options (Cost — $2,695,635)** | **Total OTC Purchased Options (Cost — $2,695,635)** | &nbsp;&nbsp; **2586780** |
| **Total Purchased Options (Cost — $10,075,452)** | **Total Purchased Options (Cost — $10,075,452)** | **Total Purchased Options (Cost — $10,075,452)** | **Total Purchased Options (Cost — $10,075,452)** | **Total Purchased Options (Cost — $10,075,452)** | &nbsp;&nbsp; **7870896** |
| Security |  |  |  | Shares |  |
| **Common Stocks — 0.0%††** | **Common Stocks — 0.0%††** | **Common Stocks — 0.0%††** | **Common Stocks — 0.0%††** | **Common Stocks — 0.0%††** | **Common Stocks — 0.0%††** |
| **Industrials — 0.0%††** | **Industrials — 0.0%††** | **Industrials — 0.0%††** | **Industrials — 0.0%††** | **Industrials — 0.0%††** | **Industrials — 0.0%††** |
| *Passenger Airlines — 0.0%††* | *Passenger Airlines — 0.0%††* | *Passenger Airlines — 0.0%††* | *Passenger Airlines — 0.0%††* | *Passenger Airlines — 0.0%††* | *Passenger Airlines — 0.0%††* |
| &nbsp;&nbsp;&nbsp; Spirit Airlines LLC | &nbsp;&nbsp;&nbsp; Spirit Airlines LLC | &nbsp;&nbsp;&nbsp; Spirit Airlines LLC |  | &nbsp;&nbsp; 1685 | &nbsp;&nbsp;&nbsp; 640<br> \*<sup>(e)(q)</sup><br>|
| &nbsp;&nbsp;&nbsp; Spirit Aviation Holdings Inc. | &nbsp;&nbsp;&nbsp; Spirit Aviation Holdings Inc. | &nbsp;&nbsp;&nbsp; Spirit Aviation Holdings Inc. |  | &nbsp;&nbsp; 290376 | &nbsp;&nbsp;&nbsp; 110,343<br> \*<br>|
| **Total Common Stocks (Cost — $4,078,435)** | **Total Common Stocks (Cost — $4,078,435)** | **Total Common Stocks (Cost — $4,078,435)** | **Total Common Stocks (Cost — $4,078,435)** | **Total Common Stocks (Cost — $4,078,435)** | &nbsp;&nbsp;&nbsp; **110983**<br>|
|  |  |  | &nbsp;&nbsp; Expiration <br>Date <br>| Warrants |  |
| **Warrants — 0.0%††** | **Warrants — 0.0%††** | **Warrants — 0.0%††** | **Warrants — 0.0%††** | **Warrants — 0.0%††** | **Warrants — 0.0%††** |
| **Industrials — 0.0%††** | **Industrials — 0.0%††** | **Industrials — 0.0%††** | **Industrials — 0.0%††** | **Industrials — 0.0%††** | **Industrials — 0.0%††** |
| *Passenger Airlines — 0.0%††* | *Passenger Airlines — 0.0%††* | *Passenger Airlines — 0.0%††* | *Passenger Airlines — 0.0%††* | *Passenger Airlines — 0.0%††* | *Passenger Airlines — 0.0%††* |
| &nbsp;&nbsp;&nbsp; Spirit Airlines LLC (Cost — $2,511,486) | &nbsp;&nbsp;&nbsp; Spirit Airlines LLC (Cost — $2,511,486) |  |  | &nbsp;&nbsp; 206310<br>| &nbsp;&nbsp;&nbsp; **78,398**<br> \*<sup>(e)(q)</sup><br>|
| **Total Investments before Short-Term Investments (Cost — $4,233,058,032)** | **Total Investments before Short-Term Investments (Cost — $4,233,058,032)** | **Total Investments before Short-Term Investments (Cost — $4,233,058,032)** | **Total Investments before Short-Term Investments (Cost — $4,233,058,032)** | **Total Investments before Short-Term Investments (Cost — $4,233,058,032)** | &nbsp;&nbsp; **3964439696** |
|  |  | Rate |  | Shares |  |
| **Short-Term Investments — 8.9%** | **Short-Term Investments — 8.9%** | **Short-Term Investments — 8.9%** | **Short-Term Investments — 8.9%** | **Short-Term Investments — 8.9%** | **Short-Term Investments — 8.9%** |
| &nbsp;&nbsp;&nbsp; Western Asset Premier Institutional Government Reserves, Premium Shares <br> (Cost — $376,380,273)  | &nbsp;&nbsp;&nbsp; Western Asset Premier Institutional Government Reserves, Premium Shares <br> (Cost — $376,380,273)  | &nbsp;&nbsp; 4.101% |  | &nbsp;&nbsp; 376380273<br>| &nbsp;&nbsp;&nbsp;&nbsp; **376380273**<br> <sup>(r)(s)</sup><br>|
| **Total Investments — 103.2% (Cost — $4,609,438,305)** | **Total Investments — 103.2% (Cost — $4,609,438,305)** | **Total Investments — 103.2% (Cost — $4,609,438,305)** | **Total Investments — 103.2% (Cost — $4,609,438,305)** | **Total Investments — 103.2% (Cost — $4,609,438,305)** | &nbsp;&nbsp; **4340819969** |
| &nbsp;&nbsp;&nbsp; Liabilities in Excess of Other Assets — (3.2)% | &nbsp;&nbsp;&nbsp; Liabilities in Excess of Other Assets — (3.2)% | &nbsp;&nbsp;&nbsp; Liabilities in Excess of Other Assets — (3.2)% | &nbsp;&nbsp;&nbsp; Liabilities in Excess of Other Assets — (3.2)% | &nbsp;&nbsp;&nbsp; Liabilities in Excess of Other Assets — (3.2)% | &nbsp;&nbsp;&nbsp; (136326765)<br>|
| **Total Net Assets — 100.0%** | **Total Net Assets — 100.0%** | **Total Net Assets — 100.0%** | **Total Net Assets — 100.0%** | **Total Net Assets — 100.0%** | &nbsp;&nbsp; **$4204493204** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2025 Quarterly Report

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Schedule of Investments (unaudited) (cont'd)

September 30, 2025

 **Western Asset Core Plus Bond Fund**

---

| | |
|:---|:---|
| † | Face amount/notional amount denominated in U.S. dollars, unless otherwise noted. |
| †† | Represents less than 0.1%. |
| \* | Non-income producing security. |
| <sup>(a)</sup> | Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from <br> registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Directors. <br>|
| <sup>(b)</sup> | Securities traded on a when-issued or delayed delivery basis. |
| <sup>(c)</sup> | Security has no maturity date. The date shown represents the next call date. |
| <sup>(d)</sup> | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published <br> reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a <br> reference rate and spread in their description above.<br>|
| <sup>(e)</sup> | Security is fair valued in accordance with procedures approved by the Board of Directors (Note 1). |
| <sup>(f)</sup> | Security is valued using significant unobservable inputs (Note 1). |
| <sup>(g)</sup> | Value is less than $1. |
| <sup>(h)</sup> | Security is exempt from registration under Regulation S of the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of <br> the United States and do not involve direct selling efforts in the United States. This security has been deemed liquid pursuant to guidelines approved by the <br> Board of Directors.<br>|
| <sup>(i)</sup> | The coupon payment on this security is currently in default as of September 30, 2025. |
| <sup>(j)</sup> | This security is traded on a to-be-announced ("TBA") basis. At September 30, 2025, the Fund held TBA securities with a total cost of $170,578,165. |
| <sup>(k)</sup> | Collateralized mortgage obligations are secured by an underlying pool of mortgages or mortgage pass-through certificates that are structured to direct <br> payments on underlying collateral to different series or classes of the obligations. The interest rate may change positively or inversely in relation to one or <br> more interest rates, financial indices or other financial indicators and may be subject to an upper and/or lower limit.<br>|
| <sup>(l)</sup> | Rate shown is the current yield based on income received over the trailing twelve months. |
| <sup>(m)</sup> | All or a portion of this security is held at the broker as collateral for open centrally cleared swap contracts. |
| <sup>(n)</sup> | All or a portion of this security is held at the broker as collateral for open futures contracts and exchange-traded options.  |
| <sup>(o)</sup> | Interest rates disclosed represent the effective rates on senior loans. Ranges in interest rates are attributable to multiple contracts under the same loan. |
| <sup>(p)</sup> | Senior loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the agent bank and/or borrower <br> prior to the disposition of a senior loan. <br>|
| <sup>(q)</sup> | Restricted security (Note 3). |
| <sup>(r)</sup> | Rate shown is one-day yield as of the end of the reporting period.  |
| <sup>(s)</sup> | In this instance, as defined in the Investment Company Act of 1940, an "Affiliated Company" represents Fund ownership of at least 5% of the outstanding <br> voting securities of an issuer, or a company which is under common ownership or control with the Fund. At September 30, 2025, the total market value of <br> investments in Affiliated Companies was $376,380,273 and the cost was $376,380,273 (Note 2).<br>|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2025 Quarterly Report

------

 **Western Asset Core Plus Bond Fund**

---

| | |
|:---|:---|
| **Abbreviation(s) used in this schedule:** | **Abbreviation(s) used in this schedule:** |
| ACES | Alternative Credit Enhancement Securities |
| bps | basis points (100 basis points = 1.00%) |
| BRL | Brazilian Real |
| CAS | Connecticut Avenue Securities |
| CD | Certificate of Deposit |
| CDO | Collateralized Debt Obligation |
| CLO | Collateralized Loan Obligation |
| CNY | Chinese Yuan Renminbi |
| DAC | Designated Activity Company |
| GTD | Guaranteed |
| IBOR | Interbank Offered Rate |
| ICE | Intercontinental Exchange |
| INR | Indian Rupee |
| IO | Interest Only |
| JSC | Joint Stock Company |
| LIBOR | London Interbank Offered Rate |
| PAC | Planned Amortization Class |
| PO | Principal Only |
| REMIC | Real Estate Mortgage Investment Conduit |
| SOFR | Secured Overnight Financing Rate |
| STRIPS | Separate Trading of Registered Interest and Principal Securities |
| USD | United States Dollar |

---

At September 30, 2025, the Fund had the following open written options contracts:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Exchange-Traded Written Options** | **Exchange-Traded Written Options** | **Exchange-Traded Written Options** | **Exchange-Traded Written Options** | **Exchange-Traded Written Options** | **Exchange-Traded Written Options** |
| Security | &nbsp;&nbsp;&nbsp; Expiration <br>Date<br>| &nbsp;&nbsp;&nbsp; Strike <br>Price<br>| Contracts | &nbsp;&nbsp;&nbsp; Notional <br>Amount<br>| Value |
| 3-Month SOFR Futures, Call | &nbsp;&nbsp;&nbsp;&nbsp; 9/11/26 | &nbsp;&nbsp;&nbsp;&nbsp; $97.500 | &nbsp;&nbsp;&nbsp;&nbsp; 2872 | &nbsp;&nbsp;&nbsp;&nbsp; $7180000 | &nbsp;&nbsp;&nbsp;&nbsp; $(789800) |
| 3-Month SOFR Futures, Call | &nbsp;&nbsp;&nbsp;&nbsp; 12/11/26 | &nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;97.500 | &nbsp;&nbsp;&nbsp;&nbsp; 3556 | &nbsp;&nbsp;&nbsp;&nbsp; 8890000 | &nbsp;&nbsp;&nbsp;&nbsp; (1355725) |
| 3-Month SOFR Futures, Put | &nbsp;&nbsp;&nbsp;&nbsp; 12/11/26 | &nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;96.500 | &nbsp;&nbsp;&nbsp;&nbsp; 1261 | &nbsp;&nbsp;&nbsp;&nbsp; 3152500 | &nbsp;&nbsp;&nbsp;&nbsp; (543806) |
| U.S. Treasury 5-Year Notes Futures, Call | &nbsp;&nbsp;&nbsp;&nbsp; 11/21/25 | &nbsp;&nbsp;&nbsp;&nbsp;109.000 | &nbsp;&nbsp;&nbsp;&nbsp; 1022 | &nbsp;&nbsp;&nbsp;&nbsp; 1022000 | &nbsp;&nbsp;&nbsp;&nbsp; (670687) |
| U.S. Treasury 5-Year Notes Futures, Put | &nbsp;&nbsp;&nbsp;&nbsp; 10/24/25 | &nbsp;&nbsp;&nbsp;&nbsp;109.500 | &nbsp;&nbsp;&nbsp;&nbsp; 2032 | &nbsp;&nbsp;&nbsp;&nbsp; 2032000 | &nbsp;&nbsp;&nbsp;&nbsp; (1095375) |
| U.S. Treasury 5-Year Notes Futures, Put | &nbsp;&nbsp;&nbsp;&nbsp; 11/21/25 | &nbsp;&nbsp;&nbsp;&nbsp;109.000 | &nbsp;&nbsp;&nbsp;&nbsp; 1022 | &nbsp;&nbsp;&nbsp;&nbsp; 1022000 | &nbsp;&nbsp;&nbsp;&nbsp; (471078) |
| U.S. Treasury 10-Year Notes Futures, Call | &nbsp;&nbsp;&nbsp;&nbsp; 10/24/25 | &nbsp;&nbsp;&nbsp;&nbsp;112.500 | &nbsp;&nbsp;&nbsp;&nbsp; 509 | &nbsp;&nbsp;&nbsp;&nbsp; 509000 | &nbsp;&nbsp;&nbsp;&nbsp; (294266) |
| U.S. Treasury 10-Year Notes Futures, Call | &nbsp;&nbsp;&nbsp;&nbsp; 10/24/25 | &nbsp;&nbsp;&nbsp;&nbsp;116.500 | &nbsp;&nbsp;&nbsp;&nbsp; 1522 | &nbsp;&nbsp;&nbsp;&nbsp; 1522000 | &nbsp;&nbsp;&nbsp;&nbsp; (23781) |
| U.S. Treasury 10-Year Notes Futures, Call | &nbsp;&nbsp;&nbsp;&nbsp; 11/21/25 | &nbsp;&nbsp;&nbsp;&nbsp;113.000 | &nbsp;&nbsp;&nbsp;&nbsp; 1007 | &nbsp;&nbsp;&nbsp;&nbsp; 1007000 | &nbsp;&nbsp;&nbsp;&nbsp; (676578) |
| U.S. Treasury 10-Year Notes Futures, Put | &nbsp;&nbsp;&nbsp;&nbsp; 10/24/25 | &nbsp;&nbsp;&nbsp;&nbsp;110.000 | &nbsp;&nbsp;&nbsp;&nbsp; 1016 | &nbsp;&nbsp;&nbsp;&nbsp; 1016000 | &nbsp;&nbsp;&nbsp;&nbsp; (31750) |
| U.S. Treasury 10-Year Notes Futures, Put | &nbsp;&nbsp;&nbsp;&nbsp; 10/24/25 | &nbsp;&nbsp;&nbsp;&nbsp;112.500 | &nbsp;&nbsp;&nbsp;&nbsp; 509 | &nbsp;&nbsp;&nbsp;&nbsp; 509000 | &nbsp;&nbsp;&nbsp;&nbsp; (294266) |
| U.S. Treasury 10-Year Notes Futures, Put | &nbsp;&nbsp;&nbsp;&nbsp; 11/21/25 | &nbsp;&nbsp;&nbsp;&nbsp;113.000 | &nbsp;&nbsp;&nbsp;&nbsp; 1007 | &nbsp;&nbsp;&nbsp;&nbsp; 1007000 | &nbsp;&nbsp;&nbsp;&nbsp; (1180078) |
| U.S. Treasury Long-Term Bonds Futures, Call | &nbsp;&nbsp;&nbsp;&nbsp; 10/24/25 | &nbsp;&nbsp;&nbsp;&nbsp;114.000 | &nbsp;&nbsp;&nbsp;&nbsp; 255 | &nbsp;&nbsp;&nbsp;&nbsp; 255000 | &nbsp;&nbsp;&nbsp;&nbsp; (745078) |
| U.S. Treasury Long-Term Bonds Futures, Call | &nbsp;&nbsp;&nbsp;&nbsp; 10/24/25 | &nbsp;&nbsp;&nbsp;&nbsp;117.000 | &nbsp;&nbsp;&nbsp;&nbsp; 252 | &nbsp;&nbsp;&nbsp;&nbsp; 252000 | &nbsp;&nbsp;&nbsp;&nbsp; (248063) |
| U.S. Treasury Long-Term Bonds Futures, Put | &nbsp;&nbsp;&nbsp;&nbsp; 10/24/25 | &nbsp;&nbsp;&nbsp;&nbsp;117.000 | &nbsp;&nbsp;&nbsp;&nbsp; 252 | &nbsp;&nbsp;&nbsp;&nbsp; 252000 | &nbsp;&nbsp;&nbsp;&nbsp; (350438) |
| **Total Exchange-Traded Written Options (Premiums received — $10,995,142)** | **Total Exchange-Traded Written Options (Premiums received — $10,995,142)** | **Total Exchange-Traded Written Options (Premiums received — $10,995,142)** | **Total Exchange-Traded Written Options (Premiums received — $10,995,142)** | **Total Exchange-Traded Written Options (Premiums received — $10,995,142)** | &nbsp;&nbsp;&nbsp; **(8770769)** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2025 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

September 30, 2025

 **Western Asset Core Plus Bond Fund**

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **OTC Written Options** | **OTC Written Options** | **OTC Written Options** | **OTC Written Options** | **OTC Written Options** | **OTC Written Options** | **OTC Written Options** |
| Security | Counterparty | Expiration<br> Date<br>| Strike<br> Price<br>| Contracts | &nbsp;&nbsp; Notional<br> Amount<br>| Value |
| Interest rate swaption, Call, <br> 345.000<sup>bps</sup> payments received by the <br> Fund annually, payments made by <br> the Fund on Daily SOFR Compound <br> annually, maturing on 9/29/36 <br>(Premiums received — $2,532,320)<br>| Goldman Sachs Group Inc. | &nbsp;&nbsp; 9/25/26 | 3.450 <br><sup>bps</sup><br>| &nbsp;&nbsp;&nbsp; 149310000 | &nbsp;&nbsp;&nbsp; 149310000 | &nbsp;&nbsp; **$(2523352)**<br>|
| **Total Written Options (Premiums received — $13,527,462)** | **Total Written Options (Premiums received — $13,527,462)** | **Total Written Options (Premiums received — $13,527,462)** | **Total Written Options (Premiums received — $13,527,462)** | **Total Written Options (Premiums received — $13,527,462)** | **Total Written Options (Premiums received — $13,527,462)** | &nbsp;&nbsp; **$(11294121)**<br>|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| **Abbreviation(s) used in this schedule:** | **Abbreviation(s) used in this schedule:** |
| bps | basis points (100 basis points = 1.00%) |
| SOFR | Secured Overnight Financing Rate |

---

At September 30, 2025, the Fund had the following open futures contracts:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | &nbsp;&nbsp;&nbsp; <br> Number of <br>Contracts<br>| &nbsp;&nbsp;&nbsp; <br> Expiration <br>Date<br>| &nbsp;&nbsp;&nbsp; <br> Notional <br>Amount<br>| &nbsp;&nbsp;&nbsp; <br> Market <br>Value<br>| &nbsp;&nbsp;&nbsp; <br> Unrealized <br>Appreciation <br>&nbsp;&nbsp;&nbsp;&nbsp;(Depreciation)<br>|
| **Contracts to Buy:** |  |  |  |  |  |
| 3-Month SOFR | &nbsp;&nbsp;&nbsp;&nbsp; 3467 | &nbsp;&nbsp;&nbsp;&nbsp; 3/26 | &nbsp;&nbsp;&nbsp;&nbsp; $831965177 | &nbsp;&nbsp;&nbsp;&nbsp; $834810262 | &nbsp;&nbsp;&nbsp;&nbsp; $2845085 |
| 3-Month SOFR | &nbsp;&nbsp;&nbsp;&nbsp; 2754 | &nbsp;&nbsp;&nbsp;&nbsp; 12/25 | &nbsp;&nbsp;&nbsp;&nbsp; 660257532 | &nbsp;&nbsp;&nbsp;&nbsp; 660667388 | &nbsp;&nbsp;&nbsp;&nbsp; 409856 |
| U.S. Treasury 5-Year Notes | &nbsp;&nbsp;&nbsp;&nbsp; 10911 | &nbsp;&nbsp;&nbsp;&nbsp; 12/25 | &nbsp;&nbsp;&nbsp;&nbsp; 1189748460 | &nbsp;&nbsp;&nbsp;&nbsp; 1191430027 | &nbsp;&nbsp;&nbsp;&nbsp; 1681567 |
| U.S. Treasury 10-Year Notes | &nbsp;&nbsp;&nbsp;&nbsp; 1961 | &nbsp;&nbsp;&nbsp;&nbsp; 12/25 | &nbsp;&nbsp;&nbsp;&nbsp; 219537558 | &nbsp;&nbsp;&nbsp;&nbsp; 220612500 | &nbsp;&nbsp;&nbsp;&nbsp; 1074942 |
| U.S. Treasury Long-Term Bonds | &nbsp;&nbsp;&nbsp;&nbsp; 4293 | &nbsp;&nbsp;&nbsp;&nbsp; 12/25 | &nbsp;&nbsp;&nbsp;&nbsp; 494315680 | &nbsp;&nbsp;&nbsp;&nbsp; 500536969 | &nbsp;&nbsp;&nbsp;&nbsp; 6221289 |
| United Kingdom Long Gilt Bonds | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp; 12/25 | &nbsp;&nbsp;&nbsp;&nbsp; 60790408 | &nbsp;&nbsp;&nbsp;&nbsp; 61085358 | &nbsp;&nbsp;&nbsp;&nbsp; 294950 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 12527689 |
| **Contracts to Sell:** |  |  |  |  |  |
| Japanese 10-Year Bonds | &nbsp;&nbsp;&nbsp;&nbsp; 70 | &nbsp;&nbsp;&nbsp;&nbsp; 12/25 | &nbsp;&nbsp;&nbsp;&nbsp; 64840883 | &nbsp;&nbsp;&nbsp;&nbsp; 64274943 | &nbsp;&nbsp;&nbsp;&nbsp; 565940 |
| U.S. Treasury 2-Year Notes | &nbsp;&nbsp;&nbsp;&nbsp; 5329 | &nbsp;&nbsp;&nbsp;&nbsp; 12/25 | &nbsp;&nbsp;&nbsp;&nbsp; 1110038571 | &nbsp;&nbsp;&nbsp;&nbsp; 1110555276 | &nbsp;&nbsp;&nbsp;&nbsp; (516705) |
| U.S. Treasury Ultra 10-Year Notes | &nbsp;&nbsp;&nbsp;&nbsp; 1235 | &nbsp;&nbsp;&nbsp;&nbsp; 12/25 | &nbsp;&nbsp;&nbsp;&nbsp; 140717683 | &nbsp;&nbsp;&nbsp;&nbsp; 142121491 | &nbsp;&nbsp;&nbsp;&nbsp; (1403808) |
| U.S. Treasury Ultra Long-Term Bonds | &nbsp;&nbsp;&nbsp;&nbsp; 2038 | &nbsp;&nbsp;&nbsp;&nbsp; 12/25 | &nbsp;&nbsp;&nbsp;&nbsp; 238243065 | &nbsp;&nbsp;&nbsp;&nbsp; 244687375 | &nbsp;&nbsp;&nbsp;&nbsp; (6444310) |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; (7798883) |
| **Net unrealized appreciation on open futures contracts** | **Net unrealized appreciation on open futures contracts** | **Net unrealized appreciation on open futures contracts** | **Net unrealized appreciation on open futures contracts** | **Net unrealized appreciation on open futures contracts** | &nbsp;&nbsp;&nbsp; **$4728806** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
| **Abbreviation(s) used in this table:** | **Abbreviation(s) used in this table:** | **Abbreviation(s) used in this table:** |
| SOFR |  | Secured Overnight Financing Rate |

---

At September 30, 2025, the Fund had the following open forward foreign currency contracts:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| Currency <br>Purchased | Currency <br>Purchased | Currency <br>Sold | Currency <br>Sold | Counterparty | Settlement <br>Date<br>| Unrealized <br>Appreciation <br>(Depreciation)<br>|
| BRL | &nbsp;&nbsp;&nbsp;&nbsp; 22703557 | &nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 4268709 | Goldman Sachs Group Inc. | &nbsp;&nbsp; 10/2/25 | &nbsp;&nbsp; $(5022) |
| USD | &nbsp;&nbsp;&nbsp;&nbsp; 4271473 | &nbsp;&nbsp; BRL | &nbsp;&nbsp;&nbsp;&nbsp; 22703557 | Goldman Sachs Group Inc. | &nbsp;&nbsp; 10/2/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7785 |
| BRL | &nbsp;&nbsp; 366260000 | &nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 68863987 | JPMorgan Chase & Co. | &nbsp;&nbsp; 10/2/25 | &nbsp;&nbsp;&nbsp;&nbsp; (81013) |
| BRL | &nbsp;&nbsp; 388963557 | &nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 73113451 | JPMorgan Chase & Co. | &nbsp;&nbsp; 10/2/25 | &nbsp;&nbsp;&nbsp;&nbsp; (66789) |
| USD | &nbsp;&nbsp;&nbsp;&nbsp; 66928587 | &nbsp;&nbsp; BRL | &nbsp;&nbsp; 366260000 | JPMorgan Chase & Co. | &nbsp;&nbsp; 10/2/25 | &nbsp;&nbsp; (1854387) |
| USD | &nbsp;&nbsp;&nbsp;&nbsp; 73132696 | &nbsp;&nbsp; BRL | &nbsp;&nbsp; 388963557 | JPMorgan Chase & Co. | &nbsp;&nbsp; 10/2/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 86035 |
| USD | &nbsp;&nbsp;&nbsp;&nbsp; 19054669 | &nbsp;&nbsp; CNH | &nbsp;&nbsp; 135682582 | Bank of America N.A. | &nbsp;&nbsp; 10/16/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (2577) |
| CNH | &nbsp;&nbsp;&nbsp;&nbsp; 30647000 | &nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 4315217 | BNP Paribas SA | &nbsp;&nbsp; 10/16/25 | &nbsp;&nbsp;&nbsp;&nbsp; (10704) |
| CNH | &nbsp;&nbsp;&nbsp;&nbsp; 39740000 | &nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 5542936 | BNP Paribas SA | &nbsp;&nbsp; 10/16/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 38731 |
| CNH | &nbsp;&nbsp;&nbsp;&nbsp; 44980000 | &nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 6292905 | BNP Paribas SA | &nbsp;&nbsp; 10/16/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24744 |

