# EDGAR Filing Document

**Accession Number:** 0000889512
**File Stem:** 0001752724-23-014303
**Filing Date:** 2023-1
**Character Count:** 268608
**Document Hash:** fee4c4d40d2663d2fb9a9b81e024c3e3
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-014303.hdr.sgml**: 20230126

**ACCESSION NUMBER**: 0001752724-23-014303

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230126

**DATE AS OF CHANGE**: 20230126

**PERIOD START**: 20230228

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** LEGG MASON PARTNERS INSTITUTIONAL TRUST
- **CENTRAL INDEX KEY:** 0000889512
- **IRS NUMBER:** 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:** 23556091

**BUSINESS ADDRESS:**
- **STREET 1:** LEGG MASON & CO., LLC
- **STREET 2:** 620 EIGHTH AVENUE, 49TH FLOOR
- **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, 49TH FLOOR
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10018

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

## Series and Classes Contracts Data

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

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

## Nport-Ex

Schedule of Investments (unaudited)

November 30, 2022

**Western Asset SMASh Series M Fund**

(Percentages shown based on Fund net assets)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| Security | Rate | Maturity<br>Date | Face<br>Amount | Value |  |
| **Mortgage-Backed Securities — 40.8%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *FHLMC — 5.6%* |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) | 6.000% | 10/1/36 | $15213 | $15871 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) | 5.500% | 12/1/38 | 107635 | 113081 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) | 3.500% | 10/1/42-3/1/43 | 291636 | 274856 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) | 5.000% | 10/1/48 | 181967 | 184149 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) | 2.000% | 2/1/51-4/1/51 | 3798394 | 3179846 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) | 2.000% | 10/1/51 | 77017109 | 63663302 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) (12 mo. USD LIBOR + 1.619%) | 2.878% | 11/1/47 | 1284103 | 1240098 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) (12 mo. USD LIBOR + 1.621%) | 3.089% | 2/1/50 | 2476972 | 2383586 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) (12 mo. USD LIBOR + 1.628%) | 3.008% | 11/1/48 | 6610722 | 6268663 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) (5 year Treasury Constant Maturity Rate + 1.284%) | 2.106% | 3/1/47 | 1121327 | 1065813 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Gold | 5.500% | 11/1/35 | 12068 | 12580 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Gold | 7.000% | 3/1/39 | 12384 | 13505 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Gold | 6.500% | 9/1/39 | 41434 | 44016 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Gold | 6.000% | 11/1/39 | 83266 | 87786 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Gold | 4.000% | 4/1/43-7/1/43 | 621875 | 602242 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total FHLMC* |  |  |  | *79149394* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *FNMA — 8.1%* |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | 2.560% | 11/1/31 | 4593666 | 4036644 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | 6.000% | 4/1/33-11/1/37 | 59473 | 62171 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | 5.000% | 7/1/33-10/1/41 | 1256886 | 1284893 |  |

---

See Notes to Schedule of Investments.

Western Asset SMASh Series M Fund 2022 Quarterly Report 1

------

Schedule of Investments (unaudited) (cont'd)

November 30, 2022

**Western Asset SMASh Series M Fund**

(Percentages shown based on Fund net assets)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| Security | Rate | Maturity<br>Date | Face<br>Amount | Value |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *FNMA — continued* |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | 5.500% | 11/1/36-8/1/37 | $14506 | $15167 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | 4.500% | 6/1/37-8/1/58 | 6833335 | 6712166 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | 6.500% | 11/1/37-5/1/40 | 231552 | 248135 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | 7.000% | 2/1/39 | 17837 | 19354 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | 4.000% | 10/1/42-6/1/57 | 4887241 | 4716175 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | 3.000% | 6/1/43-11/1/48 | 8172258 | 7509263 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | 2.000% | 8/1/50-9/1/50 | 27250156 | 22635753 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | 2.000% | 8/1/50-2/1/52 | 18202478 | 15153271 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | 5.000% | 2/1/52 | 50300000 | 50054395 | <sup>(c)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | 2.500% | 9/1/61 | 1814707 | 1519736 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total FNMA* |  |  |  | *113967123* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *GNMA — 27.1%* |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) | 3.000% | 9/15/42-11/15/42 | 33076662 | 30737291 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) | 3.500% | 6/15/48-5/15/50 | 4240914 | 4033266 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) | 4.000% | 3/15/50 | 64857 | 62172 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) | 4.000% | 2/1/52 | 58900000 | 56290914 | <sup>(c)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | 6.000% | 8/20/37-12/20/41 | 583830 | 619945 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | 4.500% | 1/20/40-12/20/50 | 30142468 | 29937189 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | 5.000% | 7/20/40-4/20/50 | 6335776 | 6400436 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | 3.500% | 6/20/44-2/20/50 | 34240295 | 32289763 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | 4.000% | 9/20/45-4/20/50 | 13310315 | 12887324 |  |

---

See Notes to Schedule of Investments.

2 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Western Asset SMASh Series M Fund 2022 Quarterly Report

------

**Western Asset SMASh Series M Fund** 

(Percentages shown based on Fund net assets)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| Security | Rate | Maturity<br>Date | Face<br>Amount | Value |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *GNMA — continued* |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | 3.000% | 8/20/46-3/20/52 | $16231402 | $14739881 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | 2.000% | 12/20/50-3/20/51 | 14827617 | 12485999 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | 2.500% | 12/20/50-10/20/51 | 54324839 | 47910039 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | 3.000% | 1/1/52 | 3700000 | 3346002 | <sup>(c)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | 5.000% | 2/1/52 | 28000000 | 27973750 | <sup>(c)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | 5.500% | 2/1/52 | 39100000 | 39524014 | <sup>(c)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | 2.500% | 1/15/53 | 18600000 | 16370180 | <sup>(c)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | 4.500% | 1/20/53 | 32300000 | 31647691 | <sup>(c)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | 6.000% | 2/15/53 | 12500000 | 12729420 | <sup>(c)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total GNMA* |  |  |  | *379985276* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Mortgage—Backed Securities (Cost — $585,957,928)** |  |  |  | **573101793** |  |
| **Collateralized Mortgage Obligations** <sup>(d)</sup> **— 39.8%** | **Collateralized Mortgage Obligations** <sup>(d)</sup> **— 39.8%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Alternative Loan Trust, 2005-24 1A1 (Federal Reserve U.S. 12 mo. Cumulative Avg 1 Year CMT + 1.310%) | 2.999% | 7/20/35 | 231426 | 188506 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Alternative Loan Trust, 2005-57CB 4A3 | 5.500% | 12/25/35 | 224176 | 136422 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; American Home Mortgage Investment Trust, 2005-1 1A3 (1 mo. USD LIBOR + 0.620%) | 4.206% | 6/25/45 | 659770 | 645619 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; AREIT Trust, 2021-CRE5 A (1 mo. USD LIBOR + 1.080%) | 4.991% | 11/17/38 | 6255858 | 6013756 | <sup>(b)(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; BDS, 2021-FL8 A (1 mo. USD LIBOR + 0.920%) | 4.859% | 1/18/36 | 1127449 | 1085512 | <sup>(b)(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Benchmark Mortgage Trust, 2020-B21 B | 2.458% | 12/17/53 | 13020000 | 9822413 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; BHMS, 2018-ATLS A (1 mo. USD LIBOR + 1.250%) | 5.125% | 7/15/35 | 11150000 | 10709957 | <sup>(b)(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; BX, 2021-MFM1 A (1 mo. USD LIBOR + 0.700%) | 4.575% | 1/15/34 | 3000000 | 2900831 | <sup>(b)(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; BX Commercial Mortgage Trust, 2021-VOLT A (1 mo. USD LIBOR + 0.700%) | 4.575% | 9/15/36 | 22570000 | 21637085 | <sup>(b)(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; BX Commercial Mortgage Trust, 2021-XL2 A (1 mo. USD LIBOR + 0.689%) | 4.564% | 10/15/38 | 41127614 | 39292179 | <sup>(b)(e)</sup> |

---

See Notes to Schedule of Investments.

Western Asset SMASh Series M Fund 2022 Quarterly Report 3

------

Schedule of Investments (unaudited) (cont'd)

November 30, 2022

**Western Asset SMASh Series M Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | Maturity<br>Date | Face<br>Amount | Value |
| **Collateralized Mortgage Obligations** <sup>(d)</sup> **— continued** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; BX Mortgage Trust, 2021-PAC A (1 mo. USD LIBOR + 0.689%) | 4.565% | 10/15/36 | $35380000 | $33820322 <sup>(b)(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; BX Trust, 2019-OC11 B | 3.605% | 12/9/41 | 3200000 | 2649800 <sup>(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; BX Trust, 2021-ARIA A (1 mo. USD LIBOR + 0.899%) | 4.774% | 10/15/36 | 19205000 | 18066675 <sup>(b)(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Chevy Chase Funding LLC Mortgage-Backed Certificates, 2003-4A A1 (1 mo. USD LIBOR + 0.680%) | 4.724% | 10/25/34 | 1164580 | 1077414 <sup>(b)(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Commercial Mortgage Trust, 2013-CR12 AM | 4.300% | 10/10/46 | 180000 | 173381 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Commercial Mortgage Trust, 2013-CR12 B | 4.762% | 10/10/46 | 160000 | 149983 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Commercial Mortgage Trust, 2013-CR12 C | 5.216% | 10/10/46 | 80000 | 55200 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Commercial Mortgage Trust, 2014-CR20 B | 4.239% | 11/10/47 | 1680000 | 1567448 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CSMC Trust, 2014-USA A2 | 3.953% | 9/15/37 | 3290000 | 2977794 <sup>(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CSMC Trust, 2017-RPL3 A1 | 4.000% | 8/1/57 | 13113502 | 11862930 <sup>(b)(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CSMC Trust, 2017-RPL3 B2 | 4.394% | 8/1/57 | 17218433 | 15879050 <sup>(b)(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CSMC Trust, 2019-UVIL A | 3.160% | 12/15/41 | 10000000 | 8287911 <sup>(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CSMC Trust, 2020-TMIC A (1 mo. USD LIBOR + 3.000%) | 6.875% | 12/15/35 | 8060000 | 8016624 <sup>(b)(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CSMC Trust, 2021-AFC1 A1 | 0.830% | 3/25/56 | 5271490 | 4114061 <sup>(b)(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CSMC Trust, 2021-RPL1 A1 | 1.668% | 9/27/60 | 13526638 | 12723329 <sup>(b)(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CSMC Trust, 2021-RPL3 A1 | 2.000% | 1/25/60 | 8888050 | 7618249 <sup>(b)(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CSMC Trust, 2021-RPL4 A1 | 1.796% | 12/27/60 | 6900484 | 6284583 <sup>(b)(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CSMC Trust, 2021-RPL6 A1 | 2.000% | 10/25/60 | 10411398 | 9141812 <sup>(b)(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CSMC Trust, 2022-7R 1A1 | 5.038% | 10/25/66 | 20144322 | 20193631 <sup>(b)(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Extended Stay America Trust, 2021-ESH A (1 mo. USD LIBOR + 1.080%) | 4.956% | 7/15/38 | 8483110 | 8173526 <sup>(b)(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multiclass Certificates, 2020-RR07 AX, IO | 2.468% | 9/27/28 | 6000000 | 697631 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass- Through Certificates, K064 X1, IO | 0.738% | 3/25/27 | 48484319 | 1051189 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass- Through Certificates, K091 X1, IO | 0.705% | 3/25/29 | 6483211 | 191780 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass- Through Certificates, K093 X1, IO | 1.093% | 5/25/29 | 5954033 | 289116 <sup>(b)</sup> |

---

See Notes to Schedule of Investments.

4 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Western Asset SMASh Series M Fund 2022 Quarterly Report

------

**Western Asset SMASh Series M Fund** 

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | Maturity<br>Date | Face<br>Amount | Value |
| **Collateralized Mortgage Obligations** <sup>(d)</sup> **— continued** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K118 X1, IO | 1.052% | 9/25/30 | $11426756 | $651298 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K121 X1, IO | 1.120% | 10/25/30 | 54361206 | 3264608 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K122 X1, IO | 0.973% | 11/25/30 | 9970576 | 527707 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K723 X1, IO | 1.036% | 8/25/23 | 102251441 | 424845 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K740 X1, IO | 0.842% | 9/25/27 | 35730685 | 1051726 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K1515 X1, IO | 1.637% | 2/25/35 | 45298208 | 5466166 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K1516 X1, IO | 1.629% | 5/25/35 | 29819680 | 3619656 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K1517 X1, IO | 1.436% | 7/25/35 | 40244635 | 4302538 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Reference REMIC, R007 ZA | 6.000% | 5/15/36 | 13683 | 14169 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 3947 SG, IO (-1.000 x 1 mo. USD LIBOR + 5.950%) | 2.077% | 10/15/41 | 139674 | 12480 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4298 PI, IO, PAC | 4.000% | 4/15/43 | 100967 | 4292 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4813 CJ | 3.000% | 8/15/48 | 452511 | 397760 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5018 MI, IO | 2.000% | 10/25/50 | 1306620 | 178605 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5040 IB, IO | 2.500% | 11/25/50 | 374747 | 55602 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2020-DNA2 M2 (1 mo. USD LIBOR + 1.850%) | 5.866% | 2/25/50 | 3784150 | 3758045 <sup>(b)(e)</sup> |

---

See Notes to Schedule of Investments.

