# EDGAR Filing Document

**Accession Number:** 0000889512
**File Stem:** 0000940400-26-014631
**Filing Date:** 2026-4
**Character Count:** 91248
**Document Hash:** 7da265293cba693c68668350b7814002
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000940400-26-014631.hdr.sgml**: 20260424

**ACCESSION NUMBER**: 0000940400-26-014631

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260227

**FILED AS OF DATE**: 20260424

**DATE AS OF CHANGE**: 20260424

**PERIOD START**: 20260228

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-06740
- **FILM NUMBER:** 26890887

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

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

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

## Series and Classes Contracts Data

### WESTERN ASSET SMASh SERIES CORE COMPLETION FUND (Series ID: S000069099)

| Class ID   | Class Name                        | Ticker Symbol   |
|:---|:---|:---|
| C000220869 | SMASh SERIES CORE COMPLETION FUND | WAADX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Legg Mason Partners Institutional Trust

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

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

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

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

  - **Street Address 1:** One Madison Avenue

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10010

  - **Telephone number:** 1-877-656-3863

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

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

- **b. EDGAR series identifier (if any):** S000069099

- **c. LEI of Series:** 549300HUUQMD5AMJIL20

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

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

- **b. Date as of which information is reported:** 2026-02-27

**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:** $174688620.40

**Total Liabilities:** $67246254.77

**Net Assets:** $107442365.63

**Stand-by Commitments:** $66344210.99

**Cash Not Reported:** $7406674.35

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 100.30000000 | **1-Year:** 2511.73000000 | **5-Year:** 21249.28000000 | **10-Year:** 19278.72000000 | **30-Year:** 2290.65000000