---

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2025 Quarterly Report

------

 **Western Asset Core Plus Bond Fund**

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| Currency<br> Purchased | Currency<br> Purchased | Currency<br> Sold | Currency<br> Sold | Counterparty | Settlement<br> Date<br>| Unrealized<br> Appreciation<br> (Depreciation)<br>|
| CNH | &nbsp;&nbsp;&nbsp;&nbsp; 47070000 | &nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 6565105 | BNP Paribas SA | &nbsp;&nbsp; 10/16/25 | &nbsp;&nbsp; $46094 |
| USD | &nbsp;&nbsp;&nbsp;&nbsp; 4392393 | &nbsp;&nbsp; CAD | &nbsp;&nbsp;&nbsp;&nbsp; 5959975 | Citibank N.A. | &nbsp;&nbsp; 10/16/25 | &nbsp;&nbsp;&nbsp;&nbsp; 106433 |
| USD | &nbsp;&nbsp;&nbsp;&nbsp; 42815659 | &nbsp;&nbsp; INR | &nbsp;&nbsp; 3688333558 | Citibank N.A. | &nbsp;&nbsp; 10/16/25 | &nbsp;&nbsp; 1313087 |
| GBP | &nbsp;&nbsp;&nbsp;&nbsp; 4080000 | &nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 5441671 | Goldman Sachs Group Inc. | &nbsp;&nbsp; 10/16/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 46029 |
| GBP | &nbsp;&nbsp;&nbsp;&nbsp; 5140000 | &nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 6847955 | Goldman Sachs Group Inc. | &nbsp;&nbsp; 10/16/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 65471 |
| JPY | &nbsp;&nbsp; 4676911541 | &nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 32222007 | Goldman Sachs Group Inc. | &nbsp;&nbsp; 10/16/25 | &nbsp;&nbsp;&nbsp;&nbsp; (540816) |
| USD | &nbsp;&nbsp;&nbsp;&nbsp; 5192734 | &nbsp;&nbsp; EUR | &nbsp;&nbsp;&nbsp;&nbsp; 4410000 | Goldman Sachs Group Inc. | &nbsp;&nbsp; 10/16/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10006 |
| USD | &nbsp;&nbsp;&nbsp;&nbsp; 24385901 | &nbsp;&nbsp; GBP | &nbsp;&nbsp;&nbsp;&nbsp; 17857671 | Goldman Sachs Group Inc. | &nbsp;&nbsp; 10/16/25 | &nbsp;&nbsp;&nbsp;&nbsp; 366895 |
| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 979801 | &nbsp;&nbsp; JPY | &nbsp;&nbsp; 143235210 | Goldman Sachs Group Inc. | &nbsp;&nbsp; 10/16/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9532 |
| USD | &nbsp;&nbsp;&nbsp;&nbsp; 2691644 | &nbsp;&nbsp; JPY | &nbsp;&nbsp; 393754416 | Goldman Sachs Group Inc. | &nbsp;&nbsp; 10/16/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24369 |
| USD | &nbsp;&nbsp;&nbsp;&nbsp; 4342954 | &nbsp;&nbsp; JPY | &nbsp;&nbsp; 637324604 | Goldman Sachs Group Inc. | &nbsp;&nbsp; 10/16/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 25745 |
| USD | &nbsp;&nbsp;&nbsp;&nbsp; 4363468 | &nbsp;&nbsp; JPY | &nbsp;&nbsp; 639650000 | Goldman Sachs Group Inc. | &nbsp;&nbsp; 10/16/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 30508 |
| AUD | &nbsp;&nbsp;&nbsp;&nbsp; 56573759 | &nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 36917207 | JPMorgan Chase & Co. | &nbsp;&nbsp; 10/16/25 | &nbsp;&nbsp;&nbsp;&nbsp; 526630 |
| EUR | &nbsp;&nbsp;&nbsp;&nbsp; 1380000 | &nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 1598041 | JPMorgan Chase & Co. | &nbsp;&nbsp; 10/16/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23765 |
| EUR | &nbsp;&nbsp;&nbsp;&nbsp; 3780000 | &nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 4340252 | JPMorgan Chase & Co. | &nbsp;&nbsp; 10/16/25 | &nbsp;&nbsp;&nbsp;&nbsp; 102087 |
| EUR | &nbsp;&nbsp;&nbsp;&nbsp; 3890000 | &nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 4486799 | JPMorgan Chase & Co. | &nbsp;&nbsp; 10/16/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 84814 |
| EUR | &nbsp;&nbsp;&nbsp;&nbsp; 6170000 | &nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 7155133 | JPMorgan Chase & Co. | &nbsp;&nbsp; 10/16/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 95986 |
| EUR | &nbsp;&nbsp;&nbsp;&nbsp; 27544402 | &nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 32552773 | JPMorgan Chase & Co. | &nbsp;&nbsp; 10/16/25 | &nbsp;&nbsp;&nbsp;&nbsp; (181989) |
| USD | &nbsp;&nbsp;&nbsp;&nbsp; 4196074 | &nbsp;&nbsp; AUD | &nbsp;&nbsp;&nbsp;&nbsp; 6286417 | JPMorgan Chase & Co. | &nbsp;&nbsp; 10/16/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 35354 |
| USD | &nbsp;&nbsp;&nbsp;&nbsp; 4750999 | &nbsp;&nbsp; AUD | &nbsp;&nbsp;&nbsp;&nbsp; 7130000 | JPMorgan Chase & Co. | &nbsp;&nbsp; 10/16/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31946 |
| USD | &nbsp;&nbsp;&nbsp;&nbsp; 4787500 | &nbsp;&nbsp; AUD | &nbsp;&nbsp;&nbsp;&nbsp; 7256328 | JPMorgan Chase & Co. | &nbsp;&nbsp; 10/16/25 | &nbsp;&nbsp;&nbsp;&nbsp; (15165) |
| USD | &nbsp;&nbsp;&nbsp;&nbsp; 6090032 | &nbsp;&nbsp; AUD | &nbsp;&nbsp;&nbsp;&nbsp; 9302823 | JPMorgan Chase & Co. | &nbsp;&nbsp; 10/16/25 | &nbsp;&nbsp;&nbsp;&nbsp; (67123) |
| USD | &nbsp;&nbsp;&nbsp;&nbsp; 4109984 | &nbsp;&nbsp; EUR | &nbsp;&nbsp;&nbsp;&nbsp; 3470000 | JPMorgan Chase & Co. | &nbsp;&nbsp; 10/16/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31964 |
| USD | &nbsp;&nbsp;&nbsp;&nbsp; 4460713 | &nbsp;&nbsp; EUR | &nbsp;&nbsp;&nbsp;&nbsp; 3762459 | JPMorgan Chase & Co. | &nbsp;&nbsp; 10/16/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 38989 |
| USD | &nbsp;&nbsp;&nbsp;&nbsp; 4596583 | &nbsp;&nbsp; EUR | &nbsp;&nbsp;&nbsp;&nbsp; 3950000 | JPMorgan Chase & Co. | &nbsp;&nbsp; 10/16/25 | &nbsp;&nbsp;&nbsp;&nbsp; (45543) |
| USD | &nbsp;&nbsp;&nbsp;&nbsp; 4763093 | &nbsp;&nbsp; EUR | &nbsp;&nbsp;&nbsp;&nbsp; 4046102 | JPMorgan Chase & Co. | &nbsp;&nbsp; 10/16/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8025 |
| USD | &nbsp;&nbsp;&nbsp;&nbsp; 9572788 | &nbsp;&nbsp; EUR | &nbsp;&nbsp;&nbsp;&nbsp; 8158420 | JPMorgan Chase & Co. | &nbsp;&nbsp; 10/16/25 | &nbsp;&nbsp;&nbsp;&nbsp; (15165) |
| USD | &nbsp;&nbsp;&nbsp;&nbsp; 72550232 | &nbsp;&nbsp; BRL | &nbsp;&nbsp; 388963557 | JPMorgan Chase & Co. | &nbsp;&nbsp; 11/4/25 | &nbsp;&nbsp;&nbsp;&nbsp; 100495 |
| **Net unrealized appreciation on open forward foreign currency contracts** | **Net unrealized appreciation on open forward foreign currency contracts** | **Net unrealized appreciation on open forward foreign currency contracts** | **Net unrealized appreciation on open forward foreign currency contracts** | **Net unrealized appreciation on open forward foreign currency contracts** | **Net unrealized appreciation on open forward foreign currency contracts** | &nbsp;&nbsp; **$395226** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
| **Abbreviation(s) used in this table:** | **Abbreviation(s) used in this table:** | **Abbreviation(s) used in this table:** |
| AUD |  | Australian Dollar |
| BRL |  | Brazilian Real |
| CAD |  | Canadian Dollar |
| CNH |  | Chinese Offshore Yuan |
| EUR |  | Euro |
| GBP |  | British Pound |
| INR |  | Indian Rupee |
| JPY |  | Japanese Yen |
| USD |  | United States Dollar |

---

At September 30, 2025, the Fund had the following open swap contracts:

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| <br> **OTC INTEREST RATE SWAPS**  | <br> **OTC INTEREST RATE SWAPS**  | <br> **OTC INTEREST RATE SWAPS**  | <br> **OTC INTEREST RATE SWAPS**  | <br> **OTC INTEREST RATE SWAPS**  | <br> **OTC INTEREST RATE SWAPS**  | <br> **OTC INTEREST RATE SWAPS**  | <br> **OTC INTEREST RATE SWAPS**  |
| Swap Counterparty | Notional <br>Amount\*<br>| &nbsp;&nbsp;&nbsp; Termination <br>Date<br>| &nbsp;&nbsp;&nbsp; Payments <br>Made by <br>the Fund<sup>†</sup> <br>| &nbsp;&nbsp;&nbsp; Payments <br>Received by <br>the Fund<sup>†</sup> <br>| &nbsp;&nbsp;&nbsp; Market <br>Value<br>| &nbsp;&nbsp;&nbsp; Upfront <br>Premiums <br>Paid <br>&nbsp;&nbsp;&nbsp;&nbsp;(Received)<br>| &nbsp;&nbsp;&nbsp; Unrealized <br>Depreciation<br>|
| JPMorgan Chase & Co. | 630390000<sup>BRL</sup> <br>| &nbsp;&nbsp;&nbsp;&nbsp; 1/2/29 | &nbsp;&nbsp;&nbsp;&nbsp; BRL-CDI\*\* | &nbsp;&nbsp;&nbsp;&nbsp; 10.230%\*\* | &nbsp;&nbsp;&nbsp; **$(10629273)** | &nbsp;&nbsp;&nbsp; **—** | &nbsp;&nbsp;&nbsp; **$(10629273)** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2025 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

September 30, 2025

 **Western Asset Core Plus Bond Fund**

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| <br> **CENTRALLY CLEARED INTEREST RATE SWAPS**  | <br> **CENTRALLY CLEARED INTEREST RATE SWAPS**  | <br> **CENTRALLY CLEARED INTEREST RATE SWAPS**  | <br> **CENTRALLY CLEARED INTEREST RATE SWAPS**  | <br> **CENTRALLY CLEARED INTEREST RATE SWAPS**  | <br> **CENTRALLY CLEARED INTEREST RATE SWAPS**  | <br> **CENTRALLY CLEARED INTEREST RATE SWAPS**  |
| &nbsp;&nbsp;&nbsp; Notional <br>Amount<br>| &nbsp;&nbsp;&nbsp; Termination <br>Date<br>| &nbsp;&nbsp;&nbsp;&nbsp; Payments <br>Made by <br>the Fund<sup>†</sup> <br>| &nbsp;&nbsp;&nbsp;&nbsp; Payments <br>Received by <br>the Fund<sup>†</sup> <br>| &nbsp;&nbsp;&nbsp; Market <br>Value<br>| &nbsp;&nbsp;&nbsp; Upfront <br>Premiums <br>Paid <br>&nbsp;&nbsp;&nbsp;&nbsp;(Received)<br>| &nbsp;&nbsp;&nbsp; Unrealized <br>Depreciation<br>|
| &nbsp;&nbsp;&nbsp;&nbsp; $388716000 | &nbsp;&nbsp;&nbsp;&nbsp; 5/31/32 | &nbsp;&nbsp;&nbsp;&nbsp; 3.490% <br>annually<br>| &nbsp;&nbsp;&nbsp;&nbsp; Daily SOFR <br>Compound <br>annually<br>| &nbsp;&nbsp;&nbsp; **$(550862)** | &nbsp;&nbsp;&nbsp; **$730928** | &nbsp;&nbsp;&nbsp; **$(1281790)** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| <br> **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — BUY PROTECTION**<sup>1</sup>  | <br> **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — BUY PROTECTION**<sup>1</sup>  | <br> **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — BUY PROTECTION**<sup>1</sup>  | <br> **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — BUY PROTECTION**<sup>1</sup>  | <br> **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — BUY PROTECTION**<sup>1</sup>  | <br> **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — BUY PROTECTION**<sup>1</sup>  | <br> **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — BUY PROTECTION**<sup>1</sup>  |
| Reference Entity | Notional <br>Amount<sup>2</sup> <br>| &nbsp;&nbsp;&nbsp; Termination <br>Date<br>| &nbsp;&nbsp;&nbsp;&nbsp; Periodic <br>Payments <br>Made by <br>the Fund<sup>†</sup> <br>| &nbsp;&nbsp;&nbsp; Market <br>Value<sup>3</sup> <br>| &nbsp;&nbsp;&nbsp; Upfront <br>Premiums <br>Paid <br>&nbsp;&nbsp;&nbsp;&nbsp;(Received)<br>| &nbsp;&nbsp;&nbsp; Unrealized <br>Depreciation<br>|
| Markit CDX.NA.HY.45 Index | $35379500 | &nbsp;&nbsp;&nbsp;&nbsp; 12/20/30 | 5.000% quarterly | &nbsp;&nbsp;&nbsp; **$(2732413)** | &nbsp;&nbsp;&nbsp; **$(2700312)** | &nbsp;&nbsp;&nbsp; **$(32101)** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| <br> **OTC TOTAL RETURN SWAPS**  | <br> **OTC TOTAL RETURN SWAPS**  | <br> **OTC TOTAL RETURN SWAPS**  | <br> **OTC TOTAL RETURN SWAPS**  | <br> **OTC TOTAL RETURN SWAPS**  | <br> **OTC TOTAL RETURN SWAPS**  | <br> **OTC TOTAL RETURN SWAPS**  | <br> **OTC TOTAL RETURN SWAPS**  |
| Swap <br>Counterparty<br>| Notional <br>Amount<br>| &nbsp;&nbsp;&nbsp; Termination <br>Date<br>| &nbsp;&nbsp;&nbsp;&nbsp; Periodic <br>Payments <br>Made by <br>the Fund<sup>†</sup> <br>| &nbsp;&nbsp;&nbsp;&nbsp; Periodic <br>Payments <br>Received by <br>the Fund<sup>‡</sup> <br>| &nbsp;&nbsp;&nbsp; Market <br>Value<br>| &nbsp;&nbsp;&nbsp; Upfront <br>Premiums <br>Paid <br>&nbsp;&nbsp;&nbsp;&nbsp;(Received)<br>| &nbsp;&nbsp;&nbsp; Unrealized <br>Appreciation<br>|
| JPMorgan Chase & Co. | $178834 | &nbsp;&nbsp;&nbsp;&nbsp; 10/3/25 | &nbsp;&nbsp;&nbsp;&nbsp; Daily SOFR <br>Compound + <br>1.100%\*\*<br>| JPEIFNTR^\*\* | &nbsp;&nbsp;&nbsp; **$1181783** | &nbsp;&nbsp;&nbsp; **—** | &nbsp;&nbsp;&nbsp; **$1181783** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| <sup>1</sup> | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive <br> from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or the underlying securities <br> comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the <br> recovery value of the referenced obligation or the underlying securities comprising the referenced index.<br>|
| <sup>2</sup> | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event <br> occurs as defined under the terms of that particular swap agreement.<br>|
| <sup>3</sup> | The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the <br> current status of the payment/performance risk and represent the likelihood of an expected loss (or profit) for the credit derivative had the notional amount <br> of the swap agreement been closed/sold as of the period end. Decreasing market values (sell protection) or increasing market values (buy protection), when <br> compared to the notional amount of the swap, represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of <br> default or other credit event occurring as defined under the terms of the agreement.<br>|
| † | Percentage shown is an annual percentage rate. |
| ‡ | Periodic payments made/received by the Fund are based on the total return of the referenced entity. |
| ^ | Custom emerging markets debt basket is comprised of 41 bonds in the Sovereign Frontier sector. |
| \* | Notional amount denominated in U.S. dollars, unless otherwise noted. |
| \*\* | One time payment made at termination date. |

---

Reference rate(s) and their value(s) as of period end used in this table:

---

| | |
|:---|:---|
| Reference Index | Reference <br>Rate<br>|
| &nbsp;&nbsp;&nbsp; BRL-CDI | 14.900% |
| &nbsp;&nbsp;&nbsp; Daily SOFR Compound | 4.240% |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
| **Abbreviation(s) used in this table:** | **Abbreviation(s) used in this table:** | **Abbreviation(s) used in this table:** |
| BRL |  | Brazilian Real |
| BRL-CDI |  | Brazilian Cetip InterBank Deposit Rate |
| JPEIFNTR |  | Western Asset Management Emerging Markets Frontier Custom Basket |
| SOFR |  | Secured Overnight Financing Rate |

---

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2025 Quarterly Report

------

 **Western Asset Core Plus Bond Fund**

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

See Notes to Schedule of Investments.

------

Western Asset Core Plus Bond Fund 2025 Quarterly Report

------

Notes to Schedule of Investments (unaudited)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

**1. Organization and significant accounting policies** 

Western Asset Core Plus Bond Fund (the "Fund") is a separate diversified investment series of Western Asset Funds, Inc. (the "Corporation"). The Corporation, a Maryland corporation, is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company.

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

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

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

The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making fair value determinations. Examples of possible methodologies include, but are not limited to, multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or a multiple thereof; risk premium/yield analysis; yield to maturity; and/or fundamental investment analysis. The Valuation Committee will also consider factors it deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to, the type of security; the issuer's financial statements; the purchase price of the security; the discount from market value of unrestricted securities of the same class at the time of purchase; analysts' research and observations from financial institutions; information regarding any transactions or offers with respect to the security; the existence of merger proposals or tender offers affecting the security; the price and extent of public trading in similar securities of the issuer or comparable companies; and the existence of a shelf registration for restricted securities.

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

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

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Western Asset Core Plus Bond Fund 2025 Quarterly Report

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

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

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

• Level 3 — significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments)

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

The following is a summary of the inputs used in valuing the Fund's assets and liabilities carried at fair value: <br>

---

| | | | | |
|:---|:---|:---|:---|:---|
| **ASSETS** | **ASSETS** | **ASSETS** | **ASSETS** | **ASSETS** |
| Description | &nbsp;&nbsp; Quoted Prices <br>(Level 1)<br>| &nbsp;&nbsp; Other Significant <br>Observable Inputs <br>(Level 2)<br>| &nbsp;&nbsp; Significant <br>Unobservable <br>Inputs <br>(Level 3)<br>| Total |
| Long-Term Investments†: |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Corporate Bonds & Notes: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Financials | &nbsp;&nbsp; — | &nbsp;&nbsp; $377127036 | &nbsp;&nbsp; $0<br> \*<br>| &nbsp;&nbsp; $377127036 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Other Corporate Bonds & Notes | &nbsp;&nbsp; — | &nbsp;&nbsp; 934685098 | &nbsp;&nbsp; — | &nbsp;&nbsp; 934685098 |
| &nbsp;&nbsp;&nbsp; Mortgage-Backed Securities | &nbsp;&nbsp; — | &nbsp;&nbsp; 1086743530 | &nbsp;&nbsp; — | &nbsp;&nbsp; 1086743530 |
| &nbsp;&nbsp;&nbsp; Collateralized Mortgage Obligations | &nbsp;&nbsp; — | &nbsp;&nbsp; 659726199 | &nbsp;&nbsp; — | &nbsp;&nbsp; 659726199 |
| &nbsp;&nbsp;&nbsp; Asset-Backed Securities | &nbsp;&nbsp; — | &nbsp;&nbsp; 321493243 | &nbsp;&nbsp; — | &nbsp;&nbsp; 321493243 |
| &nbsp;&nbsp;&nbsp; U.S. Government & Agency Obligations | &nbsp;&nbsp; — | &nbsp;&nbsp; 279736044 | &nbsp;&nbsp; — | &nbsp;&nbsp; 279736044 |
| &nbsp;&nbsp;&nbsp; Sovereign Bonds | &nbsp;&nbsp; — | &nbsp;&nbsp; 176366067 | &nbsp;&nbsp; — | &nbsp;&nbsp; 176366067 |
| &nbsp;&nbsp;&nbsp; Senior Loans | &nbsp;&nbsp; — | &nbsp;&nbsp; 87942722 | &nbsp;&nbsp; — | &nbsp;&nbsp; 87942722 |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Inflation Protected Securities | &nbsp;&nbsp; — | &nbsp;&nbsp; 32559480 | &nbsp;&nbsp; — | &nbsp;&nbsp; 32559480 |
| &nbsp;&nbsp;&nbsp; Purchased Options: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Exchange-Traded Purchased Options | &nbsp;&nbsp; $5284116 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 5284116 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; OTC Purchased Options | &nbsp;&nbsp; — | &nbsp;&nbsp; 2586780 | &nbsp;&nbsp; — | &nbsp;&nbsp; 2586780 |
| &nbsp;&nbsp;&nbsp; Common Stocks: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Industrials | &nbsp;&nbsp; 110343 | &nbsp;&nbsp; 640 | &nbsp;&nbsp; — | &nbsp;&nbsp; 110983 |
| &nbsp;&nbsp;&nbsp; Warrants | &nbsp;&nbsp; — | &nbsp;&nbsp; 78398 | &nbsp;&nbsp; — | &nbsp;&nbsp; 78398 |
| Total Long-Term Investments | &nbsp;&nbsp; 5394459 | &nbsp;&nbsp; 3959045237 | &nbsp;&nbsp; 0<br> \*<br>| &nbsp;&nbsp; 3964439696 |
| Short-Term Investments† | &nbsp;&nbsp; 376380273 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 376380273 |
| **Total Investments** | &nbsp;&nbsp; **$381774732** | &nbsp;&nbsp; **$3959045237** | &nbsp;&nbsp; **$0**<br> **\***<br>| &nbsp;&nbsp; **$4340819969** |
| Other Financial Instruments: |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Futures Contracts†† | &nbsp;&nbsp; $13093629 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; $13093629 |
| &nbsp;&nbsp;&nbsp; Forward Foreign Currency Contracts†† | &nbsp;&nbsp; — | &nbsp;&nbsp; $3281519 | &nbsp;&nbsp; — | &nbsp;&nbsp; 3281519 |
| &nbsp;&nbsp;&nbsp; OTC Total Return Swaps | &nbsp;&nbsp; — | &nbsp;&nbsp; 1181783 | &nbsp;&nbsp; — | &nbsp;&nbsp; 1181783 |
| **Total Other Financial Instruments** | &nbsp;&nbsp; **$13093629** | &nbsp;&nbsp; **$4463302** | &nbsp;&nbsp; **—** | &nbsp;&nbsp; **$17556931** |
| **Total** | &nbsp;&nbsp; **$394868361** | &nbsp;&nbsp; **$3963508539** | &nbsp;&nbsp; **—** | &nbsp;&nbsp; **$4358376900** |

---

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Western Asset Core Plus Bond Fund 2025 Quarterly Report

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Notes to Schedule of Investments (unaudited) (cont'd)

---

| | | | | |
|:---|:---|:---|:---|:---|
| **LIABILITIES**  | **LIABILITIES**  | **LIABILITIES**  | **LIABILITIES**  | **LIABILITIES**  |
| Description | &nbsp;&nbsp; Quoted Prices <br>(Level 1)<br>| &nbsp;&nbsp; Other Significant <br>Observable Inputs <br>(Level 2)<br>| &nbsp;&nbsp; Significant <br>Unobservable <br>Inputs <br>(Level 3)<br>| Total |
| Other Financial Instruments: |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Written Options: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Exchange-Traded Written Options | &nbsp;&nbsp; $8770769 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; $8770769 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; OTC Written Options | &nbsp;&nbsp; — | &nbsp;&nbsp; $2523352 | &nbsp;&nbsp; — | &nbsp;&nbsp; 2523352 |
| &nbsp;&nbsp;&nbsp; Futures Contracts†† | &nbsp;&nbsp; 8364823 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 8364823 |
| &nbsp;&nbsp;&nbsp; Forward Foreign Currency Contracts†† | &nbsp;&nbsp; — | &nbsp;&nbsp; 2886293 | &nbsp;&nbsp; — | &nbsp;&nbsp; 2886293 |
| &nbsp;&nbsp;&nbsp; OTC Interest Rate Swaps†† | &nbsp;&nbsp; — | &nbsp;&nbsp; 10629273 | &nbsp;&nbsp; — | &nbsp;&nbsp; 10629273 |
| &nbsp;&nbsp;&nbsp; Centrally Cleared Interest Rate Swaps†† | &nbsp;&nbsp; — | &nbsp;&nbsp; 1281790 | &nbsp;&nbsp; — | &nbsp;&nbsp; 1281790 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Centrally Cleared Credit Default Swaps on Credit Indices — Buy <br> Protection††<br>| &nbsp;&nbsp; — | &nbsp;&nbsp; 32101 | &nbsp;&nbsp; — | &nbsp;&nbsp; 32101 |
| **Total** | &nbsp;&nbsp; **$17135592** | &nbsp;&nbsp; **$17352809** | &nbsp;&nbsp; **—** | &nbsp;&nbsp; **$34488401** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| † | See Schedule of Investments for additional detailed categorizations. |
| \* | Amount represents less than $1. |
| †† | Reflects the unrealized appreciation (depreciation) of the instruments. |

---

**2. Transactions with affiliated company**

As defined by the 1940 Act, an affiliated company is one in which the Fund owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control with the Fund. The following company was considered an affiliated company for all or some portion of the period ended September 30, 2025. The following transactions were effected in such company for the period ended September 30, 2025. <br>

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | Affiliate <br>Value at <br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>December 31, <br>2024 | Purchased | Purchased | Sold | Sold |
|  | Affiliate <br>Value at <br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>December 31, <br>2024 | Cost | Shares | Proceeds | Shares |
| Western Asset Premier <br> Institutional Government <br> Reserves, Premium <br> Shares<br>| $57538768 | $1872132580 | 1872132580 | $1553291075 | 1553291075 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

---

| | | | | |
|:---|:---|:---|:---|:---|
| (cont'd) | Realized <br>Gain (Loss)<br>| Dividend <br>Income<br>| Net Increase <br>(Decrease) in <br>Unrealized <br>Appreciation <br>(Depreciation)<br>| Affiliate <br>Value at <br>September 30, <br>2025<br>|
| Western Asset Premier <br> Institutional Government <br> Reserves, Premium Shares<br>|  | $3473565 |  | $376380273 |

---

**3. Restricted securities** 

The following Fund investments are restricted as to resale and, in the absence of readily ascertainable market values, are fair valued in accordance with procedures approved by the Board. <br>

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| Security | &nbsp;&nbsp; Number of <br>Shares/ <br>Warrants<br>| Acquisition <br>Date<br>| Cost | Fair Value <br>at 9/30/2025<br>| Value Per <br>Share/Warrant<br>|
| Spirit Airlines LLC, <br> Common Shares<br>| &nbsp;&nbsp; 1685 | 3/25 | $20512 | $640 | &nbsp;&nbsp; $0.38<br> 0.00 %<sup>(a)</sup><br>|
| Spirit Airlines LLC, <br> Warrants<br>| &nbsp;&nbsp; 206310 | 3/25 | 2511486 | 78398 | 0.38<br> 0.00 <br><sup>(a)</sup><br>|
|  |  |  | **$2531998** | **$79038** | &nbsp;&nbsp; <br> &nbsp;&nbsp; **0.00%** <br><sup>(a)</sup><br>|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

<sup>(a)</sup> Amount represents less than 0.005%.