Western Asset SMASh Series M Fund 2022 Quarterly Report 5

------

Schedule of Investments (unaudited) (cont'd)

November 30, 2022

**Western Asset SMASh Series M Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | Maturity<br>Date | Face<br>Amount | Value |
| **Collateralized Mortgage Obligations** <sup>(d)</sup> **— continued** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2021-DNA3 M2 (30 Day Average SOFR + 2.100%) | 5.621% | 10/25/33 | $25300000 | $23893520 <sup>(b)(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) STRIPS, 328 S4, IO | 0.000% | 2/15/38 | 936955 | 36377 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2015-DNA3 M3F (1 mo. USD LIBOR + 3.700%) | 7.716% | 4/25/28 | 2817313 | 2864675 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2021-DNA2 M2 (30 Day Average SOFR + 2.300%) | 5.821% | 8/25/33 | 16930000 | 16380293 <sup>(b)(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) — CAS, 2013-C01 M2 (1 mo. USD LIBOR + 5.250%) | 9.266% | 10/25/23 | 6170570 | 6273221 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) — CAS, 2014-C01 M2 (1 mo. USD LIBOR + 4.400%) | 8.416% | 1/25/24 | 10483179 | 10582898 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) — CAS, 2021-R01 1M2 (30 Day Average SOFR + 1.550%) | 5.071% | 10/25/41 | 8870000 | 8524541 <sup>(b)(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) ACES, 2018-M15 1A2 | 3.700% | 1/25/36 | 3000000 | 2770742 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) ACES, 2019-M19 A2 | 2.560% | 9/25/29 | 531602 | 478610 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) ACES, 2019-M19 X2, IO | 0.740% | 9/25/29 | 34113597 | 1153295 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) ACES, 2019-M22 A2 | 2.522% | 8/25/29 | 12420011 | 11136568 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association(FNMA) ACES, 2019-M28 AV | 2.232% | 2/25/27 | 709173 | 658508 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) ACES, 2019-M28 XA2, IO | 0.651% | 2/25/30 | 9134793 | 262009 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) ACES, 2019-M28 XA3, IO | 1.037% | 2/25/30 | 16424663 | 770085 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) ACES, 2020-M4 1X2, IO | 0.843% | 2/25/28 | 5587181 | 177060 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) ACES, 2020-M4 1X3, IO | 1.123% | 2/25/28 | 30341684 | 1290125 <sup>(b)</sup> |

---

See Notes to Schedule of Investments.

6 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Western Asset SMASh Series M Fund 2022 Quarterly Report

------

**Western Asset SMASh Series M Fund** 

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | Maturity<br>Date | Face<br>Amount | Value |
| **Collateralized Mortgage Obligations** <sup>(d)</sup> **— continued** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) ACES, 2020-M26 X3, IO | 1.819% | 1/25/28 | $10729960 | $604980 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) ACES, 2020-M36 X1, IO | 1.596% | 9/25/34 | 2860963 | 232337 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) ACES, 2020-M51 X3, IO | 0.116% | 12/25/30 | 74520000 | 409309 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) ACES, 2020-M54 X, IO | 1.632% | 12/25/33 | 38455147 | 3221765 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2011-59 NZ | 5.500% | 7/25/41 | 206032 | 211630 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2012-28 B | 6.500% | 6/25/39 | 1420 | 1447 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2012-75 AO, PO | 0.000% | 3/25/42 | 10777 | 9513 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2012-75 NS, IO (-1.000 x 1 mo. USD LIBOR + 6.600%) | 2.584% | 7/25/42 | 34256 | 3614 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2012-93 UI, IO | 3.000% | 9/25/27 | 216774 | 9759 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2012-134 SK, IO (-1.000 x 1 mo. USD LIBOR + 6.150%) | 2.134% | 12/25/42 | 289267 | 32073 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2013-9 CB | 5.500% | 4/25/42 | 63213 | 64685 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2013-14 IG, IO | 4.000% | 3/25/43 | 138298 | 20804 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2013-29 QI, IO | 4.000% | 4/25/43 | 427345 | 71454 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2013-73 IB, IO | 3.500% | 7/25/28 | 523418 | 26775 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2014-47 AI, IO | 0.000% | 8/25/44 | 710258 | 30554 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2020-47 GZ | 2.000% | 7/25/50 | 944530 | 569141 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) STRIPS, 390 C3, IO | 6.000% | 7/25/38 | 9658 | 1966 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) STRIPS, 407 22, IO | 5.000% | 1/25/39 | 6338 | 1148 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) STRIPS, 407 23, IO | 5.000% | 1/25/39 | 3329 | 691 <sup>(b)</sup> |

---

See Notes to Schedule of Investments.

Western Asset SMASh Series M Fund 2022 Quarterly Report 7

------

Schedule of Investments (unaudited) (cont'd)

November 30, 2022

**Western Asset SMASh Series M Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | Maturity<br>Date | Face<br>Amount | Value |
| **Collateralized Mortgage Obligations** <sup>(d)</sup> **— continued** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) STRIPS, 407 27, IO | 5.500% | 1/25/39 | $3387 | $760 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) STRIPS, 407 34, IO | 5.000% | 1/25/38 | 5845 | 911 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) STRIPS, 407 41, IO | 6.000% | 1/25/38 | 8216 | 1679 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) STRIPS, 407 C10, IO | 5.000% | 1/25/38 | 31550 | 5462 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) STRIPS, 409 C2, IO | 3.000% | 4/25/27 | 65892 | 2926 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) STRIPS, 409 C13, IO | 3.500% | 11/25/41 | 50999 | 8005 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Flagstar Mortgage Trust, 2018-2 A4 | 3.500% | 4/25/48 | 568779 | 558162 <sup>(b)(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; FRESB Mortgage Trust, 2015-SB7 A10 (2.950% to 11/25/25 then 1 mo. USD LIBOR + 0.700%) | 2.950% | 9/25/35 | 1763868 | 1694455 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; GMACM Mortgage Loan Trust, 2006-AR1 1A1 | 2.984% | 4/19/36 | 349028 | 261572 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2010-85 HS, IO, PAC (-1.000 x 1 mo. USD LIBOR + 6.650%) | 2.711% | 1/20/40 | 4124 | 52 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2011-140 AI, IO | 4.000% | 10/16/26 | 31561 | 112 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2011-H01 AF (1 mo. USD LIBOR + 0.450%) | 3.593% | 11/20/60 | 448422 | 444581 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2011-H11 FB (1 mo. USD LIBOR + 0.500%) | 3.643% | 4/20/61 | 583370 | 578500 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2012-43 SN, IO (-1.000x1mo. USD LIBOR + 6.600%) | 2.713% | 4/16/42 | 1506246 | 193420 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2013-105 IO, IO | 0.219% | 6/16/54 | 14982506 | 36873 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2014-134 IA, IO | 0.148% | 1/16/55 | 55714855 | 287422 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2014-157 IO, IO | 0.192% | 5/16/55 | 7858320 | 66996 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2014-176 IA, IO | 4.000% | 11/20/44 | 426435 | 74209 |

---

See Notes to Schedule of Investments.

8 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Western Asset SMASh Series M Fund 2022 Quarterly Report

------

**Western Asset Smash Series M Fund** 

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | Maturity<br>Date | Face<br>Amount | Value |
| **Collateralized Mortgage Obligations** <sup>(d)</sup> **— continued** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2015-36 MI, IO | 5.500% | 3/20/45 | $588799 | $108440 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2015-167 OI, IO | 4.000% | 4/16/45 | 237383 | 38040 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2017-28 IO, IO | 0.680% | 2/16/57 | 911768 | 34001 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2018-H07 FD (1 mo. USD LIBOR + 0.300%) | 3.443% | 5/20/68 | 939617 | 932722 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2019-90 AB | 3.000% | 7/20/49 | 3969180 | 3603679 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-47 MI, IO, PAC | 3.500% | 4/20/50 | 1573198 | 250749 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-47 NI, IO, PAC | 3.500% | 4/20/50 | 599441 | 92477 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-127 IN, IO | 2.500% | 8/20/50 | 641743 | 93492 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-129 IE, IO | 2.500% | 9/20/50 | 665130 | 97891 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-160 IH, IO | 2.500% | 10/20/50 | 422447 | 62121 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-160 VI, IO | 2.500% | 10/20/50 | 659441 | 92304 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-160 YI, IO | 2.500% | 10/20/50 | 2192775 | 298412 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-171 IO, IO | 0.958% | 10/16/60 | 85429019 | 5655338 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-H09 FL (1 mo. USD LIBOR + 1.150%) | 2.886% | 5/20/70 | 1663424 | 1626991 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-H09 NF (1 mo. USD LIBOR + 1.250%) | 4.393% | 4/20/70 | 2540048 | 2540580 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-H12 F (1 mo. USD LIBOR + 0.500%) | 3.643% | 7/20/70 | 254222 | 244033 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-H13 FC (1 mo. USD LIBOR + 0.450%) | 3.142% | 7/20/70 | 105441 | 100786 <sup>(b)</sup> |

---

See Notes to Schedule of Investments.

Western Asset SMASh Series M Fund 2022 Quarterly Report 9

------

Schedule of Investments (unaudited) (cont'd)

November 30, 2022

**Western Asset SMASh Series M Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | Maturity<br>Date | Face<br>Amount | Value |
| **Collateralized Mortgage Obligations** <sup>(d)</sup> **— continued** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-H13 FM (1 mo. USD LIBOR + 0.400%) | 3.543% | 8/20/70 | $2981366 | $2943707 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; GS Mortgage Securities Corp. Trust, 2018- GS9 B | 4.321% | 3/10/51 | 1725000 | 1508482 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; GS Mortgage Securities Trust, 2013-GC16 B | 5.161% | 11/10/46 | 500000 | 486616 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; GS Mortgage Securities Corp. Trust, 2021-ROSS C (1 mo. USD LIBOR + 2.000%) | 5.876% | 5/15/26 | 5190000 | 4602620 <sup>(b)(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; GS Mortgage Securities Corp. Trust, 2021-ROSS D (1 mo. USD LIBOR + 2.500%) | 6.376% | 5/15/26 | 8660000 | 7519087 <sup>(b)(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; GS Mortgage-Backed Securities Corp. Trust, 2018-RPL1 A1A | 3.750% | 10/25/57 | 12328899 | 11882155 <sup>(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; GS Mortgage-Backed Securities Corp. Trust, 2021-RPL1 A2 | 2.000% | 12/25/60 | 16090000 | 12841324 <sup>(b)(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; HomeBanc Mortgage Trust, 2004-2 A1 (1 mo. USD LIBOR + 0.740%) | 4.784% | 12/25/34 | 1288844 | 1187788 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; IMPAC CMB Trust, 2004-7 1A1 (1 mo. USD LIBOR + 0.740%) | 4.784% | 11/25/34 | 2574052 | 2505203 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; JPMorgan Chase Commercial Mortgage Securities Trust, 2014-C20, C | 4.712% | 7/15/47 | 700000 | 624107 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; JPMorgan Mortgage Trust, 2005-S3 1A1 | 6.500% | 1/25/36 | 447953 | 246471 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; JPMorgan Mortgage Trust, 2015-5 A9 | 4.401% | 5/25/45 | 502414 | 483839 <sup>(b)(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; JPMorgan Mortgage Trust, 2018-4 A1 | 3.500% | 10/25/48 | 2011102 | 1769161 <sup>(b)(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; JPMorgan Resecuritization Trust, 2014-6 1A2 (1 mo. USD LIBOR + 0.210%) | 2.617% | 7/27/36 | 4623463 | 4110453 <sup>(b)(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Legacy Mortgage Asset Trust, 2020-GS5 A1, Step bond (3.250% to 8/25/23, 6.250% to 8/25/24 then 7.250%) | 3.250% | 6/25/60 | 6073400 | 5880926 <sup>(b)(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; MASTR Adjustable Rate Mortgages Trust, 2005-7 3A1 | 3.019% | 9/25/35 | 55800 | 34467 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Merrill Lynch Mortgage Investors Trust, 2006-A1 1A1 | 3.287% | 3/25/36 | 314767 | 201505 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; New Residential Mortgage Loan Trust, 2016-3A A1B | 3.250% | 9/25/56 | 2747810 | 2508122 <sup>(b)(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; New Residential Mortgage Loan Trust, 2016-4A A1 | 3.750% | 11/25/56 | 3645044 | 3350689 <sup>(b)(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; New Residential Mortgage Loan Trust, 2017-4A A1 | 4.000% | 5/25/57 | 11207838 | 10474646 <sup>(b)(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; New Residential Mortgage Loan Trust, 2019-2A A1 | 4.250% | 12/25/57 | 14722199 | 13987280 <sup>(b)(e)</sup> |

---

See Notes to Schedule of Investments.

