# EDGAR Filing Document

**Accession Number:** 0000889512
**File Stem:** 0001752724-23-046479
**Filing Date:** 2023-2
**Character Count:** 215576
**Document Hash:** 7a9f23c39bde7809f38e80b8551d7f28
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-046479.hdr.sgml**: 20230228

**ACCESSION NUMBER**: 0001752724-23-046479

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221230

**FILED AS OF DATE**: 20230228

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20221231

**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:** 23682516

**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 Core Plus Completion Fund (Series ID: S000014683)

| Class ID   | Class Name                             | Ticker Symbol   |
|:---|:---|:---|
| C000040181 | SMASh Series Core Plus Completion Fund | LMECX           |

## 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 Core Plus Completion Fund

- **b. EDGAR series identifier (if any):** S000014683

- **c. LEI of Series:** 549300S54ZXI065Q3491

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

- **a. Date of fiscal year-end:** 2022-12-31

- **b. Date as of which information is reported:** 2022-12-30

**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:** $2682448199.79

**Total Liabilities:** $80902521.50

**Net Assets:** $2601545678.29

**Delayed Delivery Securities:** $22323409.29

**Cash Not Reported:** $53698059.63

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -118458.12000000 | **1-Year:** 158834.00000000 | **5-Year:** 4866.68000000 | **10-Year:** -364710.72000000 | **30-Year:** -324176.65000000