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Western Asset Core Plus Bond Fund 2025 Quarterly Report

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## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10018

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

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

- **a. Name of Series:** Western Asset Core Plus Bond Fund

- **b. EDGAR series identifier (if any):** S000000714

- **c. LEI of Series:** 549300M92SFKO7RZX103

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

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

- **b. Date as of which information is reported:** 2025-09-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $4912779969.23

**Total Liabilities:** $717310131.26

**Net Assets:** $4195469837.97

**Delayed Delivery Securities:** $12309983.00

**Stand-by Commitments:** $422745168.88

**Cash Not Reported:** $37566909.57

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 3450.53000000 | **1-Year:** 163602.58000000 | **5-Year:** 1001034.44000000 | **10-Year:** 490936.32000000 | **30-Year:** 57133.67000000

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

- **3-Month:** 543.13000000 | **1-Year:** 33981.82000000 | **5-Year:** 59252.48000000 | **10-Year:** 20852.32000000 | **30-Year:** 1094.46000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000117035 | -0.59%               | 2.35%                | 2.71%                |
| Class ID C000113704 | -0.50%               | 1.36%                | 1.00%                |
| Class ID C000113706 | -0.53%               | 1.44%                | 0.87%                |
| Class ID C000002081 | -0.46%               | 1.39%                | 1.03%                |
| Class ID C000002082 | -0.50%               | 1.36%                | 1.00%                |
| Class ID C000066989 | -0.47%               | 1.50%                | 0.93%                |
| Class ID C000113705 | -0.56%               | 1.40%                | 0.84%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-11397276.04            | $-14631838.68                              |
| Month 2  | $-10934231.34            | $45177837.53                               |
| Month 3  | $-12306036.65            | $45679519.62                               |