10 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Western Asset SMASh Series M Fund 2022 Quarterly Report

------

**Western Asset SMASh Series M Fund** 

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | Maturity<br>Date | Face<br>Amount | Value |
| **Collateralized Mortgage Obligations** <sup>(d)</sup> **— continued** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; New Residential Mortgage Loan Trust, 2021-NQM3 A1 | 1.156% | 11/27/56 | $5441883 | $4540097 <sup>(b)(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; OPG Trust, 2021-PORT D (1 mo. USD LIBOR + 1.131%) | 5.006% | 10/15/36 | 2583861 | 2389885 <sup>(b)(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; PFP Ltd., 2021-8 A (1 mo. USD LIBOR + 1.000%) | 4.904% | 8/9/37 | 4601450 | 4419757 <sup>(b)(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; PRKCM Trust, 2021-AFC1 A1 | 1.510% | 8/25/56 | 17819361 | 14269398 <sup>(b)(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; RALI Trust, 2006-QO7 3A2 (1 mo. USD LIBOR + 0.410%) | 4.454% | 9/25/46 | 294808 | 268799 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; RAMP Trust, 2005-SL1 A7 | 8.000% | 5/25/32 | 18015 | 12025 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Regal Trust IV, 1999-1 A (11th District Cost of Funds + 1.500%) | 2.369% | 9/29/31 | 153 | 147 <sup>(b)(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Residential Asset Securitization Trust, 2005- A15 1A4 | 5.750% | 2/25/36 | 507851 | 461334 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; SFO Commercial Mortgage Trust, 2021-555 A (1 mo. USD LIBOR + 1.150%) | 5.025% | 5/15/38 | 9120000 | 8418061 <sup>(b)(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; SREIT Trust, 2021-PALM A (1 mo. USD LIBOR + 0.590%) | 4.465% | 10/15/34 | 12605000 | 11957215 <sup>(b)(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Structured Adjustable Rate Mortgage Loan Trust, 2004-2 4A1 | 3.739% | 3/25/34 | 78298 | 72250 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Structured Asset Mortgage Investments II Trust, 2005-AR7 4A1 (Federal Reserve U.S. 12 mo. Cumulative Avg 1 Year CMT + 2.150%) | 3.839% | 3/25/46 | 169580 | 166376 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Structured Asset Securities Corp. Mortgage Pass-Through Certificates, 2003-9A 2A2 | 3.858% | 3/25/33 | 64390 | 61246 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Towd Point Mortgage Trust, 2019-HY2 A1 (1 mo. USD LIBOR + 1.000%) | 5.044% | 5/25/58 | 7617881 | 7513053 <sup>(b)(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Towd Point Mortgage Trust, 2020-2 M1B | 3.000% | 4/25/60 | 8740000 | 6665259 <sup>(b)(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; WaMu Mortgage Pass-Through Certificates Trust, 2004-AR13 A1B2 (1 mo. USD LIBOR + 0.980%) | 4.996% | 11/25/34 | 4348668 | 3923813 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; WaMu Mortgage Pass-Through Certificates Trust, 2005-AR9 A1A (1 mo. USD LIBOR + 0.640%) | 4.684% | 7/25/45 | 36365 | 32996 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; WFRBS Commercial Mortgage Trust, 2014- C24 B | 4.204% | 11/15/47 | 1670000 | 1518072 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Collateralized Mortgage Obligations (Cost — $614,194,571)** |  |  |  | **559927972** |
| **Asset-Backed Securities — 17.3%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Applebee's Funding LLC/IHOP Funding LLC, 2019-1A A2I | 4.194% | 6/5/49 | 4950000 | 4701683 <sup>(e)</sup> |

---

See Notes to Schedule of Investments.

Western Asset SMASh Series M Fund 2022 Quarterly Report 11

------

Schedule of Investments (unaudited) (cont'd)

November 30, 2022

---

| |
|:---|
| **Western Asset SMASh Series M Fund** |
| (Percentages shown based on Fund net assets) |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | Maturity<br>Date | Face<br>Amount | Value |
| **Asset-Backed Securities — continued** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Arbor Realty Commercial Real Estate Notes Ltd., 2021-FL3 A (1 mo. USD LIBOR + 1.070%) | 4.945% | 8/15/34 | $3000000 | $2880015 <sup>(b)(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Avis Budget Rental Car Funding AESOP LLC, 2021-1A A | 1.380% | 8/20/27 | 8654000 | 7470278 <sup>(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bayview Financial Asset Trust, 2007-SR1A M2 (1 mo. USD LIBOR + 0.900%) | 4.944% | 3/25/37 | 335426 | 339953 <sup>(b)(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Blackbird Capital Aircraft Lease Securitization Ltd., 2016-1A A, Step bond (4.213% to 12/16/24 then 6.500%) | 4.213% | 12/16/41 | 16079559 | 13165192 <sup>(b)(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; BRSP Ltd., 2021-FL1 A (1 mo. USD LIBOR + 1.150%) | 5.089% | 8/19/38 | 5490000 | 5320788 <sup>(b)(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Countrywide Asset-Backed Certificates Trust, 2004-5 2A (1 mo. USD LIBOR + 0.500%) | 4.544% | 10/25/34 | 1941956 | 1801256 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Countrywide Asset-Backed Certificates Trust, 2006-SD3 A1 (1 mo. USD LIBOR + 0.660%) | 4.704% | 7/25/36 | 12740 | 12351 <sup>(b)(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CSMC Trust, 2017-RPL1 A1 | 2.750% | 7/25/57 | 8690997 | 8295332 <sup>(b)(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CSMC Trust, 2017-RPL1 M1 | 2.951% | 7/25/57 | 20370000 | 16832982 <sup>(b)(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Dividend Solar Loans LLC, 2019-1 A | 3.670% | 8/22/39 | 251766 | 228949 <sup>(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foundation Finance Trust, 2021-1A A | 1.270% | 5/15/41 | 4139455 | 3705686 <sup>(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Goodgreen Trust, 2021-1A A | 2.660% | 10/15/56 | 8863008 | 7204416 <sup>(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Greystone CRE Notes Ltd., 2021-FL3 A (1 mo. USD LIBOR + 1.020%) | 4.895% | 7/15/39 | 3880000 | 3713285 <sup>(b)(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hardee's Funding LLC, 2021-1A A2 | 2.865% | 6/20/51 | 8571500 | 6818266 <sup>(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hertz Vehicle Financing LLC, 2021-1A A | 1.210% | 12/26/25 | 3690000 | 3386088 <sup>(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hertz Vehicle Financing LLC, 2021-1A B | 1.560% | 12/26/25 | 8690000 | 7919531 <sup>(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hertz Vehicle Financing LP, 2021-2A A | 1.680% | 12/27/27 | 16380000 | 14031457 <sup>(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hertz Vehicle Financing LP, 2021-2A B | 2.120% | 12/27/27 | 8690000 | 7281267 <sup>(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; KREF Ltd., 2021-FL2 A (1 mo. USD LIBOR + 1.070%) | 4.981% | 2/15/39 | 4360000 | 4205221 <sup>(b)(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; MASTR Asset-Backed Securities Trust, 2007-NCW A1 (1 mo. USD LIBOR + 0.300%) | 4.344% | 5/25/37 | 4303920 | 3864013 <sup>(b)(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; MF1 Ltd., 2021-FL7 A (1 mo. USD LIBOR + 1.080%) | 5.019% | 10/16/36 | 3560000 | 3405616 <sup>(b)(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Morgan Stanley Mortgage Loan Trust, 2007-2AX 2A1 (1 mo. USD LIBOR + 0.180%) | 4.224% | 12/25/36 | 19192 | 7749 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Navient Private Education Refi Loan Trust, 2019-FA A2 | 2.600% | 8/15/68 | 11390185 | 10538239 <sup>(e)</sup> |

---

See Notes to Schedule of Investments.

12 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Western Asset SMASh Series M Fund 2022 Quarterly Report

------

**Western Asset SMASh Series M Fund** 

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | Maturity<br>Date | Face<br>Amount | Value |
| **Asset-Backed Securities — continued** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Navient Student Loan Trust, 2017-2A A (1 mo. USD LIBOR + 1.050%) | 5.066% | 12/27/66 | $25161473 | $24639750 <sup>(b)(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Navient Student Loan Trust, 2021-1A A1B (1 mo. USD LIBOR + 0.600%) | 4.644% | 12/26/69 | 2572197 | 2489645 <sup>(b)(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Nelnet Student Loan Trust, 2021-A B1 | 2.850% | 4/20/62 | 17500000 | 14034015 <sup>(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Northstar Education Finance Inc., 2007-1 A3 (3 mo. USD LIBOR + 0.750%) | 5.124% | 1/29/46 | 2157794 | 2149972 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Origen Manufactured Housing Contract Trust, 2007-A A2 | 6.040% | 4/15/37 | 256970 | 237500 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; RAAC Trust, 2006-RP3 A (1 mo. USD LIBOR + 0.270%) | 4.286% | 5/25/36 | 24187 | 23966 <sup>(b)(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; RAAC Trust, 2006-SP1 M1 (1 mo. USD LIBOR + 0.600%) | 4.644% | 9/25/45 | 665541 | 634625 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Renaissance Home Equity Loan Trust, 2003-2 A (1 mo. USD LIBOR + 0.880%) | 4.022% | 8/25/33 | 614115 | 560002 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Renaissance Home Equity Loan Trust, 2007-3 AV2 (1 mo. USD LIBOR + 1.000%) | 5.044% | 9/25/37 | 183051 | 153864 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Renaissance Home Equity Loan Trust, 2007-3 AV3 (1 mo. USD LIBOR + 1.800%) | 5.844% | 9/25/37 | 801440 | 677716 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Residential Funding Securities Corp., 2002- RP2 A1 (1 mo. USD LIBOR + 1.500%) | 5.544% | 10/25/32 | 2156 | 2103 <sup>(b)(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; SBA Small Business Investment Cos., 2017-10A 1 | 2.845% | 3/10/27 | 814367 | 769076 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; SLM Student Loan Trust, 2003-10A A4 (3 mo. USD LIBOR + 0.670%) | 3.963% | 12/17/68 | 8464582 | 7933243 <sup>(b)(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; SMB Private Education Loan Trust, 2020-A A2A | 2.230% | 9/15/37 | 14091070 | 12797048 <sup>(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; SMB Private Education Loan Trust, 2021-A A2B | 1.590% | 1/15/53 | 17696254 | 15154514 <sup>(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; SMB Private Education Loan Trust, 2021-A B | 2.310% | 1/15/53 | 10000000 | 8723263 <sup>(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; SMB Private Education Loan Trust, 2021-C D | 3.930% | 1/15/53 | 6233000 | 5525410 <sup>(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Structured Asset Securities Corp., 2004-SC1 A | 7.869% | 12/25/29 | 7945 | 6841 <sup>(b)(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Structured Asset Securities Corp. Mortgage Pass-Through Certificates, 2001-SB1 A2 | 3.375% | 8/25/31 | 74503 | 73337 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Sunrun Vulcan Issuer LLC, 2021-1A A | 2.460% | 1/30/52 | 3276491 | 2638624 <sup>(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Thrust Engine Leasing, 2021-1A A | 4.163% | 7/15/40 | 8241935 | 6059404 <sup>(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; UCFC Manufactured Housing Contract, 1998-2 A4 | 6.587% | 10/15/29 | 139001 | 138636 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Asset-Backed Securities (Cost — $274,076,098)** |  |  |  | **242552167** |

---

See Notes to Schedule of Investments.

Western Asset SMASh Series M Fund 2022 Quarterly Report 13

------

Schedule of Investments (unaudited) (cont'd)

November 30, 2022

---

| |
|:---|
| **Western Asset SMASh Series M Fund** |
| (Percentages shown based on Fund net assets) |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| Security | Rate | Maturity<br>Date | Face<br>Amount | Value |  |
| **Corporate Bonds & Notes — 3.6%** |  |  |  |  |  |
| **Communication Services — 1.0%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Diversified Telecommunication Services — 0.3%* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Diversified Telecommunication Services — 0.3%* |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; AT&T Inc., Senior Notes | 2.250% | 2/1/32 | $1100000 | $872655 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Verizon Communications Inc., Senior Notes | 2.355% | 3/15/32 | 2210000 | 1775865 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Verizon Communications Inc., Senior Notes | 4.500% | 8/10/33 | 2160000 | 2048579 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Diversified Telecommunication Services* |  |  |  | *4697099* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Media — 0.4%* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Media — 0.4%* |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes | 5.375% | 5/1/47 | 900000 | 745592 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes | 5.125% | 7/1/49 | 2890000 | 2293617 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comcast Corp., Senior Notes | 3.969% | 11/1/47 | 1460000 | 1188486 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comcast Corp., Senior Notes | 2.887% | 11/1/51 | 1170000 | 782360 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Media* |  |  |  | *5010055* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Wireless Telecommunication Services — 0.3%* |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, Senior Secured Notes | 4.738% | 3/20/25 | 775000 | 765369 | <sup>(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; T-Mobile USA Inc., Senior Notes | 3.875% | 4/15/30 | 3410000 | 3135155 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Wireless Telecommunication Services* |  |  |  | *3900524* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Communication Services** |  |  |  | **13607678** |  |
| **Energy — 0.5%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Oil, Gas & Consumable Fuels — 0.5%* |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; EOG Resources Inc., Senior Notes | 3.900% | 4/1/35 | 2210000 | 2006000 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; EQT Corp., Senior Notes | 7.000% | 2/1/30 | 5000000 | 5267143 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Energy** |  |  |  | **7273143** |  |
| **Financials — 0.5%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Banks — 0.4%* |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; BAC Capital Trust XIV, Junior Subordinated Notes (3 mo. USD LIBOR + 0.400%, 4.000% floor) | 4.000% | 12/16/22 | 200000 | 151124 | <sup>(b)(f)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Banco Santander SA, Senior Notes (4.175% to 3/24/27 then 1 year Treasury Constant Maturity Rate + 2.000%) | 4.175% | 3/24/28 | 800000 | 742054 | <sup>(b)</sup> |

---

See Notes to Schedule of Investments.