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

- **3-Month:** 289.34000000 | **1-Year:** 100295.34000000 | **5-Year:** 266055.93000000 | **10-Year:** 72981.63000000 | **30-Year:** 4340.79000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000040181 | -1.85%               | 7.88%                | -0.79%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-16847458.28            | $29009379.80                               |
| Month 2  | $-20382993.31            | $70069619.70                               |
| Month 3  | $-1544242.25             | $-24867266.17                              |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| OSAKA EXCHANGE,INC                                                          | TSE Japanese 10 Year Bond s                                                     | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              | CORP              | JP        |         -164 | NC      | $3221874.42   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| XPO Logistics Inc                                                           | XPO Inc                                                                         | CUSIP: 98379EAE6<br>LEI: 54930096DB9LCLPN7H13 | Long             | LON              | CORP              | US        |      8065000 | PA      | $8039151.68   | 0.31%             | 2025-02-24      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |            1 | NC      | $9582155.48   | 0.37%             |  |  |  | No            |                  2 | On Loan: No      |
| Prime Mortgage Trust                                                        | Prime Mortgage Trust 2006-DR1                                                   | CUSIP: 74159UAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       863443 | PA      | $742594.38    | 0.03%             | 2035-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Quikrete Holdings Inc                                                       | Quikrete Holdings Inc                                                           | CUSIP: 74839XAG4<br>LEI: 5493007KIN86DIZWZT22 | Long             | LON              | CORP              | US        |      5930200 | PA      | $5891742.65   | 0.23%             | 2028-06-09      | Floating      | 7.23%                 | No            |                  2 | On Loan: No      |
| Brown Group Holding LLC                                                     | Brown Group Holding LLC                                                         | CUSIP: 11565HAB2<br>LEI: 25490094PF4HHK9QS109 | Long             | LON              | CORP              | US        |      7281272 | PA      | $7160948.63   | 0.28%             | 2028-06-07      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S                                              | Barclays Commercial Mortgage Trust 2019-C5                                      | CUSIP: 05492JAW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25110000 | PA      | $22125272.23  | 0.85%             | 2052-11-15      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AM                                                     | United Rentals North America Inc                                                | CUSIP: 911363AM1<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |      1620000 | PA      | $1361682.90   | 0.05%             | 2031-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                    | BX Commercial Mortgage Trust 2019-IMC                                           | CUSIP: 05608BAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3210000 | PA      | $3000381.86   | 0.12%             | 2034-04-15      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| RUSSIA GOVT BOND - OFZ                                                      | Russian Federal Bond - OFZ                                                      | CUSIP: 000000000<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |     93150000 | PA      | $341023.73    | 0.01%             | 2034-05-10      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175AY0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       100000 | PA      | $98106.79     | 0.00%             | 2025-07-23      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Verscend Holding Corp                                                       | Verscend Holding Corp                                                           | CUSIP: 92531HAD9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     16581956 | PA      | $16509410.23  | 0.63%             | 2025-08-27      | Floating      | 8.38%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | CME Euro Foreign Exchange Currency                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |          795 | NC      | $313511.25    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| TENET HEALTHCARE CORP                                                       | Tenet Healthcare Corp                                                           | CUSIP: 88033GDN7<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |       330000 | PA      | $286215.60    | 0.01%             | 2030-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | US TREASURY LONG BOND                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          -78 | NC      | $-12187.50    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |            1 | NC      | $63409019.20  | 2.44%             |  |  |  | No            |                  2 | On Loan: No      |
| SUZANO AUSTRIA GMBH                                                         | Suzano Austria GmbH                                                             | CUSIP: 86964WAK8<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |      5160000 | PA      | $4030212.84   | 0.15%             | 2032-01-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                         | Freddie Mac Structured Agency Credit Risk Debt Notes                            | CUSIP: 3137G0TF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |      2610000 | PA      | $2664447.21   | 0.10%             | 2042-12-25      | Floating      | 8.99%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |            1 | NC      | $3467706.97   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| AthenaHealth Group Inc                                                      | AthenaHealth Group Inc                                                          | CUSIP: 04686RAC7<br>LEI: 254900AA3KZN4Q7A5Z33 | Long             | LON              | CORP              | US        |      2200365 | PA      | $1992122.70   | 0.08%             | 2029-02-15      | Floating      | 7.82%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |            1 | NC      | $2474123.82   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| MDC HOLDINGS INC                                                            | MDC Holdings Inc                                                                | CUSIP: 552676AQ1<br>LEI: 5299005FV4VNV75R8R35 | Long             | DBT              | CORP              | US        |      1650000 | PA      | $1346447.11   | 0.05%             | 2043-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                                    | Occidental Petroleum Corp                                                       | CUSIP: 674599DL6<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |      5000000 | PA      | $5156225.00   | 0.20%             | 2046-03-15      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| VERTIV GROUP CORPORATION                                                    | Vertiv Group Corp                                                               | CUSIP: 92535UAB0<br>LEI: 549300ZT8RQ5VK10E643 | Long             | DBT              | CORP              | US        |      2070000 | PA      | $1761942.60   | 0.07%             | 2028-11-15      | Fixed         | 4.12%                 | 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        |          -78 | NC      | $-10968.75    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Great Outdoors Group LLC                                                    | Great Outdoors Group LLC                                                        | CUSIP: 07014QAN1<br>LEI: 549300IYLDI2E8I2AU46 | Long             | LON              | CORP              | US        |      4106593 | PA      | $3955162.19   | 0.15%             | 2028-03-06      | Floating      | 8.13%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |            1 | NC      | $15818973.20  | 0.61%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America, National Association                                       | USD/MXN FORWARD                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |            1 | NC      | $1383034.19   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                                    | USD/INR FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-80300.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Trans Union LLC                                                             | Trans Union LLC                                                                 | CUSIP: 89334GAX2<br>LEI: X8NPN6PWJOM1QCTYFV34 | Long             | LON              | CORP              | US        |      3000000 | PA      | $2962770.00   | 0.11%             | 2026-11-16      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                                                       | Bausch Health Cos Inc                                                           | CUSIP: 071734AF4<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |       280000 | PA      | $135639.00    | 0.01%             | 2029-05-30      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                                      | CCO Holdings LLC / CCO Holdings Capital Corp                                    | CUSIP: 1248EPCL5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2220000 | PA      | $1707723.90   | 0.07%             | 2033-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                            | Connecticut Avenue Securities Trust 2018-R07                                    | CUSIP: 20753QAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2414000 | PA      | $2456863.47   | 0.09%             | 2031-04-25      | Floating      | 8.74%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COPPER CORP                                                        | Southern Copper Corp                                                            | CUSIP: 84265VAG0<br>LEI: 2549007U6NAP46Q9TU15 | Long             | DBT              | CORP              | US        |       500000 | PA      | $478263.69    | 0.02%             | 2042-11-08      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | CME Japanese Yen Currency                                                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |         2174 | NC      | $6600226.98   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                    | Ford Motor Credit Co LLC                                                        | CUSIP: 345397B28<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      5580000 | PA      | $5054268.25   | 0.19%             | 2025-11-13      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| SPRINT LLC                                                                  | Sprint LLC                                                                      | CUSIP: 85207UAF2<br>LEI: 549300ZTTY7CXOLJ6539 | Long             | DBT              | CORP              | US        |       180000 | PA      | $182913.48    | 0.01%             | 2023-09-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                                              | JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9                  | CUSIP: 46629PAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3618197 | PA      | $3379304.67   | 0.13%             | 2047-05-15      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                               | DISH DBS Corp                                                                   | CUSIP: 25470XBD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      3150000 | PA      | $2038002.75   | 0.08%             | 2029-06-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor                                              | Banc of America Funding 2015-R2 Trust                                           | CUSIP: 05990TBE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12659626 | PA      | $10592082.84  | 0.41%             | 2036-03-27      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                                                        | Freeport-McMoRan Inc                                                            | CUSIP: 35671DBC8<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |      7950000 | PA      | $7189145.25   | 0.28%             | 2043-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF KENYA                                                           | Republic of Kenya Government International Bond                                 | CUSIP: 491798AL8<br>LEI: 549300VVURQQYU45PR87 | Long             | DBT              | NUSS              | KE        |     11470000 | PA      | $8889135.30   | 0.34%             | 2034-01-23      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH AMERICAS                                                      | Bausch Health Americas Inc                                                      | CUSIP: 91911XAV6<br>LEI: KOO0397YRO83WY5MGD97 | Long             | DBT              | CORP              | US        |       540000 | PA      | $378852.55    | 0.01%             | 2026-04-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| COMMSCOPE INC                                                               | CommScope Inc                                                                   | CUSIP: 20338QAD5<br>LEI: 549300Z6K4JXMFE8QY54 | Long             | DBT              | CORP              | US        |      1150000 | PA      | $1063692.50   | 0.04%             | 2026-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ali Group North America Corporation                                         | Ali Group North America Corp                                                    | CUSIP: 01608UAE7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      4422222 | PA      | $4394583.33   | 0.17%             | 2029-07-30      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                                                    | Targa Resources Partners LP / Targa Resources Partners Finance Corp             | CUSIP: 87612BBN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       830000 | PA      | $838074.18    | 0.03%             | 2029-01-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| FED REPUBLIC OF BRAZIL                                                      | Brazilian Government International Bond                                         | CUSIP: 105756BR0<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |      3180000 | PA      | $2701168.51   | 0.10%             | 2041-01-07      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                         | Petroleos Mexicanos                                                             | CUSIP: 706451BG5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |      1000000 | PA      | $727782.20    | 0.03%             | 2035-06-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                                     | JPY/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-2807522.04  | -0.11%            |  |  |  | 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        |         -779 | NC      | $-1010265.63  | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| MEX BONOS DESARR FIX RT                                                     | Mexican Bonos                                                                   | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   3200030000 | PA      | $146570947.90 | 5.63%             | 2047-11-07      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| SFO Commerical Mortgage Trust                                               | SFO Commercial Mortgage Trust 2021-555                                          | CUSIP: 78432WAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7960000 | PA      | $6885338.71   | 0.26%             | 2038-05-15      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| OFFICE CHERIFIEN DES PHO                                                    | OCP SA                                                                          | CUSIP: 67091TAE5<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |      4630000 | PA      | $3532157.55   | 0.14%             | 2051-06-23      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                                      | CCO Holdings LLC / CCO Holdings Capital Corp                                    | CUSIP: 1248EPCN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      8260000 | PA      | $6590860.50   | 0.25%             | 2032-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                                     | ZAR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $922629.88    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                                           | Kinder Morgan Inc                                                               | CUSIP: 28368EAE6<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |       300000 | PA      | $338260.78    | 0.01%             | 2032-01-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                                                       | Bausch Health Cos Inc                                                           | CUSIP: 91911KAN2<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |       350000 | PA      | $298051.83    | 0.01%             | 2025-11-01      | Fixed         | 5.50%                 | 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        |         -233 | NC      | $-101937.50   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| WILLIAMS COMPANIES INC                                                      | Williams Cos Inc/The                                                            | CUSIP: 969457BV1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |      2930000 | PA      | $2805516.64   | 0.11%             | 2044-06-24      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY INC                                                         | Cheniere Energy Inc                                                             | CUSIP: 16411RAK5<br>LEI: MIHC87W9WTYSYZWV1J40 | Long             | DBT              | CORP              | US        |      3160000 | PA      | $2862303.83   | 0.11%             | 2028-10-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| H&E EQUIPMENT SERVICES                                                      | H&E Equipment Services Inc                                                      | CUSIP: 404030AJ7<br>LEI: 254900KVLRCDMQRYY541 | Long             | DBT              | CORP              | US        |      1080000 | PA      | $921828.60    | 0.04%             | 2028-12-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES INC                                                         | Delta Air Lines Inc                                                             | CUSIP: 247361ZX9<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | DBT              | CORP              | US        |     24450000 | PA      | $25008643.62  | 0.96%             | 2025-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | Three-Month SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           10 | NC      | $-35521.