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

- **3-Month:** 0.00000000 | **1-Year:** 0.00000000 | **5-Year:** 138.65000000 | **10-Year:** 1706.14000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000220869 | 0.54%                | 0.50%                | 1.16%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $209369.39               | $-845606.58                                |
| Month 2  | $136048.66               | $70179.88                                  |
| Month 3  | $-21592.55               | $1984359.93                                |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| GOLDMAN SACHS & CO. LLC                      | SWOP IRS USD                                           | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        | 100030000 | NC      | $354195.98    | 0.33%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                  | Options on Three-Month SOFR Futures                    | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       -60 | NC      | $-18750.00    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Enterprise Products Operating LLC            | EPD 6.65 10/15/34 H                                    | CUSIP: 293791AP4<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     50000 | PA      | $57003.06     | 0.05%             | 2034-10-15      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| Aon North America Inc.                       | AON 5.45 03/01/34                                      | CUSIP: 03740MAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     50000 | PA      | $52183.98     | 0.05%             | 2034-03-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| EMPOWER CLO 2024-1 LTD                       | EMPWR 2024-1A A1                                       | CUSIP: 29244RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1003767.50   | 0.93%             | 2037-04-27      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| EQT Corporation                              | EQT 7 02/01/30                                         | CUSIP: 26884LAG4<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    240000 | PA      | $262912.17    | 0.24%             | 2030-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                           | TMUS 2.625 02/15/29                                    | CUSIP: 87264ABS3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    770000 | PA      | $741197.68    | 0.69%             | 2029-02-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Company                 | BMY 5.1 02/22/31                                       | CUSIP: 110122EG9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |     50000 | PA      | $52307.93     | 0.05%             | 2031-02-22      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Cooperatieve Rabobank U.A.                   | RABOBK V3.758 04/06/33 144A                            | CUSIP: 74977RDP6<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    250000 | PA      | $240265.45    | 0.22%             | 2033-04-06      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| B.A.T. Capital Corporation                   | BATSLN 6.25 08/15/55                                   | CUSIP: 05526DCD5<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     10000 | PA      | $10445.31     | 0.01%             | 2055-08-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust 2014-4            | NAVSL 2014-8 A3                                        | CUSIP: 63939DAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2135701 | PA      | $2117054.28   | 1.97%             | 2049-05-27      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC         | CHTR 5.375 05/01/47                                    | CUSIP: 161175BL7<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |     10000 | PA      | $8343.84      | 0.01%             | 2047-05-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                       | 5-Year T-Note Weekly Options - Week 1                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       108 | NC      | $49781.25     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association     | GNR 2022-3 IO                                          | CUSIP: 38381ETV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   4242928 | PA      | $189346.60    | 0.18%             | 2061-02-16      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| The Charles Schwab Corporation               | SCHW 5.875 08/24/26                                    | CUSIP: 808513CG8<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |    150000 | PA      | $151210.58    | 0.14%             | 2026-08-24      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                           | TMUS 5.15 04/15/34                                     | CUSIP: 87264ADF9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     60000 | PA      | $62022.36     | 0.06%             | 2034-04-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Eli Lilly & Co.                              | LLY 4.6 08/14/34                                       | CUSIP: 532457CR7<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |     30000 | PA      | $30472.10     | 0.03%             | 2034-08-14      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Las Vegas Sands Corp                         | LVS 6 08/15/29                                         | CUSIP: 517834AK3<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |     50000 | PA      | $52334.56     | 0.05%             | 2029-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                 | ORCL 3.6 04/01/50                                      | CUSIP: 68389XBX2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     90000 | PA      | $56344.69     | 0.05%             | 2050-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 20          | SMB 2024-D B                                           | CUSIP: 83207QAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1350000 | PA      | $1413364.82   | 1.32%             | 2053-07-15      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Company                 | BMY 5.2 02/22/34                                       | CUSIP: 110122EH7<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    110000 | PA      | $115168.81    | 0.11%             | 2034-02-22      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Peru (Republic Of)                           | PERU 3.6 01/15/72                                      | CUSIP: 715638DW9<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   1580000 | PA      | $1030752.50   | 0.96%             | 2072-01-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Broadcom Inc                                 | AVGO 5.2 07/15/35                                      | CUSIP: 11135FCM1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    170000 | PA      | $175760.84    | 0.16%             | 2035-07-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                  | Options on Three-Month SOFR Futures                    | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -128 | NC      | $-17600.00    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Bonds                 | T 4.25 08/15/54                                        | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2350000 | PA      | $2202390.63   | 2.05%             | 2054-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| WarnerMedia Holdings Inc.                    | WBD 4.279 03/15/32 *                                   | CUSIP: 55903VBQ5<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |     12000 | PA      | $11040.00     | 0.01%             | 2032-03-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| Bank of Nova Scotia                          | BNS V4.588 05/04/37                                    | CUSIP: 06417XAG6<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    210000 | PA      | $206694.78    | 0.19%             | 2037-05-04      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                         | GLENLN 5.673 04/01/35 144A                             | CUSIP: 378272CA4<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    120000 | PA      | $126838.82    | 0.12%             | 2035-04-01      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| Meta Platforms Inc                           | META 4.875 11/15/35                                    | CUSIP: 30303MAD4<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     50000 | PA      | $50516.85     | 0.05%             | 2035-11-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Kenvue Inc.                                  | KVUE 4.9 03/22/33                                      | CUSIP: 49177JAK8<br>LEI: 5493008HSF8L4M2LIJ82 | Long             | DBT              | CORP              | US        |     30000 | PA      | $30998.41     | 0.03%             | 2033-03-22      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association        | FNMA-30YR                                              | CUSIP: 01F042632<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12200000 | PA      | $12066831.75  | 11.23%            | 2056-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Meta Platforms Inc                           | META 4.6 11/15/32                                      | CUSIP: 30303MAC6<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    190000 | PA      | $193241.02    | 0.18%             | 2032-11-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| The Charles Schwab Corporation               | SCHW V6.136 08/24/34                                   | CUSIP: 808513CH6<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |     30000 | PA      | $32797.75     | 0.03%             | 2034-08-24      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Stacr Remic Trust                | STACR 2026-DNA1 M2                                     | CUSIP: 35564UCS4<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   1200000 | PA      | $1206659.52   | 1.12%             | 2046-02-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.  | 10-Year T-Note Futures, Jun-2026,ETH                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -300 | NC      | $-322940.72   | -0.30%            |  |  |  | No            |                  1 | On Loan: No      |