14 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Western Asset SMASh Series M Fund 2022 Quarterly Report

------

**Western Asset SMASh Series M Fund** 

(Percentages shown based on Fund net assets)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| Security | Rate | Maturity<br>Date | Face<br>Amount | Value |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Banks — continued* |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bank of Nova Scotia, Subordinated Notes (4.588% to 5/4/32 then 5 year Treasury Constant Maturity Rate + 2.050%) | 4.588% | 5/4/37 | $4420000 | $3817649 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cooperatieve Rabobank UA, Senior Notes (3.758% to 4/6/32 then 1 year Treasury Constant Maturity Rate + 1.420%) | 3.758% | 4/6/33 | 880000 | 755024 | <sup>(b)(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Banks* |  |  |  | *5465851* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Capital Markets — 0.1%* |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Suisse AG, Senior Notes | 3.700% | 2/21/25 | 2250000 | *2049797* |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Insurance — 0.0%††* |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ambac Assurance Corp., Subordinated Notes | 5.100% | 6/7/2171 | 8944 | *12477* | <sup>(e)(f)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Financials** |  |  |  | **7528125** |  |
| **Industrials — 1.3%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Transportation Infrastructure — 1.3%* |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; DP World Ltd., Senior Notes | 5.625% | 9/25/48 | 20510000 | **18637601** | **<sup>(e)</sup>** |
| **Materials — 0.3%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Chemicals — 0.2%* |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; OCP SA, Senior Notes | 4.500% | 10/22/25 | 1980000 | *1939529* | <sup>(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Metals & Mining — 0.1%* |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Freeport-McMoRan Inc., Senior Notes | 5.450% | 3/15/43 | 1550000 | *1391629* |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Materials** |  |  |  | **3331158** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Corporate Bonds & Notes (Cost — $54,800,962)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Corporate Bonds & Notes (Cost — $54,800,962)** |  |  | **50377705** |  |
| **Sovereign Bonds — 0.8%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Mexico — 0.6%* |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Mexico Government International Bond, Senior Notes | 4.600% | 2/10/48 | 6810000 | 5504584 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Mexico Government International Bond, Senior Notes | 5.750% | 10/12/2110 | 3430000 | 2976621 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Mexico* |  |  |  | *8481205* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Qatar — 0.2%* |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Qatar Government International Bond, |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Senior Notes | 3.250% | 6/2/26 | 1580000 | 1520752 | <sup>(g)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Qatar Government International Bond, |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Senior Notes | 4.817% | 3/14/49 | 1880000 | 1830650 | <sup>(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Qatar* |  |  |  | *3351402* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Sovereign Bonds (Cost — $14,154,549)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Sovereign Bonds (Cost — $14,154,549)** |  |  | **11832607** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investments before Short-Term Investments (Cost — $1,543,184,108)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investments before Short-Term Investments (Cost — $1,543,184,108)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investments before Short-Term Investments (Cost — $1,543,184,108)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investments before Short-Term Investments (Cost — $1,543,184,108)** | **1437792244** |  |

---

See Notes to Schedule of Investments.

Western Asset SMASh Series M Fund 2022 Quarterly Report 15

------

Schedule of Investments (unaudited) (cont'd)

November 30, 2022

**Western Asset SMASh Series M Fund** 

(Percentages shown based on Fund net assets)

---

| | | | |
|:---|:---|:---|:---|
| Security | Rate | Shares | Value |
| **Short-Term Investments — 10.2%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; BNY Mellon Cash Reserve Fund<br> (Cost — $142,484,674) | 1.800% | 142484674 | $142484674 <sup>(h)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investments — 112.5% (Cost — $1,685,668,782)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investments — 112.5% (Cost — $1,685,668,782)** |  | **1580276918** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Liabilities in Excess of Other Assets — (12.5)% |  |  | (175014336) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Net Assets — 100.0%** |  |  | $**1405262582** |

---

---

| | |
|:---|:---|
| †† | Represents less than 0.1% .  |

---

(a) Securities traded on a when-issued or delayed delivery basis.

(b) Variable rate security. Interest rate disclosed is as of the most recent information available. Certain
variable rate securities are not based on a published 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 reference rate and spread in their description
above.

(c) This security is traded on a to-be-announced ("TBA") basis. At November 30, 2022, the Fund held TBA securities with a total cost of $231,833,451.

(d) Collateralized mortgage obligations are secured by an underlying pool of mortgages or mortgage pass-through
certificates that are structured to direct 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 more interest rates, financial indices or
other financial indicators and may be subject to an upper and/or lower limit.

(e) 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 registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees.

(f) Security has no maturity date. The date shown represents the next call date.

(g) 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 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 Board of Trustees.

(h) Rate shown is one-day yield as of the end of the reporting period.

<u>**Abbreviation(s) used in this schedule:**</u> 

---

| | |
|:---|:---|
| ACES | — Alternative Credit Enhancement Securities |
| CAS | — Connecticut Avenue Securities |
| CMT | — Constant Maturity Treasury |
| IO | — Interest Only |
| 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 |

---

See Notes to Schedule of Investments.

16 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Western Asset SMASh Series M Fund 2022 Quarterly Report

------

**Western Asset SMASh Series M Fund** 

At November 30, 2022, the Fund had the following open futures contracts:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | Number of<br>Contracts | Expiration<br>Date | Notional<br>Amount | Market<br>Value | Unrealized<br>Appreciation<br>(Depreciation) |
| **Contracts to Buy:** |  |  |  |  |  |
|  U.S. Treasury 2-Year Notes 2,061 |  | 3/23 | $422750090 | $423245674 | $495584 |
|  U.S. Treasury 5-Year Notes 20,067 |  | 3/23 | 2168124947 | 2178680411 | 10555464 |
|  U.S. Treasury Long-Term Bonds | 38 | 3/23 | 4784296 | 4826000 | 41704 |
|  U.S. Treasury Ultra |  |  |  |  |  |
|  Long-Term Bonds | 291 | 3/23 | 39142427 | 39657844 | 515417 |
|  |  |  |  |  | 11608169 |
| **Contracts to Sell:** |  |  |  |  |  |
|  U.S. Treasury 10-Year Notes 897 |  | 3/23 | 101226145 | 101809500 | (583355) |
|  U.S. Treasury Ultra 10-Year Notes | 19 | 3/23 | 2251503 | 2273469 | (21966) |
|  |  |  |  |  | (605321) |
| **Net unrealized appreciation on open futures contracts** |  |  |  |  | $**11002848** |

---

At November 30, 2022, the Fund had the following open swap contracts:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **CENTRALLY CLEARED INTEREST RATE SWAPS** | **CENTRALLY CLEARED INTEREST RATE SWAPS** | **CENTRALLY CLEARED INTEREST RATE SWAPS** | **CENTRALLY CLEARED INTEREST RATE SWAPS** | **CENTRALLY CLEARED INTEREST RATE SWAPS** | **CENTRALLY CLEARED INTEREST RATE SWAPS** | **CENTRALLY CLEARED INTEREST RATE SWAPS** |
|  | Notional<br>Amount | Termination<br>Date | Payments Made by<br>the Fund<sup>†</sup> | Payments<br>Received by<br>the Fund<sup>†</sup> | Upfront<br>Premiums Paid<br>(Received) | Unrealized<br>Appreciation |
|  | 69845000 | 2/15/47 | 1.520% annually | Daily SOFR<br>Compound<br>annually | $(2250387) | $22078655 |
|  | 27580000 | 8/15/47 | 1.650% annually | Daily SOFR<br>Compound<br>annually | 2772623 | 4508869 |
| **Total** |  |  |  |  | $**522236** | $**26587524** |

---

See Notes to Schedule of Investments.

Western Asset SMASh Series M Fund 2022 Quarterly Report 17

------

Schedule of investments (unaudited) (cont'd)

November 30, 2022

**Western Asset SMASh Series M Fund**

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — SELL PROTECTION<sup>1</sup>** | **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — SELL PROTECTION<sup>1</sup>** | **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — SELL PROTECTION<sup>1</sup>** | **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — SELL PROTECTION<sup>1</sup>** | **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — SELL PROTECTION<sup>1</sup>** | **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — SELL PROTECTION<sup>1</sup>** | **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — SELL PROTECTION<sup>1</sup>** |
| Reference Entity | Notional<br>Amount<sup>2</sup> | Termination<br>Date | Periodic<br>Payments<br>Received by<br>the Fund<sup>†</sup> | Market<br>Value<sup>3</sup> | Upfront<br>Premiums<br>Paid<br>(Received) | Unrealized<br>Appreciation |
|  Markit CDX.NA.IG.38 Index | $56970000 | 6/20/27 | 1.000% quarterly | $752972 | $669010 | $83962 |
|  Markit CDX.NA.IG.39 Index | 109591000 | 12/20/27 | 1.000% quarterly | 1194565 | 513918 | 680647 |
| **Total** | $**166561000** |  |  | $**1947537** | $**1182928** | $**764609** |

---

---

| | |
|:---|:---|
| 1 | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.  |

---

---

| | |
|:---|:---|
| 2 | 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 occurs as defined under the terms of that particular swap agreement.  |

---

---

| | |
|:---|:---|
| 3 | 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 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 of the swap agreement been closed/sold as of the period end. Decreasing market values (sell protection) or increasing market values (buy protection) when 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 default or other credit event occurring as defined under the terms of the agreement.  |

---

† Percentage shown is an annual percentage rate.

<u>**Abbreviation(s) used in this table:**</u> 

SOFR — Secured Overnight Financing Rate

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.

18 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Western Asset SMASh Series M Fund 2022 Quarterly Report

------

Notes to Schedule of Investments (unaudited)

**1. Organization and significant accounting policies** 

Western Asset SMASh Series M Fund (the "Fund") is a separate diversified investment series of Legg Mason Partners Institutional Trust (the "Trust"). The Trust, a Maryland statutory trust, is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company.

Shares of the Fund may be purchased only by or on behalf of separately managed account clients where an affiliate of Legg Mason Partners Fund Advisor, LLC ("LMPFA") has an agreement to serve as investment adviser or subadviser (each affiliate, a "Managed Account Adviser") to the account with the managed account program sponsor (the "Program Sponsor") (typically, a registered investment adviser or broker/dealer) or directly with the client. Shareholders of the Fund pay fees to their separately managed account sponsor, some of which are paid to affiliates of LMPFA. LMPFA and the subadvisers do not charge investment management fees to the Fund.

The Fund follows the accounting and reporting guidance in Financial Accounting Standards Board ("FASB") Accounting Standard 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 Trustees.

<br>19<br>

------

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

Pursuant to policies adopted by the Board of Trustees, 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 of Trustees. 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 of Trustees, 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 of Trustees 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.

<br>20<br>

------

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:

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

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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• 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:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **ASSETS** | **ASSETS** | **ASSETS** | **ASSETS** | **ASSETS** |
| Description | Quoted Prices<br>(Level 1) | Other Significant<br>Observable Inputs<br>(Level 2) | Significant<br>Unobservable<br>Inputs (Level<br>3) | Total |
|  Long-Term Investments†: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Mortgage-Backed Securities |  | $573101793 |  | $573101793 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Collateralized Mortgage |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Obligations |  | 559927972 |  | 559927972 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Asset-Backed Securities |  | 242552167 |  | 242552167 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Corporate Bonds & Notes |  | 50377705 |  | 50377705 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Sovereign Bonds |  | 11832607 |  | 11832607 |
|  Total Long-Term Investments |  | 1437792244 |  | 1437792244 |
|  Short-Term Investments† |  | 142484674 |  | 142484674 |
| **Total Investments** | **—** | $**1580276918** |  | $**1580276918** |
|  Other Financial Instruments: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts†† | $11608169 |  |  | $11608169 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Centrally Cleared Interest Rate Swaps†† |  | $26587524 |  | 26587524 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Centrally Cleared Credit Default Swaps on Credit Indices — Sell Protection†† |  | 764609 |  | 764609 |
| **Total Other Financial Instruments** | $**11608169** | $**27352133** |  | $**38960302** |
| **Total** | $**11608169** | $**1607629051** |  | $**1619237220** |

---

<br>21<br>

------

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

---

| | | | | |
|:---|:---|:---|:---|:---|
| **LIABILITIES** | **LIABILITIES** | **LIABILITIES** | **LIABILITIES** | **LIABILITIES** |
| Description | Quoted Prices<br>(Level 1) | Other Significant<br>Observable Inputs<br>(Level 2) | Significant<br>Unobservable<br>Inputs<br>(Level 3) | Total |
|  Other Financial Instruments: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts†† | $605321 |  |  | $605321 |

---

† See Schedule of Investments for additional detailed categorizations.

†† Reflects the unrealized appreciation (depreciation) of the instruments.