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MEX BONOS DESARR FIX RT                                                     | Mexican Bonos                                                                   | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   1718650000 | PA      | $79748570.37  | 3.07%             | 2034-11-23      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| EQM MIDSTREAM PARTNERS L                                                    | EQM Midstream Partners LP                                                       | CUSIP: 26885BAC4<br>LEI: 549300NELT611CL6XM83 | Long             | DBT              | CORP              | US        |       490000 | PA      | $439016.97    | 0.02%             | 2028-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                            | T-Mobile USA Inc                                                                | CUSIP: 87264ABV6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      3880000 | PA      | $3424854.66   | 0.13%             | 2029-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      2310000 | PA      | $1903945.31   | 0.07%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                                    | Devon Energy Corp                                                               | CUSIP: 25179MBB8<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |       320000 | PA      | $324420.29    | 0.01%             | 2023-08-01      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                        | Charter Communications Operating LLC                                            | CUSIP: 16117LBW8<br>LEI: 549300TPZNMN50BJ3745 | Long             | LON              | CORP              | US        |      2750208 | PA      | $2742040.29   | 0.11%             | 2025-04-30      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                                        | Kraft Heinz Foods Co                                                            | CUSIP: 50076QAE6<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |      1810000 | PA      | $1645364.84   | 0.06%             | 2042-06-04      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Level 3 Financing Inc                                                       | Level 3 Financing Inc                                                           | CUSIP: 52729KAP1<br>LEI: 254900AE5FEFIJOXWL19 | Long             | LON              | CORP              | US        |      2349878 | PA      | $2257774.28   | 0.09%             | 2027-03-01      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                         | COMM 2014-CCRE20 Mortgage Trust                                                 | CUSIP: 12592LBM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       720000 | PA      | $671947.85    | 0.03%             | 2047-11-10      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                    | Ford Motor Credit Co LLC                                                        | CUSIP: 345397B51<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      2130000 | PA      | $1761816.87   | 0.07%             | 2028-02-16      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Allied Universal Holdco LLC                                                 | Allied Universal Holdco LLC                                                     | CUSIP: 01957TAH0<br>LEI: 98450038B4549046D794 | Long             | LON              | CORP              | US        |     11459080 | PA      | $10909101.43  | 0.42%             | 2028-05-12      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                                            | Peruvian Government International Bond                                          | CUSIP: 715638AU6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |       510000 | PA      | $539209.45    | 0.02%             | 2037-03-14      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| VALE OVERSEAS LIMITED                                                       | Vale Overseas Ltd                                                               | CUSIP: 91911TAH6<br>LEI: 254900BA3U6G5DNV5V04 | Long             | DBT              | CORP              | KY        |      1368000 | PA      | $1446506.78   | 0.06%             | 2036-11-21      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| 8th Avenue Food & Provisions Inc                                            | 8th Avenue Food & Provisions Inc                                                | CUSIP: 28253PAC3<br>LEI: 549300PBCACU45IZ2V05 | Long             | LON              | CORP              | US        |       972152 | PA      | $817064.47    | 0.03%             | 2025-10-01      | Floating      | 8.13%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                                                      | VICI Properties LP / VICI Note Co Inc                                           | CUSIP: 92564RAK1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1225000 | PA      | $1130885.71   | 0.04%             | 2028-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | US TREASURY LONG BOND                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |           80 | NC      | $146250.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| WYNN MACAU LTD                                                              | Wynn Macau Ltd                                                                  | CUSIP: 98313RAH9<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |      7740000 | PA      | $6627723.30   | 0.25%             | 2028-08-26      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                            | T-Mobile USA Inc                                                                | CUSIP: 87264ABR5<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      1350000 | PA      | $1230539.85   | 0.05%             | 2026-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                                        | Kraft Heinz Foods Co                                                            | CUSIP: 50077LAB2<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |      2160000 | PA      | $1765132.78   | 0.07%             | 2046-06-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                | CSMC 2014-USA OA LLC                                                            | CUSIP: 12649AAQ2<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |       530000 | PA      | $297018.94    | 0.01%             | 2037-09-15      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu                                              | JPMBB Commercial Mortgage Securities Trust 2014-C25                             | CUSIP: 46643PBL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3940000 | PA      | $3427316.56   | 0.13%             | 2047-11-15      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| RANGE RESOURCES CORP                                                        | Range Resources Corp                                                            | CUSIP: 75281ABJ7<br>LEI: H3Y3WLYCX0BTO1TRW162 | Long             | DBT              | CORP              | US        |      1780000 | PA      | $1836586.20   | 0.07%             | 2029-01-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| WYNN MACAU LTD                                                              | Wynn Macau Ltd                                                                  | CUSIP: 98313RAE6<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |      1110000 | PA      | $899904.75    | 0.03%             | 2029-12-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor                                              | Banc of America Funding 2014-R2 Trust                                           | CUSIP: 05968KAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8812080 | PA      | $7552201.92   | 0.29%             | 2037-05-26      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | CME 3 Month Eurodollar                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          755 | NC      | $-7817585.50  | -0.30%            |  |  |  | No            |                  1 | On Loan: No      |
| RUSSIA GOVT BOND - OFZ                                                      | Russian Federal Bond - OFZ                                                      | CUSIP: 000000000<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |   2374777000 | PA      | $8694098.85   | 0.33%             | 2028-01-19      | Fixed         | 7.05%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |            1 | NC      | $61249987.27  | 2.35%             |  |  |  | No            |                  2 | On Loan: No      |
| Rackspace Technology Global Inc                                             | Rackspace Technology Global Inc                                                 | CUSIP: 75009XAB6<br>LEI: 549300QTYCKLMFSE8I97 | Long             | LON              | CORP              | US        |      8102968 | PA      | $5105315.62   | 0.20%             | 2028-02-15      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES/SKYMILES                                                    | Delta Air Lines Inc / SkyMiles IP Ltd                                           | CUSIP: 830867AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |      5930000 | PA      | $5788421.31   | 0.22%             | 2025-10-20      | Fixed         | 4.50%                 | 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        |           80 | NC      | $67500.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BALL CORP                                                                   | Ball Corp                                                                       | CUSIP: 058498AS5<br>LEI: 0BGI85ALH27ZJP15DY16 | Long             | DBT              | CORP              | US        |       310000 | PA      | $304342.20    | 0.01%             | 2023-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AM                                                     | United Rentals North America Inc                                                | CUSIP: 911365BG8<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |     13060000 | PA      | $12405106.30  | 0.48%             | 2028-01-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                    | EQT Corp                                                                        | CUSIP: 26884LAL3<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |       180000 | PA      | $169592.08    | 0.01%             | 2029-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Horizon Therapeutics USA Inc                                                | Horizon Therapeutics USA Inc                                                    | CUSIP: 44055UAD7<br>LEI: 254900IS87RLPXY88S03 | Long             | LON              | CORP              | US        |     17694825 | PA      | $17699602.60  | 0.68%             | 2028-03-15      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                    | BX Commercial Mortgage Trust 2021-21M                                           | CUSIP: 05609CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9469097 | PA      | $9112520.77   | 0.35%             | 2036-10-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRU                                              | WFRBS Commercial Mortgage Trust 2014-C24                                        | CUSIP: 92939KAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1630000 | PA      | $1325877.70   | 0.05%             | 2047-11-15      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                            | CSC Holdings LLC                                                                | CUSIP: 126307BB2<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |       650000 | PA      | $460222.75    | 0.02%             | 2030-12-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |            1 | NC      | $32229617.60  | 1.24%             |  |  |  | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                                                       | China Government Bond                                                           | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    587240000 | PA      | $87392316.47  | 3.36%             | 2029-05-23      | Fixed         | 3.29%                 | 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      | $12001308.44  | 0.46%             |  |  |  | No            |                  2 | On Loan: No      |
| Citadel Securities LP                                                       | Citadel Securities LP                                                           | CUSIP: 17288YAD4<br>LEI: 549300NV5RXBUS3X7L47 | Long             | LON              | CORP              | US        |     10491405 | PA      | $10318297.05  | 0.40%             | 2028-02-02      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| PARK AEROSPACE HOLDINGS                                                     | Park Aerospace Holdings Ltd                                                     | CUSIP: 70014LAB6<br>LEI: 635400CPI3EOIFF6OC33 | Long             | DBT              | CORP              | KY        |      2840000 | PA      | $2804234.03   | 0.11%             | 2024-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICAL INDU                                                    | Teva Pharmaceutical Finance Netherlands III BV                                  | CUSIP: 88167AAP6<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |       710000 | PA      | $642656.32    | 0.02%             | 2027-05-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ELP 2021-ELP                                                                | ELP Commercial Mortgage Trust 2021-ELP                                          | CUSIP: 26863LAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15900000 | PA      | $14788221.12  | 0.57%             | 2038-11-15      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                         | Petroleos Mexicanos                                                             | CUSIP: 71654QCB6<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |      1650000 | PA      | $1562049.56   | 0.06%             | 2026-08-04      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| CAMERON LNG LLC                                                             | Cameron LNG LLC                                                                 | CUSIP: 133434AB6<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |      4820000 | PA      | $3897481.21   | 0.15%             | 2035-01-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| AUSTRALIAN SECURITIES EXCHANGE TRADE24                                      | SFE 10 YEAR AUSTRALIAN BOND                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | AU        |         1371 | NC      | $-6211589.81  | -0.24%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                                    | CAD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-796366.53   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRU                                              | WFRBS Commercial Mortgage Trust 2014-C24                                        | CUSIP: 92939KAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1270000 | PA      | $1211380.48   | 0.05%             | 2047-11-15      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                                                     | Mexican Bonos                                                                   | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    479171500 | PA      | $21480525.69  | 0.83%             | 2042-11-13      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| ALLIED UNIVERSAL                                                            | Allied Universal Holdco LLC / Allied Universal Finance Corp                     | CUSIP: 019576AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       330000 | PA      | $302629.80    | 0.01%             | 2026-07-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Allspring Buyer LLC                                                         | Allspring Buyer LLC                                                             | CUSIP: 98922AAC0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      6536605 | PA      | $6459799.89   | 0.25%             | 2028-11-01      | Floating      | 7.75%                 | No            |                  2 | On Loan: No      |
| Caesars Resort Collection LLC                                               | Caesars Resort Collection LLC                                                   | CUSIP: 12769LAB5<br>LEI: 549300V3UCT773B1KR38 | Long             | LON              | CORP              | US        |      2030902 | PA      | $2028952.11   | 0.08%             | 2024-12-23      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                                                       | Bausch Health Cos Inc                                                           | CUSIP: 071734AK3<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |      5160000 | PA      | $2492602.55   | 0.10%             | 2029-02-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                                                       | Argentine Republic Government International Bond                                | CUSIP: 040114HT0<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |      1102485 | PA      | $282396.71    | 0.01%             | 2035-07-09      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| Avolon TLB Borrower 1 (US) LLC                                              | Avolon TLB Borrower 1 US LLC                                                    | CUSIP: 05400KAH3<br>LEI: 635400O84AGITYFZQB55 | Long             | LON              | CORP              | US        |      4390400 | PA      | $4388446.27   | 0.17%             | 2027-12-01      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |            1 | NC      | $8528473.02   | 0.33%             |  |  |  | No            |                  2 | On Loan: No      |