| Georgia Power Company                        | SO 5.2 03/15/35                                        | CUSIP: 373334LB5<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |     60000 | PA      | $62352.60     | 0.06%             | 2035-03-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Suzano Austria GmbH                          | SUZANO 3.125 01/15/32                                  | CUSIP: 86964WAK8<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |    840000 | PA      | $761646.40    | 0.71%             | 2032-01-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Columbia Pipelines Operating Co. LLC         | CPGX 6.544 11/15/53 144A                               | CUSIP: 19828TAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     10000 | PA      | $10912.96     | 0.01%             | 2053-11-15      | Fixed         | 6.54%                 | No            |                  2 | On Loan: No      |
| Elevance Health Inc.                         | ELV 4.1 05/15/32                                       | CUSIP: 036752AT0<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    200000 | PA      | $196457.17    | 0.18%             | 2032-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                 | T 4.875 08/15/45                                       | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    170000 | PA      | $176879.69    | 0.16%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Ecopetrol S.A.                               | ECOPET 5.875 05/28/45                                  | CUSIP: 279158AJ8<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |   1400000 | PA      | $1054865.73   | 0.98%             | 2045-05-28      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| U.S. Bancorp.                                | USB V5.775 06/12/29                                    | CUSIP: 91159HJM3<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |     80000 | PA      | $83208.54     | 0.08%             | 2029-06-12      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| Mars Inc.                                    | MARS 5 03/01/32 144A                                   | CUSIP: 571676AZ8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    250000 | PA      | $259031.24    | 0.24%             | 2032-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Eli Lilly & Co.                              | LLY 4.7 02/09/34                                       | CUSIP: 532457CL0<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |    120000 | PA      | $122815.95    | 0.11%             | 2034-02-09      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                 | ORCL 6.85 02/04/66                                     | CUSIP: 68389XEC5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     30000 | PA      | $28759.36     | 0.03%             | 2066-02-04      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                       | 5-Year T-Note Weekly Options - Week 4                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       126 | NC      | $49218.75     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| MEGlobal BV                                  | EQPTRC 2.625 04/28/28 144A                             | CUSIP: 29441WAD7<br>LEI: 549300WBVLU2FILR7W19 | Long             | DBT              | CORP              | NL        |   1510000 | PA      | $1454794.40   | 1.35%             | 2028-04-28      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc.                  | VZ 2.355 03/15/32                                      | CUSIP: 92343VGN8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    130000 | PA      | $116120.85    | 0.11%             | 2032-03-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Las Vegas Sands Corp                         | LVS 5.625 06/15/28                                     | CUSIP: 517834AM9<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    160000 | PA      | $163949.24    | 0.15%             | 2028-06-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Royal Caribbean Cruises Ltd.                 | RCL 5.25 02/27/38                                      | CUSIP: 78017TAD5<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |     20000 | PA      | $20040.02     | 0.02%             | 2038-02-27      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                 | T 3.875 04/30/30                                       | CUSIP: 91282CMZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     30000 | PA      | $30464.06     | 0.03%             | 2030-04-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Florida Power & Light Co.                    | NEE 5.7 03/15/55                                       | CUSIP: 341081GY7<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |     70000 | PA      | $72086.36     | 0.07%             | 2055-03-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association        | FNMA-30YR                                              | CUSIP: 01F040636<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7100000 | PA      | $6901538.74   | 6.42%             | 2056-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MTN COML MTG TR 2022-LPFL                    | MTN 2022-LPFL A                                        | CUSIP: 62475WAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2100000 | PA      | $2100740.67   | 1.96%             | 2039-03-15      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group Inc.            | PNC V5.582 06/12/29                                    | CUSIP: 693475BR5<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    120000 | PA      | $124394.37    | 0.12%             | 2029-06-12      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Micron Technology Inc.                       | MU 6.05 11/01/35                                       | CUSIP: 595112CH4<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |    100000 | PA      | $108667.43    | 0.10%             | 2035-11-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.  | 2-Year T-Note Futures, Jun-2026,ETH                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        41 | NC      | $13397.83     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association     | G2-30YR-Multi                                          | CUSIP: 21H022630<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9300000 | PA      | $8208367.40   | 7.64%             | 2056-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Amrize Finance US LLC                        | AMRZ 4.95 04/07/30                                     | CUSIP: 43475RAR7<br>LEI: 529900FB2F1WKLFNGY62 | Long             | DBT              | CORP              | US        |     20000 | PA      | $20582.56     | 0.02%             | 2030-04-07      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Royal Caribbean Cruises Ltd.                 | RCL 4.75 05/15/33                                      | CUSIP: 78017TAC7<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |     40000 | PA      | $40288.63     | 0.04%             | 2033-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                 | ORCL 6.7 02/04/56                                      | CUSIP: 68389XEB7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19407.44     | 0.02%             | 2056-02-04      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| U.S. Bancorp.                                | USB V5.836 06/12/34                                    | CUSIP: 91159HJN1<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |     30000 | PA      | $32231.48     | 0.03%             | 2034-06-12      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| Chile (Republic Of)                          | CHILE 3.1 01/22/61                                     | CUSIP: 168863DQ8<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |    340000 | PA      | $220864.00    | 0.21%             | 2061-01-22      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| USQ RAIL IV LLC/LP                           | STEAM 2025-1A A                                        | CUSIP: 90356RAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1740263 | PA      | $1786866.27   | 1.66%             | 2055-03-28      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC         | CHTR 6.55 06/01/34                                     | CUSIP: 161175CR3<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |    630000 | PA      | $670293.26    | 0.62%             | 2034-06-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Intel Corporation                            | INTC 5.125 02/10/30                                    | CUSIP: 458140CF5<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     20000 | PA      | $20649.45     | 0.02%             | 2030-02-10      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Oglethorpe Power Corp.                       | OGLETH 5.9 02/01/55                                    | CUSIP: 677050AY2<br>LEI: 3EERXCUSWMS9GV5D9M98 | Long             | DBT              | CORP              | US        |     60000 | PA      | $60528.84     | 0.06%             | 2055-02-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                      | SWOP IRS USD                                           | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |   5280000 | NC      | $18695.94     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Rogers Communications Inc.                   | RCICN 5.3 02/15/34                                     | CUSIP: 775109DF5<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |     50000 | PA      | $51113.48     | 0.05%             | 2034-02-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Eli Lilly & Co.                              | LLY 5.1 02/09/64                                       | CUSIP: 532457CN6<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |     30000 | PA      | $27976.05     | 0.03%             | 2064-02-09      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                    | GS V4.516 01/21/32                                     | CUSIP: 38145GAR1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    670000 | PA      | $674283.70    | 0.63%             | 2032-01-21      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| Elevance Health Inc.                         | ELV 4.55 05/15/52                                      | CUSIP: 036752AU7<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    130000 | PA      | $109166.45    | 0.10%             | 2052-05-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                 | ORCL 6.55 02/04/46                                     | CUSIP: 68389XEA9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9749.84      | 0.01%             | 2046-02-04      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                         | JPM V5.576 07/23/36                                    | CUSIP: 46647PFC5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    120000 | PA      | $124845.11    | 0.12%             | 2036-07-23      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Freeport-McMoRan Inc.                        | FCX 5.4 11/14/34                                       | CUSIP: 35671DBJ3<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |    170000 | PA      | $177954.65    | 0.17%             | 2034-11-14      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| B.A.T. Capital Corporation                   | BATSLN 7.081 08/02/53                                  | CUSIP: 054989AD0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     10000 | PA      | $11471.77     | 0.01%             | 2053-08-02      | Fixed         | 7.08%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                               | BNP V5.894 12/05/34 144A                               | CUSIP: 05581KAG6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    250000 | PA      | $268314.94    | 0.25%             | 2034-12-05      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                           | TMUS 3.875 04/15/30                                    | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    160000 | PA      | $158799.92    | 0.15%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                       | 10-Year T-Note Weekly Options - Week 4                 | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -26 | NC      | $-40625.00    | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Comision Federal de Electricidad             | CFELEC 6.045 01/28/34 144A                             | CUSIP: 200447AQ3<br>LEI: 4469000001BFPONMPF32 | Long             | DBT              | CORP              | MX        |   1510000 | PA      | $1528875.00   | 1.42%             | 2034-01-28      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| Boeing Co.                                   | BA 5.15 05/01/30                                       | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    190000 | PA      | $196825.25    | 0.18%             | 2030-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| RTX Corp.                                    | RTX 3.03 03/15/52                                      | CUSIP: 75513ECP4<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     10000 | PA      | $6655.90      | 0.01%             | 2052-03-15      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| Eli Lilly & Co.                              | LLY 5 02/09/54                                         | CUSIP: 532457CM8<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |     20000 | PA      | $18802.33     | 0.02%             | 2054-02-09      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Corporacion Nacional del Cobre de Chile      | CDEL 5.529 01/30/37 144A                               | CUSIP: 21987BBQ0<br>LEI: 549300UVMBCBCIPSUI70 | Long             | DBT              | CORP              | CL        |    930000 | PA      | $953482.50    | 0.89%             | 2037-01-30      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| CI Financial Corp                            | CIXCN 7.5 05/30/29 144A                                | CUSIP: 125491AT7<br>LEI: 549300M9W7JJQSVCEM78 | Long             | DBT              | CORP              | CA        |    140000 | PA      | $149573.61    | 0.14%             | 2029-05-30      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| OAKTREE CLO 2024-25 LTD                      | OAKCL 2024-25A A                                       | CUSIP: 67402PAA5<br>LEI: 254900NTZ5OVNC5X7789 | Long             | ABS-CBDO         | CORP              | KY        |   2560000 | PA      | $2569604.10   | 2.39%             | 2037-04-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Las Vegas Sands Corp                         | LVS 6 06/14/30                                         | CUSIP: 517834AN7<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |     30000 | PA      | $31513.30     | 0.03%             | 2030-06-14      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AASET 2024-1 TRUST                           | AASET 2024-1A A2                                       | CUSIP: 00255JAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1814784 | PA      | $1873633.53   | 1.74%             | 2049-05-16      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC            | EPD 5.55 02/16/55                                      | CUSIP: 29379VCH4<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    160000 | PA      | $158463.55    | 0.15%             | 2055-02-16      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                      | SWOP IRS USD                                           | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        | -23410000 | NC      | $-337310.32   | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |
| Micron Technology Inc.                       | MU 5.875 02/09/33                                      | CUSIP: 595112BZ5<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |     30000 | PA      | $32319.05     | 0.03%             | 2033-02-09      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| HALSEYPOINT CLO 3 LTD                        | HLSY 2020-3A A1R                                       | CUSIP: 40638UAS8<br>LEI: 549300RT6H1EOIYTDV62 | Long             | ABS-CBDO         | CORP              | KY        |    320000 | PA      | $320979.36    | 0.30%             | 2037-07-30      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                 | TII 1.125 01/15/33                                     | CUSIP: 91282CGK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1566547 | PA      | $1540595.83   | 1.43%             | 2033-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO 22 LTD / LLC                       | AIMCO 2024-22A A                                       | CUSIP: 00901UAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   2390000 | PA      | $2393107.00   | 2.23%             | 2037-04-20      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Solventum Corp.                              | SOLV 5.4 03/01/29                                      | CUSIP: 83444MAP6<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |     35000 | PA      | $36300.47     | 0.03%             | 2029-03-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| CARVAL CLO XI-C LTD /LLC                     | CARVL 2024-3A A1                                       | CUSIP: 14688RAA8<br>LEI: 254900BDRF474L9PWM54 | Long             | ABS-CBDO         | CORP              | KY        |    620000 | PA      | $621667.99    | 0.58%             | 2037-10-20      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Vibrant CLO Ltd                              | Vibrant Clo XV Ltd                                     | CUSIP: 92559EAN1<br>LEI: 5493000EZ05NPI8BXY34 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250576.10    | 0.23%             | 2035-01-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Alphabet Inc.                                | GOOGL 3.7 02/15/29                                     | CUSIP: 02079KBJ5<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     50000 | PA      | $50055.15     | 0.05%             | 2029-02-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Cheniere Energy Partners Lp                  | CQP 5.55 10/30/35                                      | CUSIP: 16411QAW1<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     50000 | PA      | $51909.57     | 0.05%             | 2035-10-30      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Meta Platforms Inc                           | META 5.5 11/15/45                                      | CUSIP: 30303M8X3<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     70000 | PA      | $69198.36     | 0.06%             | 2045-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                       | Ultra 10-Year U.S. Treasury Note Futures, Jun-2026,ETH | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       239 | NC      | $170364.55    | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| AT&T Inc                                     | T 2.25 02/01/32                                        | CUSIP: 00206RKH4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     50000 | PA      | $44667.90     | 0.04%             | 2032-02-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                 | T 4.75 05/15/55                                        | CUSIP: 912810UK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     50000 | PA      | $50900.39     | 0.05%             | 2055-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| DEEPHAVEN RESIDENTIAL MTG TR 2022-1          | DRMT 2022-1 A1                                         | CUSIP: 24382JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    916430 | PA      | $870180.28    | 0.81%             | 2067-01-25      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| Solventum Corp.                              | SOLV 5.45 03/13/31                                     | CUSIP: 83444MAQ4<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |     90000 | PA      | $94426.63     | 0.09%             | 2031-03-13      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Alphabet Inc.                                | GOOGL 5.35 11/15/45                                    | CUSIP: 02079KAZ0<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     20000 | PA      | $20098.74     | 0.02%             | 2045-11-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| B.A.T. Capital Corporation                   | BATSLN 6 02/20/34                                      | CUSIP: 05526DBZ7<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    110000 | PA      | $119468.39    | 0.11%             | 2034-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Philip Morris International Inc.             | PM 5.25 02/13/34                                       | CUSIP: 718172DJ5<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     60000 | PA      | $62867.56     | 0.06%             | 2034-02-13      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Huntington Ingalls Industries, Inc.          | HII 5.749 01/15/35                                     | CUSIP: 446413BB1<br>LEI: 5TZLZ6WJTBVJ0QWBG121 | Long             | DBT              | CORP              | US        |     30000 | PA      | $32103.32     | 0.03%             | 2035-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Oneok Inc.                                   | OKE 5.8 11/01/30                                       | CUSIP: 682680BK8<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     10000 | PA      | $10609.95     | 0.01%             | 2030-11-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| CSMC 2020-RPL4                               | CSMC 2020-RPL4 A1                                      | CUSIP: 126405AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    679691 | PA      | $625561.31    | 0.58%             | 2060-01-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.             | Three-Month SOFR Futures, Dec-2025,ETH                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       799 | NC      | $440050.62    | 0.41%             |  |  |  | No            |                  1 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.              | CDS CDX.NA.IG.45.V1                                    | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-1445865.94  | -1.35%            |  |  |  | No            |                  2 | On Loan: No      |
| Meta Platforms Inc                           | META 5.75 11/15/65                                     | CUSIP: 30303M8Y1<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     90000 | PA      | $87744.41     | 0.08%             | 2065-11-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Ford Motor Company                           | F 6.1 08/19/32                                         | CUSIP: 345370DB3<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |     60000 | PA      | $62826.26     | 0.06%             | 2032-08-19      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                 | T 4.25 02/15/54                                        | CUSIP: 912810TX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3370000 | PA      | $3158124.43   | 2.94%             | 2054-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Alphabet Inc.                                | GOOGL 4.1 02/15/31                                     | CUSIP: 02079KBK2<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     20000 | PA      | $20136.07     | 0.02%             | 2031-02-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Alphabet Inc.                                | GOOGL 4.7 11/15/35                                     | CUSIP: 02079KAY3<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     70000 | PA      | $70905.92     | 0.07%             | 2035-11-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| CSMC 2022-NQM1 TRUST                         | CSMC 2022-NQM1 A1                                      | CUSIP: 126416AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    879161 | PA      | $821613.54    | 0.76%             | 2066-11-25      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| Lockheed Martin Corporation                  | LMT 5.2 02/15/64                                       | CUSIP: 539830CE7<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |     30000 | PA      | $28241.38     | 0.03%             | 2064-02-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Alphabet Inc.                                | GOOGL 4.4 02/15/33                                     | CUSIP: 02079KBL0<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     20000 | PA      | $20182.17     | 0.02%             | 2033-02-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Oneok Inc.                                   | OKE 5.65 11/01/28                                      | CUSIP: 682680BJ1<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    140000 | PA      | $145705.47    | 0.14%             | 2028-11-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Israel (State Of)                            | ISRAEL 3.375 01/15/50 30Y                              | CUSIP: 46513JXN6<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |   1330000 | PA      | $915455.69    | 0.85%             | 2050-01-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                  | Options on Three-Month SOFR Futures                    | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -106 | NC      | $-17225.00    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Notes                 | T 4 06/30/32                                           | CUSIP: 91282CNJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4790000 | PA      | $4881028.73   | 4.54%             | 2032-06-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Petroleos del Peru - Petroperu SA            | PETRPE 5.625 06/19/47 144A                             | CUSIP: 716564AB5<br>LEI: 549300ZMGDLC9JT2OR80 | Long             | DBT              | CORP              | PE        |   1270000 | PA      | $810367.95    | 0.75%             | 2047-06-19      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Philip Morris International Inc.             | PM 5.125 02/13/31                                      | CUSIP: 718172DH9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     10000 | PA      | $10435.56     | 0.01%             | 2031-02-13      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | G2-30YR-Multi                                          | CUSIP: 21H020634<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5500000 | PA      | $4661203.97   | 4.34%             | 2056-03-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JSC National Company KazMunayGas             | KZOKZ 5.75 04/19/47 144A                               | CUSIP: 48667QAP0<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |    440000 | PA      | $424377.31    | 0.39%             | 2047-04-19      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Alphabet Inc.                                | GOOGL 4.8 02/15/36                                     | CUSIP: 02079KBM8<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     30000 | PA      | $30504.52     | 0.03%             | 2036-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Viper Energy Partners LLC                    | VNOM 5.7 08/01/35                                      | CUSIP: 92764MAB0<br>LEI: 54930010ZZ02MRGRI973 | Long             | DBT              | CORP              | US        |     50000 | PA      | $51898.75     | 0.05%             | 2035-08-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association        | FNMA-30YR                                              | CUSIP: 01F022634<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4500000 | PA      | $3899720.34   | 3.63%             | 2056-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Peru (Republic Of)                           | PERU 5.5 03/30/36                                      | CUSIP: 715638FC1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    860000 | PA      | $889068.00    | 0.83%             | 2036-03-30      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Amrize Finance US LLC                        | AMRZ 5.4 04/07/35                                      | CUSIP: 43475RAT3<br>LEI: 529900FB2F1WKLFNGY62 | Long             | DBT              | CORP              | US        |     30000 | PA      | $31383.65     | 0.03%             | 2035-04-07      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                    | IRS USD                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |         1 | NC      | $-134904.45   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| JACK IN THE BOX INC                          | JACK 2022-1A A2I                                       | CUSIP: 466365AD5<br>LEI: 5493002OJW26P0SUUP68 | Long             | ABS-O            | CORP              | US        |   1840000 | PA      | $1795535.30   | 1.67%             | 2052-02-25      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| Nyt Mortgage Trust                           | NYT 2019-NYT B                                         | CUSIP: 62954PAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1250000 | PA      | $1230639.13   | 1.15%             | 2035-12-17      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Eagle Funding Luxco S.a.r.l.                 | MEXPCP 5.5 08/17/30 144A                               | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | CORP              | LU        |   1170000 | PA      | $1191808.80   | 1.11%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.             | IRS USD                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $-166329.55   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.             | IRS USD                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $-130844.63   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| RTX Corp.                                    | RTX 4.5 06/01/42                                       | CUSIP: 913017BT5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    130000 | PA      | $119865.06    | 0.11%             | 2042-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                           | TMUS 5.875 11/15/55                                    | CUSIP: 87264ADU6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    120000 | PA      | $121295.85    | 0.11%             | 2055-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Philip Morris International Inc.             | PM 4.875 02/13/29                                      | CUSIP: 718172DG1<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     30000 | PA      | $30843.51     | 0.03%             | 2029-02-13      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Meta Platforms Inc                           | META 5.625 11/15/55 .                                  | CUSIP: 30303MAE2<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     50000 | PA      | $48979.86     | 0.05%             | 2055-11-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association        | FN BF0560                                              | CUSIP: 3140FXTS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    213154 | PA      | $180398.95    | 0.17%             | 2061-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.             | Three-Month SOFR Futures, Mar-2026,ETH                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       252 | NC      | $-96604.20    | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| Oneok Inc.                                   | OKE 5.55 11/01/26                                      | CUSIP: 682680BH5<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     90000 | PA      | $90818.54     | 0.08%             | 2026-11-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| BIRCH GROVE CLO 8 LTD                        | BGCLO 2024-8A A1                                       | CUSIP: 09077TAA3<br>LEI: 254900WH1INTG23INE62 | Long             | ABS-CBDO         | CORP              | JE        |   1000000 | PA      | $1003745.70   | 0.93%             | 2037-04-20      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| Alphabet Inc.                                | GOOGL 4.5 05/15/35                                     | CUSIP: 02079KAL1<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     30000 | PA      | $30207.88     | 0.03%             | 2035-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bank 2018-Bnk10                              | BANK 2018-BN10 A5                                      | CUSIP: 065404BB0<br>LEI: 549300GL0Y86051URC66 | Long             | ABS-O            | CORP              | US        |   1045000 | PA      | $1038589.76   | 0.97%             | 2061-02-17      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| COLUMBIA CENT CLO 33 LTD                     | CECLO 2024-33A A1                                      | CUSIP: 19737PAA2<br>LEI: 2549000A46LJJ7H78351 | Long             | ABS-CBDO         | CORP              | JE        |   2700000 | PA      | $2707851.06   | 2.52%             | 2037-04-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                 | ORCL 5.7 02/04/36                                      | CUSIP: 68389XDZ5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     60000 | PA      | $60056.13     | 0.06%             | 2036-02-04      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Alphabet Inc.                                | GOOGL 5.5 02/15/46                                     | CUSIP: 02079KBN6<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     60000 | PA      | $61134.42     | 0.06%             | 2046-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PARALLEL 2015-1 LTD                          | PARL 2023-1A A1R                                       | CUSIP: 69915NAJ7<br>LEI: 549300IVH7GEF68EFD31 | Long             | ABS-CBDO         | CORP              | KY        |   1530000 | PA      | $1532876.55   | 1.43%             | 2036-07-21      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust 2022-R04 | CAS 2022-R04 1M2                                       | CUSIP: 20753YCK6<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    340000 | PA      | $347477.14    | 0.32%             | 2042-03-25      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| Ocean Trails CLO XII Ltd / LLC               | OCTR 2022-12A A1R                                      | CUSIP: 67515DAS7<br>LEI: 549300RF4JV7XJ3EV147 | Long             | ABS-CBDO         | CORP              | JE        |    640000 | PA      | $641759.87    | 0.60%             | 2035-07-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.  | U.S. Treasury Bond Futures, Jun-2026,ETH               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -155 | NC      | $-130385.40   | -0.12%            |  |  |  | No            |                  1 | On Loan: No      |