<br>22<br>

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10018

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

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

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

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

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

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

- **a. Date of fiscal year-end:** 2023-02-28

- **b. Date as of which information is reported:** 2022-11-30

**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:** $2172351236.61

**Total Liabilities:** $767351935.47

**Net Assets:** $1404999301.14

**Delayed Delivery Securities:** $84880056.16

**Stand-by Commitments:** $507692606.80

**Currency Risk Metrics (dv01):**

- 

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

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

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

- **3-Month:** 439.10000000 | **1-Year:** 117927.79000000 | **5-Year:** 469977.31000000 | **10-Year:** 45152.51000000 | **30-Year:** -54122.65000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000040179 | -7.86%               | -2.60%               | 4.66%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-15468987.26            | $-42506611.03                              |
| Month 2  | $-20268380.85            | $-5025683.03                               |
| Month 3  | $-7363872.64             | $36678233.12                               |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Hertz Vehicle Financing LLC                 | Hertz Vehicle Financing III LP                                                   | CUSIP: 42806MAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8690000 | PA      | $7281266.71   | 0.52%             | 2027-12-27      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2020-B21 Mortgage Trust                                                | CUSIP: 08163LAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13020000 | PA      | $9822412.99   | 0.70%             | 2053-12-17      | Fixed         | 2.46%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                 | Hertz Vehicle Financing LLC                                                      | CUSIP: 42806MAA7<br>LEI: 5493004IHDYOZ9K9WF47 | Long             | ABS-O            | CORP              | US        |   3690000 | PA      | $3386087.54   | 0.24%             | 2025-12-26      | Fixed         | 1.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136AKTB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    710258 | PA      | $30554.10     | 0.00%             | 2044-08-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                              | Fannie Mae-Aces                                                                  | CUSIP: 3136B8TR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5587181 | PA      | $177060.01    | 0.01%             | 2028-02-25      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 3137AGE55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    139674 | PA      | $12479.74     | 0.00%             | 2041-10-15      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F0306C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -3000000 | PA      | $-2656255.83  | -0.19%            | 2052-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | CBOT US Long Bond                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        38 | NC      | $41703.45     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140HWJ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4593666 | PA      | $4036643.54   | 0.29%             | 2031-11-01      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| Applebees/IHOP Funding LLC                  | Applebee's Funding LLC / IHOP Funding LLC                                        | CUSIP: 03789XAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4950000 | PA      | $4701682.76   | 0.33%             | 2049-06-05      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                  | Navient Student Loan Trust 2021-1                                                | CUSIP: 63942NAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2572197 | PA      | $2489645.18   | 0.18%             | 2069-12-26      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F022618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   -100000 | PA      | $-85675.78    | -0.01%            | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F050619<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -1800000 | PA      | $-1791281.25  | -0.13%            | 2050-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer              | WaMu Mortgage Pass-Through Certificates Series 2005-AR9 Trust                    | CUSIP: 92922FU48<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36365 | PA      | $32995.80     | 0.00%             | 2045-07-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36195JJM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16659 | PA      | $15494.64     | 0.00%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                             | Goodgreen 2021-1 Trust                                                           | CUSIP: 38217UAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8863008 | PA      | $7204416.42   | 0.51%             | 2056-10-15      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2021-DNA3                                          | CUSIP: 35564KEL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  25300000 | PA      | $23893519.87  | 1.70%             | 2033-10-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36241LW51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65535 | PA      | $66227.03     | 0.00%             | 2041-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133AGRE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    415051 | PA      | $348880.38    | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR Remic Trust 2020-DNA2                                          | CUSIP: 35565KAH1<br>LEI: 5493007ZK0X40BI7UF30 | Long             | ABS-MBS          | CORP              | US        |   3784150 | PA      | $3758044.72   | 0.27%             | 2050-02-25      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179TJ22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    653517 | PA      | $666542.70    | 0.05%             | 2047-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202FHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9056 | PA      | $9296.38      | 0.00%             | 2040-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140L1UL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    873236 | PA      | $731583.22    | 0.05%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179UPC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1047935 | PA      | $1054402.90   | 0.08%             | 2049-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136A6X74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34256 | PA      | $3613.54      | 0.00%             | 2042-07-25      | Floating      | 2.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140FXTS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1814707 | PA      | $1519736.42   | 0.11%             | 2061-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Small Business Administration               | SBA Small Business Investment Cos                                                | CUSIP: 831641FH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    814367 | PA      | $769075.81    | 0.05%             | 2027-03-10      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 3617K1ZG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1981771 | PA      | $1877360.70   | 0.13%             | 2049-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XGV97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2129696 | PA      | $1954762.72   | 0.14%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XFY88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11869262 | PA      | $9856015.34   | 0.70%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 3622ABU83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     94850 | PA      | $86174.51     | 0.01%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Regal Trust IV                              | Regal Trust IV                                                                   | CUSIP: 758842AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       153 | PA      | $147.24       | 0.00%             | 2031-09-29      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo              | Merrill Lynch Mortgage Investors Trust Series 2006-A1                            | CUSIP: 59020U5U5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    314767 | PA      | $201504.88    | 0.01%             | 2036-03-25      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140L7PC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    313345 | PA      | $262510.65    | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | IRS USD                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $19862006.97  | 1.41%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XGRZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1631254 | PA      | $1498727.43   | 0.11%             | 2045-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru              | SMB Private Education Loan Trust 2020-A                                          | CUSIP: 78449UAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14091070 | PA      | $12797047.94  | 0.91%             | 2037-09-15      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| FRESB Multifamily Mortgage Pas              | FRESB 2015-SB7 Mortgage Trust                                                    | CUSIP: 30287WAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1763868 | PA      | $1694455.42   | 0.12%             | 2035-09-25      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                             | AREIT 2021-CRE5 Trust                                                            | CUSIP: 04002PAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   6255858 | PA      | $6013756.06   | 0.43%             | 2038-11-17      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137F62P1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11426756 | PA      | $651297.69    | 0.05%             | 2030-09-25      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38378XSQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  55714855 | PA      | $287421.80    | 0.02%             | 2055-01-16      | Variable      | 0.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179Q6P1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    225434 | PA      | $213354.65    | 0.02%             | 2045-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140L6TA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    163825 | PA      | $137400.46    | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202EPA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20227 | PA      | $21478.69     | 0.00%             | 2037-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F050627<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  50300000 | PA      | $50054394.66  | 3.56%             | 2053-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31410GE90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10600 | PA      | $11059.16     | 0.00%             | 2035-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                          | Banco Santander SA                                                               | CUSIP: 05964HAQ8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    800000 | PA      | $742053.89    | 0.05%             | 2028-03-24      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38374YVW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4124 | PA      | $52.05        | 0.00%             | 2040-01-20      | Floating      | 2.71%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC 2017-RPL3 Trust                                                             | CUSIP: 12651YAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13113502 | PA      | $11862929.99  | 0.84%             | 2057-08-01      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31371K7E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3914 | PA      | $3990.13      | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T              | Morgan Stanley Mortgage Loan Trust 2007-2AX                                      | CUSIP: 61751TAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19192 | PA      | $7748.84      | 0.00%             | 2036-12-25      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| Homebanc Mortgage Trust                     | HomeBanc Mortgage Trust 2004-2                                                   | CUSIP: 43739EAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1288844 | PA      | $1187788.43   | 0.08%             | 2034-12-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179TG33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15181 | PA      | $13886.77     | 0.00%             | 2047-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38379GZ83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    426435 | PA      | $74209.03     | 0.01%             | 2044-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GMAC Mortgage Corporation Loan              | GMACM Mortgage Loan Trust 2006-AR1                                               | CUSIP: 36185MDN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    349028 | PA      | $261572.14    | 0.02%             | 2036-04-19      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                             | Impac CMB Trust Series 2004-7                                                    | CUSIP: 45254NKF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2574052 | PA      | $2505203.18   | 0.18%             | 2034-11-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133AJFA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    412574 | PA      | $344110.78    | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC 2021-AFC1 Trust                                                             | CUSIP: 12657LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5271490 | PA      | $4114060.53   | 0.29%             | 2056-03-25      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179TSF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4937 | PA      | $4516.59      | 0.00%             | 2048-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38379U6W1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    911768 | PA      | $34001.47     | 0.00%             | 2057-02-16      | Variable      | 0.68%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                 | Hertz Vehicle Financing III LP                                                   | CUSIP: 42806MAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16380000 | PA      | $14031456.89  | 1.00%             | 2027-12-27      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 3622AAZZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4010098 | PA      | $3319465.25   | 0.24%             | 2051-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                             | Fannie Mae Interest Strip                                                        | CUSIP: 3136FLFG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50999 | PA      | $8005.35      | 0.00%             | 2041-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179SJS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    707567 | PA      | $649815.00    | 0.05%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                       | CUSIP: 21H052611<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  39100000 | PA      | $39551506.47  | 2.82%             | 2053-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31418DRW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21838891 | PA      | $18145980.46  | 1.29%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                            | T-Mobile USA Inc                                                                 | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   3410000 | PA      | $3135155.53   | 0.22%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                              | Fannie Mae-Aces                                                                  | CUSIP: 3136B8TZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  30341684 | PA      | $1290125.37   | 0.09%             | 2028-02-25      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                              | Fannie Mae-Aces                                                                  | CUSIP: 3136B57A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    531602 | PA      | $478609.89    | 0.03%             | 2029-09-25      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202FSG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    134765 | PA      | $143023.89    | 0.01%             | 2041-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179TUB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    573407 | PA      | $556082.18    | 0.04%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137F82T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9970576 | PA      | $527706.71    | 0.04%             | 2030-11-25      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2013-CCRE12 Mortgage Trust                                                  | CUSIP: 12591KAG0<br>LEI: 549300MGZ5FI5VFL1177 | Long             | ABS-MBS          | CORP              | US        |    180000 | PA      | $173381.20    | 0.01%             | 2046-10-10      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 3622ABUF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    287024 | PA      | $260808.18    | 0.02%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor              | JP Morgan Chase Commercial Mortgage Securities Trust 2014-C20                    | CUSIP: 46642CBQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $624106.56    | 0.04%             | 2047-07-15      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202FMC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6157 | PA      | $6343.63      | 0.00%             | 2040-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179VT26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3312821 | PA      | $3285660.34   | 0.23%             | 2050-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133AJE90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    304883 | PA      | $255044.88    | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136A6Q56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10777 | PA      | $9513.40      | 0.00%             | 2042-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac Structured Agency Credit Risk Debt Notes                             | CUSIP: 3137G0GX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |   2817313 | PA      | $2864675.00   | 0.20%             | 2028-04-25      | Floating      | 7.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3132ACYK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    181967 | PA      | $184149.34    | 0.01%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STATE OF QATAR                              | Qatar Government International Bond                                              | CUSIP: 000000000<br>LEI: 52990074F6OJOAXK4P65 | Long             | DBT              | NUSS              | QA        |   1580000 | PA      | $1520752.02   | 0.11%             | 2026-06-02      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                       | Mexico Government International Bond                                             | CUSIP: 91086QAZ1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   3430000 | PA      | $2976620.95   | 0.21%             | 2110-10-12      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                      | Verizon Communications Inc                                                       | CUSIP: 92343VEA8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   2160000 | PA      | $2048578.62   | 0.15%             | 2033-08-10      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3132ADGQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    276599 | PA      | $260683.30    | 0.02%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BAC CAPITAL TRUST XIV                       | BAC Capital Trust XIV                                                            | CUSIP: 05518VAA3<br>LEI: 549300QO5OB3VGJT6S64 | Long             | DBT              | CORP              | US        |    200000 | PA      | $151124.64    | 0.01%             | N/A             | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202FPM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6392 | PA      | $6690.19      | 0.00%             | 2041-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F030611<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  31500000 | PA      | $27914065.20  | 1.99%             | 2053-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 3617MB5S4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     90467 | PA      | $89001.98     | 0.01%             | 2050-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133AKJH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    318655 | PA      | $266961.04    | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179UCC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11475048 | PA      | $11393951.09  | 0.81%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202FB62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4154 | PA      | $4412.18      | 0.00%             | 2039-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3128M8W67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8803 | PA      | $9117.98      | 0.00%             | 2039-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AMBAC ASSURANCE CORP                        | Ambac Assurance Corp                                                             | CUSIP: 023138AA8<br>LEI: 549300RYYRVPPB8NC636 | Long             | DBT              | CORP              | US        |      8944 | PA      | $12476.78     | 0.00%             | N/A             | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140KKH80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    580292 | PA      | $485620.90    | 0.03%             | 2050-08-01      | 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        |       -19 | NC      | $-21966.12    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Non Gold Pool                                                        | CUSIP: 31288QFR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6610722 | PA      | $6268662.80   | 0.45%             | 2048-11-01      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                              | Fannie Mae-Aces                                                                  | CUSIP: 3136BDDH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  38455147 | PA      | $3221764.53   | 0.23%             | 2033-12-25      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan               | New Residential Mortgage Loan Trust 2019-2                                       | CUSIP: 64830DAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14722199 | PA      | $13987279.70  | 1.00%             | 2057-12-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                | Comcast Corp                                                                     | CUSIP: 20030NDS7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   1170000 | PA      | $782360.41    | 0.06%             | 2051-11-01      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 3617MB5B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    181525 | PA      | $178204.51    | 0.01%             | 2050-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38379JA50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    588799 | PA      | $108439.81    | 0.01%             | 2045-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortga              | MF1 2021-FL7 Ltd                                                                 | CUSIP: 55284AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3560000 | PA      | $3405615.62   | 0.24%             | 2036-10-16      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202F2A3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20344 | PA      | $21606.05     | 0.00%             | 2041-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31385XLY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5430 | PA      | $5604.44      | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36178NF95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6979224 | PA      | $6485177.45   | 