| RUSSIA GOVT BOND - OFZ                                                      | Russian Federal Bond - OFZ                                                      | CUSIP: 000000000<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    659350000 | PA      | $2413891.53   | 0.09%             | 2026-09-16      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Hunter Douglas Holding BV                                                   | Hunter Douglas Inc                                                              | CUSIP: 000000000<br>LEI: 529900811T142NS3H544 | Long             | LON              | CORP              | US        |     16633409 | PA      | $14719070.17  | 0.57%             | 2029-02-26      | Floating      | 7.86%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PARAGUAY                                                        | Paraguay Government International Bond                                          | CUSIP: 699149AL4<br>LEI: 529900UXKJTJPCU0HK83 | Long             | DBT              | NUSS              | PY        |      4570000 | PA      | $4028800.58   | 0.15%             | 2033-06-28      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| PMT CREDIT RISK TRANSFER TRUST                                              | PMT Credit Risk Transfer Trust 2019-2R                                          | CUSIP: 69345WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10804922 | PA      | $10380115.46  | 0.40%             | 2023-05-27      | Floating      | 7.14%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                     | HCA Inc                                                                         | CUSIP: 197677AH0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |        10000 | PA      | $10765.72     | 0.00%             | 2095-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                          | Energy Transfer LP                                                              | CUSIP: 29273VAN0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      3170000 | PA      | $2734125.00   | 0.11%             | N/A             | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| TBW Mortgage Backed Pass Throu                                              | TBW Mortgage-Backed Trust Series 2006-3                                         | CUSIP: 87804AAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18810633 | PA      | $1095542.57   | 0.04%             | 2036-07-25      | Floating      | 2.71%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                                           | French Government Bond s                                                        | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |          555 | NC      | $-5840713.46  | -0.22%            |  |  |  | No            |                  1 | On Loan: No      |
| Harbor Freight Tools USA Inc                                                | Harbor Freight Tools USA Inc                                                    | CUSIP: 41151PAP0<br>LEI: 549300Y48HLCFTTB4249 | Long             | LON              | CORP              | US        |     10365084 | PA      | $9900987.60   | 0.38%             | 2027-10-19      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| II-VI Incorporated                                                          | Coherent Corp                                                                   | CUSIP: 45173JAQ7<br>LEI: 549300O5C25A0MMHHU33 | Long             | LON              | CORP              | US        |      9982561 | PA      | $9902700.22   | 0.38%             | 2029-07-02      | Floating      | 7.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                            | Connecticut Avenue Securities Trust 2021-R01                                    | CUSIP: 20754RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8870000 | PA      | $8360483.25   | 0.32%             | 2041-10-25      | Floating      | 7.03%                 | No            |                  2 | On Loan: No      |
| KAZMUNAYGAS NATIONAL CO                                                     | KazMunayGas National Co JSC                                                     | CUSIP: 48667QAQ8<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |       500000 | PA      | $449410.48    | 0.02%             | 2030-04-24      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                                              | Alternative Loan Trust 2007-OA8                                                 | CUSIP: 02148GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3162401 | PA      | $2537273.85   | 0.10%             | 2047-06-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Bravo Mortgage Asset Trust                                                  | Bravo Mortgage Asset Trust                                                      | CUSIP: 105667AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29530292 | PA      | $25087932.17  | 0.96%             | 2036-07-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS MXN                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |            1 | NC      | $-4990971.58  | -0.19%            |  |  |  | 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        |         -429 | NC      | $-33515.63    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | 10 YEAR US TREASURY NOTE WEEK 5                                                 | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          -79 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS MXN                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |            1 | NC      | $-5282730.58  | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| DELTA AIR LINES/SKYMILES                                                    | Delta Air Lines Inc / SkyMiles IP Ltd                                           | CUSIP: 830867AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |      5390000 | PA      | $5074736.37   | 0.20%             | 2028-10-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | CME MEXICAN PESO CURRENCY                                                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |         1921 | NC      | $821227.50    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| RANGE RESOURCES CORP                                                        | Range Resources Corp                                                            | CUSIP: 75281AAS8<br>LEI: H3Y3WLYCX0BTO1TRW162 | Long             | DBT              | CORP              | US        |      1680000 | PA      | $1598575.56   | 0.06%             | 2025-05-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| AmWINS Group Inc                                                            | AmWINS Group Inc                                                                | CUSIP: 03234TAW8<br>LEI: 549300SJE7MUB8NMRG61 | Long             | LON              | CORP              | US        |      2824635 | PA      | $2778071.16   | 0.11%             | 2028-02-19      | Floating      | 6.48%                 | 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        |         -159 | NC      | $-39750.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Focus Financial Partners LLC                                                | Focus Financial Partners LLC                                                    | CUSIP: 000000000<br>LEI: 5493007L0E0VKRC2CP39 | Long             | LON              | CORP              | US        |     10400812 | PA      | $10298988.14  | 0.40%             | 2028-06-30      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |            1 | NC      | $3321446.66   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                                              | Wells Fargo Commercial Mortgage Trust 2014-LC16                                 | CUSIP: 94988XAU0<br>LEI: 549300PX4QZK7CUM8D08 | Long             | ABS-MBS          | CORP              | US        |       980000 | PA      | $951906.14    | 0.04%             | 2050-08-15      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| XPO INC                                                                     | XPO Inc                                                                         | CUSIP: 983793AH3<br>LEI: 54930096DB9LCLPN7H13 | Long             | DBT              | CORP              | US        |       456000 | PA      | $462200.77    | 0.02%             | 2025-05-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                                              | JP Morgan Chase Commercial Mortgage Securities Trust 2021-NYAH                  | CUSIP: 46654EAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7960000 | PA      | $7391719.68   | 0.28%             | 2038-06-15      | Floating      | 7.71%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                                                         | United Airlines Inc                                                             | CUSIP: 90932LAG2<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |      4390000 | PA      | $4076668.14   | 0.16%             | 2026-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| KNDR Trust 2021-KIND                                                        | KIND Trust 2021-KIND                                                            | CUSIP: 482606AC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     78050000 | PA      | $81.95        | 0.00%             | 2038-08-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | 10 YEAR US TREASURY NOTE WEEK 5                                                 | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          -60 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Magenta Buyer LLC                                                           | Magenta Buyer LLC                                                               | CUSIP: 55910RAB9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     18074600 | PA      | $15561146.12  | 0.60%             | 2028-07-27      | Floating      | 9.17%                 | No            |                  2 | On Loan: No      |
| VOC ESCROW LTD                                                              | VOC Escrow Ltd                                                                  | CUSIP: 91832VAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      3540000 | PA      | $3050347.20   | 0.12%             | 2028-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                                  | CNH/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-2176881.29  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | US TREASURY LONG BOND                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          117 | NC      | $34734.38     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| AMERICA MOVIL SAB DE CV                                                     | America Movil SAB de CV                                                         | CUSIP: 02364WAW5<br>LEI: 5493000FNR3UCEAONM59 | Long             | DBT              | CORP              | MX        |      1500000 | PA      | $1550734.14   | 0.06%             | 2040-03-30      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                                     | GBP/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $43946.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities,                                               | Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1            | CUSIP: 25157GBS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2527241 | PA      | $433152.40    | 0.02%             | 2036-04-15      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                     | HCA Inc                                                                         | CUSIP: 404119CA5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      7660000 | PA      | $6624565.40   | 0.25%             | 2030-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                    | Ford Motor Credit Co LLC                                                        | CUSIP: 345397A60<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |       200000 | PA      | $192708.32    | 0.01%             | 2025-06-16      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                            | T-Mobile USA Inc                                                                | CUSIP: 87264ABW4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      9200000 | PA      | $7964664.66   | 0.31%             | 2031-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                                     | GBP/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-905761.40   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Transdigm Inc                                                               | TransDigm Inc                                                                   | CUSIP: 89364MBR4<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | LON              | CORP              | US        |       666922 | PA      | $660085.96    | 0.03%             | 2025-12-09      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| KNDR Trust 2021-KIND                                                        | KIND Trust 2021-KIND                                                            | CUSIP: 482606AN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21226588 | PA      | $19154128.11  | 0.74%             | 2038-08-15      | Floating      | 6.62%                 | 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        |          228 | NC      | $163875.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Setanta Aircraft Leasing DAC                                                | Setanta Aircraft Leasing DAC                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | IE        |      5000000 | PA      | $4985000.00   | 0.19%             | 2028-11-05      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| SPRINT CAPITAL CORP                                                         | Sprint Capital Corp                                                             | CUSIP: 852060AT9<br>LEI: 549300L17W0GQBR1PO80 | Long             | DBT              | CORP              | US        |      5490000 | PA      | $6546028.95   | 0.25%             | 2032-03-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Medline Borrower LP                                                         | Medline Borrower LP                                                             | CUSIP: 58503UAC7<br>LEI: 254900QT3R363TVK6F09 | Long             | LON              | CORP              | US        |      8209322 | PA      | $7816136.15   | 0.30%             | 2028-10-23      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| OFFICE CHERIFIEN DES PHO                                                    | OCP SA                                                                          | CUSIP: 67091TAD7<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |      4000000 | PA      | $3364840.00   | 0.13%             | 2031-06-23      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                                                          | Ford Motor Co                                                                   | CUSIP: 345370DA5<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |       150000 | PA      | $112758.26    | 0.00%             | 2032-02-12      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                                              | RALI Series 2007-QS7 Trust                                                      | CUSIP: 74923WAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4542710 | PA      | $3358596.42   | 0.13%             | 2037-05-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                | CSMC Series 2014-11R                                                            | CUSIP: 12649FDY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3474978 | PA      | $3168036.04   | 0.12%             | 2036-01-27      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| CIT Mortgage Loan Trust                                                     | CIT Mortgage Loan Trust 2007-1                                                  | CUSIP: 12559QAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8350000 | PA      | $7951288.34   | 0.31%             | 2037-10-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                                                              | BCAP LLC 2013-RR3 Trust                                                         | CUSIP: 05542JAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3391989 | PA      | $3325298.47   | 0.13%             | 2036-11-26      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                    | Ford Motor Credit Co LLC                                                        | CUSIP: 345397YT4<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |       250000 | PA      | $220130.00    | 0.01%             | 2027-11-02      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| Accredited Mortgage Loan Trust                                              | Accredited Mortgage Loan Trust 2006-2                                           | CUSIP: 00437NAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16246000 | PA      | $14785807.90  | 0.57%             | 2036-09-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Home Equity Asset Trust                                                     | Home Equity Asset Trust 2005-6                                                  | CUSIP: 437084NG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2980000 | PA      | $2752387.00   | 0.11%             | 2035-12-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                                                         | Bank of Nova Scotia/The                                                         | CUSIP: 06417XAG6<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |      3620000 | PA      | $3098562.57   | 0.12%             | 2037-05-04      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| OFFICE CHERIFIEN DES PHO                                                    | OCP SA                                                                          | CUSIP: 67091TAC9<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |      1180000 | PA      | $1155151.56   | 0.04%             | 2025-10-22      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SPIRIT LOYALTY KY LTD/IP                                                    | Spirit Loyalty Cayman Ltd / Spirit IP Cayman Ltd                                | CUSIP: 84859BAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      4907999 | PA      | $4932391.76   | 0.19%             | 2025-09-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                    | BX Commercial Mortgage Trust 2021-XL2                                           | CUSIP: 05609KAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9267151 | PA      | $8442131.40   | 0.32%             | 2038-10-15      | Floating      | 8.21%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                                    | USD/AUD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |            1 | NC      | $2615707.37   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                                    | Western Midstream Operating LP                                                  | CUSIP: 958254AL8<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |      2000000 | PA      | $1665975.00   | 0.06%             | 2048-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2000000 | PA      | $1812044.20   | 0.07%             | 2045-10-23      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| Sotera Health Holdings LLC                                                  | Sotera Health Holdings LLC                                                      | CUSIP: 83600VAE1<br>LEI: 549300OVT7MBXFLOFU20 | Long             | LON              | CORP              | US        |     13820000 | PA      | $12818050.00  | 0.49%             | 2026-12-11      | Floating      | 7.16%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                                                    | Cheniere Energy Partners LP                                                     | CUSIP: 16411QAN1<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |      7030000 | PA      | $5596278.88   | 0.22%             | 2032-01-31      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Jazz Financing Lux Sarl                                                     | Jazz Financing Lux Sarl                                                         | CUSIP: 000000000<br>LEI: 635400WUEO2NSG5OIU34 | Long             | LON              | CORP              | LU        |     11632565 | PA      | $11548054.06  | 0.44%             | 2028-05-05      | Floating      | 7.88%                 | 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        |           88 | NC      | $115500.00    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ORBIA ADVANCE CORP SAB                                                      | Orbia Advance Corp SAB de CV                                                    | CUSIP: 68560EAB4<br>LEI: 549300MVHZ20SBIOEQ79 | Long             | DBT              | CORP              | MX        |      9900000 | PA      | $7748680.50   | 0.30%             | 2031-05-11      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United AirLines Inc                                                         | United Airlines Inc                                                             | CUSIP: 90932RAJ3<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | LON              | CORP              | US        |     10450850 | PA      | $10348536.18  | 0.40%             | 2028-04-21      | Floating      | 8.11%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                    | BX Trust 2021-BXMF                                                              | CUSIP: 05609RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24640000 | PA      | $23657428.26  | 0.91%             | 2026-10-15      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| BALL CORP                                                                   | Ball Corp                                                                       | CUSIP: 058498AX4<br>LEI: 0BGI85ALH27ZJP15DY16 | Long             | DBT              | CORP              | US        |      4730000 | PA      | $3804953.90   | 0.15%             | 2031-09-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                                    | USD/EUR FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |            1 | NC      | $869404.48    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICALS NE                                                     | Teva Pharmaceutical Finance Netherlands III BV                                  | CUSIP: 88167AAQ4<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |      4690000 | PA      | $4182763.09   | 0.16%             | 2029-05-09      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | CME AUSTRALIAN DOLLAR CURRENCY                                                  | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |         4479 | NC      | $-1466229.96  | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| PFCA Home Equity Investment Tr                                              | PFCA Home Equity Investment Trust                                               | CUSIP: 717060AG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8495446 | PA      | $8423613.19   | 0.32%             | 2035-01-22      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| NOTA DO TESOURO NACIONAL                                                    | Brazil Notas do Tesouro Nacional Serie F                                        | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    130000000 | PA      | $22745691.08  | 0.87%             | 2027-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                                                        | Indonesia Treasury Bond                                                         | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |  57165000000 | PA      | $3539511.39   | 0.14%             | 2032-04-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Avenue of Americas                                                          | AOA 2021-1177 Mortgage Trust                                                    | CUSIP: 00192NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8235000 | PA      | $7646283.97   | 0.29%             | 2038-10-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                     | HCA Inc                                                                         | CUSIP: 404119BV0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |       190000 | PA      | $169638.00    | 0.01%             | 2047-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                                             | CDS APACHE CORP                                                                 | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |            1 | NC      | $-655151.46   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | SOFR 1 YEAR MIDCURVE                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         3882 | NC      | $509512.50    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                                           | EURO-BUND                                                                       | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |         -106 | NC      | $-593698.53   | -0.02%            |  |  |  | No            |                  1 | 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        |          119 | NC      | $109703.13    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BAT CAPITAL CORP                                                            | BAT Capital Corp                                                                | CUSIP: 05526DBT1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     10000000 | PA      | $6823104.50   | 0.26%             | 2040-09-25      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                               | DISH DBS Corp                                                                   | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       420000 | PA      | $336000.00    | 0.01%             | 2028-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | CBOT 30 Day Federal Funds                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -1908 | NC      | $-43378.38    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ENERGY TRANSFER LP                                                          | Energy Transfer LP                                                              | CUSIP: 29273VAH3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      2880000 | PA      | $2451600.00   | 0.09%             | N/A             | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Prime Security Services Borrower, LLC (aka Protection 1 Security Solutions) | Prime Security Services Borrower LLC                                            | CUSIP: 03765VAK6<br>LEI: 549300O6QPZVWXV2DC15 | Long             | LON              | CORP              | US        |      8436145 | PA      | $8372874.18   | 0.32%             | 2026-09-23      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| GFL Environmental Inc                                                       | GFL Environmental Inc                                                           | CUSIP: 000000000<br>LEI: 549300FYK4MBXWIVZU26 | Long             | LON              | CORP              | CA        |      5828587 | PA      | $5837883.74   | 0.22%             | 2025-05-30      | Floating      | 7.41%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | AUDUSD EURO CURRENCY 9AM                                                        | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |           54 | NC      | $68040.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                                        | Kraft Heinz Foods Co                                                            | CUSIP: 50076QAR7<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |      1130000 | PA      | $1230991.76   | 0.05%             | 2039-01-26      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| COMMSCOPE INC                                                               | CommScope Inc                                                                   | CUSIP: 203372AX5<br>LEI: 549300Z6K4JXMFE8QY54 | Long             | DBT              | CORP              | US        |      1980000 | PA      | $1599988.50   | 0.06%             | 2029-09-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                                      | Williams Cos Inc/The                                                            | CUSIP: 969457BW9<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |       230000 | PA      | $227616.36    | 0.01%             | 2024-06-24      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                                           | Eurex 5 Year Euro BOBL                                                          | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |          777 | NC      | $-3538631.95  | -0.14%            |  |  |  | No            |                  1 | 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        |         -425 | NC      | $-59765.64    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | US TREASURY LONG BOND                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         -312 | NC      | $-63375.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                                    | Occidental Petroleum Corp                                                       | CUSIP: 674599DJ1<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     11829000 | PA      | $11596805.48  | 0.45%             | 2040-03-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICALS NE                                                     | Teva Pharmaceutical Finance Netherlands III BV                                  | CUSIP: 88167AAE1<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |     35960000 | PA      | $31520018.80  | 1.21%             | 2026-10-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38378XUN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2214412 | PA      | $18294.14     | 0.00%             | 2055-05-16      | Variable      | 0.19%                 | No            |                  2 | On Loan: No      |
| Terrier Media Buyer Inc                                                     | CMG Media Corp                                                                  | CUSIP: 88145LAE4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      1709725 | PA      | $1605619.69   | 0.06%             | 2026-12-17      | Floating      | 8.23%                 | No            |                  2 | On Loan: No      |
| TENCENT HOLDINGS LTD                                                        | Tencent Holdings Ltd                                                            | CUSIP: 88032WBC9<br>LEI: 254900N4SLUMW4XUYY11 | Long             | DBT              | CORP              | KY        |     10990000 | PA      | $7807087.41   | 0.30%             | 2051-04-22      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDI                                                            | Ford Motor Credit Co LLC                                                        | CUSIP: 345397B69<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      5820000 | PA      | $4579514.14   | 0.18%             | 2031-06-17      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | CME 3 Month Eurodollar                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1298 | NC      | $-471949.51   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Hilton USA Trust                                                            | Hilton USA Trust 2016-HHV                                                       | CUSIP: 43300LAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2800000 | PA      | $2476957.28   | 0.10%             | 2038-11-05      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| Global Medical Response Inc                                                 | Global Medical Response Inc                                                     | CUSIP: 00169QAF6<br>LEI: 549300ZFWD4ZFCEJCQ87 | Long             | LON              | CORP              | US        |      4777004 | PA      | $3376768.50   | 0.13%             | 2025-10-02      | Floating      | 8.42%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                                        | Kraft Heinz Foods Co                                                            | CUSIP: 42307TAG3<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |       432000 | PA      | $470208.77    | 0.02%             | 2032-03-15      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| KAZMUNAYGAS NATIONAL CO                                                     | KazMunayGas National Co JSC                                                     | CUSIP: 48667QAS4<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |      2850000 | PA      | $2364750.45   | 0.09%             | 2048-10-24      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Deerfield Dakota Holding LLC                                                | Deerfield Dakota Holding LLC                                                    | CUSIP: 24440EAB3<br>LEI: 549300FDREJLOIGXY104 | Long             | LON              | CORP              | US        |      9016643 | PA      | $8443274.58   | 0.32%             | 2027-04-09      | Floating      | 8.07%                 | No            |                  2 | On Loan: No      |
| NOTA DO TESOURO NACIONAL                                                    | Brazil Notas do Tesouro Nacional Serie F                                        | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    143857000 | PA      | $23403413.41  | 0.90%             | 2033-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                         | Freddie Mac STACR REMIC Trust 2021-DNA5                                         | CUSIP: 35564KJA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9670000 | PA      | $8860974.92   | 0.34%             | 2034-01-25      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| Virgin Media Bristol LLC                                                    | Virgin Media Bristol LLC                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      1910000 | PA      | $1896152.50   | 0.07%             | 2029-01-31      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| ML-CFC Commercial Mortgage Tru                                              | ML-CFC Commercial Mortgage Trust 2007-9                                         | CUSIP: 60688CAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        25618 | PA      | $25185.55     | 0.00%             | 2049-09-12      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| NETFLIX INC                                                                 | Netflix Inc                                                                     | CUSIP: 64110LAL0<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |      2845000 | PA      | $2885484.35   | 0.11%             | 2025-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Commscope Inc                                                               | CommScope Inc                                                                   | CUSIP: 20337EAQ4<br>LEI: 549300Z6K4JXMFE8QY54 | Long             | LON              | CORP              | US        |      3685251 | PA      | $3483483.77   | 0.13%             | 2026-04-06      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                            | Altria Group Inc                                                                | CUSIP: 02209SBF9<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      7500000 | PA      | $6703914.23   | 0.26%             | 2049-02-14      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Gainwell Acquisition Corp                                                   | Gainwell Acquisition Corp                                                       | CUSIP: 59909TAC8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      7480451 | PA      | $7040974.57   | 0.27%             | 2027-10-01      | Floating      | 8.20%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch                                               | BAMLL Re-REMIC Trust 2016-RRGG10                                                | CUSIP: 059427AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9921268 | PA      | $2593060.31   | 0.10%             | 2045-08-10      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| RUSSIA GOVT BOND - OFZ                                                      | Russian Federal Bond - OFZ                                                      | CUSIP: 000000000<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    786393000 | PA      | $2878998.10   | 0.11%             | 2029-05-23      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| Alterra Mountain Company                                                    | Alterra Mountain Co                                                             | CUSIP: 46124CAJ6<br>LEI: 549300C5O4FSVNUEI843 | Long             | LON              | CORP              | US        |      5130461 | PA      | $5080772.94   | 0.20%             | 2028-08-17      | Floating      | 7.88%                 | 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        |        -1906 | NC      | $731315.