**Designated Index Information**

- **Index Name:** Bloomberg US Aggregate

- **Index Identifier:** BM0838

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F0306A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -20800000 | PA      | $-18273084.34 | -0.44%            | 2055-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3622AAHA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1281721 | PA      | $1169879.38   | 0.03%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                                         | Cigna Group/The                                                                 | CUSIP: 125523AJ9<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    1962000 | PA      | $1873100.90   | 0.04%             | 2038-08-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                  | USD/BRL FORWARD                                                                 | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              | CORP              | US        |          1 | NC      | $7785.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru                          | SMB Private Education Loan Trust 2025-B                                         | CUSIP: 83208BAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4896324 | PA      | $4956735.14   | 0.12%             | 2053-03-17      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association               | USD/EUR FORWARD                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $306651.96    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38378KQR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6598287 | PA      | $134294.93    | 0.00%             | 2047-11-16      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                      | Union Pacific Corp                                                              | CUSIP: 907818FQ6<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    2540000 | PA      | $2140024.32   | 0.05%             | 2036-04-06      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association               | BRL/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1854386.59  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2560000 | PA      | $2321969.15   | 0.06%             | 2048-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | U.S. TREASURY BOND                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        252 | NC      | $252.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 3617AEAN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1684297 | PA      | $1642264.26   | 0.04%             | 2047-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36200GGA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1246 | PA      | $1307.11      | 0.00%             | 2036-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BK9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    9749000 | PA      | $9705854.83   | 0.23%             | 2028-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 912810TX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6490000 | PA      | $5992348.81   | 0.14%             | 2054-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                   | Wells Fargo & Co                                                                | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    5770000 | PA      | $5372671.91   | 0.13%             | 2033-03-02      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                    | Royal Bank of Canada                                                            | CUSIP: 78016FZQ0<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    1770000 | PA      | $1718516.97   | 0.04%             | 2032-05-04      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                             | Oracle Corp                                                                     | CUSIP: 68389XCU7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    3400000 | PA      | $3125498.28   | 0.07%             | 2054-09-27      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | US 5YR NOTE (CBT)                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      10911 | NC      | $1681567.02   | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Multifamily Structured P                          | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FREM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16296000 | PA      | $876113.70    | 0.02%             | 2030-01-25      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31387EKT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        870 | PA      | $908.86       | 0.00%             | 2031-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FHWR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1649858 | PA      | $1492707.15   | 0.04%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BA4U5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7795825 | PA      | $1566681.69   | 0.04%             | 2050-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AmWINS Group Inc                                        | AMWINS GROUP INC                                                                | CUSIP: 03234TBA5<br>LEI: 549300SJE7MUB8NMRG61 | Long             | LON              | CORP              | US        |    2477519 | PA      | $2479116.80   | 0.06%             | 2032-01-30      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                            | GS Mortgage Securities Trust 2017-GS8                                           | CUSIP: 36254KAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4690000 | PA      | $4607533.39   | 0.11%             | 2050-11-10      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| Caesars Entertainment, Inc.                             | CAESARS ENTERTAIN INC                                                           | CUSIP: 12768EAG1<br>LEI: 549300FA4CTCW903Y781 | Long             | LON              | CORP              | US        |    2474817 | PA      | $2474161.25   | 0.06%             | 2030-02-06      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| API GROUP DE INC                                        | API GROUP DE INC                                                                | CUSIP: 00186XAN3<br>LEI: 549300XP4G7B4QYA0G83 | Long             | LON              | CORP              | US        |    1070981 | PA      | $1071425.45   | 0.03%             | 2029-01-03      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KYUH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23772360 | PA      | $19960453.57  | 0.48%             | 2040-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| LETRA TESOURO NACIONAL                                  | Brazil Letras do Tesouro Nacional                                               | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |   77209000 | PA      | $14007543.36  | 0.33%             | 2026-01-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31387NWV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1168 | PA      | $1219.55      | 0.00%             | 2031-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                          | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FNAJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6300000 | PA      | $273470.40    | 0.01%             | 2029-06-25      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                            | Broadcom Inc                                                                    | CUSIP: 11135FCY5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1894969.69   | 0.05%             | 2036-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38380P8N7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18906373 | PA      | $1680339.80   | 0.04%             | 2060-09-16      | Variable      | 1.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2021-DNA2                                         | CUSIP: 35564KDX4<br>LEI: 5493007ZK0X40BI7UF30 | Long             | ABS-MBS          | CORP              | US        |   10010000 | PA      | $11102191.10  | 0.26%             | 2033-08-25      | Floating      | 7.76%                 | No            |                  2 | On Loan: No      |
| Sycamore Tree CLO Ltd                                   | Sycamore Tree CLO 2025-6 Ltd                                                    | CUSIP: 87122HAA0<br>LEI: 2138001M3BAXCUCAUG38 | Long             | ABS-CBDO         | CORP              | KY        |    8200000 | PA      | $8210250.00   | 0.20%             | 2038-04-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36292LFL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2546 | PA      | $2597.09      | 0.00%             | 2036-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BARRICK NA FINANCE LLC                                  | Barrick North America Finance LLC                                               | CUSIP: 06849RAG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2334000 | PA      | $2402182.68   | 0.06%             | 2041-05-30      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                | AT&T Inc                                                                        | CUSIP: 00206RKH4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    6530000 | PA      | $5718659.25   | 0.14%             | 2032-02-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XBSR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2726997 | PA      | $2367226.79   | 0.06%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36213UPE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3962 | PA      | $4142.89      | 0.00%             | 2031-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                            | UBS Group AG                                                                    | CUSIP: 902613BK3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    2550000 | PA      | $2756346.03   | 0.07%             | N/A             | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GFD1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     304000 | PA      | $340744.47    | 0.01%             | 2037-10-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132D9F58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5062452 | PA      | $4407237.46   | 0.11%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 31398PFE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     720630 | PA      | $74054.98     | 0.00%             | 2040-04-25      | Floating      | 2.01%                 | No            |                  2 | On Loan: No      |
| SPIRIT LOYALTY KY LTD/IP                                | Spirit Loyalty Cayman Ltd / Spirit IP Cayman Ltd                                | CUSIP: 84859BAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    7507161 | PA      | $3195197.95   | 0.08%             | 2030-03-12      | Variable      | 11.00%                | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GHS1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    2690000 | PA      | $2296877.99   | 0.05%             | 2050-03-15      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                                       | EOG Resources Inc                                                               | CUSIP: 26875PAN1<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1300746.36   | 0.03%             | 2035-04-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138WHWE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     408419 | PA      | $369686.44    | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FXG89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13457613 | PA      | $13077478.75  | 0.31%             | 2057-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| KAZMUNAYGAS NATIONAL CO                                 | KazMunayGas National Co JSC                                                     | CUSIP: 48126PAA0<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |    7610000 | PA      | $6874170.38   | 0.16%             | 2033-04-14      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140NMRP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1902286 | PA      | $1962272.77   | 0.05%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                  | Venture Global LNG Inc                                                          | CUSIP: 92332YAE1<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |    2100000 | PA      | $2174529.42   | 0.05%             | 2030-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 5 YEAR U.S. TREASURY NOTE                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       3066 | NC      | $359296.87    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Trans Union LLC (f/k/a TransUnion Corp                  | TRANS UNION LLC6/06/2031                                                        | CUSIP: 89334GBF0<br>LEI: X8NPN6PWJOM1QCTYFV34 | Long             | LON              | CORP              | US        |    3750490 | PA      | $3751671.80   | 0.09%             | 2031-06-24      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XGFQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   48067267 | PA      | $43093615.25  | 1.03%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140L6TA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2179407 | PA      | $1790390.20   | 0.04%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                        | Freddie Mac Strips                                                              | CUSIP: 31283BCC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      49571 | PA      | $1032.64      | 0.00%             | 2027-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3137AXES8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     476368 | PA      | $12546.68     | 0.00%             | 2031-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                            | Broadcom Inc                                                                    | CUSIP: 11135FAQ4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    1207000 | PA      | $1202671.99   | 0.03%             | 2030-11-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                          | HarborView Mortgage Loan Trust 2006-13                                          | CUSIP: 41162KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      71182 | PA      | $49633.90     | 0.00%             | 2046-11-19      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | U.S. TREASURY BOND                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        765 | NC      | $23906.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                     | American Express Co                                                             | CUSIP: 025816CW7<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    1690000 | PA      | $1693563.13   | 0.04%             | 2029-05-03      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2014-USA OA LLC                                                            | CUSIP: 12649AAC3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    6435000 | PA      | $5909944.54   | 0.14%             | 2037-09-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                             | BNP Paribas SA                                                                  | CUSIP: 09659W2H6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     829000 | PA      | $848630.94    | 0.02%             | 2030-01-10      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                | EQT Corp                                                                        | CUSIP: 26884LAN9<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    3383000 | PA      | $3164848.97   | 0.08%             | 2031-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                     | CommonSpirit Health                                                             | CUSIP: 14916RAD6<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |     410000 | PA      | $353422.07    | 0.01%             | 2042-11-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31389X5W9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3796 | PA      | $3963.49      | 0.00%             | 2032-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding                           | Bear Stearns Mortgage Funding Trust 2007-AR2                                    | CUSIP: 07401TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      16096 | PA      | $14653.05     | 0.00%             | 2037-03-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| FOCUS FINANCIAL PARTNERS                                | FOCUS FINANCIAL PARTNERS LLC                                                    | CUSIP: 34416DBD9<br>LEI: 5493007L0E0VKRC2CP39 | Long             | LON              | CORP              | US        |    4955038 | PA      | $4961826.00   | 0.12%             | 2031-09-15      | Floating      | 6.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2022-DNA5                                         | CUSIP: 35564KYW3<br>LEI: 5493000IS349P4O9HR58 | Long             | ABS-MBS          | CORP              | US        |    7600000 | PA      | $8289985.76   | 0.20%             | 2042-06-25      | Floating      | 11.11%                | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38382XP25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4389597 | PA      | $396119.85    | 0.01%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133B3XG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12280372 | PA      | $10523225.77  | 0.25%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133A0MT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     914160 | PA      | $820808.31    | 0.02%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                        | NTT Finance Corp                                                                | CUSIP: 62954WAQ8<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |    1200000 | PA      | $1212059.41   | 0.03%             | 2028-07-16      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -1261 | NC      | $-543806.25   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12420000 | PA      | $11469093.75  | 0.27%             | 2054-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| TRANSCONT GAS PIPE LINE                                 | Transcontinental Gas Pipe Line Co LLC                                           | CUSIP: 893574AH6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3057000 | PA      | $3063392.46   | 0.07%             | 2026-02-01      | Fixed         | 7.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36291QYB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        281 | PA      | $289.59       | 0.00%             | 2036-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                                      | CUSIP: 21H0426A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11600000 | PA      | $11251004.37  | 0.27%             | 2055-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36201UBS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42619 | PA      | $44256.83     | 0.00%             | 2032-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31387Q2R0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        704 | PA      | $734.93       | 0.00%             | 2031-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 36241LW51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1852078 | PA      | $1864060.41   | 0.04%             | 2041-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association               | USD/EUR FORWARD                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $18269.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                                | Anheuser-Busch InBev Worldwide Inc                                              | CUSIP: 03523TBV9<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    3560000 | PA      | $3601733.70   | 0.09%             | 2049-01-23      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                            | Alphabet Inc                                                                    | CUSIP: 02079KAN7<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    1430000 | PA      | $1424067.13   | 0.03%             | 2065-05-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XTA68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4626419 | PA      | $4026904.69   | 0.10%             | 2040-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 36189XM43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1918001 | PA      | $1767315.42   | 0.04%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                | AT&T Inc                                                                        | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    3450000 | PA      | $2939119.62   | 0.07%             | 2033-12-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                         | McDonald's Corp                                                                 | CUSIP: 58013MFQ2<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |      80000 | PA      | $78149.91     | 0.00%             | 2030-07-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                  | Pacific Gas and Electric Co                                                     | CUSIP: 694308JF5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    4340000 | PA      | $4172873.33   | 0.10%             | 2027-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                             | BNP Paribas SA                                                                  | CUSIP: 05581KAG6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    8945000 | PA      | $9552230.52   | 0.23%             | 2034-12-05      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Commercial Mortgage Trust 2025-COPT                                          | CUSIP: 05618XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4350000 | PA      | $4362136.50   | 0.10%             | 2042-08-15      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38382AYC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2339174 | PA      | $452041.20    | 0.01%             | 2049-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31384KME3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1461 | PA      | $1525.05      | 0.00%             | 2029-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3622AANA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     750074 | PA      | $696719.17    | 0.02%             | 2048-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                                | Cooperatieve Rabobank UA                                                        | CUSIP: 74977RDP6<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    5210000 | PA      | $4955686.67   | 0.12%             | 2033-04-06      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PBJ4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    4150000 | PA      | $4190687.18   | 0.10%             | 2031-03-24      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                                | RTX Corp                                                                        | CUSIP: 913017CY3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    2820000 | PA      | $2818439.52   | 0.07%             | 2028-11-16      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36202SDK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38966 | PA      | $39674.75     | 0.00%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138XCGD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7016 | PA      | $7001.63      | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENER PART                                 | Kinder Morgan Energy Partners LP                                                | CUSIP: 494550AQ9<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |    1497000 | PA      | $1713491.71   | 0.04%             | 2033-08-15      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                              | US Bancorp                                                                      | CUSIP: 91159HJN1<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    2350000 | PA      | $2504909.37   | 0.06%             | 2034-06-12      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36225BPC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7791 | PA      | $8190.85      | 0.00%             | 2031-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu                          | Bear Stearns Asset Backed Securities I Trust 2004-AC6                           | CUSIP: 073879LN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1223238 | PA      | $1093892.48   | 0.03%             | 2034-11-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                  | JPY/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              | CORP              | US        |          1 | NC      | $90154.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                   | CUSIP: 172967JU6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    2462000 | PA      | $2227538.64   | 0.05%             | 2045-07-30      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                                    | Freeport-McMoRan Inc                                                            | CUSIP: 35671DBC8<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |    3232000 | PA      | $3114906.61   | 0.07%             | 2043-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31389X7D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4063 | PA      | $4242.78      | 0.00%             | 2032-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                     | Intesa Sanpaolo SpA                                                             | CUSIP: 46115HAW7<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |    3150000 | PA      | $3157089.39   | 0.08%             | 2026-01-15      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3131XXLE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     270122 | PA      | $266968.76    | 0.01%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                         | Fannie Mae Interest Strip                                                       | CUSIP: 31423XQB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   42791347 | PA      | $7080273.32   | 0.17%             | 2048-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Calpine Construction Finance Company L P                | CALPINE CONSTRUCTION FIN                                                        | CUSIP: 13134NAH4<br>LEI: V0Q3DOB0FIB2XI1KWU77 | Long             | LON              | CORP              | US        |    4980000 | PA      | $4985627.40   | 0.12%             | 2030-07-31      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                        | BAT Capital Corp                                                                | CUSIP: 05526DBF1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    4515000 | PA      | $3788576.28   | 0.09%             | 2047-08-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36213ER73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24871 | PA      | $25490.25     | 0.00%             | 2032-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust                            | RBSSP Resecuritization Trust 2009-12                                            | CUSIP: 74928UBB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3422779 | PA      | $2294213.13   | 0.05%             | 2036-03-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36200KZ59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      58818 | PA      | $61518.80     | 0.00%             | 2033-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                 | SWOP IRS USD                                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        | -149310000 | NC      | $-2523352.70  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418MUN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2243879 | PA      | $2299641.99   | 0.05%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36200STX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3617 | PA      | $3766.05      | 0.00%             | 2031-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                | Ford Motor Credit Co LLC                                                        | CUSIP: 345397C27<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    3890000 | PA      | $3884944.71   | 0.09%             | 2027-05-28      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| SNAM SPA                                                | Snam SpA                                                                        | CUSIP: 83304JAA5<br>LEI: 8156002278562044AF79 | Long             | DBT              | CORP              | IT        |    1680000 | PA      | $1704721.13   | 0.04%             | 2030-05-28      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                  | Verizon Communications Inc                                                      | CUSIP: 92343VFE9<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    5170000 | PA      | $4945243.09   | 0.12%             | 2030-03-22      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36291RNU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2211 | PA      | $2297.04      | 0.00%             | 2034-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36200AN54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      34214 | PA      | $35466.08     | 0.00%             | 2032-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3137FUHY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8928906 | PA      | $1187766.79   | 0.03%             | 2050-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Clarios Global LP                                       | CLARIOS GLOBAL LP                                                               | CUSIP: 000000000<br>LEI: 549300474L1ZLXZY2P98 | Long             | LON              | CORP              | US        |    1325336 | PA      | $1327615.36   | 0.03%             | 2030-05-06      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                                   | Duke Energy Carolinas LLC                                                       | CUSIP: 26442CAH7<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |     220000 | PA      | $222638.08    | 0.01%             | 2040-02-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                          | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FQXL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   37521841 | PA      | $183391.75    | 0.00%             | 2026-10-25      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                | Mars Inc                                                                        | CUSIP: 571676BC8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    6610000 | PA      | $6700337.02   | 0.16%             | 2055-05-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                                 | Exxon Mobil Corp                                                                | CUSIP: 30231GBM3<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |    1450000 | PA      | $1063648.78   | 0.03%             | 2051-04-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3617JYLP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2070747 | PA      | $1890111.73   | 0.05%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                                      | CUSIP: 21H0326A3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6200000 | PA      | $5653957.01   | 0.13%             | 2055-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418D4G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7512577 | PA      | $6516881.41   | 0.16%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                             | Extended Stay America Trust 2021-ESH                                            | CUSIP: 30227FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3836906 | PA      | $3839889.04   | 0.09%             | 2038-07-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3622ABU91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7517359 | PA      | $6749703.18   | 0.16%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133AJ6W8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1835476 | PA      | $1502796.77   | 0.04%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132ADJC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     615682 | PA      | $581882.95    | 0.01%             | 2044-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                            | UBS Group AG                                                                    | CUSIP: 902613AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    4430000 | PA      | $4468892.30   | 0.11%             | 2028-05-12      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                          | Morgan Stanley                                                                  | CUSIP: 61747YEH4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      90000 | PA      | $80316.26     | 0.00%             | 2032-10-20      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36212NAM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        135 | PA      | $139.20       | 0.00%             | 2032-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                            | Centene Corp                                                                    | CUSIP: 15135BAV3<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    1160000 | PA      | $1067851.85   | 0.03%             | 2030-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                           | Carnival Corp                                                                   | CUSIP: 143658BX9<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |    2420000 | PA      | $2482111.72   | 0.06%             | 2033-02-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3622ABA93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4826099 | PA      | $4264125.06   | 0.10%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140J5W39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14733260 | PA      | $13369311.43  | 0.32%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                                   | Argentine Republic Government International Bond                                | CUSIP: 040114HS2<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    3995921 | PA      | $2703240.39   | 0.06%             | 2030-07-09      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                        | T-Mobile USA Inc                                                                | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    1950000 | PA      | $1939220.11   | 0.05%             | 2027-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31388SE50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5421 | PA      | $5595.51      | 0.00%             | 2031-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3622AAKS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8549547 | PA      | $7524958.75   | 0.18%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36291LMD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      76628 | PA      | $79767.93     | 0.00%             | 2035-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FQJU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     672575 | PA      | $609069.57    | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38381EQD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2588829 | PA      | $1069241.03   | 0.03%             | 2064-03-16      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 3622A3CG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2407632 | PA      | $2255768.18   | 0.05%             | 2048-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Harbor Freight Tools USA Inc                            | HARBOR FREIGHT TOOLS USA INC                                                    | CUSIP: 41151PAR6<br>LEI: 549300Y48HLCFTTB4249 | Long             | LON              | CORP              | US        |    1653446 | PA      | $1626495.30   | 0.04%             | 2031-06-11      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| SOLRR Aircraft 2021-1 Limited                           | Lunar 2021-1 Structured Aircraft Portfolio Notes                                | CUSIP: 83438LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | IE        |    7136869 | PA      | $6751043.30   | 0.16%             | 2046-10-15      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FXBD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     187561 | PA      | $177815.92    | 0.00%             | 2055-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 91282CNK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     890000 | PA      | $895527.74    | 0.02%             | 2030-06-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2022-CNTR                                                                  | CUSIP: 12665CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   33000000 | PA      | $21889418.10  | 0.52%             | 2025-01-09      | Floating      | 8.10%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Commercial Mortgage Trust 2022-LP2                                           | CUSIP: 05610HAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9254000 | PA      | $9253926.89   | 0.22%             | 2039-02-15      | Floating      | 8.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36225A3K4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1757 | PA      | $1793.40      | 0.00%             | 2028-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                        | T-Mobile USA Inc                                                                | CUSIP: 87264ADF9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    3780000 | PA      | $3868143.06   | 0.09%             | 2034-04-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 91282CPA3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     620000 | PA      | $616875.78    | 0.01%             | 2030-09-30      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                                | RTX Corp                                                                        | CUSIP: 75513EAD3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    4430000 | PA      | $4059144.50   | 0.10%             | 2030-07-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                            | Comcast Corp                                                                    | CUSIP: 20030NDU2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       4000 | PA      | $2375.81      | 0.00%             | 2056-11-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36210AN94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        320 | PA      | $329.59       | 0.00%             | 2028-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| OFFICE CHERIFIEN DES PHO                                | OCP SA                                                                          | CUSIP: 67091TAF2<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |    9390000 | PA      | $10218482.42  | 0.24%             | 2034-05-02      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140L5GE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3065919 | PA      | $2640355.47   | 0.06%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                       | General Motors Co                                                               | CUSIP: 37045VAZ3<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |     650000 | PA      | $675300.12    | 0.02%             | 2032-10-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31382KW20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9641 | PA      | $9951.00      | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 5 YEAR U.S. TREASURY NOTE                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       3048 | NC      | $23812.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418DY71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2880815 | PA      | $2509783.02   | 0.06%             | 2041-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                          | NRG Energy Inc                                                                  | CUSIP: 629377DB5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1706844.20   | 0.04%             | 2035-10-15      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                        | T-Mobile USA Inc                                                                | CUSIP: 87264ABW4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    1420000 | PA      | $1351100.76   | 0.03%             | 2031-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 10 YEAR U.S. TREASURY NOTE                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       1527 | NC      | $1527.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31383BZ75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2188 | PA      | $2254.44      | 0.00%             | 2029-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTERCARD INC                                          | Mastercard Inc                                                                  | CUSIP: 57636QAQ7<br>LEI: AR5L2ODV9HN37376R084 | Long             | DBT              | CORP              | US        |    1210000 | PA      | $970695.58    | 0.02%             | 2050-03-26      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31388FSE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        941 | PA      | $982.66       | 0.00%             | 2031-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138X5RY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4807 | PA      | $4712.30      | 0.00%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co                          | Structured Asset Securities Corp Mortgage Loan Trust 2006-ARS1                  | CUSIP: 86358LAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1070507 | PA      | $19304.24     | 0.00%             | 2036-02-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38375UM72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4851335 | PA      | $148389.74    | 0.00%             | 2067-10-20      | Variable      | 2.34%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2000000 | PA      | $1196445.32   | 0.03%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Commercial Mortgage Trust 2024-BIO2                                          | CUSIP: 05613GAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2950000 | PA      | $2945354.05   | 0.07%             | 2041-08-13      | Variable      | 7.97%                 | No            |                  2 | On Loan: No      |
| MILLROSE PROPERTIES INC                                 | Millrose Properties Inc                                                         | CUSIP: 601137AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1780000 | PA      | $1811612.80   | 0.04%             | 2030-08-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| IRON MOUNTAIN INC                                       | IRON MOUNTAIN INC                                                               | CUSIP: 46284NAV1<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | LON              | CORP              | US        |    3711114 | PA      | $3718072.26   | 0.09%             | 2031-01-31      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                   | Wells Fargo & Co                                                                | CUSIP: 95000U2D4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    3180000 | PA      | $3179620.15   | 0.08%             | 2029-01-24      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31371KDM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2533 | PA      | $2646.33      | 0.00%             | 2031-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132D9GU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9930833 | PA      | $8602250.14   | 0.21%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                             | Oracle Corp                                                                     | CUSIP: 68389XBX2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     810000 | PA      | $570615.88    | 0.01%             | 2050-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                          | Air Lease Corp                                                                  | CUSIP: 00914AAU6<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     450000 | PA      | $458284.73    | 0.01%             | 2028-02-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38379UY67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13939099 | PA      | $535124.79    | 0.01%             | 2058-08-15      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                                    | Lockheed Martin Corp                                                            | CUSIP: 539830BR9<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |    2230000 | PA      | $2181378.48   | 0.05%             | 2032-06-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| WALT DISNEY COMPANY/THE                                 | Walt Disney Co/The                                                              | CUSIP: 254687EH5<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |    2260000 | PA      | $2611813.64   | 0.06%             | 2037-11-15      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136ARUS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7014730 | PA      | $726455.26    | 0.02%             | 2045-11-25      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                  | USD/GBP FORWARD                                                                 | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              | CORP              | US        |          1 | NC      | $111499.22    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MEDLINE BORROWER/MEDL CO                                | Medline Borrower LP/Medline Co-Issuer Inc                                       | CUSIP: 58506DAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2040000 | PA      | $2094375.51   | 0.05%             | 2029-04-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3132LMEB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     240909 | PA      | $234767.77    | 0.01%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                  | Pacific Gas and Electric Co                                                     | CUSIP: 694308JJ7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    4040000 | PA      | $2760397.67   | 0.07%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36213CYW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17899 | PA      | $18601.07     | 0.00%             | 2035-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| YAMANA GOLD INC                                         | Yamana Gold Inc                                                                 | CUSIP: 98462YAD2<br>LEI: 54930002VY22NXG01418 | Long             | DBT              | CORP              | CA        |    6860000 | PA      | $6871870.41   | 0.16%             | 2027-12-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                            | Synopsys Inc                                                                    | CUSIP: 871607AE7<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    1140000 | PA      | $1160123.64   | 0.03%             | 2035-04-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3132LMAR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     189396 | PA      | $184524.08    | 0.00%             | 2033-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31416YWR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1293785 | PA      | $1325694.60   | 0.03%             | 2041-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | US 10YR NOTE (CBT)                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       3170 | NC      | $1444271.06   | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| HERC HOLDINGS INC                                       | Herc Holdings Inc                                                               | CUSIP: 42704LAG9<br>LEI: 549300TP80QLITMSBP82 | Long             | DBT              | CORP              | US        |     870000 | PA      | $908886.39    | 0.02%             | 2033-06-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DQY59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5449856 | PA      | $5643183.70   | 0.13%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                  | Philip Morris International Inc                                                 | CUSIP: 718172DG1<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    3360000 | PA      | $3433484.98   | 0.08%             | 2029-02-13      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                            | Broadcom Inc                                                                    | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   10210000 | PA      | $8837060.89   | 0.21%             | 2035-11-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                             | Oracle Corp                                                                     | CUSIP: 68389XDR3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    1370000 | PA      | $1366734.45   | 0.03%             | 2055-09-26      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                                | Cheniere Energy Partners LP                                                     | CUSIP: 16411QAN1<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |    2620000 | PA      | $2387834.99   | 0.06%             | 2032-01-31      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                   | CUSIP: 172967HA2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    1884000 | PA      | $2132596.08   | 0.05%             | 2043-09-13      | Fixed         | 6.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36201FSR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20131 | PA      | $20939.44     | 0.00%             | 2032-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                         | CVS Health Corp                                                                 | CUSIP: 126650CX6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    1660000 | PA      | $1661323.20   | 0.04%             | 2028-03-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138MG6C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64213 | PA      | $62447.83     | 0.00%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                | Enterprise Products Operating LLC                                               | CUSIP: 29379VBR3<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    2335000 | PA      | $2322099.59   | 0.06%             | 2078-02-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 10 YEAR U.S. TREASURY NOTE                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -509 | NC      | $-294265.64   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132D9KX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1330682 | PA      | $1155977.34   | 0.03%             | 2042-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36202WL56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24117 | PA      | $24574.79     | 0.00%             | 2033-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                  | Philip Morris International Inc                                                 | CUSIP: 718172AP4<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     805000 | PA      | $727108.18    | 0.02%             | 2042-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F0506A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -32500000 | PA      | $-32236474.73 | -0.77%            | 2055-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GHD4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    7641000 | PA      | $7525734.22   | 0.18%             | 2028-12-20      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                                      | Coterra Energy Inc                                                              | CUSIP: 127097AG8<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |    1739000 | PA      | $1728413.94   | 0.04%             | 2027-05-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd                                       | Magnetite XXIX Ltd                                                              | CUSIP: 55955KAN4<br>LEI: 549300XSCWZTP19VRZ67 | Long             | ABS-CBDO         | CORP              | KY        |    4840000 | PA      | $4862395.65   | 0.12%             | 2037-07-15      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3617B14D2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     507501 | PA      | $467297.10    | 0.01%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SPRINT CAPITAL CORP                                     | Sprint Capital Corp                                                             | CUSIP: 852060AT9<br>LEI: 549300L17W0GQBR1PO80 | Long             | DBT              | CORP              | US        |    4670000 | PA      | $5690834.82   | 0.14%             | 2032-03-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36241KF78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1052 | PA      | $1096.77      | 0.00%             | 2035-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       2779 | NC      | $1528450.00   | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X9R23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4183878 | PA      | $3592883.21   | 0.09%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418D2V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1531387 | PA      | $1332232.32   | 0.03%             | 2041-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                   | CUSIP: 172967MP3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    5260000 | PA      | $5252409.61   | 0.13%             | 2031-03-31      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| NCL CORPORATION LTD                                     | NCL Corp Ltd                                                                    | CUSIP: 62886HBZ3<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | BM        |     480000 | PA      | $482784.37    | 0.01%             | 2033-09-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418BYV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9053280 | PA      | $8618737.79   | 0.21%             | 2036-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru                          | IndyMac INDX Mortgage Loan Trust 2005-AR13                                      | CUSIP: 45660LQW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      96738 | PA      | $43065.66     | 0.00%             | 2035-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140MB7B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     323925 | PA      | $289206.79    | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Multifamily Trust                                       | Multifamily Trust 2016-1                                                        | CUSIP: 62547L103<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1109158 | PA      | $1104574.63   | 0.03%             | 2046-04-25      | Variable      | 9.63%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 10 YEAR U.S. TREASURY NOTE                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       3021 | NC      | $1085671.88   | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3137H4BA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8320248 | PA      | $1662068.55   | 0.04%             | 2051-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CAMERON LNG LLC                                         | Cameron LNG LLC                                                                 | CUSIP: 133434AA8<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |    1030000 | PA      | $941215.24    | 0.02%             | 2031-07-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F0406A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -12300000 | PA      | $-11593941.13 | -0.28%            | 2055-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                  | Philip Morris International Inc                                                 | CUSIP: 718172DJ5<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    2110000 | PA      | $2179610.46   | 0.05%             | 2034-02-13      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ALTICE FINANCING SA                                     | Altice Financing SA                                                             | CUSIP: 02154CAH6<br>LEI: 549300DIYGW8HVDF7Q17 | Long             | DBT              | CORP              | LU        |    4570000 | PA      | $3442740.95   | 0.08%             | 2029-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | US ULTRA BOND CBT                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -2038 | NC      | $-6444309.61  | -0.15%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36297AJ46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     190515 | PA      | $198609.98    | 0.00%             | 2039-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | U.S. TREASURY BOND                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -255 | NC      | $-745078.13   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| WILLIAMS COMPANIES INC                                  | Williams Cos Inc/The                                                            | CUSIP: 88339WAC0<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    2520000 | PA      | $2559581.36   | 0.06%             | 2034-03-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| 1261229 BC LTD                                          | 1261229 BC Ltd                                                                  | CUSIP: 68288AAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    5510000 | PA      | $5652389.64   | 0.13%             | 2032-04-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                          | Long Beach Mortgage Loan Trust 2006-9                                           | CUSIP: 54251WAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2931670 | PA      | $917045.34    | 0.02%             | 2036-10-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                              | Humana Inc                                                                      | CUSIP: 444859BR2<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    3750000 | PA      | $3199192.50   | 0.08%             | 2032-02-03      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                 | HCA Inc                                                                         | CUSIP: 404119BV0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     920000 | PA      | $878185.57    | 0.02%             | 2047-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi                          | Freddie Mac Multiclass Certificates Series 2020-RR07                            | CUSIP: 3137FRVC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   34072000 | PA      | $2006527.34   | 0.05%             | 2028-09-27      | Variable      | 2.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BRH67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22887871 | PA      | $3095362.51   | 0.07%             | 2051-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                | Mars Inc                                                                        | CUSIP: 571676AZ8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     780000 | PA      | $798324.71    | 0.02%             | 2032-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36200NTU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1241 | PA      | $1293.84      | 0.00%             | 2034-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3137APW48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1067356 | PA      | $84701.00     | 0.00%             | 2039-08-15      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                              | Intel Corp                                                                      | CUSIP: 458140BW9<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     610000 | PA      | $387330.20    | 0.01%             | 2051-08-12      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                             | PRKCM 2021-AFC1 Trust                                                           | CUSIP: 69357TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10366076 | PA      | $8805254.19   | 0.21%             | 2056-08-25      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                          | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FKKQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20769185 | PA      | $176147.61    | 0.00%             | 2033-11-25      | Variable      | 0.27%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                      | Union Pacific Corp                                                              | CUSIP: 907818FG8<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    2130000 | PA      | $1580338.93   | 0.04%             | 2060-03-20      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                                 | Consolidated Edison Co of New York Inc                                          | CUSIP: 209111FY4<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |     380000 | PA      | $303351.48    | 0.01%             | 2050-04-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                  | Verizon Communications Inc                                                      | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    5013000 | PA      | $4559011.74   | 0.11%             | 2031-03-21      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3622ABYM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6969775 | PA      | $6275226.42   | 0.15%             | 2052-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F0526A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   41600000 | PA      | $41949199.55  | 1.00%             | 2055-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                 | Bristol-Myers Squibb Co                                                         | CUSIP: 110122EG9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    4020000 | PA      | $4181650.19   | 0.10%             | 2031-02-22      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                        | T-Mobile USA Inc                                                                | CUSIP: 87264ACB9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    6710000 | PA      | $6098782.14   | 0.15%             | 2031-02-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138WGBJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2945243 | PA      | $2766810.74   | 0.07%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                            | Synopsys Inc                                                                    | CUSIP: 871607AG2<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    2290000 | PA      | $2312777.16   | 0.06%             | 2055-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYN8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1799226.76   | 0.04%             | 2032-10-21      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36202VS85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9385 | PA      | $9462.91      | 0.00%             | 2033-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PBN5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    1420000 | PA      | $982645.71    | 0.02%             | 2051-04-22      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| Alpha Generation LLC                                    | ALPHA GENERATION LLC                                                            | CUSIP: 02072UAC6<br>LEI: 254900K5V62L4YGVKF49 | Long             | LON              | CORP              | US        |    3711256 | PA      | $3710792.37   | 0.09%             | 2031-09-30      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Aimco                                                   | Aimco CLO 15 Ltd                                                                | CUSIP: 00889BAE1<br>LEI: 254900QER1MDK5C1YE06 | Long             | ABS-CBDO         | CORP              | KY        |   11560000 | PA      | $11588911.56  | 0.28%             | 2038-04-17      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36213UJB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5482 | PA      | $5618.01      | 0.00%             | 2031-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| VIKING CRUISES LTD                                      | Viking Cruises Ltd                                                              | CUSIP: 92676XAH0<br>LEI: 549300IJP90T4MV2GL84 | Long             | DBT              | CORP              | US        |    3040000 | PA      | $3045933.41   | 0.07%             | 2033-10-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 3617BUZA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2031573 | PA      | $1980870.07   | 0.05%             | 2047-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138ADR98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10856 | PA      | $11097.04     | 0.00%             | 2041-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36212TW42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1214 | PA      | $1214.68      | 0.00%             | 2030-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Octagon 66 Ltd                                          | Octagon 66 Ltd                                                                  | CUSIP: 67577WAP6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   25000000 | PA      | $25045125.00  | 0.60%             | 2036-11-16      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                   | Continental Resources Inc/OK                                                    | CUSIP: 212015AS0<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |     299000 | PA      | $297156.49    | 0.01%             | 2028-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                            | Comcast Corp                                                                    | CUSIP: 20030NDL2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    3670000 | PA      | $2242280.97   | 0.05%             | 2051-01-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36201TMR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19793 | PA      | $20505.25     | 0.00%             | 2033-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38374MJ26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     228158 | PA      | $11967.96     | 0.00%             | 2036-04-20      | Floating      | 2.74%                 | No            |                  2 | On Loan: No      |