0.46%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FTZM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  45298208 | PA      | $5466166.46   | 0.39%             | 2035-02-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac Structured Agency Credit Risk Debt Notes                             | CUSIP: 35564KDB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |  16930000 | PA      | $16380293.06  | 1.17%             | 2033-08-25      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138X7HH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10134 | PA      | $10008.07     | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 3622AAHA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    187619 | PA      | $176074.83    | 0.01%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179SLS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    900111 | PA      | $852948.30    | 0.06%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T              | Renaissance Home Equity Loan Trust 2003-2                                        | CUSIP: 759950AW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    614115 | PA      | $560002.35    | 0.04%             | 2033-08-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138LUTG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84964 | PA      | $84245.94     | 0.01%             | 2042-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179UH54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    221153 | PA      | $219634.17    | 0.02%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Trust 2015-5                                                           | CUSIP: 46644XAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    502414 | PA      | $483838.95    | 0.03%             | 2045-05-25      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| CSMC 2022-7R 1A1                            | CSMC 2022-7R 1A1                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  20144322 | PA      | $20193630.99  | 1.44%             | 2066-10-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F020612<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  33400000 | PA      | $27552390.46  | 1.96%             | 2053-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                             | Fannie Mae Interest Strip                                                        | CUSIP: 3136FG4R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5844 | PA      | $910.86       | 0.00%             | 2038-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2013-CCRE12 Mortgage Trust                                                  | CUSIP: 12591KAK1<br>LEI: 549300MGZ5FI5VFL1177 | Long             | ABS-MBS          | CORP              | US        |     80000 | PA      | $55200.00     | 0.00%             | 2046-10-10      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179WJS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1037483 | PA      | $943205.40    | 0.07%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC 2021-RPL6 Trust                                                             | CUSIP: 12657GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10411398 | PA      | $9141812.48   | 0.65%             | 2060-10-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| BNY MELLON CASH RESERVE EOD FUND            | BNY MELLON CASH RESERVE EOD FUND                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        | 144239292 | NS      | $144239291.72 | 10.27%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136AC3A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138298 | PA      | $20803.69     | 0.00%             | 2043-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38377YTW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31561 | PA      | $111.71       | 0.00%             | 2026-10-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38379FFB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    237383 | PA      | $38040.02     | 0.00%             | 2045-04-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137BXR20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  48484319 | PA      | $1051188.53   | 0.07%             | 2027-03-25      | Variable      | 0.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38375CWH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1506246 | PA      | $193420.17    | 0.01%             | 2042-04-16      | Floating      | 2.71%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                    | EQT Corp                                                                         | CUSIP: 26884LAG4<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5267142.95   | 0.37%             | 2030-02-01      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| CKE Restaurants Holdings Inc                | Hardee's Funding LLC                                                             | CUSIP: 411707AK8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8571500 | PA      | $6818265.68   | 0.49%             | 2051-06-20      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 3617YY6K7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3219714 | PA      | $2910561.52   | 0.21%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38382EDP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1573198 | PA      | $250749.02    | 0.02%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140L3JA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150915 | PA      | $125872.06    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138X0NX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136661 | PA      | $131805.17    | 0.01%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Blackbird Capital Aircraft                  | Blackbird Capital Aircraft Lease Securitization Ltd 2016-1                       | CUSIP: 09228YAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |  16079559 | PA      | $13165192.20  | 0.94%             | 2041-12-16      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133AJ6W8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    173121 | PA      | $145518.60    | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Non Gold Pool                                                        | CUSIP: 31347AX33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1121327 | PA      | $1065813.33   | 0.08%             | 2047-03-01      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.             | CDS CDX.NA.IG.39.V1                                                              | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |         1 | NC      | $1413746.62   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Fanniemae Strip                             | Fannie Mae Interest Strip                                                        | CUSIP: 3136FG4E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3329 | PA      | $691.32       | 0.00%             | 2039-01-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Dividend Solar Loans LLC                    | Dividend Solar Loans 2019-1 LLC                                                  | CUSIP: 255388AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    251766 | PA      | $228948.68    | 0.02%             | 2039-08-22      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138MDZ88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7941 | PA      | $7688.85      | 0.00%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T              | Alternative Loan Trust 2005-24                                                   | CUSIP: 12667GNS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    231426 | PA      | $188506.48    | 0.01%             | 2035-07-20      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3132HBH73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4224 | PA      | $4082.69      | 0.00%             | 2043-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC Series 2019-UVIL                                                            | CUSIP: 12656DAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10000000 | PA      | $8287911.00   | 0.59%             | 2041-12-15      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan               | New Residential Mortgage Loan Trust 2016-3                                       | CUSIP: 64829HAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2747810 | PA      | $2508121.75   | 0.18%             | 2056-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRU              | WFRBS Commercial Mortgage Trust 2014-C24                                         | CUSIP: 92939KBR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1670000 | PA      | $1518072.08   | 0.11%             | 2047-11-15      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                             | Fannie Mae Interest Strip                                                        | CUSIP: 3136FG4J3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3387 | PA      | $760.39       | 0.00%             | 2039-01-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Asset Trust               | Bayview Financial Asset Trust 2007-SSR1                                          | CUSIP: 07325QAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    335426 | PA      | $339953.31    | 0.02%             | 2037-03-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140L4CZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84542 | PA      | $70513.87     | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T              | Renaissance Home Equity Loan Trust 2007-3                                        | CUSIP: 75971FAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    801440 | PA      | $677716.40    | 0.05%             | 2037-09-25      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179TCY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    224093 | PA      | $217320.04    | 0.02%             | 2047-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T              | Renaissance Home Equity Loan Trust 2007-3                                        | CUSIP: 75971FAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    183051 | PA      | $153863.68    | 0.01%             | 2037-09-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX 2021-LBA3 Mortgage Trust                                                      | CUSIP: 05609PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  35380000 | PA      | $33820322.23  | 2.41%             | 2036-10-15      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  48310360 | PA      | $42604669.29  | 3.03%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140KLVW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    490217 | PA      | $410242.48    | 0.03%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179TSH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1829270 | PA      | $1777171.79   | 0.13%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC 2020-TMIC                                                                   | CUSIP: 126390AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8060000 | PA      | $8016624.30   | 0.57%             | 2035-12-15      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202FGD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14497 | PA      | $14650.25     | 0.00%             | 2040-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Thrust Engine Leasing                       | Thrust Engine Leasing 2021 DAC                                                   | CUSIP: 88603UAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8241936 | PA      | $6059404.22   | 0.43%             | 2040-07-15      | Fixed         | 4.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31419AZY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17837 | PA      | $19353.53     | 0.00%             | 2039-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2021-ARIA                                                               | CUSIP: 05608RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  19205000 | PA      | $18066675.48  | 1.29%             | 2036-10-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138EPAJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    985052 | PA      | $1006869.25   | 0.07%             | 2038-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 3622ABP55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    764339 | PA      | $693858.27    | 0.05%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3132DWCH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  77017109 | PA      | $63663301.53  | 4.53%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 2 YEAR US TREASURY NOTE                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      2061 | NC      | $495583.94    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FWHG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  40244635 | PA      | $4302537.86   | 0.31%             | 2035-07-25      | Variable      | 1.44%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co              | Structured Asset Securities Corp                                                 | CUSIP: 86359BYT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7945 | PA      | $6841.42      | 0.00%             | 2029-12-25      | Variable      | 7.87%                 | No            |                  2 | On Loan: No      |
| BDS Ltd                                     | BDS 2021-FL8                                                                     | CUSIP: 05493JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   1127449 | PA      | $1085511.88   | 0.08%             | 2036-01-18      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138EHBB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117348 | PA      | $120112.67    | 0.01%             | 2041-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31402CTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       925 | PA      | $959.91       | 0.00%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38380QGU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    105441 | PA      | $100785.60    | 0.01%             | 2070-07-20      | Floating      | 3.14%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US ULTRA TREASURY BOND                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       291 | NC      | $515417.15    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31418DSH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5411265 | PA      | $4489773.40   | 0.32%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38380LCX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    939617 | PA      | $932721.98    | 0.07%             | 2068-05-20      | Floating      | 3.44%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                       | Mexico Government International Bond                                             | CUSIP: 91087BAD2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   6810000 | PA      | $5504583.95   | 0.39%             | 2048-02-10      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F050619<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1800000 | PA      | $1791281.25   | 0.13%             | 2050-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                | GS Mortgage Securities Trust 2018-GS9                                            | CUSIP: 36255NAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1725000 | PA      | $1508482.31   | 0.11%             | 2051-03-10      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F030611<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        | -31500000 | PA      | $-27914065.20 | -1.99%            | 2053-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgage              | MASTR Adjustable Rate Mortgages Trust 2005-7                                     | CUSIP: 576433D52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     55800 | PA      | $34467.00     | 0.00%             | 2035-09-25      | Variable      | 3.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 3137F6P92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    374747 | PA      | $55601.54     | 0.00%             | 2050-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC 2021-RPL3 Trust                                                             | CUSIP: 12661GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8888050 | PA      | $7618248.57   | 0.54%             | 2060-01-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179VX47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    975127 | PA      | $967995.28    | 0.07%             | 2050-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 3617MB4M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    184166 | PA      | $181196.54    | 0.01%             | 2050-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140L4H36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    177424 | PA      | $147820.48    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru              | SMB Private Education Loan Trust 2021-C                                          | CUSIP: 83208AAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6233000 | PA      | $5525409.89   | 0.39%             | 2053-01-15      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| SFO Commerical Mortgage Trust               | SFO Commercial Mortgage Trust 2021-555                                           | CUSIP: 78432WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9120000 | PA      | $8418060.96   | 0.60%             | 2038-05-15      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179VHV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    264638 | PA      | $262425.07    | 0.02%             | 2050-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F042616<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  25094000 | PA      | $24433321.91  | 1.74%             | 2053-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                       | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18600000 | PA      | $16370179.92  | 1.17%             | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138AFB90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9062 | PA      | $9250.39      | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC 2017-RPL1 Trust                                                             | CUSIP: 22945AAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20370000 | PA      | $16832981.72  | 1.20%             | 2057-07-25      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38378XUN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7858320 | PA      | $66996.11     | 0.00%             | 2055-05-16      | Variable      | 0.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140FXF98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1600586 | PA      | $1542115.51   | 0.11%             | 2057-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179VBK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1712065 | PA      | $1729694.60   | 0.12%             | 2049-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36178DH20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1867375 | PA      | $1737726.04   | 0.12%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38382KQ97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2192775 | PA      | $298411.94    | 0.02%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| STATE OF QATAR                              | Qatar Government International Bond                                              | CUSIP: 74727PBB6<br>LEI: 52990074F6OJOAXK4P65 | Long             | DBT              | NUSS              | QA        |   1880000 | PA      | $1830650.00   | 0.13%             | 2049-03-14      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                                 | SREIT Trust 2021-PALM                                                            | CUSIP: 85237AAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12605000 | PA      | $11957215.18  | 0.85%             | 2034-10-15      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3131Y6Q93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15037 | PA      | $14172.69     | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202FDF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     64848 | PA      | $68871.60     | 0.00%             | 2039-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138XBQG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6282 | PA      | $6147.60      | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31411UWP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43756 | PA      | $44716.18     | 0.00%             | 2037-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179WDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4565381 | PA      | $4039634.76   | 0.29%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31374CND4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30411 | PA      | $31050.81     | 0.00%             | 2038-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                             | Fannie Mae Interest Strip                                                        | CUSIP: 3136FG4Y0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8216 | PA      | $1678.69      | 0.00%             | 2038-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3132A3MG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4281 | PA      | $4497.90      | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                      | Verizon Communications Inc                                                       | CUSIP: 92343VGN8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   2210000 | PA      | $1775864.53   | 0.13%             | 2032-03-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2021-R01                                     | CUSIP: 20754RAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8870000 | PA      | $8524541.00   | 0.61%             | 2041-10-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan               | New Residential Mortgage Loan Trust 2021-NQM3                                    | CUSIP: 64831TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5441883 | PA      | $4540096.80   | 0.32%             | 2056-11-27      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133AJBJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    391245 | PA      | $326322.27    | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179TXW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1013324 | PA      | $1007815.39   | 0.07%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                    | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175BL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    900000 | PA      | $745592.09    | 0.05%             | 2047-05-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38378KYB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14982506 | PA      | $36873.45     | 0.00%             | 2054-06-16      | Variable      | 0.22%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                             | Fannie Mae Interest Strip                                                        | CUSIP: 3136FLEV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65892 | PA      | $2926.19      | 0.00%             | 2027-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202FNW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27687 | PA      | $29530.79     | 0.00%             | 2040-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138W9BG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1775939 | PA      | $1632952.95   | 0.12%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179TNQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    198568 | PA      | $181632.59    | 0.01%             | 2047-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137BSPY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 102251441 | PA      | $424844.51    | 0.03%             | 2023-08-25      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| BHMS Mortgage Trust                         | BHMS 2018-ATLS                                                                   | CUSIP: 05549GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11150000 | PA      | $10709957.45  | 0.76%             | 2035-07-15      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XADY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168522 | PA      | $141341.57    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| RAAC Series                                 | RAAC Series 2006-RP3 Trust                                                       | CUSIP: 74919RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24187 | PA      | $23966.11     | 0.00%             | 2036-05-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Fannie Mae Connecticut Avenue Securities                                         | CUSIP: 30711XAD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |  10483179 | PA      | $10582897.67  | 0.75%             | 2024-01-25      | Floating      | 8.