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| PETROBRAS GLOBAL FINANCE                                                    | Petrobras Global Finance BV                                                     | CUSIP: 71647NBJ7<br>LEI: 549300FNENFFSMO3GT38 | Long             | DBT              | CORP              | NL        |      7380000 | PA      | $5668332.91   | 0.22%             | 2051-06-10      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                         | Petroleos Mexicanos                                                             | CUSIP: 71654QBE1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |       330000 | PA      | $194469.00    | 0.01%             | 2044-06-27      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                                  | USD/IDR FORWARD                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |            1 | NC      | $482371.38    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| TECK RESOURCES LIMITED                                                      | Teck Resources Ltd                                                              | CUSIP: 878742AS4<br>LEI: T8KI5SQ2JRWHL7XY0E11 | Long             | DBT              | CORP              | CA        |       240000 | PA      | $230031.54    | 0.01%             | 2040-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                                             | CDS APACHE CORP                                                                 | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |            1 | NC      | $-163254.63   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                                                              | BCAP LLC 2014-RR5 Trust                                                         | CUSIP: 05544GAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20688155 | PA      | $18763066.07  | 0.72%             | 2036-01-26      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| Triton Water Holdings Inc                                                   | Triton Water Holdings Inc                                                       | CUSIP: 89678QAB2<br>LEI: 5493005IYCEL7QJFZZ63 | Long             | LON              | CORP              | US        |      4425903 | PA      | $4131027.47   | 0.16%             | 2028-03-31      | Floating      | 8.23%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | US TREASURY LONG BOND                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |           40 | NC      | $33750.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GS Mortgage Securities Corp.                                                | GSMSC Resecuritization Trust 2014-2R                                            | CUSIP: 36249UAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15882574 | PA      | $13835008.44  | 0.53%             | 2037-11-26      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | US TREASURY LONG BOND                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |           79 | NC      | $144421.88    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Phoenix Newco Inc                                                           | Phoenix Newco Inc                                                               | CUSIP: 71911KAC8<br>LEI: 254900PHGVI5379Z9791 | Long             | LON              | CORP              | US        |      1109450 | PA      | $1070929.90   | 0.04%             | 2028-11-15      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | US TREASURY LONG BOND                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         -156 | NC      | $-31687.52    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BOEING CO                                                                   | Boeing Co/The                                                                   | CUSIP: 097023CV5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      1000000 | PA      | $957850.51    | 0.04%             | 2040-05-01      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| FOX CORP                                                                    | Fox Corp                                                                        | CUSIP: 35137LAJ4<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |      2000000 | PA      | $1827681.80   | 0.07%             | 2039-01-25      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| Scientific Games International, Inc.                                        | Scientific Games International Inc                                              | CUSIP: 000000000<br>LEI: RLTHESQ0RNFQJWPBJN60 | Long             | LON              | CORP              | US        |     12288250 | PA      | $12152219.07  | 0.47%             | 2029-04-13      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| Finco I LLC                                                                 | FinCo I LLC                                                                     | CUSIP: 31774BAE4<br>LEI: 5493001RSEZ0X6VJMC68 | Long             | LON              | CORP              | US        |       943617 | PA      | $941847.44    | 0.04%             | 2025-06-27      | Floating      | 6.88%                 | 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        |         -395 | NC      | $-40117.38    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                                        | Kraft Heinz Foods Co                                                            | CUSIP: 50077LAX4<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |       330000 | PA      | $290836.47    | 0.01%             | 2039-10-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                                           | EURO-BUND                                                                       | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |          108 | NC      | $140748.53    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| DCert Buyer Inc                                                             | Dcert Buyer Inc                                                                 | CUSIP: 24022KAB5<br>LEI: 549300EF826JEEUCHZ67 | Long             | LON              | CORP              | US        |     14075601 | PA      | $13628208.16  | 0.52%             | 2026-10-16      | Floating      | 8.70%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                                    | Devon Energy Corp                                                               | CUSIP: 25179MAU7<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |      1250000 | PA      | $1084990.40   | 0.04%             | 2045-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                                        | Colombia Government International Bond                                          | CUSIP: 195325BR5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |       500000 | PA      | $369186.25    | 0.01%             | 2044-02-26      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Genesee & Wyoming Inc                                                       | Genesee & Wyoming Inc                                                           | CUSIP: 55316HAB1<br>LEI: G617XSG94Z7G0RMW3L02 | Long             | LON              | CORP              | US        |      9145139 | PA      | $9109152.41   | 0.35%             | 2026-12-30      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| Jane Street Group LLC                                                       | Jane Street Group LLC                                                           | CUSIP: 47077DAG5<br>LEI: 5493002N1IVX6KHGYO08 | Long             | LON              | CORP              | US        |      2380196 | PA      | $2314181.19   | 0.09%             | 2028-01-26      | Floating      | 7.13%                 | 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        |         -234 | NC      | $-25593.75    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Energizer Holdings Inc                                                      | Energizer Holdings Inc                                                          | CUSIP: 000000000<br>LEI: 5493000D6NN0V57UME20 | Long             | LON              | CORP              | US        |      2615733 | PA      | $2573227.66   | 0.10%             | 2027-12-22      | Floating      | 6.62%                 | 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        |         8894 | NC      | $-2846575.99  | -0.11%            |  |  |  | No            |                  1 | On Loan: No      |
| KREF 2021-FL2 Ltd                                                           | KREF 2021-FL2 Ltd                                                               | CUSIP: 48275RAJ6<br>LEI: 54930083ELM2GCMVTQ91 | Long             | ABS-CBDO         | CORP              | KY        |      3130000 | PA      | $2980062.05   | 0.11%             | 2039-02-15      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                                        | Kraft Heinz Foods Co                                                            | CUSIP: 42307TAH1<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |       330000 | PA      | $364207.83    | 0.01%             | 2039-08-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | 5 YEAR US TREASURY NOTE WEEK 5                                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         -395 | NC      | $-3086.13     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                                    | EUR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-261828.25   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ICON Luxembourg Sarl                                                        | ICON Luxembourg Sarl                                                            | CUSIP: 000000000<br>LEI: 635400PUWMHSPI2DDA35 | Long             | LON              | CORP              | LU        |      8318187 | PA      | $8303672.02   | 0.32%             | 2028-07-03      | Floating      | 7.00%                 | 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        |           79 | NC      | $56781.25     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FREEPORT-MCMORAN INC                                                        | Freeport-McMoRan Inc                                                            | CUSIP: 35671DCH6<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |      2030000 | PA      | $1894141.21   | 0.07%             | 2030-08-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| APACHE CORP                                                                 | Apache Corp                                                                     | CUSIP: 037411AW5<br>LEI: 72ZZ1XRHOOU9P9X16K08 | Long             | DBT              | CORP              | US        |      6268000 | PA      | $5208504.29   | 0.20%             | 2040-09-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                                           | EURO-BUND                                                                       | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |          943 | NC      | $-4763122.80  | -0.18%            |  |  |  | No            |                  1 | 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        |           80 | NC      | $48125.04     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BAT CAPITAL CORP                                                            | BAT Capital Corp                                                                | CUSIP: 05526DBU8<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |      2500000 | PA      | $1645414.78   | 0.06%             | 2050-09-25      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                                           | Eurex 30 Year Euro BUXL                                                         | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |         -257 | NC      | $6892789.83   | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                    | Ford Motor Credit Co LLC                                                        | CUSIP: 345397ZR7<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |       230000 | PA      | $208794.00    | 0.01%             | 2029-05-03      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                       | Wells Fargo & Co                                                                | CUSIP: 94974BGU8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      2000000 | PA      | $1684175.68   | 0.06%             | 2046-12-07      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Clarios Global LP                                                           | Clarios Global LP                                                               | CUSIP: 000000000<br>LEI: 549300474L1ZLXZY2P98 | Long             | LON              | CORP              | CA        |     16362551 | PA      | $16089868.73  | 0.62%             | 2026-04-30      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                                          | Long Gilt                                                                       | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |          758 | NC      | $-5057601.27  | -0.19%            |  |  |  | No            |                  1 | On Loan: No      |
| Entain Holdings (Gibraltar) Limited                                         | Entain Holdings Gibraltar Ltd                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | GI        |      1817236 | PA      | $1806732.35   | 0.07%             | 2027-03-29      | Floating      | 7.23%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                                                    | Targa Resources Partners LP / Targa Resources Partners Finance Corp             | CUSIP: 87612BBU5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       560000 | PA      | $471934.40    | 0.02%             | 2032-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Asurion LLC                                                                 | Asurion LLC                                                                     | CUSIP: 04649VAY6<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |      4794600 | PA      | $4210282.10   | 0.16%             | 2027-07-31      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                                           | EURO-BUND                                                                       | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |         -163 | NC      | $-177156.16   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| PMT CREDIT RISK TRANSFER TRUST                                              | PMT Credit Risk Transfer Trust 2019-3R                                          | CUSIP: 69349MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3655541 | PA      | $3509764.57   | 0.13%             | 2031-11-27      | Floating      | 8.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                            | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XJW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     16410000 | PA      | $17351316.98  | 0.67%             | 2029-10-25      | Floating      | 9.24%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION                                   | TRS TREASURY BOND                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |            1 | NC      | $-8003423.44  | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                                               | Citigroup Commercial Mortgage Trust 2019-C7                                     | CUSIP: 17328CAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15000000 | PA      | $13118706.00  | 0.50%             | 2072-12-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH AMERICAS                                                      | Bausch Health Americas Inc                                                      | CUSIP: 91911XAW4<br>LEI: KOO0397YRO83WY5MGD97 | Long             | DBT              | CORP              | US        |       830000 | PA      | $435525.90    | 0.02%             | 2027-01-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| PCI Gaming Authority                                                        | PCI Gaming Authority                                                            | CUSIP: 70455DAG9<br>LEI: 549300KPXAJ1LRW5LP59 | Long             | LON              | CORP              | US        |      5244031 | PA      | $5222189.12   | 0.20%             | 2026-05-29      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| HANESBRANDS INC                                                             | Hanesbrands Inc                                                                 | CUSIP: 410345AL6<br>LEI: GX5LWVWZLL5S4W1L2F20 | Long             | DBT              | CORP              | US        |      1840000 | PA      | $1647390.53   | 0.06%             | 2026-05-15      | Fixed         | 4.88%                 | 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        |          236 | NC      | $70062.50     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Residential Asset Mortgage Pro                                              | RAMP Series 2006-RZ3 Trust                                                      | CUSIP: 75156MAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6830270 | PA      | $6589086.56   | 0.25%             | 2036-08-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| MILEAGE PLUS HLDINGS LLC                                                    | Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd       | CUSIP: 599191AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      6903445 | PA      | $6878605.25   | 0.26%             | 2027-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                          | Energy Transfer LP                                                              | CUSIP: 29273VAM2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      8010000 | PA      | $6708375.00   | 0.26%             | N/A             | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| VALE CANADA LTD                                                             | Vale Canada Ltd                                                                 | CUSIP: 453258AP0<br>LEI: PRAQ4VOSFIK7OQ8Z2512 | Long             | DBT              | CORP              | CA        |      1254000 | PA      | $1366860.00   | 0.05%             | 2032-09-15      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| Delos Finance Sarl                                                          | Delos Finance Sarl                                                              | CUSIP: 000000000<br>LEI: 549300HX549YWOJQT076 | Long             | LON              | CORP              | LU        |       275000 | PA      | $274947.75    | 0.01%             | 2023-10-06      | Floating      | 6.48%                 | 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        |          891 | NC      | $-2313459.68  | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| PROVINCIA DE BUENOS AIRE                                                    | Provincia de Buenos Aires/Government Bonds                                      | CUSIP: 000000000<br>LEI: 549300L6AYROPOTQ4L07 | Long             | DBT              | NUSS              | AR        |      8024786 | PA      | $2798644.12   | 0.11%             | 2037-09-01      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | Three-Month SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       -12357 | NC      | $14418465.54  | 0.55%             |  |  |  | No            |                  1 | On Loan: No      |