| INTER-AMERICAN DEVEL BK                                 | Inter-American Development Bank                                                 | CUSIP: 000000000<br>LEI: VKU1UKDS9E7LYLMACP54 | Long             | DBT              | NUSS              | N/A       | 3547000000 | PA      | $41002978.44  | 0.98%             | 2030-10-06      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                   | Foundry JV Holdco LLC                                                           | CUSIP: 350930AB9<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    5930000 | PA      | $6256741.81   | 0.15%             | 2030-01-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                                      | CUSIP: 21H0526A1<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -12500000 | PA      | $-12594981.63 | -0.30%            | 2055-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TECK RESOURCES LIMITED                                  | Teck Resources Ltd                                                              | CUSIP: 878742AS4<br>LEI: T8KI5SQ2JRWHL7XY0E11 | Long             | DBT              | CORP              | CA        |     641000 | PA      | $659991.27    | 0.02%             | 2040-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36201LHA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30566 | PA      | $32112.86     | 0.00%             | 2034-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                          | Alternative Loan Trust 2006-6CB                                                 | CUSIP: 12668BRZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2280971 | PA      | $1872997.72   | 0.04%             | 2036-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CRESCENT ENERGY FINANCE                                 | Crescent Energy Finance LLC                                                     | CUSIP: 45344LAE3<br>LEI: 54930061FUL6DBLFUW14 | Long             | DBT              | CORP              | US        |    1430000 | PA      | $1393484.26   | 0.03%             | 2033-01-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1238000 | PA      | $1266461.47   | 0.03%             | 2055-10-23      | Fixed         | 6.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418BLU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1004189 | PA      | $978234.70    | 0.02%             | 2035-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3622ABCD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22607059 | PA      | $19395373.41  | 0.46%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                               | ONEOK Inc                                                                       | CUSIP: 682680BN2<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     570000 | PA      | $606754.24    | 0.01%             | 2053-09-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36294RAV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3272 | PA      | $3392.16      | 0.00%             | 2037-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SIEMENS FUNDING BV                                      | Siemens Funding BV                                                              | CUSIP: 82622RAD8<br>LEI: 213800CCRGH2TO338X64 | Long             | DBT              | CORP              | NL        |    2780000 | PA      | $2854489.99   | 0.07%             | 2032-05-28      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XCZ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14593243 | PA      | $12548571.40  | 0.30%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38379U6W1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13041367 | PA      | $477448.34    | 0.01%             | 2057-02-16      | Variable      | 0.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38376R6U5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10001120 | PA      | $277067.03    | 0.01%             | 2067-09-20      | Variable      | 1.36%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                                | RTX Corp                                                                        | CUSIP: 75513ECV1<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     850000 | PA      | $918029.31    | 0.02%             | 2031-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                   | CUSIP: 172967MY4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    5320000 | PA      | $4796157.21   | 0.11%             | 2032-05-01      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                           | CUSIP: 31335BCW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   26888312 | PA      | $24428787.21  | 0.58%             | 2047-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KYU64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8134691 | PA      | $7045297.01   | 0.17%             | 2041-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HALLIBURTON CO                                          | Halliburton Co                                                                  | CUSIP: 406216BJ9<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |    1580000 | PA      | $1557260.04   | 0.04%             | 2035-11-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 5 YEAR U.S. TREASURY NOTE                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       1034 | NC      | $242343.76    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                | Enterprise Products Operating LLC                                               | CUSIP: 29379VCH4<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    1830000 | PA      | $1810162.53   | 0.04%             | 2055-02-16      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                        | Freddie Mac Strips                                                              | CUSIP: 3142G4Z20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5869686 | PA      | $614170.04    | 0.01%             | 2052-02-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36291K6G7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      45219 | PA      | $46705.15     | 0.00%             | 2034-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38376R4Q6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12189548 | PA      | $419613.00    | 0.01%             | 2067-05-20      | Variable      | 2.26%                 | No            |                  2 | On Loan: No      |
| Phoenix Guarantor Inc                                   | PHOENIX GUARANTOR INC                                                           | CUSIP: 71913BAK8<br>LEI: 254900JIOIDL3GSUFE55 | Long             | LON              | CORP              | US        |        339 | PA      | $339.48       | 0.00%             | 2031-02-21      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XGGW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21163492 | PA      | $17441580.46  | 0.42%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                   | Continental Resources Inc/OK                                                    | CUSIP: 212015AU5<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |    1660000 | PA      | $1618964.50   | 0.04%             | 2026-11-15      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 31398WQK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     817675 | PA      | $829829.70    | 0.02%             | 2030-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31388JTP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        329 | PA      | $340.59       | 0.00%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31371H2F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        430 | PA      | $444.47       | 0.00%             | 2029-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Sotera Health Holdings LLC                              | SOTERA HEALTH HLDGS LLC                                                         | CUSIP: 83600VAH4<br>LEI: 549300OVT7MBXFLOFU20 | Long             | LON              | CORP              | US        |    3580810 | PA      | $3590514.25   | 0.09%             | 2031-05-30      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38385GTJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17522581 | PA      | $1608350.44   | 0.04%             | 2055-05-20      | Floating      | 1.41%                 | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP                                          | Solventum Corp                                                                  | CUSIP: 83444MAS0<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |    1666000 | PA      | $1712650.67   | 0.04%             | 2054-04-30      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38380P2F0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   20490523 | PA      | $1284231.20   | 0.03%             | 2062-06-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                               | Boeing Co/The                                                                   | CUSIP: 097023CP8<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    1094000 | PA      | $949868.68    | 0.02%             | 2035-02-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 912810SF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   26870000 | PA      | $20124685.25  | 0.48%             | 2049-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                          | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FPJQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11193799 | PA      | $124472.81    | 0.00%             | 2027-06-25      | Variable      | 1.34%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                           | DISH DBS Corp                                                                   | CUSIP: 25470XBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6330000 | PA      | $6225139.12   | 0.15%             | 2026-12-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36213EMK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3266 | PA      | $3414.11      | 0.00%             | 2031-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PFIZER INC                                              | Pfizer Inc                                                                      | CUSIP: 717081EY5<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |    3680000 | PA      | $3301935.79   | 0.08%             | 2030-05-28      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                  | UnitedHealth Group Inc                                                          | CUSIP: 91324PDV1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    4755000 | PA      | $3495006.93   | 0.08%             | 2059-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                                 | Oncor Electric Delivery Co LLC                                                  | CUSIP: 68233JDA9<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |    1630000 | PA      | $1680696.75   | 0.04%             | 2055-04-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                                      | Coterra Energy Inc                                                              | CUSIP: 127097AK9<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |    1949000 | PA      | $1945706.70   | 0.05%             | 2029-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                    | Glencore Funding LLC                                                            | CUSIP: 378272AN8<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |      30000 | PA      | $29872.00     | 0.00%             | 2027-03-27      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133C8DQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2126467 | PA      | $2161526.37   | 0.05%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3137H6QT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3642755 | PA      | $748166.06    | 0.02%             | 2048-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 10 YEAR U.S. TREASURY NOTE                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -1007 | NC      | $-15734.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COMCAST CORP                                            | Comcast Corp                                                                    | CUSIP: 20030NEF4<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    3240000 | PA      | $3040241.46   | 0.07%             | 2053-05-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                    | Las Vegas Sands Corp                                                            | CUSIP: 517834AE7<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |     600000 | PA      | $595390.44    | 0.01%             | 2026-08-18      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BDQ84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11442319 | PA      | $1749693.04   | 0.04%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                  | EUR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              | CORP              | US        |          1 | NC      | $10005.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36201UCH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8373 | PA      | $8509.02      | 0.00%             | 2032-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Jimmy John's Funding LLC                                | Jimmy Johns Funding LLC                                                         | CUSIP: 47760QAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6020980 | PA      | $6001182.42   | 0.14%             | 2047-07-30      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133AQPP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22048817 | PA      | $18885622.63  | 0.45%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38379RLZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11634567 | PA      | $218593.74    | 0.01%             | 2058-08-16      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                                   | Micron Technology Inc                                                           | CUSIP: 595112CD3<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |    3470000 | PA      | $3591890.10   | 0.09%             | 2031-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XG4L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2811104 | PA      | $2453691.59   | 0.06%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31413DUU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28490 | PA      | $29947.50     | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36292CK52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2499 | PA      | $2501.82      | 0.00%             | 2035-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133AGNG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21134 | PA      | $17386.15     | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XKCJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6530676 | PA      | $6645833.47   | 0.16%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                             | Oracle Corp                                                                     | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    6350000 | PA      | $5832252.94   | 0.14%             | 2031-03-25      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31406UHL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5756 | PA      | $5940.75      | 0.00%             | 2035-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bank5                                                   | BANK5 2023-5YR1                                                                 | CUSIP: 06644EAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4500000 | PA      | $4609360.80   | 0.11%             | 2056-04-15      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36178WGQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2908553 | PA      | $2628558.64   | 0.06%             | 2042-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                           | CUSIP: 312935S59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3430 | PA      | $3520.81      | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F0606A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15000000 | PA      | $15326158.80  | 0.37%             | 2055-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Connecticut Avenue Securities Trust 2020-R02                                    | CUSIP: 20754WAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2450000 | PA      | $2507124.69   | 0.06%             | 2040-01-25      | Floating      | 7.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36291TBM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      47257 | PA      | $48967.78     | 0.00%             | 2034-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                          | Morgan Stanley                                                                  | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    9370000 | PA      | $8757401.96   | 0.21%             | 2031-01-22      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128P7RC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5052 | PA      | $5145.89      | 0.00%             | 2031-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GWV2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1765000 | PA      | $1750176.03   | 0.04%             | 2029-04-23      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| UBS AG STAMFORD CT                                      | UBS AG/Stamford CT                                                              | CUSIP: 22550L2M2<br>LEI: 254900R882POXXVAK772 | Long             | DBT              | CORP              | CH        |    5790000 | PA      | $6234978.35   | 0.15%             | 2028-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                 | HCA Inc                                                                         | CUSIP: 197677AH0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $11142181.70  | 0.27%             | 2095-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31387NR74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1539 | PA      | $1596.13      | 0.00%             | 2031-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418DZ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5916981 | PA      | $5121885.95   | 0.12%             | 2041-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36178WGN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4457 | PA      | $4084.36      | 0.00%             | 2042-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                        | T-Mobile USA Inc                                                                | CUSIP: 87264AAX3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    2530000 | PA      | $2285625.68   | 0.05%             | 2040-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                            | Synopsys Inc                                                                    | CUSIP: 871607AD9<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    1360000 | PA      | $1390233.22   | 0.03%             | 2032-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFVE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     673583 | PA      | $553705.80    | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 91282CNF4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1110000 | PA      | $1124221.88   | 0.03%             | 2032-05-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3131Y6Q93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1762609 | PA      | $1665886.61   | 0.04%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFTH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2466108 | PA      | $2119864.07   | 0.05%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                                 | Oncor Electric Delivery Co LLC                                                  | CUSIP: 68233JCZ5<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |    1320000 | PA      | $1366107.44   | 0.03%             | 2035-04-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                         | Sands China Ltd                                                                 | CUSIP: 80007RAE5<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |    3950000 | PA      | $4043717.70   | 0.10%             | 2028-08-08      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36208YJC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        328 | PA      | $329.08       | 0.00%             | 2028-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3137H4YQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18165392 | PA      | $3119896.98   | 0.07%             | 2052-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | 3 MONTH SOFR                                                                    | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       3467 | NC      | $2845085.33   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GFC8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    2270000 | PA      | $2221139.25   | 0.05%             | 2044-01-21      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                    | Royal Bank of Canada                                                            | CUSIP: 78016HZW3<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    1960000 | PA      | $2043075.48   | 0.05%             | 2034-02-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31411WCS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1171 | PA      | $1203.22      | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 31395TLN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3436781 | PA      | $3532811.95   | 0.08%             | 2035-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                            | CNH/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $109568.61    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Asurion LLC                                             | ASURION LLC                                                                     | CUSIP: 04649VBD1<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |     252623 | PA      | $252069.45    | 0.01%             | 2030-09-19      | Floating      | 8.41%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ReRemic Trust                            | Morgan Stanley Resecuritization Trust 2015-R7                                   | CUSIP: 61765PAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8115407 | PA      | $7332303.03   | 0.17%             | 2029-02-26      | Variable      | 7.06%                 | No            |                  2 | On Loan: No      |
| SCOTT Trust 2023-SFS                                    | SCOTT Trust 2023-SFS                                                            | CUSIP: 810064AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9300000 | PA      | $9569501.91   | 0.23%             | 2040-03-10      | Fixed         | 5.91%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUE                                   | Venture Global Plaquemines LNG LLC                                              | CUSIP: 922966AD8<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |    5240000 | PA      | $5569082.48   | 0.13%             | 2036-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138AFWD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12084 | PA      | $12382.34     | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BOMBARDIER INC                                          | Bombardier Inc                                                                  | CUSIP: 097751CD1<br>LEI: W7L3VLU8EHQY34Z36697 | Long             | DBT              | CORP              | CA        |    1200000 | PA      | $1253770.08   | 0.03%             | 2033-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128P7JH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      73832 | PA      | $74415.11     | 0.00%             | 2028-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36294YN91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9181 | PA      | $9469.45      | 0.00%             | 2037-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                     | Elevance Health Inc                                                             | CUSIP: 036752AD5<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    2500000 | PA      | $2086789.20   | 0.05%             | 2047-12-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133AFXA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1886750 | PA      | $1549737.54   | 0.04%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138WQMU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4346242 | PA      | $4111611.09   | 0.10%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                | AT&T Inc                                                                        | CUSIP: 00206RBK7<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    2489000 | PA      | $2104412.71   | 0.05%             | 2045-06-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Silver Point CLO, Ltd                                   | Silver Point CLO 8 Ltd                                                          | CUSIP: 827918AA1<br>LEI: 254900U97WKD6RJ07L38 | Long             | ABS-CBDO         | CORP              | KY        |    9410000 | PA      | $9433635.10   | 0.22%             | 2038-04-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Nexstar Media Inc                                       | NEXSTAR MEDIA INC                                                               | CUSIP: 65336RBB3<br>LEI: 5493006PK6I4I2OOT688 | Long             | LON              | CORP              | US        |    2503725 | PA      | $2503499.66   | 0.06%             | 2032-06-28      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F0406A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  113300000 | PA      | $106796221.97 | 2.55%             | 2055-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31389CLA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2021 | PA      | $2110.07      | 0.00%             | 2032-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3131XUM38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2159124 | PA      | $2026550.72   | 0.05%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FNUJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     457331 | PA      | $413573.70    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132ADGQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7349680 | PA      | $6946401.43   | 0.17%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                        | Bank of Montreal                                                                | CUSIP: 06368BGS1<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |      10000 | PA      | $9824.41      | 0.00%             | 2032-12-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP                                          | Solventum Corp                                                                  | CUSIP: 83444MAP6<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |    1617000 | PA      | $1669067.55   | 0.04%             | 2029-03-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                          | Fannie Mae-Aces                                                                 | CUSIP: 3136B8UA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2933011 | PA      | $2637630.07   | 0.06%             | 2037-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                  | Pacific Gas and Electric Co                                                     | CUSIP: 694308JH1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    1070000 | PA      | $811518.20    | 0.02%             | 2040-08-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| FIRST QUANTUM MINERALS L                                | First Quantum Minerals Ltd                                                      | CUSIP: 335934AX3<br>LEI: 549300I7UVBGWRYMYZ18 | Long             | DBT              | CORP              | CA        |    2440000 | PA      | $2524467.92   | 0.06%             | 2034-02-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor                          | Banc of America Funding 2015-R2 Trust                                           | CUSIP: 05990TAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1833158 | PA      | $1829903.50   | 0.04%             | 2037-04-29      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                            | CaixaBank SA                                                                    | CUSIP: 12803RAL8<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |    4710000 | PA      | $4760097.96   | 0.11%             | 2031-07-03      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 912810TW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     940000 | PA      | $950281.25    | 0.02%             | 2043-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| SOHO Trust 2021-SOHO                                    | Soho Trust 2021-SOHO                                                            | CUSIP: 83410JAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6280000 | PA      | $4862750.95   | 0.12%             | 2038-08-10      | Variable      | 2.79%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                  | Philip Morris International Inc                                                 | CUSIP: 718172DH9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     930000 | PA      | $962883.94    | 0.02%             | 2031-02-13      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FQGW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     281518 | PA      | $254584.49    | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36291PV60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      60769 | PA      | $62343.14     | 0.00%             | 2034-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36201Q3R2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21018 | PA      | $21872.12     | 0.00%             | 2032-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                  | BP Capital Markets America Inc                                                  | CUSIP: 10373QBG4<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    2970000 | PA      | $1966504.33   | 0.05%             | 2050-02-24      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31388UEA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1851 | PA      | $1933.77      | 0.00%             | 2031-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                                | Targa Resources Partners LP / Targa Resources Partners Finance Corp             | CUSIP: 87612BBU5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     190000 | PA      | $180259.25    | 0.00%             | 2032-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Santander Mortgage Asset Recei                          | Santander Mortgage Asset Receivable Trust 2025-NQM5                             | CUSIP: 80262CAE8<br>LEI: 254900FHBJ2YHHBOAU80 | Long             | ABS-MBS          | CORP              | US        |    4000000 | PA      | $4012541.20   | 0.10%             | 2065-08-25      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3131XECV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     598837 | PA      | $582617.63    | 0.01%             | 2033-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                                    | Lockheed Martin Corp                                                            | CUSIP: 539830CE7<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |    1570000 | PA      | $1483193.99   | 0.04%             | 2064-02-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138ERRD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2166739 | PA      | $1962162.22   | 0.05%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36200XYW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18685 | PA      | $19403.10     | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3129337A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4079 | PA      | $4184.36      | 0.00%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Sunrun Issuer                                           | Sunrun Atlas Issuer 2019-2 LLC                                                  | CUSIP: 86772FAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2131507 | PA      | $2040631.72   | 0.05%             | 2055-02-01      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136A92R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8070324 | PA      | $7445456.73   | 0.18%             | 2042-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu                          | Bear Stearns Asset Backed Securities I Trust 2005-CL1                           | CUSIP: 073879U97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     230942 | PA      | $231386.31    | 0.01%             | 2034-09-25      | Floating      | 2.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31405SBM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1809 | PA      | $1855.76      | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OFFICE CHERIFIEN DES PHO                                | OCP SA                                                                          | CUSIP: 67091TAE5<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |    2310000 | PA      | $1933181.25   | 0.05%             | 2051-06-23      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PVT BANK                                 | Morgan Stanley Private Bank NA                                                  | CUSIP: 61776NVG5<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |    2600000 | PA      | $2640085.79   | 0.06%             | 2031-07-18      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association               | USD/BRL FORWARD                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-66789.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                   | CUSIP: 172967NU1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     670000 | PA      | $678304.42    | 0.02%             | 2033-05-24      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                             | BNP Paribas SA                                                                  | CUSIP: 05565A5R0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    7380000 | PA      | $7894400.76   | 0.19%             | N/A             | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                  | General Motors Financial Co Inc                                                 | CUSIP: 37045XBT2<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     880000 | PA      | $881229.58    | 0.02%             | 2027-01-17      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XBQ52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9661475 | PA      | $8316444.21   | 0.20%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AON NORTH AMERICA INC                                   | Aon North America Inc                                                           | CUSIP: 03740MAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5620000 | PA      | $5856745.93   | 0.14%             | 2034-03-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| DP WORLD LTD UAE                                        | DP World Ltd/United Arab Emirates                                               | CUSIP: 000000000<br>LEI: 549300M3U2DNF4QVSS04 | Long             | DBT              | CORP              | AE        |    5630000 | PA      | $6464599.93   | 0.15%             | 2037-07-02      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38380R2L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22455335 | PA      | $1328931.44   | 0.03%             | 2061-04-16      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36180JBN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1308230 | PA      | $1275584.13   | 0.03%             | 2047-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                          | Wells Fargo Commercial Mortgage Trust 2024-C63                                  | CUSIP: 94990FAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2500000 | PA      | $2592905.50   | 0.06%             | 2057-08-15      | Fixed         | 5.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138ERNP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     517562 | PA      | $467725.89    | 0.01%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FLNF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2173762 | PA      | $1966248.40   | 0.05%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38381H8H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   35182765 | PA      | $26595925.76  | 0.63%             | 2064-06-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140L1TP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4292258 | PA      | $3508547.53   | 0.08%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                            | Alphabet Inc                                                                    | CUSIP: 02079KAL1<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     990000 | PA      | $991294.28    | 0.02%             | 2035-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bank of America, National Association                   | USD/CNH FORWARD                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-2576.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36291VMS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15641 | PA      | $15989.83     | 0.00%             | 2034-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133ANC36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4991769 | PA      | $4298194.98   | 0.10%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136AP3N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8715832 | PA      | $7816455.30   | 0.19%             | 2045-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                | Enterprise Products Operating LLC                                               | CUSIP: 29379VBV4<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     850000 | PA      | $820210.85    | 0.02%             | 2029-07-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                    | Glencore Funding LLC                                                            | CUSIP: 378272CA4<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    5060000 | PA      | $5261815.57   | 0.13%             | 2035-04-01      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| Boost Newco Borrower LLC                                | BOOST NEWCO BORROWER LLC                                                        | CUSIP: 92943EAG1<br>LEI: 254900S8RE1OL7TTCU64 | Long             | LON              | CORP              | US        |    1293227 | PA      | $1296595.38   | 0.03%             | 2031-01-31      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38376R5X0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15153837 | PA      | $819490.70    | 0.02%             | 2067-07-20      | Variable      | 2.28%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgage                          | MASTR Adjustable Rate Mortgages Trust 2006-OA1                                  | CUSIP: 576433G42<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      58868 | PA      | $54563.66     | 0.00%             | 2046-04-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                             | Oracle Corp                                                                     | CUSIP: 68389XCN3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    4800000 | PA      | $4869008.45   | 0.12%             | 2030-05-06      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36201LK45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     113222 | PA      | $118564.56    | 0.00%             | 2034-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Taco Bell Funding, LLC                                  | Taco Bell Funding LLC                                                           | CUSIP: 87342RAK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3730000 | PA      | $3747044.98   | 0.09%             | 2055-08-25      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| Park Avenue Trust                                       | 245 Park Avenue Trust 2017-245P                                                 | CUSIP: 90187LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9410000 | PA      | $9227971.08   | 0.22%             | 2037-06-05      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138EGQ64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     177971 | PA      | $182358.21    | 0.00%             | 2040-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                               | Boeing Co/The                                                                   | CUSIP: 097023BU8<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      10000 | PA      | $9801.92      | 0.00%             | 2027-03-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36292HRK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      39991 | PA      | $41204.57     | 0.00%             | 2035-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F0226A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   45800000 | PA      | $38593466.18  | 0.92%             | 2055-10-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                                | Santander UK Group Holdings PLC                                                 | CUSIP: 80281LAY1<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    2730000 | PA      | $2705885.56   | 0.06%             | 2036-09-22      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| STORE Master Funding LLC                                | Store Master Funding I-VII XIV XIX XX XXIV XXII                                 | CUSIP: 86212XAM2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10445483 | PA      | $10702752.44  | 0.26%             | 2054-05-20      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                               | College Ave Student Loans 2024-B LLC                                            | CUSIP: 19423UAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5418842 | PA      | $5569097.45   | 0.13%             | 2054-08-25      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3137F8UQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19374807 | PA      | $2620022.19   | 0.06%             | 2051-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association               | AUD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-14987.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31390BFZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13504 | PA      | $14103.47     | 0.00%             | 2032-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36201TJ32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      72774 | PA      | $74087.46     | 0.00%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138XQYC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     120775 | PA      | $119939.12    | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KYVN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13943609 | PA      | $12115802.11  | 0.29%             | 2041-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                   | Time Warner Cable LLC                                                           | CUSIP: 88732JAY4<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    1617000 | PA      | $1546403.33   | 0.04%             | 2040-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                | Vistra Operations Co LLC                                                        | CUSIP: 92840VAR3<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     890000 | PA      | $931480.03    | 0.02%             | 2032-04-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 912810UL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6340000 | PA      | $6585179.72   | 0.16%             | 2045-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XMHZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13037471 | PA      | $13322545.39  | 0.32%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                                | Targa Resources Partners LP / Targa Resources Partners Finance Corp             | CUSIP: 87612BBS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2045000 | PA      | $2051482.14   | 0.05%             | 2031-02-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFF97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5840343 | PA      | $5020322.69   | 0.12%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128M7XB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6895 | PA      | $7073.17      | 0.00%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31412YBH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     189547 | PA      | $199849.03    | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Belron Finance 2019 LLC                                 | BELRON FINANCE 2019 LLC                                                         | CUSIP: 08078UAN3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    3711327 | PA      | $3734540.92   | 0.09%             | 2031-10-16      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                                      | CUSIP: 21H0326A3<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -6200000 | PA      | $-5653957.01  | -0.13%            | 2055-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE ESCROW CL                                 | CREDIT SUISSE ESCROW CL                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   61000000 | PA      | $0.00         | 0.00%             | 2050-01-01      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| CVS PASS-THROUGH TRUST                                  | CVS Pass-Through Trust                                                          | CUSIP: 126650BP4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2619604 | PA      | $2674542.99   | 0.06%             | 2028-12-10      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 5 YEAR U.S. TREASURY NOTE                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       3048 | NC      | $23812.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VIPER ENERGY PARTNERS LL                                | Viper Energy Partners LLC                                                       | CUSIP: 92764MAB0<br>LEI: 54930010ZZ02MRGRI973 | Long             | DBT              | CORP              | US        |    3750000 | PA      | $3815043.75   | 0.09%             | 2035-08-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BFGH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3940105 | PA      | $872144.68    | 0.02%             | 2051-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                  | UnitedHealth Group Inc                                                          | CUSIP: 91324PEA6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    1570000 | PA      | $973818.42    | 0.02%             | 2060-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| HONEYWELL INTERNATIONAL                                 | Honeywell International Inc                                                     | CUSIP: 438516CS3<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |    2140000 | PA      | $2176687.48   | 0.05%             | 2035-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418BSJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1494555 | PA      | $1421433.92   | 0.03%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES INC                                     | Gilead Sciences Inc                                                             | CUSIP: 375558BD4<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |    3525000 | PA      | $3241798.33   | 0.08%             | 2046-03-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36208LZ42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3674 | PA      | $3740.29      | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X6PH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14682230 | PA      | $13663387.23  | 0.33%             | 2038-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2023-DNA2                                         | CUSIP: 35564KW70<br>LEI: 5493000IRI80KQJUNK40 | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $5635926.00   | 0.13%             | 2043-04-25      | Floating      | 11.95%                | No            |                  2 | On Loan: No      |
| FIRST QUANTUM MINERALS L                                | First Quantum Minerals Ltd                                                      | CUSIP: 335934AV7<br>LEI: 549300I7UVBGWRYMYZ18 | Long             | DBT              | CORP              | CA        |    1570000 | PA      | $1665887.75   | 0.04%             | 2029-03-01      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| BLOCK INC                                               | Block Inc                                                                       | CUSIP: 852234AU7<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |    2010000 | PA      | $2059687.20   | 0.05%             | 2033-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                          | Home Depot Inc/The                                                              | CUSIP: 437076CC4<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    3220000 | PA      | $2640034.43   | 0.06%             | 2040-04-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                        | T-Mobile USA Inc                                                                | CUSIP: 87264ADU6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    1230000 | PA      | $1257288.02   | 0.03%             | 2055-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138AFWY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31215 | PA      | $31985.25     | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36201TLX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     123558 | PA      | $126555.40    | 0.00%             | 2033-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding                          | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377RLA0<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    2130000 | PA      | $2122630.84   | 0.05%             | 2032-02-20      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                                | Targa Resources Partners LP / Targa Resources Partners Finance Corp             | CUSIP: 87612BBN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1220000 | PA      | $1242854.50   | 0.03%             | 2029-01-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          1 | NC      | $-398807.63   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortga                          | MF1 2022-FL10 LLC                                                               | CUSIP: 55285BAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6583265 | PA      | $6592154.78   | 0.16%             | 2037-09-17      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| Peer Holding III BV                                     | PEER HOLDING III BV                                                             | CUSIP: 000000000<br>LEI: 7245002S0K5Q59JCVQ03 | Long             | LON              | CORP              | NL        |    2483759 | PA      | $2489459.63   | 0.06%             | 2031-07-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust                          | 280 Park Avenue 2017-280P Mortgage Trust                                        | CUSIP: 90205FAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1780000 | PA      | $1722446.19   | 0.04%             | 2034-09-15      | Floating      | 7.34%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                           | CUSIP: 312932LK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2207 | PA      | $2264.91      | 0.00%             | 2039-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3132J3CZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22316 | PA      | $21827.37     | 0.00%             | 2033-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve                          | Structured Asset Mortgage Investments II Trust 2006-AR6                         | CUSIP: 86360UAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      58539 | PA      | $50804.00     | 0.00%             | 2046-07-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3617MB4M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1461984 | PA      | $1361620.34   | 0.03%             | 2050-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                | EQT Corp                                                                        | CUSIP: 26884LAL3<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    1278000 | PA      | $1296571.64   | 0.03%             | 2029-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                        | Altria Group Inc                                                                | CUSIP: 02209SAV5<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    3130000 | PA      | $2402817.68   | 0.06%             | 2046-09-16      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                      | LONG GILT                                                                       | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |        500 | NC      | $294950.02    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FKPT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     441162 | PA      | $399091.74    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                     | COMM 2020-CX Mortgage Trust                                                     | CUSIP: 12656KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10440000 | PA      | $9021668.58   | 0.22%             | 2046-11-10      | Fixed         | 2.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136A54N3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1934422 | PA      | $2101424.34   | 0.05%             | 2042-05-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F0226A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -41800000 | PA      | $-35222857.78 | -0.84%            | 2055-10-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                | Occidental Petroleum Corp                                                       | CUSIP: 674599DE2<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    3792000 | PA      | $4314250.09   | 0.10%             | 2031-09-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| CAMERON LNG LLC                                         | Cameron LNG LLC                                                                 | CUSIP: 133434AB6<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |    2071000 | PA      | $1799252.66   | 0.04%             | 2035-01-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Alterra Mountain Company                                | ALTERRA MOUNTAIN COMPANY                                                        | CUSIP: 46124CAU1<br>LEI: 549300C5O4FSVNUEI843 | Long             | LON              | CORP              | US        |      10638 | PA      | $10669.39     | 0.00%             | 2028-08-17      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GGM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    4800000 | PA      | $5275661.09   | 0.13%             | 2041-02-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO 3, Ltd.                                 | HalseyPoint CLO 3 Ltd                                                           | CUSIP: 40638UAS8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   10000000 | PA      | $10032077.00  | 0.24%             | 2037-07-30      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                | Western Midstream Operating LP                                                  | CUSIP: 958254AH7<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |     413000 | PA      | $413710.48    | 0.01%             | 2028-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F0326A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -12200000 | PA      | $-11147817.83 | -0.27%            | 2055-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36291XRL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      85219 | PA      | $88283.57     | 0.00%             | 2035-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                         | Sands China Ltd                                                                 | CUSIP: 80007RAN5<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |    6770000 | PA      | $6578855.14   | 0.16%             | 2027-03-08      | Variable      | 2.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133AGRD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2678127 | PA      | $2196383.69   | 0.05%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SUZANO AUSTRIA GMBH                                     | Suzano Austria GmbH                                                             | CUSIP: 86964WAJ1<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |   10050000 | PA      | $9520393.14   | 0.23%             | 2031-01-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                        | Georgia Power Co                                                                | CUSIP: 373334LB5<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |    2410000 | PA      | $2471338.12   | 0.06%             | 2035-03-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F0206A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -10200000 | PA      | $-8223577.72  | -0.20%            | 2055-10-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COPPER CORP                                    | Southern Copper Corp                                                            | CUSIP: 84265VAA3<br>LEI: 2549007U6NAP46Q9TU15 | Long             | DBT              | CORP              | US        |    7220000 | PA      | $8548061.24   | 0.20%             | 2035-07-27      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36178WDN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3381946 | PA      | $3094042.72   | 0.07%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | SOFR 1 YEAR MIDCURVE                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       3556 | NC      | $1044575.00   | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| WELLS FARGO & COMPANY                                   | Wells Fargo & Co                                                                | CUSIP: 95000U2M4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   12190000 | PA      | $11391452.97  | 0.27%             | 2051-04-04      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| GENERAL DYNAMICS CORP                                   | General Dynamics Corp                                                           | CUSIP: 369550BH0<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |    1045000 | PA      | $956206.98    | 0.02%             | 2040-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38379RV34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4398992 | PA      | $132767.31    | 0.00%             | 2059-02-16      | Variable      | 0.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31402WQN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6672 | PA      | $6758.06      | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36201RR60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9346 | PA      | $9640.39      | 0.00%             | 2032-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                        | Altria Group Inc                                                                | CUSIP: 02209SBN2<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    2620000 | PA      | $1889861.20   | 0.05%             | 2051-02-04      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| STORE Master Funding LLC                                | Store Master Funding I-VII XIV XIX XX XXIV                                      | CUSIP: 86212XAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6384633 | PA      | $6432361.00   | 0.15%             | 2053-06-20      | Fixed         | 6.19%                 | No            |                  2 | On Loan: No      |