| Honeywell International Inc.                 | HON 5 03/01/35                                         | CUSIP: 438516CS3<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |     70000 | PA      | $72238.73     | 0.07%             | 2035-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2022-L          | BX 2022-LP2 A                                          | CUSIP: 05610HAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    595177 | PA      | $595413.77    | 0.55%             | 2039-02-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc.                                  | ABBV 4.95 03/15/31                                     | CUSIP: 00287YDT3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     40000 | PA      | $41653.53     | 0.04%             | 2031-03-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                 | T 4.25 08/15/35                                        | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     40000 | PA      | $41000.00     | 0.04%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Comcast Corporation                          | CMCSA 5.35 05/15/53                                    | CUSIP: 20030NEF4<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    310000 | PA      | $285815.39    | 0.27%             | 2053-05-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Alphabet Inc.                                | GOOGL 5.25 05/15/55                                    | CUSIP: 02079KAM9<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     40000 | PA      | $38963.43     | 0.04%             | 2055-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GE Vernova Inc.                              | GEV 5.5 02/04/56                                       | CUSIP: 36828AAC5<br>LEI: 254900DP080RU6OK2553 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9928.57      | 0.01%             | 2056-02-04      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BX Trust 2018-Bilt                           | BX 2021-BXMF A                                         | CUSIP: 05609RAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2084217 | PA      | $2083836.12   | 1.94%             | 2026-10-15      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association        | FNMA-30YR                                              | CUSIP: 01F020638<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9000000 | PA      | $7458323.13   | 6.94%             | 2056-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc.                                  | ABBV 5.05 03/15/34                                     | CUSIP: 00287YDU0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     20000 | PA      | $20770.50     | 0.02%             | 2034-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                       | 10-Year T-Note Weekly Options - Week 4                 | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       104 | NC      | $84500.00     | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley Capital I Trust 2011-C2       | MSC 2018-MP A                                          | CUSIP: 61691DAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10500000 | PA      | $9816423.75   | 9.14%             | 2040-07-12      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                 | ORCL 5.35 05/04/33                                     | CUSIP: 68389XDY8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     10000 | PA      | $10036.73     | 0.01%             | 2033-05-04      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| RTX Corp.                                    | RTX 6 03/15/31                                         | CUSIP: 75513ECV1<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     60000 | PA      | $65134.04     | 0.06%             | 2031-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WASTE CONNECTIONS INC                        | WCNCN 5 03/01/34                                       | CUSIP: 94106BAG6<br>LEI: 549300HDLRTPBQU69P29 | Long             | DBT              | CORP              | CA        |     70000 | PA      | $72394.12     | 0.07%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Oncor Electric Delivery Company LLC          | ONCRTX 5.8 04/01/55 144A                               | CUSIP: 68233JDA9<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |     40000 | PA      | $41129.57     | 0.04%             | 2055-04-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Comcast Corporation                          | CMCSA 3.969 11/01/47                                   | CUSIP: 20030NCC3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    190000 | PA      | $146523.72    | 0.14%             | 2047-11-01      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Boeing Co.                                   | BA 6.858 05/01/54                                      | CUSIP: 097023DT9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     40000 | PA      | $45903.62     | 0.04%             | 2054-05-01      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| Mars Inc.                                    | MARS 5.2 03/01/35 144A                                 | CUSIP: 571676BA2<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     60000 | PA      | $62149.51     | 0.06%             | 2035-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Altria Group, Inc.                           | MO 6.875 11/01/33                                      | CUSIP: 02209SBR3<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    220000 | PA      | $250865.86    | 0.23%             | 2033-11-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Gulfstream Natural Gas System LLC            | GULFNG 5.6 07/23/35 144A                               | CUSIP: 402740AG9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    130000 | PA      | $135475.06    | 0.13%             | 2035-07-23      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                       | 10-Year T-Note Weekly Options - Week 4                 | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        75 | NC      | $98437.50     | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Alphabet Inc.                                | GOOGL 5.65 02/15/56                                    | CUSIP: 02079KBP1<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     50000 | PA      | $51199.85     | 0.05%             | 2056-02-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Air Lease Corporation                        | AL 5.3 02/01/28                                        | CUSIP: 00914AAU6<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     90000 | PA      | $91906.74     | 0.09%             | 2028-02-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                       | TFC V6.047 06/08/27 MTN                                | CUSIP: 89788MAN2<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |     70000 | PA      | $70352.31     | 0.07%             | 2027-06-08      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Alphabet Inc.                                | GOOGL 5.3 05/15/65                                     | CUSIP: 02079KAN7<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     40000 | PA      | $37969.62     | 0.04%             | 2065-05-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| NRG Energy, Inc.                             | NRG 5.407 10/15/35 144A                                | CUSIP: 629377DB5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     50000 | PA      | $50562.00     | 0.05%             | 2035-10-15      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| TRINITAS CLO XXXII LTD                       | TRNTS 2025-32A A1                                      | CUSIP: 89642NAA4<br>LEI: 254900KN2E57M5580B74 | Long             | ABS-CBDO         | CORP              | KY        |   1320000 | PA      | $1323879.22   | 1.23%             | 2038-07-23      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Prosus NV                                    | PRXNA 4.027 08/03/50 144A                              | CUSIP: 74365PAD0<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |   1610000 | PA      | $1149570.99   | 1.07%             | 2050-08-03      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                 | T 4 11/15/35                                           | CUSIP: 91282CPJ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     20000 | PA      | $20075.00     | 0.02%             | 2035-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Solventum Corp.                              | SOLV 5.6 03/23/34                                      | CUSIP: 83444MAR2<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |    120000 | PA      | $125514.96    | 0.12%             | 2034-03-23      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Meta Platforms Inc                           | META 4.75 08/15/34                                     | CUSIP: 30303M8U9<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     70000 | PA      | $71107.47     | 0.07%             | 2034-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.  | 5-Year T-Note Futures, Jun-2026,ETH                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       666 | NC      | $297556.82    | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| Oracle Corp.                                 | ORCL 4.95 02/04/31                                     | CUSIP: 68389XDX0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9982.43      | 0.01%             | 2031-02-04      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| JGWPT XXXIX LLC 2017-2                       | HENDR 2017-2A B                                        | CUSIP: 46620VAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    218679 | PA      | $202244.16    | 0.19%             | 2074-09-17      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| Royal Caribbean Group                        | RCL 6 02/01/33 144A                                    | CUSIP: 780153BV3<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |     80000 | PA      | $82891.50     | 0.08%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Alphabet Inc.                                | GOOGL 5.45 11/15/55                                    | CUSIP: 02079KBA4<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19894.23     | 0.02%             | 2055-11-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                 | T 4.625 02/15/55                                       | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     30000 | PA      | $29925.59     | 0.03%             | 2055-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc.                  | VZ 4.5 08/10/33                                        | CUSIP: 92343VEA8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     40000 | PA      | $39911.24     | 0.04%             | 2033-08-10      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | G2 786474                                              | CUSIP: 3622ACCK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    147398 | PA      | $149197.75    | 0.14%             | 2053-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc.                                  | ABBV 4.8 03/15/29                                      | CUSIP: 00287YDS5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     80000 | PA      | $82207.21     | 0.08%             | 2029-03-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust 2025-A             | NSLT 2025-AA A1A                                       | CUSIP: 64033XAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1684865 | PA      | $1729827.86   | 1.61%             | 2057-03-15      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| Broadcom Inc                                 | AVGO 4.8 02/15/36                                      | CUSIP: 11135FCY5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     50000 | PA      | $50142.71     | 0.05%             | 2036-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                       | Ultra U.S. Treasury Bond Futures, Jun-2026,ETH         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -211 | NC      | $-399285.85   | -0.37%            |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association        | FNMA-30YR                                              | CUSIP: 01F032633<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9800000 | PA      | $9236645.33   | 8.60%             | 2056-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Royal Caribbean Group                        | RCL 5.625 09/30/31 144A                                | CUSIP: 780153BW1<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |     90000 | PA      | $92794.74     | 0.09%             | 2031-09-30      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Solventum Corp.                              | SOLV 5.9 04/30/54                                      | CUSIP: 83444MAS0<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |     30000 | PA      | $29967.30     | 0.03%             | 2054-04-30      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Peru (Republic Of)                           | PERU 3.55 03/10/51                                     | CUSIP: 715638DT6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    160000 | PA      | $115332.00    | 0.11%             | 2051-03-10      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| EOG Resources Inc.                           | EOG 3.9 04/01/35                                       | CUSIP: 26875PAN1<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |     82000 | PA      | $77572.36     | 0.07%             | 2035-04-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| B.A.T. Capital Corporation                   | BATSLN 5.35 08/15/32                                   | CUSIP: 05526DCB9<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    150000 | PA      | $157539.71    | 0.15%             | 2032-08-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Oncor Electric Delivery Company LLC          | ONCRTX 5.35 04/01/35 144A                              | CUSIP: 68233JCZ5<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |     40000 | PA      | $41740.20     | 0.04%             | 2035-04-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Elevation Clo 2016-5 Ltd                     | AWPT 2025-18A A1                                       | CUSIP: 28623JAA4<br>LEI: 549300IH854FT1JLRT08 | Long             | ABS-CBDO         | CORP              | KY        |    810000 | PA      | $811215.00    | 0.76%             | 2038-03-29      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                           | SANTAN V4.175 03/24/28                                 | CUSIP: 05964HAQ8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    200000 | PA      | $200098.57    | 0.19%             | 2028-03-24      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                         | GLENLN 6.141 04/01/55 144a                             | CUSIP: 378272CB2<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     50000 | PA      | $52855.08     | 0.05%             | 2055-04-01      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                       | 5-Year T-Note Weekly Options - Week 4                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       157 | NC      | $100578.13    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| FORTRESS CREDIT BSL XXIV LTD                 | FCBSL 2025-1A A                                        | CUSIP: 34990BAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    430000 | PA      | $431032.95    | 0.40%             | 2038-04-20      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Reliance Industries Ltd.                     | RILIN 3.625 01/12/52 144A                              | CUSIP: 759470BD8<br>LEI: 5493003UOETFYRONLG31 | Long             | DBT              | CORP              | IN        |   2430000 | PA      | $1826752.50   | 1.70%             | 2052-01-12      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| BARINGS CLO 2024-I LTD                       | BABSN 2024-1A A                                        | CUSIP: 06763VAA3<br>LEI: 2549005VRCK51O5LRS39 | Long             | ABS-CBDO         | CORP              | KY        |   1470000 | PA      | $1475310.67   | 1.37%             | 2037-01-21      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Fox Corporation                              | FOXA 6.5 10/13/33                                      | CUSIP: 35137LAN5<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |     60000 | PA      | $65874.26     | 0.06%             | 2033-10-13      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Columbia Pipelines Operating Co. LLC         | CPGX 6.036 11/15/33 144A                               | CUSIP: 19828TAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    120000 | PA      | $130055.87    | 0.12%             | 2033-11-15      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association        | FNMA-30YR                                              | CUSIP: 01F030637<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14500000 | PA      | $13115258.56  | 12.21%            | 2056-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2025-COPT       | BX 2025-COPT A                                         | CUSIP: 05618XAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2509284.25   | 2.34%             | 2042-08-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust 2022-NQM3    | BRAVO 2022-NQM1 A1                                     | CUSIP: 10569FAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1686644 | PA      | $1693642.55   | 1.58%             | 2061-09-25      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| OBX 2022-NQM1 TRUST                          | OBX 2022-NQM1 A1                                       | CUSIP: 67114VAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2264977 | PA      | $2094956.24   | 1.95%             | 2061-11-25      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association     | G2-30YR-Multi                                          | CUSIP: 21H050631<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2000000 | PA      | $2007254.32   | 1.87%             | 2056-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-04-23

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

**Signature:** Christopher Berarducci

**Name of Signer:** Christopher Berarducci

**Title:** Principal Financial Officer