| REPUBLIC OF KENYA                                                           | Republic of Kenya Government International Bond                                 | CUSIP: 491798AG9<br>LEI: 549300VVURQQYU45PR87 | Long             | DBT              | NUSS              | KE        |       910000 | PA      | $800536.10    | 0.03%             | 2028-02-28      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| HANESBRANDS INC                                                             | Hanesbrands Inc                                                                 | CUSIP: 410345AJ1<br>LEI: GX5LWVWZLL5S4W1L2F20 | Long             | DBT              | CORP              | US        |       450000 | PA      | $436570.93    | 0.02%             | 2024-05-15      | Fixed         | 4.62%                 | 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        |          856 | NC      | $267500.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley Capital Inc                                                  | Morgan Stanley ABS Capital I Inc Trust 2004-HE7                                 | CUSIP: 61744CGD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5912536 | PA      | $5509935.96   | 0.21%             | 2034-08-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT HOLDINGS INC                                                      | Open Text Holdings Inc                                                          | CUSIP: 683720AA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       320000 | PA      | $257260.80    | 0.01%             | 2030-02-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| HAWAIIAN BRAND INTELLECT                                                    | Hawaiian Brand Intellectual Property Ltd / HawaiianMiles Loyalty Ltd            | CUSIP: 41984LAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |       700000 | PA      | $634830.00    | 0.02%             | 2026-01-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                                  | USD/CNH FORWARD                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |            1 | NC      | $1634027.05   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp.                                                  | Impac Secured Assets Trust 2006-3                                               | CUSIP: 45255RAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18896359 | PA      | $14038339.54  | 0.54%             | 2036-11-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                                  | CNY/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-1766944.82  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | CME British Pound Currency                                                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |          991 | NC      | $-2226033.75  | -0.09%            |  |  |  | No            |                  1 | 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        |        10790 | NC      | $-5465447.22  | -0.21%            |  |  |  | No            |                  1 | On Loan: No      |
| AthenaHealth Group Inc                                                      | AthenaHealth Group Inc                                                          | CUSIP: 04686RAB9<br>LEI: 254900AA3KZN4Q7A5Z33 | Long             | LON              | CORP              | US        |     12917244 | PA      | $11694756.34  | 0.45%             | 2029-02-15      | Floating      | 7.82%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                                                    | Sabine Pass Liquefaction LLC                                                    | CUSIP: 785592AJ5<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |      1300000 | PA      | $1301017.61   | 0.05%             | 2024-05-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| 1011778 BC Unlimited Liability Company                                      | 1011778 BC ULC                                                                  | CUSIP: 000000000<br>LEI: 549300RHSHNRWI5LLA86 | Long             | LON              | CORP              | CA        |      1060997 | PA      | $1044795.13   | 0.04%             | 2026-11-19      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ENERGY CO                                                      | Southwestern Energy Co                                                          | CUSIP: 845467AT6<br>LEI: EFWMP121W54QV9MGOP87 | Long             | DBT              | CORP              | US        |      2580000 | PA      | $2209808.70   | 0.08%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| NYO Commercial Mortgage Trust                                               | NYO Commercial Mortgage Trust 2021-1290                                         | CUSIP: 62955HAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9150000 | PA      | $8085156.86   | 0.31%             | 2038-11-15      | Floating      | 6.31%                 | 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        |         1005 | NC      | $924628.25    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| ALTRIA GROUP INC                                                            | Altria Group Inc                                                                | CUSIP: 02209SBE2<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      5000000 | PA      | $4629833.20   | 0.18%             | 2039-02-14      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                                    | Western Midstream Operating LP                                                  | CUSIP: 958254AJ3<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |     13140000 | PA      | $10827384.57  | 0.42%             | 2048-03-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                            | Altice France SA/France                                                         | CUSIP: 02156LAC5<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |       200000 | PA      | $157054.00    | 0.01%             | 2028-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                                                    | Cooperatieve Rabobank UA                                                        | CUSIP: 74977RDP6<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |       750000 | PA      | $640928.87    | 0.02%             | 2033-04-06      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF KENYA                                                           | Republic of Kenya Government International Bond                                 | CUSIP: 000000000<br>LEI: 549300VVURQQYU45PR87 | Long             | DBT              | NUSS              | KE        |      4260000 | PA      | $3932981.10   | 0.15%             | 2024-06-24      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| FED REPUBLIC OF BRAZIL                                                      | Brazilian Government International Bond                                         | CUSIP: 105756CB4<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |     21630000 | PA      | $15223535.97  | 0.59%             | 2050-01-14      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| VMED O2 UK FINAN                                                            | Vmed O2 UK Financing I PLC                                                      | CUSIP: 92858RAB6<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |       730000 | PA      | $594442.65    | 0.02%             | 2031-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| iHeartCommunications Inc                                                    | iHeartCommunications Inc                                                        | CUSIP: 45174UAF5<br>LEI: 54930076J6KDZL504O62 | Long             | LON              | CORP              | US        |     10329878 | PA      | $9500285.82   | 0.37%             | 2026-05-01      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| 1011778 BC / NEW RED FIN                                                    | 1011778 BC ULC / New Red Finance Inc                                            | CUSIP: 68245XAP4<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |      1960000 | PA      | $1683765.40   | 0.06%             | 2029-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                                                    | Targa Resources Partners LP / Targa Resources Partners Finance Corp             | CUSIP: 87612BBS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      3590000 | PA      | $3246437.00   | 0.12%             | 2031-02-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                               | DISH DBS Corp                                                                   | CUSIP: 25470XAY1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1220000 | PA      | $986309.00    | 0.04%             | 2026-07-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Virgin Media Bristol LLC                                                    | Virgin Media Bristol LLC                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     13686685 | PA      | $13482616.43  | 0.52%             | 2028-01-31      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     22590000 | PA      | $22124081.25  | 0.85%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COMMSCOPE TECH LLC                                                          | CommScope Technologies LLC                                                      | CUSIP: 20338HAB9<br>LEI: M4TWC4QDOKW45N7T6Y12 | Long             | DBT              | CORP              | US        |      2000000 | PA      | $1361563.16   | 0.05%             | 2027-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | Three-Month SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         4085 | NC      | $-1120993.73  | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                    | Ford Motor Credit Co LLC                                                        | CUSIP: 345397B36<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     12260000 | PA      | $10087589.30  | 0.39%             | 2030-11-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CTR PARTNERSHIP/CARETRST                                                    | CTR Partnership LP / CareTrust Capital Corp                                     | CUSIP: 126458AE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1310000 | PA      | $1112368.92   | 0.04%             | 2028-06-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                                      | CCO Holdings LLC / CCO Holdings Capital Corp                                    | CUSIP: 1248EPCQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      5350000 | PA      | $4348185.75   | 0.17%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | Three-Month SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1052 | NC      | $1142599.11   | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| REPUBLIC OF NIGERIA                                                         | Nigeria Government International Bond                                           | CUSIP: 65412JAD5<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |      4970000 | PA      | $3823694.35   | 0.15%             | 2030-02-23      | Fixed         | 7.14%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                            | Altria Group Inc                                                                | CUSIP: 02209SBG7<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |       792000 | PA      | $744901.43    | 0.03%             | 2059-02-14      | Fixed         | 6.20%                 | 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        |    215960739 | NS      | $215960739.18 | 8.30%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | SOFR 1 YEAR MIDCURVE                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         3841 | NC      | $1392362.50   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| PMT CREDIT RISK TRANSFER TRUST                                              | PMT Credit Risk Transfer Trust 2021-1R                                          | CUSIP: 69356UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7185950 | PA      | $6890609.01   | 0.26%             | 2024-02-27      | Floating      | 7.29%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                                                        | Indonesia Treasury Bond                                                         | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 544513000000 | PA      | $35898274.26  | 1.38%             | 2027-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICALS NE                                                     | Teva Pharmaceutical Finance Netherlands III BV                                  | CUSIP: 88167AAD3<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |       150000 | PA      | $146929.50    | 0.01%             | 2023-07-21      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                                       | Mexico Government International Bond                                            | CUSIP: 91086QBB3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      3380000 | PA      | $2740741.07   | 0.11%             | 2044-03-08      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                            | CSC Holdings LLC                                                                | CUSIP: 126307BH9<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |     11490000 | PA      | $7993466.95   | 0.31%             | 2031-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VFH Parent LLC                                                              | VFH Parent LLC                                                                  | CUSIP: 000000000<br>LEI: 549300FRO9M476YHHY64 | Long             | LON              | CORP              | US        |      5500000 | PA      | $5370750.00   | 0.21%             | 2029-01-13      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                            | T-Mobile USA Inc                                                                | CUSIP: 87264ABL8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      1000000 | PA      | $709413.02    | 0.03%             | 2041-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                               | DISH DBS Corp                                                                   | CUSIP: 25470XBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2260000 | PA      | $1907914.60   | 0.07%             | 2026-12-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICALS NE                                                     | Teva Pharmaceutical Finance Netherlands III BV                                  | CUSIP: 88167AAN1<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |      3920000 | PA      | $3904398.40   | 0.15%             | 2025-01-31      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| SPRINT CAPITAL CORP                                                         | Sprint Capital Corp                                                             | CUSIP: 852060AD4<br>LEI: 549300L17W0GQBR1PO80 | Long             | DBT              | CORP              | US        |       650000 | PA      | $676126.75    | 0.03%             | 2028-11-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Phoenix Guarantor Inc                                                       | Phoenix Guarantor Inc                                                           | CUSIP: 71913BAE2<br>LEI: 254900JIOIDL3GSUFE55 | Long             | LON              | CORP              | US        |      7734881 | PA      | $7270787.91   | 0.28%             | 2026-03-05      | Floating      | 7.48%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                                                | Ecopetrol SA                                                                    | CUSIP: 279158AP4<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |     21540000 | PA      | $16497159.67  | 0.63%             | 2031-11-02      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | US TREASURY LONG BOND                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |           38 | NC      | $22562.50     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITED RENTALS NORTH AM                                                     | United Rentals North America Inc                                                | CUSIP: 911365BL7<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |       100000 | PA      | $94135.50     | 0.00%             | 2030-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | US TREASURY LONG BOND WEEK 5                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         -120 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITED RENTALS NORTH AM                                                     | United Rentals North America Inc                                                | CUSIP: 911365BP8<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |      4220000 | PA      | $3448288.60   | 0.13%             | 2032-01-15      | 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        |           29 | NC      | $9062.50      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                    | Ford Motor Credit Co LLC                                                        | CUSIP: 345397B93<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |       200000 | PA      | $160007.00    | 0.01%             | 2029-02-10      | Fixed         | 2.90%                 | 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        |          367 | NC      | $48742.37     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |            1 | NC      | $2900286.00   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| First Eagle Holdings Inc                                                    | First Eagle Holdings Inc                                                        | CUSIP: 05554JAH0<br>LEI: 549300ZKYR56QRODD510 | Long             | LON              | CORP              | US        |      2116082 | PA      | $2067676.24   | 0.08%             | 2027-02-01      | Floating      | 7.23%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                                              | JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN                   | CUSIP: 46652BBQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     38360000 | PA      | $30719056.26  | 1.18%             | 2037-01-16      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                                  | EUR/NOK FORWARD                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-83105.