| QUIKRETE HOLDINGS INC                                   | Quikrete Holdings Inc                                                           | CUSIP: 74843PAA8<br>LEI: 5493007KIN86DIZWZT22 | Long             | DBT              | CORP              | US        |    1960000 | PA      | $2031783.04   | 0.05%             | 2032-03-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                   | Wells Fargo & Co                                                                | CUSIP: 95000U2L6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    6620000 | PA      | $6658308.48   | 0.16%             | 2031-04-04      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36225BZ92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5322 | PA      | $5539.99      | 0.00%             | 2033-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36200N6L0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      88129 | PA      | $91501.23     | 0.00%             | 2034-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                                | Rogers Communications Inc                                                       | CUSIP: 775109DF5<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |    3730000 | PA      | $3785270.32   | 0.09%             | 2034-02-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                       | General Motors Co                                                               | CUSIP: 37045VAK6<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    1170000 | PA      | $1263399.65   | 0.03%             | 2036-04-01      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36291LJ48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18717 | PA      | $19374.92     | 0.00%             | 2035-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38383CNR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1422727 | PA      | $284189.08    | 0.01%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| QUALCOMM INC                                            | QUALCOMM Inc                                                                    | CUSIP: 747525BW2<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |    2480000 | PA      | $2532974.24   | 0.06%             | 2035-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Tr                          | GreenPoint Mortgage Funding Trust 2006-AR3                                      | CUSIP: 39538WHC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      55559 | PA      | $55277.43     | 0.00%             | 2036-04-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36207KHD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        326 | PA      | $330.76       | 0.00%             | 2028-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                                | Cooperatieve Rabobank UA                                                        | CUSIP: 74977RDN1<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |     960000 | PA      | $953333.56    | 0.02%             | 2028-04-06      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38379GYA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7393 | PA      | $26.59        | 0.00%             | 2026-07-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MELCO RESORTS FINANCE                                   | Melco Resorts Finance Ltd                                                       | CUSIP: 58547DAJ8<br>LEI: 5493000FQDBWKDBZEF60 | Long             | DBT              | CORP              | KY        |    1460000 | PA      | $1464803.40   | 0.03%             | 2033-09-24      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co                          | Structured Asset Securities Corp Trust 2005-SC1                                 | CUSIP: 86359DTG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2551164 | PA      | $1831872.34   | 0.04%             | 2031-05-25      | Variable      | 7.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138EMKV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     915497 | PA      | $939172.78    | 0.02%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYB4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    7070000 | PA      | $6416025.28   | 0.15%             | 2032-04-22      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                | Enterprise Products Operating LLC                                               | CUSIP: 29379VBY8<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    2197000 | PA      | $1639999.42   | 0.04%             | 2051-01-31      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3137H1PP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7187550 | PA      | $1202632.38   | 0.03%             | 2049-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3622ACPU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14145909 | PA      | $14304819.22  | 0.34%             | 2053-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TEACHERS INSUR & ANNUITY                                | Teachers Insurance & Annuity Association of America                             | CUSIP: 878091BD8<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |    2385000 | PA      | $2206594.80   | 0.05%             | 2044-09-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36291QUS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1787402 | PA      | $1742801.53   | 0.04%             | 2047-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31386GJU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9139 | PA      | $9384.66      | 0.00%             | 2031-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 5 YEAR U.S. TREASURY NOTE                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       3048 | NC      | $23812.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138EGXA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     126842 | PA      | $129969.20    | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GMAC Mortgage Corporation Loan                          | GMACM Home Equity Loan Trust 2004-HE3                                           | CUSIP: 361856DG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     501749 | PA      | $479964.04    | 0.01%             | 2034-10-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| SPIRIT AVIA HOL RESTRICT                                | SPIRIT AVIA HOL RESTRICT                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       1685 | NS      | $640.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ZF NA CAPITAL                                           | ZF North America Capital Inc                                                    | CUSIP: 98877DAF2<br>LEI: 529900JYGMS9CW9IQX78 | Long             | DBT              | CORP              | US        |    4360000 | PA      | $4258081.95   | 0.10%             | 2030-04-23      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                           | GS Mortgage-Backed Securities Trust 2022-NQM1                                   | CUSIP: 36264EAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9926695 | PA      | $9235437.09   | 0.22%             | 2062-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31412NUP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36156 | PA      | $37091.12     | 0.00%             | 2039-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XADY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2091001 | PA      | $1724478.77   | 0.04%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36294T2N4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1326 | PA      | $1382.70      | 0.00%             | 2036-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -3556 | NC      | $-1355725.00  | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| NTT FINANCE CORP                                        | NTT Finance Corp                                                                | CUSIP: 62954WAS4<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |    3660000 | PA      | $3719974.00   | 0.09%             | 2030-07-16      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Suntrust Alternative Loan Trus                          | SunTrust Alternative Loan Trust 2006-1F                                         | CUSIP: 86800RAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15437859 | PA      | $3584990.47   | 0.09%             | 2036-04-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                          | NRG Energy Inc                                                                  | CUSIP: 629377DC3<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    1150000 | PA      | $1149544.98   | 0.03%             | 2034-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                      | Energy Transfer LP                                                              | CUSIP: 29278NAQ6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    2810000 | PA      | $2729307.17   | 0.07%             | 2030-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                    | Las Vegas Sands Corp                                                            | CUSIP: 517834AF4<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    3140000 | PA      | $3039402.88   | 0.07%             | 2029-08-08      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                | Devon Energy Corp                                                               | CUSIP: 25179MBE2<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |     114000 | PA      | $114008.40    | 0.00%             | 2028-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418B2M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6671150 | PA      | $6353341.98   | 0.15%             | 2036-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                   | Time Warner Cable LLC                                                           | CUSIP: 88732JAJ7<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    3030000 | PA      | $3153273.37   | 0.08%             | 2037-05-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3137H4VE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16957496 | PA      | $3352098.38   | 0.08%             | 2051-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36292CEU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6875 | PA      | $7116.56      | 0.00%             | 2035-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                   | Wells Fargo & Co                                                                | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    5400000 | PA      | $5250401.91   | 0.13%             | 2028-06-02      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                   | CUSIP: 172967KR1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     150000 | PA      | $133374.85    | 0.00%             | 2046-05-18      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38381NUY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   29204420 | PA      | $2794378.20   | 0.07%             | 2055-06-20      | Floating      | 1.49%                 | No            |                  2 | On Loan: No      |
| SOUTHERN NATURAL GAS                                    | Southern Natural Gas Co LLC                                                     | CUSIP: 843452AZ6<br>LEI: 254900KDLS1X42SY7037 | Long             | DBT              | CORP              | US        |    2503000 | PA      | $2911456.86   | 0.07%             | 2032-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DQBZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8440382 | PA      | $8591021.92   | 0.20%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO                                         | Nissan Motor Co Ltd                                                             | CUSIP: 654744AC5<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |    2390000 | PA      | $2346708.19   | 0.06%             | 2027-09-17      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                      | Energy Transfer LP                                                              | CUSIP: 86765BAP4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    1170000 | PA      | $1072595.17   | 0.03%             | 2044-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                             | Oracle Corp                                                                     | CUSIP: 68389XDK8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    1550000 | PA      | $1552388.41   | 0.04%             | 2032-09-26      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38379XGR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1754382 | PA      | $343304.78    | 0.01%             | 2045-11-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36213QXQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3346 | PA      | $3456.05      | 0.00%             | 2031-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                       | Kinder Morgan Inc                                                               | CUSIP: 28368EAD8<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |     226000 | PA      | $262313.98    | 0.01%             | 2031-08-01      | Fixed         | 7.80%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                         | United States Treasury Inflation Indexed Bonds                                  | CUSIP: 91282CLE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   32080155 | PA      | $32559479.47  | 0.78%             | 2034-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                                     | United Airlines Inc                                                             | CUSIP: 90932LAH0<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |    9000000 | PA      | $8868993.75   | 0.21%             | 2029-04-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140EVVB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     350234 | PA      | $316945.97    | 0.01%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RWE FINANCE US LLC                                      | RWE Finance US LLC                                                              | CUSIP: 749983AC6<br>LEI: 529900J7MYLKI84UP772 | Long             | DBT              | CORP              | US        |    4710000 | PA      | $4648793.74   | 0.11%             | 2035-09-18      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                        | FirstEnergy Corp                                                                | CUSIP: 337932AH0<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |    6522000 | PA      | $6483598.07   | 0.15%             | 2027-07-15      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3617K1Y72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1492642 | PA      | $1417793.20   | 0.03%             | 2049-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133AJFE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2969059 | PA      | $2556871.38   | 0.06%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                            | Ecopetrol SA                                                                    | CUSIP: 279158AJ8<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |    6530000 | PA      | $4999126.39   | 0.12%             | 2045-05-28      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AM                                 | United Rentals North America Inc                                                | CUSIP: 911365BR4<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |    1970000 | PA      | $2050913.81   | 0.05%             | 2034-03-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T                          | Morgan Stanley Mortgage Loan Trust 2005-3AR                                     | CUSIP: 61745M4P5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     439640 | PA      | $393437.25    | 0.01%             | 2035-07-25      | Variable      | 3.58%                 | No            |                  2 | On Loan: No      |
| ARAB REPUBLIC OF EGYPT                                  | Egypt Government International Bond                                             | CUSIP: 000000000<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |    7390000 | PA      | $7140658.37   | 0.17%             | 2032-01-15      | Fixed         | 7.05%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 5 YEAR U.S. TREASURY NOTE                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       3048 | NC      | $23812.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DMT62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3192482 | PA      | $2640181.76   | 0.06%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | US 10YR ULTRA                                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -1235 | NC      | $-1403808.53  | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36202SD96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11386 | PA      | $11414.76     | 0.00%             | 2033-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38379GZ83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     243094 | PA      | $42810.01     | 0.00%             | 2044-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                 | MPLX LP                                                                         | CUSIP: 55336VAS9<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    2590000 | PA      | $2628046.17   | 0.06%             | 2029-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily                                 | Freddie Mac Multifamily ML Certificates                                         | CUSIP: 35833FAC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   32198168 | PA      | $4053105.44   | 0.10%             | 2036-10-25      | Variable      | 2.02%                 | No            |                  2 | On Loan: No      |
| SEB Funding LLC                                         | SEB Funding LLC                                                                 | CUSIP: 78433DAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14060000 | PA      | $14396273.02  | 0.34%             | 2054-04-30      | Fixed         | 7.39%                 | No            |                  2 | On Loan: No      |
| OGLETHORPE POWER CORP                                   | Oglethorpe Power Corp                                                           | CUSIP: 677050AY2<br>LEI: 3EERXCUSWMS9GV5D9M98 | Long             | DBT              | CORP              | US        |    2340000 | PA      | $2370341.80   | 0.06%             | 2055-02-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140L7PC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3394087 | PA      | $2782556.53   | 0.07%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38379R5W9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19934261 | PA      | $484300.87    | 0.01%             | 2057-04-16      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| EQUIPMENTSHARE.COM INC                                  | EquipmentShare.com Inc                                                          | CUSIP: 29450YAC3<br>LEI: 254900PWJK48CGPKPI80 | Long             | DBT              | CORP              | US        |    1330000 | PA      | $1422630.51   | 0.03%             | 2033-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FECF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2689070 | PA      | $2445115.87   | 0.06%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NOTA DO TESOURO NACIONAL                                | Brazil Notas do Tesouro Nacional Serie F                                        | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |  140000000 | PA      | $25187538.17  | 0.60%             | 2027-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FXCA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     198757 | PA      | $188429.85    | 0.00%             | 2055-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                        | BAT Capital Corp                                                                | CUSIP: 054989AD0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     210000 | PA      | $240858.08    | 0.01%             | 2053-08-02      | Fixed         | 7.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36201TMH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19750 | PA      | $19902.00     | 0.00%             | 2033-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                        | Altria Group Inc                                                                | CUSIP: 02209SBL6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    3750000 | PA      | $3302246.29   | 0.08%             | 2032-02-04      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                         | Danske Bank A/S                                                                 | CUSIP: 23636ABC4<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |     250000 | PA      | $250292.37    | 0.01%             | 2028-04-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F0606A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -15000000 | PA      | $-15326158.80 | -0.37%            | 2055-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust                           | MHC Commercial Mortgage Trust 2021-MHC                                          | CUSIP: 55316VAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     127200 | PA      | $127418.61    | 0.00%             | 2038-04-15      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GZR8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    5790000 | PA      | $5747357.46   | 0.14%             | 2028-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FXEP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12602763 | PA      | $12979110.21  | 0.31%             | 2056-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                  | CCO Holdings LLC / CCO Holdings Capital Corp                                    | CUSIP: 1248EPCN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4543000 | PA      | $4137270.12   | 0.10%             | 2032-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                | AT&T Inc                                                                        | CUSIP: 04650NAB0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     870000 | PA      | $863533.52    | 0.02%             | 2040-09-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3137HCG71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22860679 | PA      | $3988141.40   | 0.10%             | 2052-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                  | Verizon Communications Inc                                                      | CUSIP: 92343VGK4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    2950000 | PA      | $2332142.94   | 0.06%             | 2041-03-22      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XP3K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5029025 | PA      | $5108603.00   | 0.12%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38381EKC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2730729 | PA      | $201232.59    | 0.00%             | 2061-10-16      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                               | ONEOK Inc                                                                       | CUSIP: 682680BL6<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     580000 | PA      | $615240.57    | 0.01%             | 2033-09-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | U.S. TREASURY BOND                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        765 | NC      | $765.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QKQY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     138979 | PA      | $125021.52    | 0.00%             | 2041-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    5360000 | PA      | $5167016.74   | 0.12%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                           | CUSIP: 31292L6V2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     432620 | PA      | $398654.71    | 0.01%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36290S7E5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        485 | PA      | $502.41       | 0.00%             | 2034-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BAC CAPITAL TRUST XIV                                   | BAC Capital Trust XIV                                                           | CUSIP: 05518VAA3<br>LEI: 549300QO5OB3VGJT6S64 | Long             | DBT              | CORP              | US        |    7226000 | PA      | $6060796.44   | 0.14%             | N/A             | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138EAE60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1287874 | PA      | $1253269.35   | 0.03%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31410LAS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     452269 | PA      | $463418.44    | 0.01%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 36195JJM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      91278 | PA      | $83317.26     | 0.00%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1620000 | PA      | $1727054.78   | 0.04%             | 2034-06-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31412MBF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        865 | PA      | $909.47       | 0.00%             | 2037-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF NIGERIA                                     | Nigeria Government International Bond                                           | CUSIP: 65412JAD5<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |    7670000 | PA      | $7592815.56   | 0.18%             | 2030-02-23      | Fixed         | 7.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3617MN3V3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8594866 | PA      | $7590911.73   | 0.18%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                    | Targa Resources Corp                                                            | CUSIP: 87612GAB7<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    2370000 | PA      | $2030956.71   | 0.05%             | 2052-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36201H6L2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2136 | PA      | $2156.11      | 0.00%             | 2033-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                              | US Bancorp                                                                      | CUSIP: 91159HJM3<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    3240000 | PA      | $3372496.72   | 0.08%             | 2029-06-12      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3210000 | PA      | $3240093.75   | 0.08%             | 2035-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36200WS85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16723 | PA      | $17311.49     | 0.00%             | 2031-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Springcastle SPV                                        | SpringCastle America Funding LLC                                                | CUSIP: 85022WAP9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5244384 | PA      | $4971286.59   | 0.12%             | 2037-09-25      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2021-DNA5                                         | CUSIP: 35564KJA8<br>LEI: 5493000ISU5NYXNHD479 | Long             | ABS-MBS          | CORP              | US        |   13330000 | PA      | $14150560.14  | 0.34%             | 2034-01-25      | Floating      | 7.41%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Commercial Mortgage Trust 2021-XL2                                           | CUSIP: 05609KAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3500000 | PA      | $3512427.45   | 0.08%             | 2038-10-15      | Floating      | 8.15%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                            | Broadcom Inc                                                                    | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     154000 | PA      | $131479.69    | 0.00%             | 2036-11-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2024-1                   | CUSIP: 35563PR43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8604128 | PA      | $7284464.89   | 0.17%             | 2063-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140JWCA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     371000 | PA      | $336434.79    | 0.01%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36201ATP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2579 | PA      | $2596.24      | 0.00%             | 2032-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                      | Energy Transfer LP                                                              | CUSIP: 86765BAV1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    1413000 | PA      | $1294387.82   | 0.03%             | 2047-10-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION               | IRS BRL                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              | CORP              | US        |          1 | NC      | $-10629272.69 | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| ZF NA CAPITAL                                           | ZF North America Capital Inc                                                    | CUSIP: 98877DAH8<br>LEI: 529900JYGMS9CW9IQX78 | Long             | DBT              | CORP              | US        |    2090000 | PA      | $2077076.32   | 0.05%             | 2031-03-24      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3617K1ZG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1146858 | PA      | $1089347.70   | 0.03%             | 2049-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138ERTC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5654572 | PA      | $5338585.42   | 0.13%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36200AKR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4423 | PA      | $4530.66      | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36200MWG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18650 | PA      | $19130.12     | 0.00%             | 2033-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HERC HOLDINGS INC                                       | Herc Holdings Inc                                                               | CUSIP: 42704LAF1<br>LEI: 549300TP80QLITMSBP82 | Long             | DBT              | CORP              | US        |     870000 | PA      | $904400.67    | 0.02%             | 2030-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                | Benchmark 2023-V2 Mortgage Trust                                                | CUSIP: 08163TAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4400000 | PA      | $4550133.72   | 0.11%             | 2055-05-15      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38380JBV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13943248 | PA      | $457178.19    | 0.01%             | 2059-12-16      | Variable      | 0.52%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                | Benchmark 2020-IG1 Mortgage Trust                                               | CUSIP: 08162LAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13500000 | PA      | $11288494.80  | 0.27%             | 2043-09-15      | Variable      | 2.91%                 | No            |                  2 | On Loan: No      |
| CLI Funding LLC                                         | CLI Funding IX LLC                                                              | CUSIP: 12571WAA1<br>LEI: 2549008S2Z91ASJFZL83 | Long             | ABS-O            | CORP              | US        |    7423867 | PA      | $7493123.92   | 0.18%             | 2049-07-20      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                      | Union Pacific Corp                                                              | CUSIP: 907818FL7<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    4395000 | PA      | $3062867.06   | 0.07%             | 2070-02-05      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| UFC Holdings LLC (Zuffa)/TKO Group                      | UFC HOLDINGS LLC                                                                | CUSIP: 90266UAL7<br>LEI: 549300JEOTH7UMZ3C491 | Long             | LON              | CORP              | US        |    3711350 | PA      | $3721147.96   | 0.09%             | 2031-11-21      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138AHWX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15504 | PA      | $15835.80     | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DVLA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18877597 | PA      | $16242077.65  | 0.39%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138M8GU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     468552 | PA      | $442841.77    | 0.01%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                                 | Consolidated Edison Co of New York Inc                                          | CUSIP: 209111FX6<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |     880000 | PA      | $852600.56    | 0.02%             | 2030-04-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| GLENCORE FINANCE CANADA                                 | Glencore Finance Canada Ltd                                                     | CUSIP: 98417EAN0<br>LEI: 5493005TTO0UJ33KCK70 | Long             | DBT              | CORP              | CA        |     870000 | PA      | $900170.98    | 0.02%             | 2041-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38380VXF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2475646 | PA      | $2224802.59   | 0.05%             | 2048-03-20      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Citadel Securities LP                                   | CITADEL SECURITIES LP                                                           | CUSIP: 17288YAN2<br>LEI: 549300NV5RXBUS3X7L47 | Long             | LON              | CORP              | US        |    5563110 | PA      | $5579826.86   | 0.13%             | 2031-10-31      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36213EUP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2594 | PA      | $2638.96      | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PBL9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    6130000 | PA      | $5687529.24   | 0.14%             | 2031-04-22      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DVL52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3573302 | PA      | $3077880.89   | 0.07%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140L1TN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2360602 | PA      | $1956810.87   | 0.05%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES INC                                     | Delta Air Lines Inc                                                             | CUSIP: 247361ZZ4<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | DBT              | CORP              | US        |    8910000 | PA      | $8953299.75   | 0.21%             | 2026-01-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                          | Morgan Stanley                                                                  | CUSIP: 6174468P7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    5560000 | PA      | $5396345.96   | 0.13%             | 2031-04-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                  | Verizon Communications Inc                                                      | CUSIP: 92343VFD1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     100000 | PA      | $78731.88     | 0.00%             | 2050-03-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                            | Comcast Corp                                                                    | CUSIP: 20030NCC3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    5866000 | PA      | $4587777.13   | 0.11%             | 2047-11-01      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F0206A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10200000 | PA      | $8223577.72   | 0.20%             | 2055-10-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 912810QN1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   31090000 | PA      | $31903683.75  | 0.76%             | 2041-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| KKR GROUP FIN CO II                                     | KKR Group Finance Co II LLC                                                     | CUSIP: 48249DAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     908000 | PA      | $899164.94    | 0.02%             | 2043-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DPLT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4120030 | PA      | $4201477.50   | 0.10%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2017-2                   | CUSIP: 35563PBH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1499450 | PA      | $1494176.57   | 0.04%             | 2056-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES                                 | Royal Caribbean Cruises Ltd                                                     | CUSIP: 780153BW1<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |    2510000 | PA      | $2561195.22   | 0.06%             | 2031-09-30      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association                          | CAD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $106433.19    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASTE CONNECTIONS INC                                   | Waste Connections Inc                                                           | CUSIP: 94106BAG6<br>LEI: 549300HDLRTPBQU69P29 | Long             | DBT              | CORP              | CA        |    2330000 | PA      | $2380308.54   | 0.06%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Asurion LLC                                             | Asurion LLC                                                                     | CUSIP: 04649VBC3<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |    3873754 | PA      | $3890430.48   | 0.09%             | 2028-08-21      | Floating      | 8.51%                 | No            |                  2 | On Loan: No      |
| PERMIAN RESOURC OPTG LLC                                | Permian Resources Operating LLC                                                 | CUSIP: 71424VAB6<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |    4180000 | PA      | $4260966.60   | 0.10%             | 2033-02-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36290SAR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5983 | PA      | $6139.14      | 0.00%             | 2033-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                   | CUSIP: 172967EW7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    1915000 | PA      | $2456157.19   | 0.06%             | 2039-07-15      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                  | Verizon Communications Inc                                                      | CUSIP: 92343VGY4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    2623000 | PA      | $2581296.66   | 0.06%             | 2035-02-15      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                | Warnermedia Holdings Inc                                                        | CUSIP: 55903VBL6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |     945000 | PA      | $932837.85    | 0.02%             | 2027-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3137HHNF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4276503 | PA      | $4299030.86   | 0.10%             | 2054-12-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                         | McDonald's Corp                                                                 | CUSIP: 58013MFR0<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    6670000 | PA      | $5488689.71   | 0.13%             | 2050-04-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31383JXE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10198 | PA      | $10558.41     | 0.00%             | 2029-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GHG7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    4810000 | PA      | $4787321.28   | 0.11%             | 2029-03-05      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128P7NU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      84930 | PA      | $86085.60     | 0.00%             | 2030-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38145GAH3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    3153000 | PA      | $3133336.57   | 0.07%             | 2026-11-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PFC5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    4410000 | PA      | $4574964.87   | 0.11%             | 2036-07-23      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                   | Continental Resources Inc/OK                                                    | CUSIP: 212015AT8<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |     429000 | PA      | $442595.58    | 0.01%             | 2031-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 912810TV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13156000 | PA      | $13182209.25  | 0.31%             | 2053-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36201C4L5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3346 | PA      | $3410.69      | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QERD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     441732 | PA      | $388054.48    | 0.01%             | 2040-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                                      | CUSIP: 21H0426A2<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -11600000 | PA      | $-11251004.37 | -0.27%            | 2055-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SIEMENS FUNDING BV                                      | Siemens Funding BV                                                              | CUSIP: 82622RAG1<br>LEI: 213800CCRGH2TO338X64 | Long             | DBT              | CORP              | NL        |    1030000 | PA      | $1118586.37   | 0.03%             | 2065-05-28      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                               | Boeing Co/The                                                                   | CUSIP: 097023CD5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    3580000 | PA      | $3455426.13   | 0.08%             | 2029-03-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                        | T-Mobile USA Inc                                                                | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   15295000 | PA      | $15002512.49  | 0.36%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FXDP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19518092 | PA      | $18503904.82  | 0.44%             | 2056-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133AGRE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2105799 | PA      | $1741329.01   | 0.04%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                    | Las Vegas Sands Corp                                                            | CUSIP: 517834AK3<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    4200000 | PA      | $4376248.38   | 0.10%             | 2029-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Starwood Property Mortgage LLC                          | STARWOOD PROPERTY MORTGAGE LLC                                                  | CUSIP: 85570DAN2<br>LEI: 5493008SB15CNJRIOK13 | Long             | LON              | CORP              | US        |    2483744 | PA      | $2482191.38   | 0.06%             | 2027-11-18      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH INC                                       | L3Harris Technologies Inc                                                       | CUSIP: 413875AT2<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |     510000 | PA      | $494161.12    | 0.01%             | 2045-04-27      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31415XJF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2436 | PA      | $2498.27      | 0.00%             | 2039-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                 | MPLX LP                                                                         | CUSIP: 55336VAM2<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    1340000 | PA      | $1212714.95   | 0.03%             | 2038-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Thrust Engine Leasing                                   | Thrust Engine Leasing 2021 DAC                                                  | CUSIP: 88603UAA7<br>LEI: 254900X0E0PUM0VQBP74 | Long             | ABS-O            | CORP              | US        |    9669631 | PA      | $9511129.11   | 0.23%             | 2040-07-15      | Fixed         | 4.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133AFRX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2306498 | PA      | $1883055.66   | 0.04%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GVS0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    4434000 | PA      | $4053566.52   | 0.10%             | 2045-10-21      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DQB70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4529285 | PA      | $4607585.58   | 0.11%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3617MKP78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3787421 | PA      | $3233009.66   | 0.08%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36210ARL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16241 | PA      | $16778.07     | 0.00%             | 2035-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                  | Reperforming Loan REMIC Trust 2006-R2                                           | CUSIP: 125435AB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3868802 | PA      | $156166.11    | 0.00%             | 2036-07-25      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association               | USD/EUR FORWARD                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-181989.49   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                             | Legacy Mortgage Asset Trust 2021-GS1                                            | CUSIP: 52474JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8583311 | PA      | $8590323.07   | 0.20%             | 2066-10-25      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DVLP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13500973 | PA      | $11659887.82  | 0.28%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| METLIFE INC                                             | MetLife Inc                                                                     | CUSIP: 59156RAP3<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |    1593000 | PA      | $1678239.84   | 0.04%             | 2036-12-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| Triton Water Holdings Inc                               | PRIMO BRANDS CORP                                                               | CUSIP: 89678QAD8<br>LEI: 254900J0WS4AXV2LAX55 | Long             | LON              | CORP              | US        |    2551136 | PA      | $2553585.21   | 0.06%             | 2028-03-31      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3132H7D68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5485699 | PA      | $5190842.82   | 0.12%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38384BPF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8916528 | PA      | $1667865.02   | 0.04%             | 2047-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BR4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6160000 | PA      | $6241573.00   | 0.15%             | 2029-03-30      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140L3H79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2888880 | PA      | $2369394.31   | 0.06%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                | Occidental Petroleum Corp                                                       | CUSIP: 674599CR4<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    2617000 | PA      | $2589800.21   | 0.06%             | 2026-08-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCE                                | Pioneer Natural Resources Co                                                    | CUSIP: 723787AR8<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |    1610000 | PA      | $1448283.44   | 0.03%             | 2031-01-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2022-DNA6                                         | CUSIP: 35564KH44<br>LEI: 5493000IS30HKV5IAS29 | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $5257979.00   | 0.13%             | 2042-09-25      | Floating      | 8.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3617BBKQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     416502 | PA      | $383507.80    | 0.01%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 3617GRCQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     759602 | PA      | $740634.18    | 0.02%             | 2048-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138AFC65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      96475 | PA      | $98854.70     | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NOTA DO TESOURO NACIONAL                                | Brazil Notas do Tesouro Nacional Serie F                                        | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |  245741000 | PA      | $38927653.01  | 0.93%             | 2033-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                                | Cheniere Energy Partners LP                                                     | CUSIP: 16411QAK7<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |    2281000 | PA      | $2200467.95   | 0.05%             | 2031-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3617BKV81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     481275 | PA      | $443147.55    | 0.01%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MILLROSE PROPERTIES INC                                 | Millrose Properties Inc                                                         | CUSIP: 601137AB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     520000 | PA      | $521684.08    | 0.01%             | 2032-09-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                      | Credit Agricole SA                                                              | CUSIP: 225313AK1<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |     330000 | PA      | $325120.58    | 0.01%             | 2033-01-10      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3137BDMP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10706045 | PA      | $9703001.90   | 0.23%             | 2044-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu                          | Bear Stearns Asset Backed Securities I Trust 2006-AC4                           | CUSIP: 07388WAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1105309 | PA      | $1332375.39   | 0.03%             | 2036-07-25      | Floating      | 17.74%                | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                       | General Motors Co                                                               | CUSIP: 37045VAP5<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    1150000 | PA      | $1100791.57   | 0.03%             | 2038-04-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| NCL CORPORATION LTD                                     | NCL Corp Ltd                                                                    | CUSIP: 62886HBY6<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | BM        |     830000 | PA      | $830566.50    | 0.02%             | 2031-01-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi                          | Freddie Mac Multifamily PC REMIC Trust 2019-RR01                                | CUSIP: 3137FQ3M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   23500000 | PA      | $794730.05    | 0.02%             | 2028-06-25      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 5 YEAR U.S. TREASURY NOTE                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        639 | NC      | $4992.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3622ACKW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6092337 | PA      | $6111040.16   | 0.15%             | 2053-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31409VMV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1660 | PA      | $1717.98      | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GKQ1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    6660000 | PA      | $6661038.83   | 0.16%             | 2033-04-27      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F0506A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32500000 | PA      | $32236474.73  | 0.77%             | 2055-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                        | Altria Group Inc                                                                | CUSIP: 02209SBF9<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     830000 | PA      | $848772.90    | 0.02%             | 2049-02-14      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                              | Humana Inc                                                                      | CUSIP: 444859BF8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |      10000 | PA      | $9971.52      | 0.00%             | 2027-03-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| GIP Pilot Acquisition Partners LP                       | GIP PILOT ACQUISITION PA                                                        | CUSIP: 31773HAE2<br>LEI: 254900NQOAOPPA12X060 | Long             | LON              | CORP              | US        |    2447939 | PA      | $2449468.69   | 0.06%             | 2030-10-04      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                | Devon Energy Corp                                                               | CUSIP: 25179MBD4<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |     638000 | PA      | $638055.50    | 0.02%             | 2027-10-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                              | Intel Corp                                                                      | CUSIP: 458140BM1<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    7465000 | PA      | $6328012.94   | 0.15%             | 2050-03-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                   | CUSIP: 172967LS8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    6280000 | PA      | $6197094.89   | 0.15%             | 2028-10-27      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136AETS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2032309 | PA      | $233586.32    | 0.01%             | 2043-06-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36225B2S6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     126754 | PA      | $131798.80    | 0.00%             | 2033-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36213UWG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3431 | PA      | $3505.22      | 0.00%             | 2031-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                         | CVS Health Corp                                                                 | CUSIP: 126650DR8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     660000 | PA      | $573047.98    | 0.01%             | 2031-09-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                   | CUSIP: 172967ME8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    7640000 | PA      | $7549162.39   | 0.18%             | 2030-03-20      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38379VHX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9274024 | PA      | $1117034.83   | 0.03%             | 2046-02-20      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 91282CNJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   53730000 | PA      | $54016489.97  | 1.29%             | 2032-06-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36200D7L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36771 | PA      | $37087.58     | 0.00%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36292DB27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19513 | PA      | $20355.47     | 0.00%             | 2035-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                            | Comcast Corp                                                                    | CUSIP: 20030NDS7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    2770000 | PA      | $1707774.22   | 0.04%             | 2051-11-01      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3325000 | PA      | $3137565.10   | 0.07%             | 2038-04-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                        | Altria Group Inc                                                                | CUSIP: 02209SBE2<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    3130000 | PA      | $3247578.17   | 0.08%             | 2039-02-14      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3132J4AB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25568 | PA      | $26004.72     | 0.00%             | 2031-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                                      | CUSIP: 21H0506A5<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -13400000 | PA      | $-13331037.70 | -0.32%            | 2055-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38381DND8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10920503 | PA      | $738706.51    | 0.02%             | 2063-11-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                   | CUSIP: 172967DR9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     133000 | PA      | $142168.32    | 0.00%             | 2036-08-25      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                          | Home Depot Inc/The                                                              | CUSIP: 437076CB6<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    1480000 | PA      | $1394507.74   | 0.03%             | 2030-04-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140L5GZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1509933 | PA      | $1236270.22   | 0.03%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FD5K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1395410 | PA      | $1263372.76   | 0.03%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                          | NRG Energy Inc                                                                  | CUSIP: 629377DD1<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    5670000 | PA      | $5674358.13   | 0.14%             | 2036-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CI FINANCIAL CORP                                       | CI Financial Corp                                                               | CUSIP: 125491AT7<br>LEI: 549300M9W7JJQSVCEM78 | Long             | DBT              | CORP              | CA        |    5360000 | PA      | $5714627.41   | 0.14%             | 2029-05-30      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH CO/INBEV                                 | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc                     | CUSIP: 03522AAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3442000 | PA      | $3226987.45   | 0.08%             | 2046-02-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3622AB6B3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3423452 | PA      | $3333471.68   | 0.08%             | 2052-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36212DLN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5102 | PA      | $5135.92      | 0.00%             | 2030-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31389NBG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7503 | PA      | $7838.07      | 0.00%             | 2032-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                     | Charles Schwab Corp/The                                                         | CUSIP: 808513CH6<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |    2110000 | PA      | $2299421.43   | 0.05%             | 2034-08-24      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort                          | First Horizon Alternative Mortgage Securities Trust 2007-FA3                    | CUSIP: 32053GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6397147 | PA      | $1376745.32   | 0.03%             | 2037-06-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                           | Citigroup Commercial Mortgage Trust 2017-P7                                     | CUSIP: 17325HBS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9194000 | PA      | $8712623.31   | 0.21%             | 2050-04-14      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CL6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1630000 | PA      | $1366896.03   | 0.03%             | 2063-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F0326A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   30800000 | PA      | $28143671.25  | 0.67%             | 2055-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                                | Florida Power & Light Co                                                        | CUSIP: 341081GY7<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |    1910000 | PA      | $1982274.30   | 0.05%             | 2055-03-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                  | Verizon Communications Inc                                                      | CUSIP: 92343VBG8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     350000 | PA      | $284589.24    | 0.01%             | 2042-11-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -2872 | NC      | $-789800.00   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                | Occidental Petroleum Corp                                                       | CUSIP: 674599DD4<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    1130000 | PA      | $1269916.60   | 0.03%             | 2031-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                | AT&T Inc                                                                        | CUSIP: 00206RKJ0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    3630000 | PA      | $2512817.33   | 0.06%             | 2053-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3622AB4U3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16684158 | PA      | $16255777.51  | 0.39%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36180JBV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     992339 | PA      | $967574.82    | 0.02%             | 2047-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FXKP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1704138 | PA      | $1656013.11   | 0.04%             | 2058-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Lightning Power, LLC                                    | LIGHTNING POWER LLC                                                             | CUSIP: 53229LAB3<br>LEI: 254900BWCHJ03XRL8K59 | Long             | LON              | CORP              | US        |    2477487 | PA      | $2478577.53   | 0.06%             | 2031-08-18      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                          | Wells Fargo Commercial Mortgage Trust 2018-C44                                  | CUSIP: 95001JAX5<br>LEI: 549300AGZIS1CJS4RM30 | Long             | ABS-MBS          | CORP              | US        |    4630000 | PA      | $4605404.05   | 0.11%             | 2051-05-15      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                                         | Cigna Group/The                                                                 | CUSIP: 125523AH3<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    2680000 | PA      | $2694447.67   | 0.06%             | 2028-10-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                 | MPLX LP                                                                         | CUSIP: 55336VAN0<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    1470000 | PA      | $1232130.20   | 0.03%             | 2048-04-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                | Benchmark 2019-B12 Mortgage Trust                                               | CUSIP: 08162FAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4000000 | PA      | $3685013.20   | 0.09%             | 2052-08-15      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| Fortress Credit BSL Limited                             | Fortress Credit BSL XXIV Ltd                                                    | CUSIP: 34990BAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    6390000 | PA      | $6410530.43   | 0.15%             | 2038-04-20      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 5 YEAR U.S. TREASURY NOTE                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -2032 | NC      | $-1095375.01  | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | U.S. TREASURY BOND                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -252 | NC      | $-248062.51   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FKCJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2999534 | PA      | $2713188.30   | 0.06%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY ENERG                                | Berkshire Hathaway Energy Co                                                    | CUSIP: 59562VAM9<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |       6000 | PA      | $6531.19      | 0.00%             | 2036-04-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP                                          | Solventum Corp                                                                  | CUSIP: 83444MAQ4<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |    3300000 | PA      | $3442748.93   | 0.08%             | 2031-03-13      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 912810UK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3240000 | PA      | $3251137.50   | 0.08%             | 2055-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140L7M41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1764294 | PA      | $1449720.37   | 0.03%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3622ACT67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14654592 | PA      | $15090363.25  | 0.36%             | 2053-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418BKY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1637465 | PA      | $1595122.12   | 0.04%             | 2034-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GFU8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    3050000 | PA      | $3052333.52   | 0.07%             | 2026-03-03      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140KKH80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2400864 | PA      | $1965207.56   | 0.05%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3131X1MD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7617 | PA      | $7605.35      | 0.00%             | 2027-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                            | GS Mortgage Securities Corp II                                                  | CUSIP: 36269JAL2<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |    8125000 | PA      | $8431023.25   | 0.20%             | 2041-03-10      | Variable      | 9.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36200DMM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      63428 | PA      | $65605.28     | 0.00%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38381PWW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19932173 | PA      | $925271.38    | 0.02%             | 2055-07-20      | Floating      | 0.76%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                | Enterprise Products Operating LLC                                               | CUSIP: 29379VBZ5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     870000 | PA      | $649549.72    | 0.02%             | 2060-01-31      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| DTP Commercial Mortgage Trust                           | DTP Commercial Mortgage Trust 2023-STE2                                         | CUSIP: 23346GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3110000 | PA      | $3195466.22   | 0.08%             | 2041-01-15      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | SOFR 1 YEAR MIDCURVE                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       2521 | NC      | $63025.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BAT CAPITAL CORP                                        | BAT Capital Corp                                                                | CUSIP: 05526DBB0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     406000 | PA      | $401938.87    | 0.01%             | 2027-08-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3132LME44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     200239 | PA      | $195509.78    | 0.00%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                          | Wells Fargo Commercial Mortgage Trust 2017-C41                                  | CUSIP: 95001ABE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   28664910 | PA      | $527907.31    | 0.01%             | 2050-11-15      | Variable      | 1.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133ALHV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2446053 | PA      | $2123358.80   | 0.05%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FF3K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     924320 | PA      | $836079.58    | 0.02%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                           | DISH DBS Corp                                                                   | CUSIP: 25470XAY1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     510000 | PA      | $505828.90    | 0.01%             | 2026-07-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 3622A2CE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5225685 | PA      | $4794734.28   | 0.11%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36225BPZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        264 | PA      | $272.22       | 0.00%             | 2031-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                            | Alphabet Inc                                                                    | CUSIP: 02079KAM9<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1303801.46   | 0.03%             | 2055-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Chart Industries, Inc.                                  | Chart Indus 03/18/30                                                            | CUSIP: 16115EAT4<br>LEI: EM7QGKC1GYOF3LSZSL80 | Long             | LON              | CORP              | US        |    3553055 | PA      | $3577482.28   | 0.09%             | 2030-03-15      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F0526A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -41600000 | PA      | $-41949199.55 | -1.00%            | 2055-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3132LMEK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     210499 | PA      | $204978.65    | 0.00%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                        | Altria Group Inc                                                                | CUSIP: 02209SBR3<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    1610000 | PA      | $1820310.61   | 0.04%             | 2033-11-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 10 YEAR U.S. TREASURY NOTE                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -1007 | NC      | $-1180078.13  | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38379RRT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   20758062 | PA      | $571191.28    | 0.01%             | 2056-11-16      | Variable      | 0.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36201X5M6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      37056 | PA      | $38229.88     | 0.00%             | 2033-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                        | NTT Finance Corp                                                                | CUSIP: 62954WAU9<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |    5410000 | PA      | $5542306.69   | 0.13%             | 2032-07-16      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                            | UBS Group AG                                                                    | CUSIP: 225401BB3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    3510000 | PA      | $4399153.76   | 0.10%             | 2033-11-15      | Fixed         | 9.02%                 | No            |                  2 | On Loan: No      |