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136BAS21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    944530 | PA      | $569141.43    | 0.04%             | 2050-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31418AS82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3089975 | PA      | $2984278.07   | 0.21%             | 2043-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE NEW YORK                      | Credit Suisse AG/New York NY                                                     | CUSIP: 22550L2H3<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | CORP              | CH        |   2250000 | PA      | $2049797.07   | 0.15%             | 2025-02-21      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2021-VOLT                                           | CUSIP: 05609VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22570000 | PA      | $21637084.85  | 1.54%             | 2036-09-15      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| DP WORLD PLC                                | DP World Ltd/United Arab Emirates                                                | CUSIP: 23330JAB7<br>LEI: 549300M3U2DNF4QVSS04 | Long             | DBT              | CORP              | AE        |  20510000 | PA      | $18637601.08  | 1.33%             | 2048-09-25      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                              | Fannie Mae-Aces                                                                  | CUSIP: 3136B3YD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $2770741.50   | 0.20%             | 2036-01-25      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| NORTHSTAR EDU FIN INC DE                    | Northstar Education Finance Inc                                                  | CUSIP: 66704JBV9<br>LEI: 25490059JOHYRUHEXW19 | Long             | DBT              | MUN               | US        |   2157794 | PA      | $2149972.34   | 0.15%             | 2046-01-29      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140FXKP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2131507 | PA      | $2098032.17   | 0.15%             | 2058-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133AGRB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    315553 | PA      | $263284.69    | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 3617MKLU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    520695 | PA      | $491421.21    | 0.03%             | 2050-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FUZK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  29819679 | PA      | $3619655.83   | 0.26%             | 2035-05-25      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                     | Flagstar Mortgage Trust 2018-2                                                   | CUSIP: 33851HAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    568779 | PA      | $558162.06    | 0.04%             | 2048-04-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Pro              | RAMP Series 2005-SL1 Trust                                                       | CUSIP: 76112BMS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18015 | PA      | $12024.85     | 0.00%             | 2032-05-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138EGQ64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22831 | PA      | $23368.51     | 0.00%             | 2040-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3128M8N26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83266 | PA      | $87785.96     | 0.01%             | 2039-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140L4HK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    172565 | PA      | $143772.51    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Fannie Mae Connecticut Avenue Securities                                         | CUSIP: 30711XAB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   6170570 | PA      | $6273221.40   | 0.45%             | 2023-10-25      | Floating      | 9.27%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                              | Fannie Mae-Aces                                                                  | CUSIP: 3136B6XJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12420011 | PA      | $11136568.35  | 0.79%             | 2029-08-25      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38382EDT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    599441 | PA      | $92477.10     | 0.01%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC 2021-RPL4 Trust                                                             | CUSIP: 12662GAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6900484 | PA      | $6284582.90   | 0.45%             | 2060-12-27      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                              | Fannie Mae-Aces                                                                  | CUSIP: 3136B7GF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9134793 | PA      | $262008.70    | 0.02%             | 2030-02-25      | Variable      | 0.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38380REH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  85429019 | PA      | $5655337.86   | 0.40%             | 2060-10-16      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                 | Legacy Mortgage Asset Trust 2020-GS5                                             | CUSIP: 52475JAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6073400 | PA      | $5880926.47   | 0.42%             | 2060-06-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 3617YDWL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3045247 | PA      | $2752449.50   | 0.20%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179QGC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1258876 | PA      | $1194527.66   | 0.09%             | 2044-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC 2021-RPL1 Trust                                                             | CUSIP: 12660KAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13526638 | PA      | $12723328.50  | 0.91%             | 2060-09-27      | Variable      | 1.67%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                | GS Mortgage Securities Trust 2013-GC16                                           | CUSIP: 36248GAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $486615.95    | 0.03%             | 2046-11-10      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T              | Alternative Loan Trust 2005-57CB                                                 | CUSIP: 12668AYS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    224176 | PA      | $136422.14    | 0.01%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38382KS87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    659441 | PA      | $92304.17     | 0.01%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                              | Fannie Mae-Aces                                                                  | CUSIP: 3136B7GA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    709173 | PA      | $658508.07    | 0.05%             | 2027-02-25      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                       | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3700000 | PA      | $3346001.98   | 0.24%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.             | CDS CDX.NA.IG.38                                                                 | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |         1 | NC      | $866912.49    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133KLGL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1005370 | PA      | $841654.19    | 0.06%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                       | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  58900000 | PA      | $56263304.39  | 4.00%             | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38375BJN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    448422 | PA      | $444580.54    | 0.03%             | 2060-11-20      | Floating      | 3.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3132HBXZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    270408 | PA      | $261467.28    | 0.02%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140L13J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124772 | PA      | $103513.12    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 3622AANA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  28625403 | PA      | $26977582.76  | 1.92%             | 2048-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BrightSpire Capital, Inc                    | BRSP 2021-FL1 Ltd                                                                | CUSIP: 05591XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5490000 | PA      | $5320788.06   | 0.38%             | 2038-08-19      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                    | Cooperatieve Rabobank UA                                                         | CUSIP: 74977RDP6<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    880000 | PA      | $755024.14    | 0.05%             | 2033-04-06      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136AFRB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    523418 | PA      | $26775.02     | 0.00%             | 2028-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi              | CWABS Inc Asset-Backed Certificates Trust 2004-5                                 | CUSIP: 1266716C5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1941956 | PA      | $1801255.84   | 0.13%             | 2034-10-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2018-4                                                  | CUSIP: 46649CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2011102 | PA      | $1769160.96   | 0.13%             | 2048-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138EM6F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3899 | PA      | $3900.85      | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 3617MQCZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    744186 | PA      | $655124.37    | 0.05%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136A8FA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    216774 | PA      | $9759.29      | 0.00%             | 2027-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2021-XL2                                            | CUSIP: 05609KAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  41127614 | PA      | $39292179.42  | 2.80%             | 2038-10-15      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| Greystone Commercial Real Esta              | Greystone CRE Notes 2021-FL3 Ltd                                                 | CUSIP: 39809PAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3880000 | PA      | $3713284.94   | 0.26%             | 2039-07-15      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136ADKM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    427345 | PA      | $71454.43     | 0.01%             | 2043-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities               | Mastr Asset Backed Securities Trust 2007-NCW                                     | CUSIP: 576456AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4303920 | PA      | $3864013.40   | 0.28%             | 2037-05-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FMCT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5954033 | PA      | $289115.92    | 0.02%             | 2029-05-25      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36241LUX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    748485 | PA      | $756353.66    | 0.05%             | 2041-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140L3G88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    851777 | PA      | $710435.79    | 0.05%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138ELYW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    161653 | PA      | $172847.74    | 0.01%             | 2040-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179UMK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1220251 | PA      | $1152952.63   | 0.08%             | 2049-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan               | New Residential Mortgage Loan Trust 2017-4                                       | CUSIP: 64829NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11207838 | PA      | $10474646.14  | 0.75%             | 2057-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2014-CCRE20 Mortgage Trust                                                  | CUSIP: 12592LBM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1680000 | PA      | $1567447.56   | 0.11%             | 2047-11-10      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investm              | American Home Mortgage Investment Trust 2005-1                                   | CUSIP: 02660TEA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    659770 | PA      | $645618.57    | 0.05%             | 2045-06-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                | GS Mortgage Securities Corp Trust 2021-ROSS                                      | CUSIP: 36264YAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8660000 | PA      | $7519086.57   | 0.54%             | 2026-05-15      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3132A3YH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    103354 | PA      | $108583.18    | 0.01%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38380QGX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2981366 | PA      | $2943706.96   | 0.21%             | 2070-08-20      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F022618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $85675.78     | 0.01%             | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan               | New Residential Mortgage Loan Trust 2016-4                                       | CUSIP: 64829LAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3645043 | PA      | $3350689.44   | 0.24%             | 2056-11-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179UMM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    813734 | PA      | $809477.39    | 0.06%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136AARL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    289267 | PA      | $32073.09     | 0.00%             | 2042-12-25      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| OFFICE CHERIFIEN DES PHO                    | OCP SA                                                                           | CUSIP: 67091TAC9<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |   1980000 | PA      | $1939528.80   | 0.14%             | 2025-10-22      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC 2017-RPL1 Trust                                                             | CUSIP: 22945AAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8690997 | PA      | $8295332.26   | 0.59%             | 2057-07-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179UEA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    660806 | PA      | $656005.78    | 0.05%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136ABQH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63213 | PA      | $64684.54     | 0.00%             | 2042-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140L5GZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    425756 | PA      | $357876.64    | 0.03%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 5 YEAR TREASURY NOTE                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |     20067 | NC      | $10555464.21  | 0.75%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31415P4K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6939 | PA      | $7225.63      | 0.00%             | 2033-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                              | Fannie Mae-Aces                                                                  | CUSIP: 3136B7GP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16424663 | PA      | $770085.13    | 0.05%             | 2030-02-25      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FLNB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6483211 | PA      | $191779.87    | 0.01%             | 2029-03-25      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31410VT26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2073 | PA      | $2102.31      | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179TSG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1591549 | PA      | $1501816.57   | 0.11%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OPG Trust                                   | OPG Trust 2021-PORT                                                              | CUSIP: 67118AAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2583860 | PA      | $2389885.14   | 0.17%             | 2036-10-15      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 31397UUU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    206032 | PA      | $211630.36    | 0.02%             | 2041-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F042616<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        | -25094000 | PA      | $-24433321.91 | -1.74%            | 2053-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan ReRemic                           | JP Morgan Resecuritization Trust Series 2014-6                                   | CUSIP: 46643NAB1<br>LEI: 5493004MQHFTPQUDN572 | Long             | ABS-MBS          | CORP              | US        |   4623463 | PA      | $4110453.05   | 0.29%             | 2036-07-27      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179T4Q5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    308791 | PA      | $305980.29    | 0.02%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                              | Fannie Mae-Aces                                                                  | CUSIP: 3136BDHY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  74520000 | PA      | $409308.55    | 0.03%             | 2030-12-25      | Variable      | 0.12%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                    | AT&T Inc                                                                         | CUSIP: 00206RKH4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $872655.27    | 0.06%             | 2032-02-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179VDS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1046791 | PA      | $1055480.39   | 0.08%             | 2050-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179TZ65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1698488 | PA      | $1688241.13   | 0.12%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SPRINT SPECTRUM / SPEC I                    | Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC  | CUSIP: 85208NAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    775000 | PA      | $765368.64    | 0.05%             | 2025-03-20      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179TV69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1730676 | PA      | $1677897.23   | 0.12%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179TAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3635038 | PA      | $3525088.87   | 0.25%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179UQ62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1433557 | PA      | $1419183.86   | 0.10%             | 2049-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 3137FGSM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    452511 | PA      | $397759.90    | 0.03%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138XCSC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4182 | PA      | $4143.73      | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F020612<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        | -33400000 | PA      | $-27552390.46 | -1.96%            | 2053-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3128M9PU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12384 | PA      | $13505.38     | 0.00%             | 2039-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179VFS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1091523 | PA      | $1081431.52   | 0.08%             | 2050-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 3617K1Y72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    644026 | PA      | $627202.57    | 0.04%             | 2049-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38382HY87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    641743 | PA      | $93492.17     | 0.01%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F0226C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  32300000 | PA      | $27644257.97  | 1.97%             | 2052-12-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38381XEZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3969180 | PA      | $3603678.92   | 0.26%             | 2049-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                             | Fannie Mae Interest Strip                                                        | CUSIP: 3136FG5L7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31550 | PA      | $5462.48      | 0.00%             | 2038-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F0206C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        | -70900000 | PA      | $-58428800.60 | -4.16%            | 2052-12-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In              | RALI Series 2006-QO7 Trust                                                       | CUSIP: 751150AH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    294808 | PA      | $268799.36    | 0.02%             | 2046-09-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                 | PRKCM 2021-AFC1 Trust                                                            | CUSIP: 69357TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17819361 | PA      | $14269398.43  | 1.02%             | 2056-08-25      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C              | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2003-4               | CUSIP: 16678RAJ6<br>LEI: 549300YJP2VT3ZPGT715 | Long             | ABS-MBS          | CORP              | US        |   1164580 | PA      | $1077413.57   | 0.08%             | 2034-10-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38380QAW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1663424 | PA      | $1626991.18   | 0.12%             | 2070-05-20      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 3622AAVL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1111045 | PA      | $937746.98    | 0.07%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UCFC Manufactured Housing Cont              | UCFC Manufactured Housing Contract                                               | CUSIP: 90263ABX7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    139001 | PA      | $138635.75    | 0.01%             | 2029-10-15      | Fixed         | 6.59%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2013-CCRE12 Mortgage Trust                                                  | CUSIP: 12591KAH8<br>LEI: 549300MGZ5FI5VFL1177 | Long             | ABS-MBS          | CORP              | US        |    160000 | PA      | $149983.41    | 0.01%             | 2046-10-10      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 3617JYLP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    214393 | PA      | $205008.52    | 0.01%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Non Gold Pool                                                        | CUSIP: 31288QFS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1284103 | PA      | $1240098.45   | 0.09%             | 2047-11-01      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi              | CWABS Asset-Backed Notes Trust 2006-SD2                                          | CUSIP: 23244AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12740 | PA      | $12350.56     | 0.00%             | 2036-07-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                   | Towd Point Mortgage Trust 2020-2                                                 | CUSIP: 89176UAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8740000 | PA      | $6665258.60   | 0.47%             | 2060-04-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 3622AAVK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    969798 | PA      | $820997.06    | 0.06%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 3622ABUA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    188850 | PA      | $171066.62    | 