| Jane Street Group LLC                                   | JANE STREET GROUP LLC                                                           | CUSIP: 47077DAM2<br>LEI: 5493002N1IVX6KHGYO08 | Long             | LON              | CORP              | US        |    4953995 | PA      | $4924592.82   | 0.12%             | 2031-12-15      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 3617GQY49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     440415 | PA      | $429417.53    | 0.01%             | 2048-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES/SKYMILES                                | Delta Air Lines Inc / SkyMiles IP Ltd                                           | CUSIP: 830867AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |    1342993 | PA      | $1341375.45   | 0.03%             | 2025-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132A92X4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        172 | PA      | $171.88       | 0.00%             | 2026-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                          | JP Morgan Chase Commercial Mortgage Securities Trust 2015-FL7                   | CUSIP: 46644PAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10175200 | PA      | $8425574.72   | 0.20%             | 2028-05-15      | Floating      | 8.19%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                            | GS Mortgage Securities Corp Trust 2018-SRP5                                     | CUSIP: 36255TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12629252 | PA      | $9843515.79   | 0.23%             | 2031-09-15      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| MELCO RESORTS FINANCE                                   | Melco Resorts Finance Ltd                                                       | CUSIP: 58547DAH2<br>LEI: 5493000FQDBWKDBZEF60 | Long             | DBT              | CORP              | KY        |    2040000 | PA      | $2140146.44   | 0.05%             | 2032-04-17      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| RR DONNELLEY & SONS CO                                  | RR Donnelley & Sons Co                                                          | CUSIP: 257867BJ9<br>LEI: SU4X0P4WWRGOQDTSV032 | Long             | DBT              | CORP              | US        |    2120000 | PA      | $2174674.80   | 0.05%             | 2029-08-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136A5J49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1316683 | PA      | $1386071.03   | 0.03%             | 2042-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                               | College Ave Student Loans 2019-A LLC                                            | CUSIP: 19421UAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8756392 | PA      | $8791542.37   | 0.21%             | 2048-12-28      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36209BHF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        430 | PA      | $434.73       | 0.00%             | 2029-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QPRZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13696143 | PA      | $13866465.91  | 0.33%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NRTH PARK Mortgage Trust                                | NRTH 2024-PARK Mortgage Trust                                                   | CUSIP: 67021HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3540000 | PA      | $3536989.23   | 0.08%             | 2039-03-15      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                                     | Bank of Nova Scotia/The                                                         | CUSIP: 06417XAG6<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    4500000 | PA      | $4356760.37   | 0.10%             | 2037-05-04      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| Western Asset Premier Institutional Government Reserves | Western Asset Premier Institutional Government Reserves                         | CUSIP: 52470G494<br>LEI: 549300WB3XRN9YTWFB76 | Long             | STIV             | RF                | US        |  388354917 | NS      | $388354917.07 | 9.26%             |  |  |  | No            |                  1 | On Loan: No      |
| DEVON ENERGY CORPORATION                                | Devon Energy Corp                                                               | CUSIP: 25179MAL7<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |    1610000 | PA      | $1551029.55   | 0.04%             | 2041-07-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| CHORD ENERGY CORP                                       | Chord Energy Corp                                                               | CUSIP: 674215AQ1<br>LEI: 529900FA4V2YNIKZ0M71 | Long             | DBT              | CORP              | US        |    1630000 | PA      | $1619669.52   | 0.04%             | 2030-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                      | Energy Transfer LP                                                              | CUSIP: 29278NAG8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     520000 | PA      | $535143.86    | 0.01%             | 2029-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C                          | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2005-4              | CUSIP: 16678RET0<br>LEI: 5493000HGUJLFEQO2209 | Long             | ABS-MBS          | CORP              | US        |     169379 | PA      | $162836.75    | 0.00%             | 2036-10-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                                          | Eli Lilly & Co                                                                  | CUSIP: 532457CL0<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |    4310000 | PA      | $4359721.41   | 0.10%             | 2034-02-09      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Connecticut Avenue Securities Trust 2019-R05                                    | CUSIP: 20754HAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3172390 | PA      | $3235162.04   | 0.08%             | 2039-07-25      | Floating      | 8.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFN49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     589972 | PA      | $542480.96    | 0.01%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SPIRIT AIRLINES LLC                                     | SPIRIT AIRLINES LLC                                                             | CUSIP: 84863V135<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     206310 | NS      | $78397.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38380RTP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23988876 | PA      | $18621463.16  | 0.44%             | 2063-06-16      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                                | RTX Corp                                                                        | CUSIP: 75513ECP4<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    2200000 | PA      | $1451689.69   | 0.03%             | 2052-03-15      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| SNAM SPA                                                | Snam SpA                                                                        | CUSIP: 83304JAB3<br>LEI: 8156002278562044AF79 | Long             | DBT              | CORP              | IT        |    3880000 | PA      | $4026502.05   | 0.10%             | 2035-05-28      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                 | SWOP IRS USD                                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |  638170000 | NC      | $2585884.44   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XBNZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     726573 | PA      | $701969.42    | 0.02%             | 2038-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| REPUBLICA ORIENT URUGUAY                                | Uruguay Government International Bond                                           | CUSIP: 917288BA9<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |          1 | PA      | $1.20         | 0.00%             | 2033-01-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES INC                                   | American Airlines Inc                                                           | CUSIP: 023771T40<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4100000 | PA      | $4279489.80   | 0.10%             | 2029-05-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                          | Lowe's Cos Inc                                                                  | CUSIP: 548661DU8<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |     540000 | PA      | $547281.38    | 0.01%             | 2030-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                         | Fannie Mae Interest Strip                                                       | CUSIP: 31424U6J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2838143 | PA      | $366347.84    | 0.01%             | 2052-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38148LAF3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    2531000 | PA      | $2389959.67   | 0.06%             | 2045-05-22      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Medline Borrower LP                                     | MEDLINE BORROWER LP                                                             | CUSIP: 58503UAH6<br>LEI: 254900QT3R363TVK6F09 | Long             | LON              | CORP              | US        |    3616065 | PA      | $3619663.47   | 0.09%             | 2028-10-23      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                          | Alternative Loan Trust 2006-OA9                                                 | CUSIP: 02146YAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     180515 | PA      | $154813.48    | 0.00%             | 2046-07-20      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38381U8L9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7900000 | PA      | $823238.46    | 0.02%             | 2055-09-20      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36178NF95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2843769 | PA      | $2608073.27   | 0.06%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICALS NE                                 | Teva Pharmaceutical Finance Netherlands III BV                                  | CUSIP: 88167AAF8<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |    8190000 | PA      | $6119405.02   | 0.15%             | 2046-10-01      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                                   | Micron Technology Inc                                                           | CUSIP: 595112CH4<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |     100000 | PA      | $106903.12    | 0.00%             | 2035-11-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                           | UBS Commercial Mortgage Trust 2018-C11                                          | CUSIP: 90276XAT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     601510 | PA      | $599721.71    | 0.01%             | 2051-06-15      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36200GB70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3221 | PA      | $3334.95      | 0.00%             | 2035-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                                          | Eli Lilly & Co                                                                  | CUSIP: 532457CN6<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |    1860000 | PA      | $1760415.43   | 0.04%             | 2064-02-09      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Loanpal Solar Loan 2020-3 Ltd                           | Loanpal Solar Loan Ltd                                                          | CUSIP: 53948NAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10600625 | PA      | $8983684.39   | 0.21%             | 2047-12-20      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140L1UL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3895091 | PA      | $3193768.51   | 0.08%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3137HHLW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4744040 | PA      | $4757772.17   | 0.11%             | 2054-12-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                   | Time Warner Cable LLC                                                           | CUSIP: 88732JAN8<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    1755000 | PA      | $1918483.29   | 0.05%             | 2038-07-01      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36292LJA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        317 | PA      | $329.69       | 0.00%             | 2036-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FLUTTER TREASURY DAC                                    | Flutter Treasury DAC                                                            | CUSIP: 344045AB5<br>LEI: 635400JE8VLL9UFVIC38 | Long             | DBT              | CORP              | IE        |    2700000 | PA      | $2742349.50   | 0.07%             | 2031-06-04      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                           | DISH DBS Corp                                                                   | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1120000 | PA      | $1074628.80   | 0.03%             | 2028-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31412NXE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54851 | PA      | $56131.67     | 0.00%             | 2039-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   12550000 | PA      | $12333709.16  | 0.29%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F0426A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   70000000 | PA      | $67906455.40  | 1.62%             | 2055-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                      | Energy Transfer LP                                                              | CUSIP: 29273VAM2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   15052000 | PA      | $15582011.02  | 0.37%             | N/A             | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| EQUATE PETROCHEMICAL CO                                 | EQUATE Petrochemical Co KSC                                                     | CUSIP: 29441WAC9<br>LEI: 635400J73BDO4TTGXD45 | Long             | DBT              | CORP              | KW        |    4790000 | PA      | $4781492.96   | 0.11%             | 2026-11-03      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36291NZV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        419 | PA      | $430.52       | 0.00%             | 2034-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Pro                          | RAMP Series 2004-SL4 Trust                                                      | CUSIP: 76112BGP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     303442 | PA      | $98411.11     | 0.00%             | 2032-07-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FKL99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     462605 | PA      | $419010.27    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                | Mars Inc                                                                        | CUSIP: 571676BA2<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    1860000 | PA      | $1902139.29   | 0.05%             | 2035-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36212F2S2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6818 | PA      | $7162.63      | 0.00%             | 2034-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PFP III                                                 | PFP 2024-11 Ltd                                                                 | CUSIP: 69291WAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4650615 | PA      | $4652812.29   | 0.11%             | 2039-09-17      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                            | Barclays PLC                                                                    | CUSIP: 06738EBK0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    2290000 | PA      | $2321129.41   | 0.06%             | 2030-06-20      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                  | UnitedHealth Group Inc                                                          | CUSIP: 91324PEJ7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     630000 | PA      | $621220.33    | 0.01%             | 2032-05-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36290VVH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6183 | PA      | $6366.22      | 0.00%             | 2034-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYC2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    3096000 | PA      | $2395092.38   | 0.06%             | 2042-04-22      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3132J9C63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1235831 | PA      | $1167918.08   | 0.03%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PCI GAMING AUTHORITY                                    | PCI GAMING AUTHORITY                                                            | CUSIP: 70455DAG9<br>LEI: 549300KPXAJ1LRW5LP59 | Long             | LON              | CORP              | US        |    2031852 | PA      | $2030266.72   | 0.05%             | 2031-07-21      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                          | HarborView Mortgage Loan Trust 2005-7                                           | CUSIP: 41161PPN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1747411 | PA      | $784547.55    | 0.02%             | 2045-06-19      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3622ACPG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3999368 | PA      | $4072279.71   | 0.10%             | 2053-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Light and Wonder International Inc                      | LIGHT & WONDER INTERNATIONAL INC                                                | CUSIP: 80875AAW1<br>LEI: RLTHESQ0RNFQJWPBJN60 | Long             | LON              | CORP              | US        |    2554885 | PA      | $2565270.60   | 0.06%             | 2029-04-14      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DSUT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6877344 | PA      | $6985672.66   | 0.17%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1060000 | PA      | $950400.23    | 0.02%             | 2032-10-20      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36200FPE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42545 | PA      | $43558.50     | 0.00%             | 2033-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XL3Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9581104 | PA      | $9962363.57   | 0.24%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140EXDX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     694776 | PA      | $628453.82    | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| National Collegiate Student Lo                          | National Collegiate Student Loan Trust 2006-4                                   | CUSIP: 63543WAD3<br>LEI: 635400VHKJCABQGBTP36 | Long             | ABS-O            | CORP              | US        |     542678 | PA      | $542416.95    | 0.01%             | 2032-05-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38375K4K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     928329 | PA      | $8444.91      | 0.00%             | 2037-08-20      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FHEM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1012419 | PA      | $916407.04    | 0.02%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | U.S. TREASURY BOND                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        504 | NC      | $15750.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                          | Alternative Loan Trust 2006-23CB                                                | CUSIP: 02147RAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2365521 | PA      | $1307619.08   | 0.03%             | 2036-08-25      | Floating      | 11.31%                | No            |                  2 | On Loan: No      |
| PROGRESS ENERGY INC                                     | Progress Energy Inc                                                             | CUSIP: 743263AP0<br>LEI: 549300FBMTW0JYWMNB26 | Long             | DBT              | CORP              | US        |    4800000 | PA      | $5092895.28   | 0.12%             | 2039-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| EXPAND ENERGY CORP                                      | Expand Energy Corp                                                              | CUSIP: 845467AT6<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |    2810000 | PA      | $2762798.10   | 0.07%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Oak Street Investment Grade Ne                          | Oak Street Investment Grade Net Lease Fund Series 2020-1                        | CUSIP: 67181DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5201905 | PA      | $4990428.90   | 0.12%             | 2050-11-20      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36201YCJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      37294 | PA      | $37748.88     | 0.00%             | 2033-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ORBIA ADVANCE CORP SAB                                  | Orbia Advance Corp SAB de CV                                                    | CUSIP: 68560EAB4<br>LEI: 549300MVHZ20SBIOEQ79 | Long             | DBT              | CORP              | MX        |    3859000 | PA      | $3301770.20   | 0.08%             | 2031-05-11      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION               | TRS JPEIFNTR INDEX                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              | CORP              | US        |          1 | NC      | $797830.36    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36178WDM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2631918 | PA      | $2409417.90   | 0.06%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132D9K86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5567609 | PA      | $4810753.16   | 0.11%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                  | BP Capital Markets America Inc                                                  | CUSIP: 10373QBN9<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    1220000 | PA      | $767333.81    | 0.02%             | 2050-11-10      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3622ACCK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12002685 | PA      | $12039529.81  | 0.29%             | 2053-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36201P4V4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11042 | PA      | $11684.02     | 0.00%             | 2032-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH OF BAHAMAS                                 | Bahamas Government International Bond                                           | CUSIP: 056732AP5<br>LEI: 549300W13SXC7EKNJC20 | Long             | DBT              | NUSS              | BS        |    1610000 | PA      | $1741311.60   | 0.04%             | 2036-06-24      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31416BMV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     411253 | PA      | $426634.59    | 0.01%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                | Ford Motor Credit Co LLC                                                        | CUSIP: 345397C35<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    3260000 | PA      | $3400715.75   | 0.08%             | 2027-11-04      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138MQGP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49347 | PA      | $47759.87     | 0.00%             | 2042-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 10 YEAR U.S. TREASURY NOTE                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -1522 | NC      | $-1522.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 36196FZJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28523 | PA      | $26264.16     | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38381DWD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   25945138 | PA      | $2403279.98   | 0.06%             | 2061-06-16      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| Sunrun Demeter Issuer LLC                               | Sunrun Demeter Issuer 2021-2 LLC                                                | CUSIP: 86772HAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5230153 | PA      | $4711322.10   | 0.11%             | 2057-01-30      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140L6TB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4072422 | PA      | $3339096.24   | 0.08%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                        | Freddie Mac Strips                                                              | CUSIP: 31325YXR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3529840 | PA      | $869407.18    | 0.02%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38380GZN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1551888 | PA      | $281902.85    | 0.01%             | 2047-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138MN4E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52528 | PA      | $51176.15     | 0.00%             | 2042-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                        | BAT Capital Corp                                                                | CUSIP: 05526DCD5<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |      20000 | PA      | $20927.44     | 0.00%             | 2055-08-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FLORIDA GAS TRANSMISSION                                | Florida Gas Transmission Co LLC                                                 | CUSIP: 340711BC3<br>LEI: 549300Q0UQF87NXNOC32 | Long             | DBT              | CORP              | US        |    4060000 | PA      | $4213236.70   | 0.10%             | 2035-07-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | U.S. TREASURY BOND                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        504 | NC      | $504.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Elmwood CLO I Ltd.                                      | Elmwood CLO I Ltd                                                               | CUSIP: 290015AW6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   10000000 | PA      | $10035995.00  | 0.24%             | 2037-04-20      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES                                 | Royal Caribbean Cruises Ltd                                                     | CUSIP: 780153BV3<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |    5790000 | PA      | $5939849.95   | 0.14%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FXFZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3516024 | PA      | $3326783.84   | 0.08%             | 2057-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36200N5X5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     113597 | PA      | $117356.81    | 0.00%             | 2034-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                    | Las Vegas Sands Corp                                                            | CUSIP: 517834AM9<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    1480000 | PA      | $1513417.70   | 0.04%             | 2028-06-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                         | Fannie Mae Interest Strip                                                       | CUSIP: 3136FES60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     189536 | PA      | $31775.63     | 0.00%             | 2040-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                            | Ecopetrol SA                                                                    | CUSIP: 279158AV1<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |    5740000 | PA      | $5931762.78   | 0.14%             | 2036-01-19      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | U.S. TREASURY BOND                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        252 | NC      | $35437.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KENVUE INC                                              | Kenvue Inc                                                                      | CUSIP: 49177JAK8<br>LEI: 5493008HSF8L4M2LIJ82 | Long             | DBT              | CORP              | US        |    1197000 | PA      | $1217297.70   | 0.03%             | 2033-03-22      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31412X4X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11522 | PA      | $12111.40     | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Kings Park CLO Ltd                                      | Kings Park CLO Ltd                                                              | CUSIP: 496094AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    9910000 | PA      | $9929820.00   | 0.24%             | 2035-01-21      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                        | CIFC Funding 2015-IV Ltd                                                        | CUSIP: 12550TAY1<br>LEI: 549300ZXX0SJBZWIWI81 | Long             | ABS-CBDO         | CORP              | KY        |    4700000 | PA      | $4705926.70   | 0.11%             | 2034-04-20      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XBUW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     537074 | PA      | $516670.72    | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| National Collegiate Student Lo                          | National Collegiate Student Loan Trust 2005-2                                   | CUSIP: 63543PBU9<br>LEI: 635400WP3MSHUIUNQS85 | Long             | ABS-O            | CORP              | US        |    2734867 | PA      | $2714375.64   | 0.06%             | 2033-06-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36291SZF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1560 | PA      | $1615.89      | 0.00%             | 2035-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                | Ford Motor Credit Co LLC                                                        | CUSIP: 345397B28<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    4120000 | PA      | $4112582.52   | 0.10%             | 2025-11-13      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi                          | Freddie Mac Multiclass Certificates Series 2015-P001                            | CUSIP: 3137FQXW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15503008 | PA      | $615500.42    | 0.01%             | 2028-08-27      | Variable      | 1.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136AARL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2865902 | PA      | $344772.59    | 0.01%             | 2042-12-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                   | Foundry JV Holdco LLC                                                           | CUSIP: 350930AA1<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    2290000 | PA      | $2387940.46   | 0.06%             | 2034-01-25      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                      | Energy Transfer LP                                                              | CUSIP: 29279FAA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     870000 | PA      | $878722.02    | 0.02%             | 2049-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| HOMES Trust                                             | HOMES 2023-NQM1 Trust                                                           | CUSIP: 43761JAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6344360 | PA      | $6350073.84   | 0.15%             | 2068-01-25      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133AFRZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2840992 | PA      | $2334456.83   | 0.06%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                       | General Motors Co                                                               | CUSIP: 37045VAF7<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    1080000 | PA      | $1098877.88   | 0.03%             | 2043-10-02      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KNJF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10765032 | PA      | $9284934.66   | 0.22%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENER PART                                 | Kinder Morgan Energy Partners LP                                                | CUSIP: 494550BF2<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |    1450000 | PA      | $1580481.79   | 0.04%             | 2040-09-15      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 10 YEAR U.S. TREASURY NOTE                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       1527 | NC      | $1527.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                            | Synopsys Inc                                                                    | CUSIP: 871607AC1<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    1720000 | PA      | $1752488.07   | 0.04%             | 2030-04-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 10 YEAR U.S. TREASURY NOTE                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -1522 | NC      | $-23781.25    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FIRSTENERGY CORP                                        | FirstEnergy Corp                                                                | CUSIP: 337932AJ6<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |    5044000 | PA      | $4471270.14   | 0.11%             | 2047-07-15      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136AHGQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4534435 | PA      | $512475.99    | 0.01%             | 2043-12-25      | Floating      | 1.48%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                        | Freddie Mac Strips                                                              | CUSIP: 31325YXU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     626992 | PA      | $162487.93    | 0.00%             | 2052-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3132L8WB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     153445 | PA      | $147780.58    | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                  | UnitedHealth Group Inc                                                          | CUSIP: 91324PDZ2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    1080000 | PA      | $696771.77    | 0.02%             | 2050-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                  | Pacific Gas and Electric Co                                                     | CUSIP: 694308JG3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    3850000 | PA      | $3431590.70   | 0.08%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132AAK52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2125792 | PA      | $2057017.43   | 0.05%             | 2038-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | US LONG BOND(CBT)                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       4293 | NC      | $6221289.01   | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 10 YEAR U.S. TREASURY NOTE                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       3021 | NC      | $3021.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                           | CUSIP: 312935NT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1131 | PA      | $1153.08      | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36202WHX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      51686 | PA      | $53056.99     | 0.00%             | 2033-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR Reperforming Loan Trust                           | MASTR Reperforming Loan Trust 2005-2                                            | CUSIP: 57643QAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1531405 | PA      | $738200.67    | 0.02%             | 2035-05-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association               | AUD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $526629.89    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ABBVIE INC                                              | AbbVie Inc                                                                      | CUSIP: 00287YDU0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    4370000 | PA      | $4498339.95   | 0.11%             | 2034-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36212NAN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18469 | PA      | $19073.26     | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36210XV53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        578 | PA      | $586.49       | 0.00%             | 2029-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38375UY79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1076202 | PA      | $38684.31     | 0.00%             | 2067-11-20      | Variable      | 2.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3137H9KH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15533135 | PA      | $3321632.03   | 0.08%             | 2050-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PBM7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    5150000 | PA      | $4049594.66   | 0.10%             | 2041-04-22      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2350000 | PA      | $2263343.75   | 0.05%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                                   | Argentine Republic Government International Bond                                | CUSIP: 040114HT0<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     120000 | PA      | $62940.00     | 0.00%             | 2035-07-09      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140J9NP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12029932 | PA      | $11361287.54  | 0.27%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                             | BNP Paribas SA                                                                  | CUSIP: 09659W2V5<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    3510000 | PA      | $3580799.65   | 0.09%             | 2029-01-13      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                  | UnitedHealth Group Inc                                                          | CUSIP: 91324PDX7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    5070000 | PA      | $4597112.08   | 0.11%             | 2030-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3622A2R38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2173651 | PA      | $2025514.10   | 0.05%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36201MCK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3723 | PA      | $3904.80      | 0.00%             | 2032-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36294PZF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        599 | PA      | $618.85       | 0.00%             | 2036-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                         | Sands China Ltd                                                                 | CUSIP: 80007RAQ8<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |    3980000 | PA      | $3746939.56   | 0.09%             | 2029-03-08      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN                                 | Jane Street Group / JSG Finance Inc                                             | CUSIP: 47077WAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4230000 | PA      | $4440134.77   | 0.11%             | 2031-04-30      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GKP3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     620000 | PA      | $622336.14    | 0.01%             | 2028-04-27      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3132KSTZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5604 | PA      | $5647.04      | 0.00%             | 2030-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36213FW33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      85858 | PA      | $86748.99     | 0.00%             | 2033-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                   | CUSIP: 172967KA8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    4150000 | PA      | $4167975.23   | 0.10%             | 2027-09-29      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36294SN37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6920 | PA      | $7188.52      | 0.00%             | 2037-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138AFB90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19372 | PA      | $19849.66     | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                    | BlueMountain CLO XXXI Ltd                                                       | CUSIP: 09631BAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     970000 | PA      | $971191.45    | 0.02%             | 2034-04-19      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36225BEQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        448 | PA      | $462.83       | 0.00%             | 2029-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3617BGBA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     133429 | PA      | $122861.21    | 0.00%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 10 YEAR U.S. TREASURY NOTE                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -1016 | NC      | $-31750.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Structured Adjustable Rate Mor                          | Structured Adjustable Rate Mortgage Loan Trust                                  | CUSIP: 86359BWB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        294 | PA      | $288.84       | 0.00%             | 2034-07-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132E0BK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13431429 | PA      | $13932767.03  | 0.33%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RELIANCE INDUSTRIES LTD                                 | Reliance Industries Ltd                                                         | CUSIP: 759470BB2<br>LEI: 5493003UOETFYRONLG31 | Long             | DBT              | CORP              | IN        |    6110000 | PA      | $5553126.05   | 0.13%             | 2032-01-12      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                | Western Midstream Operating LP                                                  | CUSIP: 958667AC1<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    2935000 | PA      | $2865829.21   | 0.07%             | 2030-02-01      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36201JJH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22457 | PA      | $23250.93     | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| EXPAND ENERGY CORP                                      | Expand Energy Corp                                                              | CUSIP: 845467AS8<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |    2710000 | PA      | $2755939.35   | 0.07%             | 2030-03-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                   | Wells Fargo & Co                                                                | CUSIP: 95000U2G7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    3860000 | PA      | $3655554.83   | 0.09%             | 2030-10-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36291RAC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2509 | PA      | $2586.61      | 0.00%             | 2034-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                | AT&T Inc                                                                        | CUSIP: 00206RBA9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    2710000 | PA      | $2729429.48   | 0.07%             | 2041-08-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140JWB41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2255317 | PA      | $2043012.13   | 0.05%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136ATQK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2617892 | PA      | $172563.57    | 0.00%             | 2046-09-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38380LG72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17626680 | PA      | $998932.17    | 0.02%             | 2069-10-20      | Variable      | 1.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36201ELX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4735 | PA      | $4830.30      | 0.00%             | 2032-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KRCQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4026143 | PA      | $4238788.80   | 0.10%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                   | Wells Fargo & Co                                                                | CUSIP: 94974BGE4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    4050000 | PA      | $3588527.65   | 0.09%             | 2044-11-04      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GKC2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1880000 | PA      | $1632612.04   | 0.04%             | 2036-09-21      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136AH6K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8895440 | PA      | $7910371.78   | 0.19%             | 2044-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                             | Exelon Corp                                                                     | CUSIP: 30161NAC5<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |    2726000 | PA      | $2846592.60   | 0.07%             | 2035-06-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140KYDF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1782104 | PA      | $1534121.40   | 0.04%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3137AJYN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1526423 | PA      | $166390.98    | 0.00%             | 2041-12-15      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| Mortgage Loan Resecuritization                          | Mortgage Loan Resecuritization Trust                                            | CUSIP: 61914WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15226537 | PA      | $14968132.21  | 0.36%             | 2036-04-16      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136A65W0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      87834 | PA      | $80460.43     | 0.00%             | 2042-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                  | JPY/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-540815.51   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138AFV31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34917 | PA      | $35778.61     | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                     | Elevance Health Inc                                                             | CUSIP: 036752AT0<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    3100000 | PA      | $3015370.53   | 0.07%             | 2032-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                | Enterprise Products Operating LLC                                               | CUSIP: 293791AP4<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    2105000 | PA      | $2392663.11   | 0.06%             | 2034-10-15      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36201F5J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7621 | PA      | $7698.33      | 0.00%             | 2032-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                             | Oracle Corp                                                                     | CUSIP: 68389XDM4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     580000 | PA      | $583414.60    | 0.01%             | 2035-09-26      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38381Q3B5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   20600284 | PA      | $1931146.80   | 0.05%             | 2055-08-20      | Floating      | 1.46%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                           | Carnival Corp                                                                   | CUSIP: 143658BZ4<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |    1470000 | PA      | $1507313.01   | 0.04%             | 2031-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                               | Boeing Co/The                                                                   | CUSIP: 097023CH6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     700000 | PA      | $695435.97    | 0.02%             | 2026-05-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38378KJP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18780493 | PA      | $34323.23     | 0.00%             | 2048-10-16      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38379UH41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8686720 | PA      | $527649.61    | 0.01%             | 2058-02-16      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                         | Sands China Ltd                                                                 | CUSIP: 80007RAK1<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |     350000 | PA      | $349302.10    | 0.01%             | 2026-01-08      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| RELIANCE INDUSTRIES LTD                                 | Reliance Industries Ltd                                                         | CUSIP: 759470BD8<br>LEI: 5493003UOETFYRONLG31 | Long             | DBT              | CORP              | IN        |    6280000 | PA      | $4657069.96   | 0.11%             | 2052-01-12      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38377LAC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16502999 | PA      | $16945423.28  | 0.40%             | 2040-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                            | UBS Group AG                                                                    | CUSIP: 902613BE7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    2480000 | PA      | $2956933.76   | 0.07%             | N/A             | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133AKJH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3395286 | PA      | $2783907.02   | 0.07%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                                          | Eli Lilly & Co                                                                  | CUSIP: 532457CM8<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1325595.82   | 0.03%             | 2054-02-09      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                | Mars Inc                                                                        | CUSIP: 571676AB1<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     210000 | PA      | $202109.09    | 0.00%             | 2030-04-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp                                  | Conseco Finance Corp                                                            | CUSIP: 393505X98<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3870286 | PA      | $3507317.37   | 0.08%             | 2031-02-01      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36208CHE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        141 | PA      | $143.29       | 0.00%             | 2028-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418EAV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     725054 | PA      | $611326.53    | 0.01%             | 2042-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36200MY80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8273 | PA      | $8519.09      | 0.00%             | 2033-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31390KJ66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30706 | PA      | $32074.02     | 0.00%             | 2031-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36202SYF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6425 | PA      | $6741.23      | 0.00%             | 2033-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                               | Boeing Co/The                                                                   | CUSIP: 097023BY0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    2720000 | PA      | $2249702.15   | 0.05%             | 2038-03-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 10 YEAR U.S. TREASURY NOTE                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -509 | NC      | $-294265.63   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| VERIZON COMMUNICATIONS                                  | Verizon Communications Inc                                                      | CUSIP: 92343VDV3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    1455000 | PA      | $1429898.40   | 0.03%             | 2047-03-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36200NEQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1220 | PA      | $1258.85      | 0.00%             | 2034-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3132J4D89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18108 | PA      | $18250.37     | 0.00%             | 2031-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38384WFF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3716196 | PA      | $375546.50    | 0.01%             | 2054-09-20      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                                | RTX Corp                                                                        | CUSIP: 913017BT5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    3629000 | PA      | $3283524.64   | 0.08%             | 2042-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 912810RE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   33156000 | PA      | $28790028.20  | 0.69%             | 2044-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                        | Williams Cos Inc/The                                                            | CUSIP: 969457BD1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    5348000 | PA      | $6177318.10   | 0.15%             | 2031-06-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XB4K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1658445 | PA      | $1430291.62   | 0.03%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QKDE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8853411 | PA      | $7979909.87   | 0.19%             | 2041-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                   | Wells Fargo & Co                                                                | CUSIP: 95000U3F8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    1180000 | PA      | $1239889.58   | 0.03%             | 2034-07-25      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                                      | CUSIP: 21H0526A1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12500000 | PA      | $12594981.63  | 0.30%             | 2055-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 10 YEAR U.S. TREASURY NOTE                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       3021 | NC      | $236015.63    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association               | USD/BRL FORWARD                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $100495.13    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                | Enterprise Products Operating LLC                                               | CUSIP: 29379VBX0<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     577000 | PA      | $545409.37    | 0.01%             | 2030-01-31      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                | Occidental Petroleum Corp                                                       | CUSIP: 674599DF9<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    1275000 | PA      | $1355926.80   | 0.03%             | 2036-09-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                             | Oracle Corp                                                                     | CUSIP: 68389XBV6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     730000 | PA      | $688012.67    | 0.02%             | 2030-04-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                      | Energy Transfer LP                                                              | CUSIP: 29273VAY6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      30000 | PA      | $30793.76     | 0.00%             | 2034-05-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38385D3H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15368391 | PA      | $1497622.00   | 0.04%             | 2055-03-20      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36209YUL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2196 | PA      | $2217.43      | 0.00%             | 2031-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                   | CUSIP: 172967MD0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    1230000 | PA      | $1097963.90   | 0.03%             | 2048-07-23      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                                   | Bausch Health Cos Inc                                                           | CUSIP: 071734AM9<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |    1164000 | PA      | $874111.62    | 0.02%             | 2029-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36292CSQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1793 | PA      | $1852.71      | 0.00%             | 2035-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DCP RIGHTS, LLC                                         | SHOW Trust 2022-BIZ                                                             | CUSIP: 82539LAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10600000 | PA      | $7511893.52   | 0.18%             | 2027-01-15      | Floating      | 7.20%                 | No            |                  2 | On Loan: No      |