0.01%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Non Gold Pool                                                        | CUSIP: 31288QFW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2476972 | PA      | $2383585.71   | 0.17%             | 2050-02-01      | Floating      | 3.09%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2005-S3                                                 | CUSIP: 466247ZN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    447953 | PA      | $246470.74    | 0.02%             | 2036-01-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31297VKP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12068 | PA      | $12579.46     | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co              | Structured Asset Securities Corp Mortgage Pass Through Certificates Ser 2001-SB1 | CUSIP: 86358RDU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74503 | PA      | $73336.59     | 0.01%             | 2031-08-25      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC 2017-RPL3 Trust                                                             | CUSIP: 12651YAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17218433 | PA      | $15879050.34  | 1.13%             | 2057-08-01      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 3137FXC89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1306620 | PA      | $178605.27    | 0.01%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                        | Freeport-McMoRan Inc                                                             | CUSIP: 35671DBC8<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |   1550000 | PA      | $1391628.75   | 0.10%             | 2043-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36178WGQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9564350 | PA      | $8887129.13   | 0.63%             | 2042-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179TLR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19835 | PA      | $18222.99     | 0.00%             | 2047-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 3622AAZY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6666548 | PA      | $5650974.34   | 0.40%             | 2051-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136A35F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1420 | PA      | $1446.60      | 0.00%             | 2039-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38375BLQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    583370 | PA      | $578499.60    | 0.04%             | 2061-04-20      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31418AMB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28145 | PA      | $27180.75     | 0.00%             | 2042-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Lo              | Arbor Realty Commercial Real Estate Notes 2021-FL3 Ltd                           | CUSIP: 03880KAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $2880015.00   | 0.20%             | 2034-08-15      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179WNF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6266648 | PA      | $5706742.47   | 0.41%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                      | SLM Student Loan Trust 2003-10                                                   | CUSIP: 78442GJH0<br>LEI: 5493000NQN5E3MSIIG77 | Long             | ABS-O            | CORP              | US        |   8464582 | PA      | $7933243.17   | 0.56%             | 2068-12-17      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31413TFX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16078 | PA      | $16915.05     | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortgage-Backed Securities Trust 2018-RPL1                                    | CUSIP: 36256BAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12328899 | PA      | $11882155.47  | 0.85%             | 2057-10-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR US TREASURY NOTE                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -897 | NC      | $-583354.75   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138W9CG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23933 | PA      | $23106.63     | 0.00%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                              | Fannie Mae-Aces                                                                  | CUSIP: 3136BBBW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2860963 | PA      | $232336.81    | 0.02%             | 2034-09-25      | Variable      | 1.60%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137F83S0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  54361206 | PA      | $3264607.89   | 0.23%             | 2030-10-25      | Variable      | 1.12%                 | 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        |    256970 | PA      | $237499.88    | 0.02%             | 2037-04-15      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133AGRD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     79512 | PA      | $66613.44     | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140L3H79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    673121 | PA      | $563300.01    | 0.04%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202FQ74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    116483 | PA      | $117714.15    | 0.01%             | 2041-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 3617MKP78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    461342 | PA      | $398108.82    | 0.03%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                              | Fannie Mae-Aces                                                                  | CUSIP: 3136BARE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10729960 | PA      | $604979.82    | 0.04%             | 2028-01-25      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                       | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  32300000 | PA      | $31647691.16  | 2.25%             | 2053-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru              | SMB Private Education Loan Trust 2021-A                                          | CUSIP: 78448YAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  17696254 | PA      | $15154514.29  | 1.08%             | 2053-01-15      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140L4F53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    169074 | PA      | $141635.65    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202EUU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    189487 | PA      | $201222.29    | 0.01%             | 2038-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                             | Fannie Mae Interest Strip                                                        | CUSIP: 3136FFWF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9658 | PA      | $1965.70      | 0.00%             | 2038-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138AFV31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12835 | PA      | $13137.46     | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38380QDH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    254222 | PA      | $244032.94    | 0.02%             | 2070-07-20      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| KREF 2021-FL2 Ltd                           | KREF 2021-FL2 Ltd                                                                | CUSIP: 48275RAA5<br>LEI: 54930083ELM2GCMVTQ91 | Long             | ABS-CBDO         | CORP              | KY        |   4360000 | PA      | $4205221.53   | 0.30%             | 2039-02-15      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3132A36E5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15213 | PA      | $15871.10     | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                           | EOG Resources Inc                                                                | CUSIP: 26875PAN1<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |   2210000 | PA      | $2006000.07   | 0.14%             | 2035-04-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 3137B7QQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    100967 | PA      | $4292.46      | 0.00%             | 2043-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140L6TB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    390070 | PA      | $326789.51    | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36178WDN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11037695 | PA      | $10256072.35  | 0.73%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                | GS Mortgage Securities Corp Trust 2021-ROSS                                      | CUSIP: 36264YAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5190000 | PA      | $4602619.67   | 0.33%             | 2026-05-15      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202FUJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    111830 | PA      | $118759.83    | 0.01%             | 2041-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                    | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175BS2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2890000 | PA      | $2293616.59   | 0.16%             | 2049-07-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding              | Avis Budget Rental Car Funding AESOP LLC                                         | CUSIP: 05377REH3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   8654000 | PA      | $7470278.19   | 0.53%             | 2027-08-20      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi              | Freddie Mac Multiclass Certificates Series 2020-RR07                             | CUSIP: 3137FRVC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6000000 | PA      | $697631.10    | 0.05%             | 2028-09-27      | Variable      | 2.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202FZD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4096 | PA      | $4348.84      | 0.00%             | 2041-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PFP III                                     | PFP 2021-8 Ltd                                                                   | CUSIP: 69357XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   4601450 | PA      | $4419756.83   | 0.31%             | 2037-08-09      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                            | Freddie Mac Strips                                                               | CUSIP: 31352DC24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    936955 | PA      | $36376.61     | 0.00%             | 2038-02-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138X6PV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1697016 | PA      | $1560954.15   | 0.11%             | 2043-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                       | CUSIP: 21H050615<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  28000000 | PA      | $27975937.36  | 1.99%             | 2053-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F0306C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $2656255.83   | 0.19%             | 2052-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36188MYN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    403089 | PA      | $389652.42    | 0.03%             | 2045-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179VKQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    974798 | PA      | $987691.11    | 0.07%             | 2050-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138W5GH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    761297 | PA      | $699372.36    | 0.05%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36178WDM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3628018 | PA      | $3371186.88   | 0.24%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38382KG64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    422447 | PA      | $62121.31     | 0.00%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                             | Fannie Mae Interest Strip                                                        | CUSIP: 3136FG4D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6338 | PA      | $1147.49      | 0.00%             | 2039-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XABM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    172855 | PA      | $144013.87    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179UGE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    885457 | PA      | $890984.28    | 0.06%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XFN49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    177056 | PA      | $162494.42    | 0.01%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 3617VKGV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    243569 | PA      | $212502.25    | 0.02%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137F72D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  35730685 | PA      | $1051725.56   | 0.07%             | 2027-09-25      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38380QBN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2540048 | PA      | $2540579.66   | 0.18%             | 2070-04-20      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru              | SMB Private Education Loan Trust 2021-A                                          | CUSIP: 78448YAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10000000 | PA      | $8723263.00   | 0.62%             | 2053-01-15      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 3622AAVN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1147004 | PA      | $973109.90    | 0.07%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Residential Funding Securities              | RFSC Series 2002-RP2 Trust                                                       | CUSIP: 760985PC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2156 | PA      | $2103.43      | 0.00%             | 2032-10-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                 | Hertz Vehicle Financing LLC                                                      | CUSIP: 42806MAB5<br>LEI: 5493004IHDYOZ9K9WF47 | Long             | ABS-O            | CORP              | US        |   8690000 | PA      | $7919530.70   | 0.56%             | 2025-12-26      | Fixed         | 1.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Reference Remic                 | Freddie Mac Reference REMIC                                                      | CUSIP: 31396NRF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13683 | PA      | $14168.71     | 0.00%             | 2036-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202FDW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10436 | PA      | $10546.28     | 0.00%             | 2040-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortgage-Backed Securities Corp Trust 2021-RPL1                               | CUSIP: 36261WAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16090000 | PA      | $12841324.42  | 0.91%             | 2060-12-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC 2014-USA OA LLC                                                             | CUSIP: 12649AAC3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   3290000 | PA      | $2977794.46   | 0.21%             | 2037-09-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                         | Bank of Nova Scotia/The                                                          | CUSIP: 06417XAG6<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |   4420000 | PA      | $3817648.85   | 0.27%             | 2037-05-04      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31410WNF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4585 | PA      | $4549.85      | 0.00%             | 2037-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 3622A3CG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3720219 | PA      | $3541844.69   | 0.25%             | 2048-06-15      | Fixed         | 3.50%                 | 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        |   8483110 | PA      | $8173526.07   | 0.58%             | 2038-07-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31410GPR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69899 | PA      | $75286.62     | 0.01%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3128M9VA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32631 | PA      | $34897.87     | 0.00%             | 2039-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                       | CUSIP: 21H060614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12500000 | PA      | $12744068.50  | 0.91%             | 2053-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 3617MB5P0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     64857 | PA      | $62172.17     | 0.00%             | 2050-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179VZV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5918022 | PA      | $5873897.63   | 0.42%             | 2050-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | IRS USD                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $7390034.57   | 0.53%             |  |  |  | No            |                  2 | On Loan: No      |
| SUNRUN VULCAN ISSUER LLC                    | Sunrun Vulcan Issuer 2021-1 LLC                                                  | CUSIP: 86773QAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3276492 | PA      | $2638624.14   | 0.19%             | 2052-01-30      | Fixed         | 2.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36188MYH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    347511 | PA      | $340127.87    | 0.02%             | 2045-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 3617MKK99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    753016 | PA      | $740877.73    | 0.05%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                              | Fannie Mae-Aces                                                                  | CUSIP: 3136B56Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  34113596 | PA      | $1153295.41   | 0.08%             | 2029-09-25      | Variable      | 0.74%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co              | Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-9A          | CUSIP: 86359ARF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     64390 | PA      | $61245.98     | 0.00%             | 2033-03-25      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XDFQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    184599 | PA      | $153529.70    | 0.01%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                  | Navient Student Loan Trust 2017-2                                                | CUSIP: 63939RAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  25161473 | PA      | $24639750.11  | 1.75%             | 2066-12-27      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3132DMT62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    382430 | PA      | $321455.94    | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX 2021-MFM1                                                                     | CUSIP: 05608VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2900830.80   | 0.21%             | 2034-01-15      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati              | Residential Asset Securitization Trust 2005-A15                                  | CUSIP: 45660L3K3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    507851 | PA      | $461334.34    | 0.03%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179TNS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    732260 | PA      | $710139.12    | 0.05%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138AFC65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26247 | PA      | $26793.61     | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3132H7BY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    347243 | PA      | $336692.25    | 0.02%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer              | WaMu Mortgage Pass-Through Certificates Series 2004-AR13 Trust                   | CUSIP: 92922FB64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4348668 | PA      | $3923812.85   | 0.28%             | 2034-11-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31410GRN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12433 | PA      | $13064.76     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 3622AAVM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    923124 | PA      | $783706.23    | 0.06%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 3622AAKS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    381159 | PA      | $346941.03    | 0.02%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140L7M41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    166309 | PA      | $139483.68    | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                | Comcast Corp                                                                     | CUSIP: 20030NCC3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   1460000 | PA      | $1188485.74   | 0.08%             | 2047-11-01      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve              | Structured Asset Mortgage Investments II Trust 2005-AR7                          | CUSIP: 86359LQM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    169580 | PA      | $166376.00    | 0.01%             | 2046-03-25      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31410LBR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24931 | PA      | $26010.83     | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                   | Nelnet Student Loan Trust 2021-A                                                 | CUSIP: 64035DAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  17500000 | PA      | $14034014.75  | 1.00%             | 2062-04-20      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                   | Towd Point Mortgage Trust 2019-HY2                                               | CUSIP: 89177HAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7617881 | PA      | $7513053.12   | 0.53%             | 2058-05-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor              | Structured Adjustable Rate Mortgage Loan Trust                                   | CUSIP: 86359BLE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     78297 | PA      | $72249.98     | 0.01%             | 2034-03-25      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38382JZK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    665130 | PA      | $97891.16     | 0.01%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                  | Navient Private Education Refi Loan Trust 2019-F                                 | CUSIP: 63935CAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11390185 | PA      | $10538238.67  | 0.75%             | 2068-08-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| RAAC Series                                 | RAAC Series 2006-SP1 Trust                                                       | CUSIP: 76112B3F5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    665541 | PA      | $634625.52    | 0.05%             | 2045-09-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                    | Foundation Finance Trust 2021-1                                                  | CUSIP: 35041LAA8<br>LEI: 549300MQ65NOVQXYNB21 | Long             | ABS-O            | CORP              | US        |   4139455 | PA      | $3705685.91   | 0.26%             | 2041-05-15      | Fixed         | 1.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140FXG89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4587782 | PA      | $4501136.68   | 0.32%             | 2057-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F0206C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  70900000 | PA      | $58428800.60  | 4.16%             | 2052-12-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BX Trust 2019-OC11                          | BX Trust 2019-OC11                                                               | CUSIP: 05606FAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3200000 | PA      | $2649800.00   | 0.19%             | 2041-12-09      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F0226C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        | -32300000 | PA      | $-27644257.97 | -1.97%            | 2052-12-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-19

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

**Signature:** Christopher Berarducci

**Name of Signer:** Christopher Berarducci

**Title:** Principal Financial Officer