| Flutter Entertainment Public Limited Company            | FLUTTER ENTERTAINMENT PLC                                                       | CUSIP: 000000000<br>LEI: 635400VFWPBIKJK6GN11 | Long             | LON              | CORP              | NL        |    1369530 | PA      | $1367476.18   | 0.03%             | 2030-11-30      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| EAGLE FUNDING LUXCO SARL                                | Eagle Funding Luxco Sarl                                                        | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |   17520000 | PA      | $17796991.20  | 0.42%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                            | GS Mortgage Securities Trust 2015-GC30                                          | CUSIP: 36250GAU9<br>LEI: 549300L45M7638EL0H21 | Long             | ABS-MBS          | CORP              | US        |   11340000 | PA      | $10815525.00  | 0.26%             | 2050-05-10      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Tr                          | GreenPoint Mortgage Funding Trust 2005-AR4                                      | CUSIP: 39538WBR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     600540 | PA      | $591053.41    | 0.01%             | 2045-10-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                | Occidental Petroleum Corp                                                       | CUSIP: 674599CM5<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    3630000 | PA      | $3553528.61   | 0.08%             | 2027-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                | AT&T Inc                                                                        | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    3490000 | PA      | $2406916.72   | 0.06%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                      | Credit Agricole SA                                                              | CUSIP: 22535WAS6<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    3360000 | PA      | $3340445.88   | 0.08%             | 2033-09-25      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                    | FREMF 2019-K103 Mortgage Trust                                                  | CUSIP: 30315DAN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  670775370 | PA      | $2212988.56   | 0.05%             | 2051-12-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| GSRPM Mortgage Loan Trust                               | GSRPM Mortgage Loan Trust 2007-1                                                | CUSIP: 362707AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3305123 | PA      | $3111300.89   | 0.07%             | 2046-10-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FIRST QUANTUM MINERALS L                                | First Quantum Minerals Ltd                                                      | CUSIP: 335934AW5<br>LEI: 549300I7UVBGWRYMYZ18 | Long             | DBT              | CORP              | CA        |    1940000 | PA      | $2050787.37   | 0.05%             | 2033-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3617X5VE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     428609 | PA      | $373872.33    | 0.01%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132D9E91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4216340 | PA      | $3673255.09   | 0.09%             | 2041-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36207EJL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6815 | PA      | $7074.87      | 0.00%             | 2033-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                          | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FYTY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12867182 | PA      | $440071.79    | 0.01%             | 2036-02-25      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 5 YEAR U.S. TREASURY NOTE                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -1022 | NC      | $-670687.50   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| BARRICK NA FINANCE LLC                                  | Barrick North America Finance LLC                                               | CUSIP: 06849RAK8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1170000 | PA      | $1212164.30   | 0.03%             | 2043-05-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36209T6Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5322 | PA      | $5404.41      | 0.00%             | 2028-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136ADKM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1855316 | PA      | $318738.39    | 0.01%             | 2043-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36241KA65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11599 | PA      | $12046.76     | 0.00%             | 2034-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BLUE RACER MID LLC/FINAN                                | Blue Racer Midstream LLC / Blue Racer Finance Corp                              | CUSIP: 095796AK4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3980000 | PA      | $4188607.72   | 0.10%             | 2032-07-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                           | UBS Commercial Mortgage Trust 2017-C3                                           | CUSIP: 90276GAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4700000 | PA      | $4587831.68   | 0.11%             | 2050-08-15      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                              | AbbVie Inc                                                                      | CUSIP: 00287YBD0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    1365000 | PA      | $1266790.15   | 0.03%             | 2048-11-14      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                                   | Micron Technology Inc                                                           | CUSIP: 595112BZ5<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |    2791000 | PA      | $2965578.59   | 0.07%             | 2033-02-09      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                | AT&T Inc                                                                        | CUSIP: 00206RLV2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     370000 | PA      | $253175.86    | 0.01%             | 2059-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                     | Dominion Energy Inc                                                             | CUSIP: 25746UBD0<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    1350000 | PA      | $1537989.97   | 0.04%             | 2038-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                  | USD/GBP FORWARD                                                                 | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              | CORP              | US        |          1 | NC      | $366894.89    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                                   | Palmer Square CLO 2021-1 Ltd                                                    | CUSIP: 69701WAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    9460000 | PA      | $9476239.98   | 0.23%             | 2038-04-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132D9JN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1797314 | PA      | $1565816.69   | 0.04%             | 2042-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                  | Williams Cos Inc/The                                                            | CUSIP: 969457BM1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     985000 | PA      | $1195988.88   | 0.03%             | 2032-03-15      | Variable      | 8.75%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                        | Altria Group Inc                                                                | CUSIP: 02209SBG7<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    1664000 | PA      | $1729631.06   | 0.04%             | 2059-02-14      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                            | Broadcom Inc                                                                    | CUSIP: 11135FBV2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     145000 | PA      | $144674.53    | 0.00%             | 2037-05-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1050000 | PA      | $1032445.31   | 0.02%             | 2055-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36197LFL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     864946 | PA      | $843362.13    | 0.02%             | 2047-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                              | AbbVie Inc                                                                      | CUSIP: 00287YCB3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    1696000 | PA      | $1429854.32   | 0.03%             | 2049-11-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Origen Manufactured Housing                             | Origen Manufactured Housing Contract Trust 2007-A                               | CUSIP: 68620CAB6<br>LEI: 5493001P8LORMOBBQA95 | Long             | ABS-O            | CORP              | US        |    2173526 | PA      | $2024537.36   | 0.05%             | 2037-04-15      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36210AFQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1237 | PA      | $1237.39      | 0.00%             | 2028-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                  | Verizon Communications Inc                                                      | CUSIP: 92343VDU5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    3390000 | PA      | $3427160.33   | 0.08%             | 2037-03-16      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38380JGF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10351499 | PA      | $387240.27    | 0.01%             | 2059-09-16      | Variable      | 0.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140L05B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2744033 | PA      | $2231860.17   | 0.05%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                          | Amazon.com Inc                                                                  | CUSIP: 023135BM7<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    2970000 | PA      | $2497775.20   | 0.06%             | 2057-08-22      | Fixed         | 4.25%                 | 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        |   16500000 | PA      | $17463619.80  | 0.42%             | 2042-06-25      | Floating      | 8.86%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                     | COMM 2015-DC1 Mortgage Trust                                                    | CUSIP: 12629NAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7160000 | PA      | $6830246.20   | 0.16%             | 2048-02-10      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| ILFC E-CAPITAL TRUST II                                 | ILFC E-Capital Trust II                                                         | CUSIP: 44965UAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2870000 | PA      | $2465221.23   | 0.06%             | 2065-12-21      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPCO                                 | Columbia Pipelines Operating Co LLC                                             | CUSIP: 19828TAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1665000 | PA      | $1777234.80   | 0.04%             | 2033-11-15      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KRCS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2176411 | PA      | $2283805.11   | 0.05%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QMK52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1906551 | PA      | $1709161.48   | 0.04%             | 2041-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| TRUIST BANK                                             | Truist Bank                                                                     | CUSIP: 07330MAC1<br>LEI: JJKC32MCHWDI71265Z06 | Long             | DBT              | CORP              | US        |    2961000 | PA      | $2985157.97   | 0.07%             | 2029-09-17      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | US 2YR NOTE (CBT)                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -5329 | NC      | $-516704.94   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Prime Mortgage Trust                                    | Prime Mortgage Trust 2006-DR1                                                   | CUSIP: 74159UAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7117141 | PA      | $6099637.26   | 0.15%             | 2035-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                            | CD 2017-CD3 Mortgage Trust                                                      | CUSIP: 12515GAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4000000 | PA      | $3885617.20   | 0.09%             | 2050-02-10      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138AUH59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     128993 | PA      | $129122.71    | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F0306A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20800000 | PA      | $18273084.34  | 0.44%             | 2055-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BIG Commercial Mortgage Trust                           | BIG Commercial Mortgage Trust 2022-BIG                                          | CUSIP: 05551UAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8160000 | PA      | $8183745.60   | 0.20%             | 2039-02-15      | Floating      | 9.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31382LDQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8237 | PA      | $8522.28      | 0.00%             | 2029-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                 | GSR Mortgage Loan Trust 2005-AR7                                                | CUSIP: 362341WX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     501870 | PA      | $254957.66    | 0.01%             | 2035-11-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PBX3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    6960000 | PA      | $6154463.52   | 0.15%             | 2032-02-04      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 10 YEAR U.S. TREASURY NOTE                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       3021 | NC      | $424828.13    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 36179V6V7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   20057149 | PA      | $16110137.09  | 0.38%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38380LLD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   26647496 | PA      | $1067389.45   | 0.03%             | 2068-09-20      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                   | Wells Fargo & Co                                                                | CUSIP: 949746SH5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    2330000 | PA      | $2306798.05   | 0.05%             | 2026-10-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36291NXP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14592 | PA      | $15075.27     | 0.00%             | 2034-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                       | HSBC Holdings PLC                                                               | CUSIP: 404280DC0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    6190000 | PA      | $6163055.80   | 0.15%             | 2033-03-29      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP                                          | Solventum Corp                                                                  | CUSIP: 83444MAR2<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |    4410000 | PA      | $4593720.95   | 0.11%             | 2034-03-23      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3137H9AM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7960432 | PA      | $1324094.48   | 0.03%             | 2050-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                    | Glencore Funding LLC                                                            | CUSIP: 378272CB2<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    2170000 | PA      | $2270593.56   | 0.05%             | 2055-04-01      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                             | BNP Paribas SA                                                                  | CUSIP: 05602XDJ4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    3110000 | PA      | $3354617.05   | 0.08%             | N/A             | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38378B2Q1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13740151 | PA      | $405759.02    | 0.01%             | 2054-01-16      | Variable      | 0.69%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GJA8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    6570000 | PA      | $5350531.07   | 0.13%             | 2051-03-20      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                               | Prosus NV                                                                       | CUSIP: 74365PAF5<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |   12990000 | PA      | $11798943.65  | 0.28%             | 2031-07-13      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3132LMG83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     422228 | PA      | $411354.26    | 0.01%             | 2033-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COTIVITI INC                                            | COTIVITI INC                                                                    | CUSIP: 22164MAB3<br>LEI: 254900YAQHVRTG4IFI64 | Long             | LON              | CORP              | US        |    2584389 | PA      | $2543465.67   | 0.06%             | 2031-05-01      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| PROVINCIA DE BUENOS AIRE                                | Provincia de Buenos Aires/Government Bonds                                      | CUSIP: 000000000<br>LEI: 549300L6AYROPOTQ4L07 | Long             | DBT              | NUSS              | AR        |   12906637 | PA      | $7566515.97   | 0.18%             | 2037-09-01      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                              | AbbVie Inc                                                                      | CUSIP: 00287YCY3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     140000 | PA      | $137868.30    | 0.00%             | 2035-03-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36291Q4J0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2932 | PA      | $3028.81      | 0.00%             | 2035-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36213RXN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27110 | PA      | $28147.37     | 0.00%             | 2034-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                            | UBS Group AG                                                                    | CUSIP: 902613BF4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    7010000 | PA      | $7750914.94   | 0.18%             | N/A             | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                             | Extended Stay America Trust 2025-ESH                                            | CUSIP: 30227TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3790000 | PA      | $3811318.37   | 0.09%             | 2042-10-15      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgage                          | MASTR Adjustable Rate Mortgages Trust 2004-6                                    | CUSIP: 576433PD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      24168 | PA      | $23712.39     | 0.00%             | 2034-07-25      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38378NWU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     224614 | PA      | $217501.47    | 0.01%             | 2048-06-16      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| FED REPUBLIC OF BRAZIL                                  | Brazilian Government International Bond                                         | CUSIP: 105756CH1<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    7580000 | PA      | $7765710.00   | 0.19%             | 2034-03-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3131XEB69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     661296 | PA      | $644472.97    | 0.02%             | 2033-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Aimco                                                   | AIMCO CLO 22 Ltd                                                                | CUSIP: 00901UAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    5350000 | PA      | $5369065.80   | 0.13%             | 2037-04-19      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 912810RN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   52040000 | PA      | $39557514.91  | 0.94%             | 2045-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BDR26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   33694083 | PA      | $5678645.76   | 0.14%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DTAR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4751484 | PA      | $4854120.93   | 0.12%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KYVS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11877177 | PA      | $10310362.23  | 0.25%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31390FC49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        208 | PA      | $216.90       | 0.00%             | 2032-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XBYG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9578456 | PA      | $8267321.76   | 0.20%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36201FVV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1510 | PA      | $1526.58      | 0.00%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 3622A2DH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1207552 | PA      | $1261040.03   | 0.03%             | 2036-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Loanpal Solar Loan Ltd.                                 | Loanpal Solar Loan 2021-1 Ltd                                                   | CUSIP: 53948PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2289934 | PA      | $1923406.71   | 0.05%             | 2048-01-20      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| Jazz Financing Lux Sarl                                 | JAZZ FINANCING LUX SARL                                                         | CUSIP: 000000000<br>LEI: 635400WUEO2NSG5OIU34 | Long             | LON              | CORP              | LU        |      17167 | PA      | $17206.46     | 0.00%             | 2028-05-05      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36201JGG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5318 | PA      | $5516.34      | 0.00%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GXG4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1160000 | PA      | $1086819.82   | 0.03%             | 2030-02-07      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                            | Comcast Corp                                                                    | CUSIP: 20030NAK7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     451000 | PA      | $504894.00    | 0.01%             | 2035-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3132LMXZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     413849 | PA      | $401935.95    | 0.01%             | 2034-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 3617BCRN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     552951 | PA      | $530295.02    | 0.01%             | 2047-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                        | Freddie Mac Strips                                                              | CUSIP: 31325VKQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3092632 | PA      | $334723.60    | 0.01%             | 2044-08-15      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31383SAY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        485 | PA      | $506.34       | 0.00%             | 2029-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| OSAKA EXCHANGE,INC                                      | JAPAN 10Y BOND(OSE)                                                             | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              | CORP              | JP        |        -70 | NC      | $565939.75    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY                                          | Morgan Stanley                                                                  | CUSIP: 61744YAP3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    7533000 | PA      | $7468522.79   | 0.18%             | 2029-01-24      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| AMERICAN TRANSMISSION SY                                | American Transmission Systems Inc                                               | CUSIP: 030288AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3100000 | PA      | $2782846.01   | 0.07%             | 2032-01-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36201RYD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7758 | PA      | $7809.93      | 0.00%             | 2035-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                        | Altria Group Inc                                                                | CUSIP: 02209SBD4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     975000 | PA      | $990763.21    | 0.02%             | 2029-02-14      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                                      | CUSIP: 21H0506A5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13400000 | PA      | $13331037.70  | 0.32%             | 2055-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                      | Energy Transfer LP                                                              | CUSIP: 29273VAN0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    4275000 | PA      | $4306250.25   | 0.10%             | N/A             | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 3617AD7J1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1842196 | PA      | $1796226.19   | 0.04%             | 2047-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36291PAL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        861 | PA      | $890.05       | 0.00%             | 2034-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | U.S. TREASURY BOND                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -252 | NC      | $-350437.50   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36291LEN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29311 | PA      | $30030.97     | 0.00%             | 2034-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE HOLDINGS FINA                                | Blackstone Holdings Finance Co LLC                                              | CUSIP: 09261BAF7<br>LEI: 549300D2L6J4NC1QVZ22 | Long             | DBT              | CORP              | US        |    3306000 | PA      | $2095731.62   | 0.05%             | 2051-08-05      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36210AMT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        210 | PA      | $213.78       | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FHES2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      90676 | PA      | $81895.16     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36225B2X5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5866 | PA      | $6085.49      | 0.00%             | 2033-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFPJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16797770 | PA      | $14414331.40  | 0.34%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| REYNOLDS AMERICAN INC                                   | Reynolds American Inc                                                           | CUSIP: 761713BB1<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |    2579000 | PA      | $2557203.01   | 0.06%             | 2045-08-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                          | Wells Fargo Commercial Mortgage Trust 2022-JS2                                  | CUSIP: 95003GAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10000000 | PA      | $7431864.00   | 0.18%             | 2039-12-15      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                | JP Morgan Mortgage Trust 2022-LTV1                                              | CUSIP: 465976AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10422590 | PA      | $9349051.84   | 0.22%             | 2052-07-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138WGJG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2501402 | PA      | $2333371.06   | 0.06%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMRIZE FINANCE US LLC                                   | Amrize Finance US LLC                                                           | CUSIP: 43475RAD8<br>LEI: 529900FB2F1WKLFNGY62 | Long             | DBT              | CORP              | US        |    1290000 | PA      | $1329663.19   | 0.03%             | 2035-04-07      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| EXPAND ENERGY CORP                                      | Expand Energy Corp                                                              | CUSIP: 845467AR0<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |     920000 | PA      | $920368.65    | 0.02%             | 2029-02-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 31397UUU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     349587 | PA      | $362485.26    | 0.01%             | 2041-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 10 YEAR U.S. TREASURY NOTE                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -1007 | NC      | $-676578.13   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31413K6Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2070 | PA      | $2141.10      | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36202WLY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14341 | PA      | $14591.84     | 0.00%             | 2033-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                     | JPMorgan Chase & Co                                                             | CUSIP: 46625HLL2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     410000 | PA      | $386387.67    | 0.01%             | 2045-06-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38378UGA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     655720 | PA      | $34596.49     | 0.00%             | 2042-11-20      | Variable      | 0.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FHWQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     893629 | PA      | $808412.38    | 0.02%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 31397RCW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     205980 | PA      | $2122.60      | 0.00%             | 2038-01-15      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                | EQT Corp                                                                        | CUSIP: 26884LAM1<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     600000 | PA      | $594622.06    | 0.01%             | 2026-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                         | CVS Health Corp                                                                 | CUSIP: 126650DK3<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    1673000 | PA      | $1422249.62   | 0.03%             | 2040-04-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FGAE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8055731 | PA      | $7298379.55   | 0.17%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru                          | SMB Private Education Loan Trust 2015-C                                         | CUSIP: 78448R106<br>LEI: 549300GD7VLLBVPDNJ81 | Long             | ABS-O            | CORP              | US        |      24595 | PA      | $6456025.22   | 0.15%             | 2046-09-18      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| LIGHTNING POWER LLC                                     | Lightning Power LLC                                                             | CUSIP: 53229KAA7<br>LEI: 254900BWCHJ03XRL8K59 | Long             | DBT              | CORP              | US        |    1337000 | PA      | $1416472.62   | 0.03%             | 2032-08-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F0426A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -13700000 | PA      | $-13290263.41 | -0.32%            | 2055-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                         | Sands China Ltd                                                                 | CUSIP: 80007RAS4<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |    1690000 | PA      | $1558891.66   | 0.04%             | 2031-08-08      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                               | Boeing Co/The                                                                   | CUSIP: 097023CM5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    2840000 | PA      | $2783158.71   | 0.07%             | 2027-02-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                         | CDS CDX.NA.HY.45.V1                                                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-2776637.27  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                            | GS Mortgage Securities Corp Trust 2018-LUAU                                     | CUSIP: 36256AAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10448000 | PA      | $10404938.57  | 0.25%             | 2032-11-15      | Floating      | 8.90%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                  | BP Capital Markets America Inc                                                  | CUSIP: 10373QBL3<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    1410000 | PA      | $1381724.57   | 0.03%             | 2030-04-06      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                            | CNH/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-10704.21    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38379U4A1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   25463238 | PA      | $712619.26    | 0.02%             | 2058-12-16      | Variable      | 0.54%                 | No            |                  2 | On Loan: No      |
| GULFSTREAM NATURAL GAS                                  | Gulfstream Natural Gas System LLC                                               | CUSIP: 402740AG9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5050000 | PA      | $5177086.28   | 0.12%             | 2035-07-23      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                               | ONEOK Inc                                                                       | CUSIP: 682680BK8<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    2410000 | PA      | $2540464.63   | 0.06%             | 2030-11-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31388UFT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10635 | PA      | $11110.26     | 0.00%             | 2031-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36213TFS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      49216 | PA      | $51232.93     | 0.00%             | 2032-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                  | Williams Cos Inc/The                                                            | CUSIP: 969457BX7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     760000 | PA      | $726663.86    | 0.02%             | 2030-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36291GUQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1785 | PA      | $1848.68      | 0.00%             | 2034-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136AATF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     891062 | PA      | $110469.56    | 0.00%             | 2042-12-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 91282CNE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2160000 | PA      | $2167678.13   | 0.05%             | 2027-05-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140KLVW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1890519 | PA      | $1549076.28   | 0.04%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| VISA INC                                                | Visa Inc                                                                        | CUSIP: 92826CAF9<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | DBT              | CORP              | US        |    1450000 | PA      | $1281155.52   | 0.03%             | 2045-12-14      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36241LNK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     170102 | PA      | $176705.20    | 0.00%             | 2034-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                               | Boeing Co/The                                                                   | CUSIP: 097023CQ6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    1280000 | PA      | $946405.13    | 0.02%             | 2050-02-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                        | CSC Holdings LLC                                                                | CUSIP: 126307BH9<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |   15000000 | PA      | $9767105.10   | 0.23%             | 2031-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36202SYR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     299987 | PA      | $305103.58    | 0.01%             | 2033-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                         | CVS Health Corp                                                                 | CUSIP: 126650CN8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    2580000 | PA      | $2343430.31   | 0.06%             | 2045-07-20      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Caesars Entertainment, Inc.                             | CAESARS ENTERTAIN INC                                                           | CUSIP: 12768EAH9<br>LEI: 549300FA4CTCW903Y781 | Long             | LON              | CORP              | US        |     176426 | PA      | $176242.58    | 0.00%             | 2031-02-06      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| STRIP PRINC                                             | United States Treasury Strip Principal                                          | CUSIP: 912803FJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  152060000 | PA      | $48468922.76  | 1.16%             | 2049-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust                          | 280 Park Avenue 2017-280P Mortgage Trust                                        | CUSIP: 90205FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     880000 | PA      | $853584.69    | 0.02%             | 2034-09-15      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38380AK63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4150087 | PA      | $561172.68    | 0.01%             | 2046-10-16      | Floating      | 1.84%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYK4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1420000 | PA      | $1048346.52   | 0.02%             | 2042-07-21      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36200DQZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1577 | PA      | $1578.77      | 0.00%             | 2033-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36201V3F7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6765 | PA      | $7005.42      | 0.00%             | 2032-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                   | Northrop Grumman Corp                                                           | CUSIP: 666807BN1<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |      10000 | PA      | $9836.59      | 0.00%             | 2028-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FNN83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     771546 | PA      | $698702.60    | 0.02%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                           | UBS Commercial Mortgage Trust 2017-C1                                           | CUSIP: 90276EAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4740000 | PA      | $4682877.79   | 0.11%             | 2050-06-15      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FLZK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     283096 | PA      | $256011.43    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMRIZE FINANCE US LLC                                   | Amrize Finance US LLC                                                           | CUSIP: 43475RAC0<br>LEI: 529900FB2F1WKLFNGY62 | Long             | DBT              | CORP              | US        |     640000 | PA      | $654431.66    | 0.02%             | 2030-04-07      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                           | GS Mortgage-Backed Securities Trust 2025-NQM4                                   | CUSIP: 36272UAB4<br>LEI: 25490076N7JFR2Y3CU63 | Long             | ABS-MBS          | CORP              | US        |    6241000 | PA      | $6253539.42   | 0.15%             | 2065-10-25      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| Hildene Community Funding CLO                           | Hildene Community Funding CDO Ltd                                               | CUSIP: 43133KAC9<br>LEI: 549300845E8YWIPN4S43 | Long             | ABS-CBDO         | CORP              | KY        |    5594769 | PA      | $4925908.57   | 0.12%             | 2035-11-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                   | Truist Financial Corp                                                           | CUSIP: 89788MAN2<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |      90000 | PA      | $91057.55     | 0.00%             | 2027-06-08      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | SOFR 1 YEAR MIDCURVE                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       2522 | NC      | $535925.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| VLS Commercial Mortgage Trust                           | VLS Commercial Mortgage Trust 2020-LAB                                          | CUSIP: 92858TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17345000 | PA      | $14853538.18  | 0.35%             | 2042-10-10      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 3617GQY31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     274702 | PA      | $267842.75    | 0.01%             | 2048-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                   | Northrop Grumman Corp                                                           | CUSIP: 666807BU5<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |    8320000 | PA      | $8020056.76   | 0.19%             | 2050-05-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31388EF84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12972 | PA      | $13548.13     | 0.00%             | 2031-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                | Occidental Petroleum Corp                                                       | CUSIP: 674599CN3<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    1530000 | PA      | $1129089.82   | 0.03%             | 2048-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                          | Fannie Mae-Aces                                                                 | CUSIP: 3136B35Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4450198 | PA      | $4331190.78   | 0.10%             | 2031-02-25      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                    | Las Vegas Sands Corp                                                            | CUSIP: 517834AN7<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |     260000 | PA      | $270878.55    | 0.01%             | 2030-06-14      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 36241LL79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23082 | PA      | $23436.28     | 0.00%             | 2040-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BOMBARDIER INC                                          | Bombardier Inc                                                                  | CUSIP: 097751CB5<br>LEI: W7L3VLU8EHQY34Z36697 | Long             | DBT              | CORP              | CA        |     540000 | PA      | $573092.43    | 0.01%             | 2031-07-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                  | Verizon Communications Inc                                                      | CUSIP: 92343VGB4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    1380000 | PA      | $1012573.79   | 0.02%             | 2051-03-22      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 3617MB5P0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     520358 | PA      | $494180.23    | 0.01%             | 2050-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                             | Rad CLO 22 Ltd                                                                  | CUSIP: 74923VAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   24500000 | PA      | $24567375.00  | 0.59%             | 2037-01-20      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                             | BNP Paribas SA                                                                  | CUSIP: 09659W2F0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    3970000 | PA      | $3983577.32   | 0.09%             | 2028-08-14      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | 3 MONTH SOFR                                                                    | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       2754 | NC      | $409856.10    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY                                          | Morgan Stanley                                                                  | CUSIP: 6174468G7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1160000 | PA      | $1165731.00   | 0.03%             | 2030-01-23      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36201DY97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      39079 | PA      | $40054.42     | 0.00%             | 2035-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BHGV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6970243 | PA      | $5814396.27   | 0.14%             | 2051-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136A6Q56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52556 | PA      | $48143.12     | 0.00%             | 2042-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 5 YEAR U.S. TREASURY NOTE                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -1022 | NC      | $-471078.13   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GJB6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    8720000 | PA      | $8083244.85   | 0.19%             | 2031-04-29      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| TENNESSEE GAS PIPELINE                                  | Tennessee Gas Pipeline Co LLC                                                   | CUSIP: 880451AZ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2350000 | PA      | $2201758.85   | 0.05%             | 2030-03-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| KROGER CO                                               | Kroger Co/The                                                                   | CUSIP: 501044DV0<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    3270000 | PA      | $3299504.72   | 0.08%             | 2034-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                | AT&T Inc                                                                        | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     670000 | PA      | $478146.80    | 0.01%             | 2057-12-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                            | Comcast Corp                                                                    | CUSIP: 20030NCJ8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    2160000 | PA      | $1902527.46   | 0.05%             | 2038-03-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| VIKING CRUISES LTD                                      | Viking Cruises Ltd                                                              | CUSIP: 92676XAF4<br>LEI: 549300IJP90T4MV2GL84 | Long             | DBT              | CORP              | BM        |    2090000 | PA      | $2101940.17   | 0.05%             | 2029-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36294YN83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1794 | PA      | $1846.14      | 0.00%             | 2037-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PM GENERAL PURCHASER LLC                                | PM General Purchaser LLC                                                        | CUSIP: 69356MAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4471000 | PA      | $3878592.50   | 0.09%             | 2028-10-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 3617AEBH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     547786 | PA      | $534114.80    | 0.01%             | 2047-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO Ltd.                                    | Sagard-Halseypoint Clo 8 Ltd                                                    | CUSIP: 78662AAA0<br>LEI: 254900W5MVYX9QDPHC09 | Long             | ABS-CBDO         | CORP              | KY        |    2190000 | PA      | $2200678.44   | 0.05%             | 2038-01-30      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36225BHZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         83 | PA      | $85.13        | 0.00%             | 2029-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138XRVL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69754 | PA      | $69521.53     | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 91282CNN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2890000 | PA      | $2907836.73   | 0.07%             | 2030-07-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                                    | Lockheed Martin Corp                                                            | CUSIP: 539830BS7<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |    4630000 | PA      | $3766540.19   | 0.09%             | 2053-06-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KYUU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2251691 | PA      | $1977480.45   | 0.05%             | 2041-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Spirit Aviation Holdings Inc                            | Spirit Aviation Holdings Inc                                                    | CUSIP: 84863V101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     290376 | NS      | $110342.88    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 3617MKLU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4033945 | PA      | $3696967.97   | 0.09%             | 2050-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FOX CORP                                                | Fox Corp                                                                        | CUSIP: 35137LAJ4<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |    4350000 | PA      | $4368549.97   | 0.10%             | 2039-01-25      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36200CC86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1446 | PA      | $1477.08      | 0.00%             | 2033-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140J8GH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     417614 | PA      | $378966.56    | 0.01%             | 2047-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36201EGC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23304 | PA      | $23961.91     | 0.00%             | 2035-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corpor                          | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2005-AP2             | CUSIP: 65535VLL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      38454 | PA      | $18463.90     | 0.00%             | 2035-05-25      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36202VYM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      65009 | PA      | $67116.93     | 0.00%             | 2034-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132A9YC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5496 | PA      | $5486.12      | 0.00%             | 2026-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BRLM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6980698 | PA      | $1195273.53   | 0.03%             | 2049-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36208V4Q5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1364 | PA      | $1378.81      | 0.00%             | 2028-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T                          | Renaissance Home Equity Loan Trust 2003-4                                       | CUSIP: 759950BR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3138134 | PA      | $2873718.79   | 0.07%             | 2034-03-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31407XUW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5573 | PA      | $5689.57      | 0.00%             | 2035-11-01      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                          | Home Depot Inc/The                                                              | CUSIP: 437076CD2<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    5295000 | PA      | $3827285.94   | 0.09%             | 2050-04-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3132LMAK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     417833 | PA      | $407979.22    | 0.01%             | 2033-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                          | HarborView Mortgage Loan Trust 2005-3                                           | CUSIP: 41161PMG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     910579 | PA      | $891987.93    | 0.02%             | 2035-06-19      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association                          | INR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $1313087.43   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36195R7E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2856817 | PA      | $2785528.51   | 0.07%             | 2047-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36201FBJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7880 | PA      | $7992.99      | 0.00%             | 2033-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XLWR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16629815 | PA      | $16797337.88  | 0.40%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                          | Option One Mortgage Loan Trust 2007-FXD2                                        | CUSIP: 68403BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12274132 | PA      | $11161465.71  | 0.27%             | 2037-03-25      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| FIRST QUANTUM MINERALS L                                | First Quantum Minerals Ltd                                                      | CUSIP: 335934AU9<br>LEI: 549300I7UVBGWRYMYZ18 | Long             | DBT              | CORP              | CA        |     200000 | PA      | $210402.60    | 0.01%             | 2031-06-01      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Non Gold Pool                                                       | CUSIP: 31288QFR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21713346 | PA      | $21235817.84  | 0.51%             | 2048-11-01      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3617MB5B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     758766 | PA      | $720734.82    | 0.02%             | 2050-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                   | Toronto-Dominion Bank/The                                                       | CUSIP: 89115A2E1<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    1490000 | PA      | $1489543.15   | 0.04%             | 2032-06-08      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                   | Time Warner Cable LLC                                                           | CUSIP: 88732JAU2<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    1875000 | PA      | $1962544.74   | 0.05%             | 2039-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| M&T Equipment Notes                                     | M&T Equipment 2024-LEAF1 Notes                                                  | CUSIP: 55376YAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9460000 | PA      | $9651776.90   | 0.23%             | 2031-08-18      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36290WMW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3903 | PA      | $3908.15      | 0.00%             | 2033-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE ENTRMN                                | Time Warner Cable Enterprises LLC                                               | CUSIP: 88731EAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2060000 | PA      | $2417594.10   | 0.06%             | 2033-07-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                        | Peruvian Government International Bond                                          | CUSIP: 715638EB4<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    4770000 | PA      | $4870170.00   | 0.12%             | 2035-02-08      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                            | USD CALL VERSUS CNY PUT                                                         | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |   23350000 | NC      | $896.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                  | PNC Financial Services Group Inc/The                                            | CUSIP: 693475BR5<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    4620000 | PA      | $4788197.66   | 0.11%             | 2029-06-12      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36178DH20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2159308 | PA      | $1979432.81   | 0.05%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                             | Oracle Corp                                                                     | CUSIP: 68389XDP7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    1520000 | PA      | $1525005.48   | 0.04%             | 2045-09-26      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                 | Bristol-Myers Squibb Co                                                         | CUSIP: 110122EH7<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    2440000 | PA      | $2531200.64   | 0.06%             | 2034-02-22      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140KSBK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     656150 | PA      | $583799.11    | 0.01%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                            | UBS Group AG                                                                    | CUSIP: 225401AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    1180000 | PA      | $1166855.32   | 0.03%             | 2031-04-01      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36205GAG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      39683 | PA      | $40700.07     | 0.00%             | 2033-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36225B7K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        493 | PA      | $516.17       | 0.00%             | 2034-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                | Ford Motor Credit Co LLC                                                        | CUSIP: 345397B51<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    1550000 | PA      | $1473856.22   | 0.04%             | 2028-02-16      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| DB Master Finance LLC                                   | DB Master Finance LLC                                                           | CUSIP: 233046AS0<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-O            | CORP              | US        |    7613375 | PA      | $6777631.22   | 0.16%             | 2051-11-20      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-11-25

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

**Signature:** Christopher Berarducci

**Name of Signer:** Christopher Berarducci

**Title:** Principal Financial Officer