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                                  | JPY/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |            1 | NC      | $6557822.26   | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP Trust                                                                 | GSAMP Trust 2005-SEA1                                                           | CUSIP: 36242DL68<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3613103 | PA      | $3575067.22   | 0.14%             | 2035-01-25      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                            | T-Mobile USA Inc                                                                | CUSIP: 87264ABS3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      4230000 | PA      | $3586535.78   | 0.14%             | 2029-02-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | SOFR 1 YEAR MIDCURVE                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          321 | NC      | $116362.50    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| KINDER MORGAN INC                                                           | Kinder Morgan Inc                                                               | CUSIP: 49456BAH4<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |      2000000 | PA      | $1832982.82   | 0.07%             | 2045-06-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                                                       | China Government Bond                                                           | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |     32000000 | PA      | $4699224.07   | 0.18%             | 2025-05-21      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU                                                    | Venture Global Calcasieu Pass LLC                                               | CUSIP: 92328MAC7<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |      4040000 | PA      | $3307729.80   | 0.13%             | 2033-11-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 912810RD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      4420000 | PA      | $4146857.79   | 0.16%             | 2043-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                        | Charter Communications Operating LLC                                            | CUSIP: 16117LBX6<br>LEI: 549300TPZNMN50BJ3745 | Long             | LON              | CORP              | US        |     12726806 | PA      | $12446815.83  | 0.48%             | 2027-02-01      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| CORECIVIC INC                                                               | CoreCivic Inc                                                                   | CUSIP: 21871NAA9<br>LEI: 529900JFA3K6PTLT8B15 | Long             | DBT              | CORP              | US        |       210000 | PA      | $182598.91    | 0.01%             | 2027-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor                                              | Banc of America Funding Corp                                                    | CUSIP: 05990QAB9<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-MBS          | CORP              | US        |     29491790 | PA      | $23374776.98  | 0.90%             | 2036-03-27      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                                                       | Argentine Republic Government International Bond                                | CUSIP: 040114HX1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |       730361 | PA      | $195705.65    | 0.01%             | 2029-07-09      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                         | STACR Trust 2018-HRP1                                                           | CUSIP: 3137G0VB2<br>LEI: 549300D2VO9JVX6KU482 | Long             | ABS-MBS          | CORP              | US        |     17209211 | PA      | $17945176.94  | 0.69%             | 2043-05-25      | Floating      | 16.14%                | No            |                  2 | On Loan: No      |
| EQT CORP                                                                    | EQT Corp                                                                        | CUSIP: 26884LAF6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |      2520000 | PA      | $2331920.40   | 0.09%             | 2027-10-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ENERGY CO                                                      | Southwestern Energy Co                                                          | CUSIP: 845467AS8<br>LEI: EFWMP121W54QV9MGOP87 | Long             | DBT              | CORP              | US        |      1510000 | PA      | $1380055.44   | 0.05%             | 2030-03-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                    | BX Commercial Mortgage Trust 2020-VIVA                                          | CUSIP: 12433XAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6847863 | PA      | $4991436.79   | 0.19%             | 2044-03-11      | Variable      | 3.55%                 | 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        |         -628 | NC      | $-68687.52    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| PRA Health Sciences Inc                                                     | PRA Health Sciences Inc                                                         | CUSIP: 000000000<br>LEI: 549300R1HR1VWWHIAK47 | Long             | LON              | CORP              | US        |      2072482 | PA      | $2068865.07   | 0.08%             | 2028-07-03      | Floating      | 6.47%                 | 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        |          -78 | NC      | $-8531.25     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fremont Home Loan Trust                                                     | Fremont Home Loan Trust 2006-B                                                  | CUSIP: 35729QAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15051944 | PA      | $6377750.98   | 0.25%             | 2036-08-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| SPRINT LLC                                                                  | Sprint LLC                                                                      | CUSIP: 85207UAJ4<br>LEI: 549300ZTTY7CXOLJ6539 | Long             | DBT              | CORP              | US        |      1973000 | PA      | $2041135.58   | 0.08%             | 2025-02-15      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                                        | Colombia Government International Bond                                          | CUSIP: 195325EA9<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |      8600000 | PA      | $5407889.50   | 0.21%             | 2042-02-22      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Phoenix Guarantor Inc                                                       | Phoenix Guarantor Inc                                                           | CUSIP: 71913BAH5<br>LEI: 254900JIOIDL3GSUFE55 | Long             | LON              | CORP              | US        |      7561360 | PA      | $7133424.74   | 0.27%             | 2026-03-05      | Floating      | 7.73%                 | No            |                  2 | On Loan: No      |
| ML-CFC Commercial Mortgage Tru                                              | ML-CFC Commercial Mortgage Trust 2007-5                                         | CUSIP: 55312YAR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       303003 | PA      | $78147.96     | 0.00%             | 2048-08-12      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| Peraton Corp                                                                | Peraton Corp                                                                    | CUSIP: 71360HAB3<br>LEI: 549300EQPCK07ZW63836 | Long             | LON              | CORP              | US        |     14147059 | PA      | $13840563.02  | 0.53%             | 2028-02-01      | Floating      | 7.98%                 | No            |                  2 | On Loan: No      |
| ARDAGH PKG FIN/HLDGS USA                                                    | Ardagh Packaging Finance PLC / Ardagh Holdings USA Inc                          | CUSIP: 03969AAR1<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |       590000 | PA      | $442100.09    | 0.02%             | 2027-08-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Grifols Worldwide Operations USA Inc                                        | Grifols Worldwide Operations USA Inc                                            | CUSIP: 39843PAG8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     13980046 | PA      | $13549041.30  | 0.52%             | 2027-11-15      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | US TREASURY LONG BOND                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         -234 | NC      | $-1184625.00  | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Chase Commercial Mor                                              | JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP12                 | CUSIP: 46632HAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        15868 | PA      | $14149.83     | 0.00%             | 2051-02-15      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                                    | CAD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |            1 | NC      | $2807225.72   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                                    | USD/CNH FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-2832256.14  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                                     | GLP Capital LP / GLP Financing II Inc                                           | CUSIP: 361841AH2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       310000 | PA      | $304636.10    | 0.01%             | 2026-04-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Garda World Security Corporation                                            | Garda World Security Corp                                                       | CUSIP: 000000000<br>LEI: 549300ZF1NDXLMCHNO20 | Long             | LON              | CORP              | CA        |      3964367 | PA      | $3867240.18   | 0.15%             | 2026-10-30      | Floating      | 8.93%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT HOLDINGS INC                                                      | Open Text Holdings Inc                                                          | CUSIP: 683720AC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       400000 | PA      | $311496.19    | 0.01%             | 2031-12-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                       | Wells Fargo & Co                                                                | CUSIP: 95000U2M4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      1000000 | PA      | $886023.19    | 0.03%             | 2051-04-04      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                | CSMC Trust 2017-CHOP                                                            | CUSIP: 12651QAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11706000 | PA      | $10638604.78  | 0.41%             | 2032-07-15      | Floating      | 9.67%                 | No            |                  2 | On Loan: No      |
| UFC Holdings LLC                                                            | UFC Holdings LLC                                                                | CUSIP: 90266UAJ2<br>LEI: 549300JEOTH7UMZ3C491 | Long             | LON              | CORP              | US        |      7263504 | PA      | $7181789.75   | 0.28%             | 2026-04-29      | Floating      | 7.11%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |            1 | NC      | $-2223103.94  | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |            1 | NC      | $8239901.78   | 0.32%             |  |  |  | No            |                  2 | On Loan: No      |
| Ziggo Financing Partnership                                                 | Ziggo Financing Partnership                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       638000 | PA      | $623597.15    | 0.02%             | 2028-04-30      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | CME 3 Month Eurodollar                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           12 | NC      | $-49675.20    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ML-CFC Commercial Mortgage Tru                                              | ML-CFC Commercial Mortgage Trust 2007-5                                         | CUSIP: 55312YAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       693350 | PA      | $178823.26    | 0.01%             | 2048-08-12      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| TALLGRASS NRG PRTNR/FIN                                                     | Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp                    | CUSIP: 87470LAJ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       330000 | PA      | $285789.90    | 0.01%             | 2030-12-31      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                                                         | United Airlines Inc                                                             | CUSIP: 90932LAH0<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |      6756000 | PA      | $5894276.93   | 0.23%             | 2029-04-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| 1011778 BC / NEW RED FIN                                                    | 1011778 BC ULC / New Red Finance Inc                                            | CUSIP: 68245XAH2<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |       460000 | PA      | $412505.22    | 0.02%             | 2028-01-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Delta Air Lines Inc                                                         | SkyMiles IP Ltd                                                                 | CUSIP: 24736CBS2<br>LEI: 2549008L7P4I8VB90936 | Long             | LON              | CORP              | KY        |      1910000 | PA      | $1950472.90   | 0.07%             | 2027-10-20      | Floating      | 7.99%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                                      | Williams Cos Inc/The                                                            | CUSIP: 969457BB5<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |       152000 | PA      | $166869.39    | 0.01%             | 2031-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| RUSSIA GOVT BOND - OFZ                                                      | Russian Federal Bond - OFZ                                                      | CUSIP: 000000000<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    613510000 | PA      | $2246070.51   | 0.09%             | 2027-02-03      | Fixed         | 8.15%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                                                   | Morgan Stanley Bank of America Merrill Lynch Trust 2017-C34                     | CUSIP: 61767EAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6250000 | PA      | $5415963.13   | 0.21%             | 2052-11-15      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                       | Time Warner Cable LLC                                                           | CUSIP: 88732JAN8<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |      2500000 | PA      | $2489438.70   | 0.10%             | 2038-07-01      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                            | CSC Holdings LLC                                                                | CUSIP: 126307BF3<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |      1150000 | PA      | $751835.82    | 0.03%             | 2031-02-15      | Fixed         | 3.38%                 | 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        |          360 | NC      | $174375.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| SERVICE CORP INTL                                                           | Service Corp International/US                                                   | CUSIP: 817565BT0<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |      1370000 | PA      | $1407406.10   | 0.05%             | 2027-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                    | Ford Motor Credit Co LLC                                                        | CUSIP: 345397C27<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      2750000 | PA      | $2570617.50   | 0.10%             | 2027-05-28      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                                    | USD/EUR FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |            1 | NC      | $27981.40     | 0.00%             |  |  |  | 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        |           80 | NC      | $77500.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | SOFR 1 YEAR MIDCURVE                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          179 | NC      | $23493.75     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| DEVON ENERGY CORPORATION                                                    | Devon Energy Corp                                                               | CUSIP: 25179MBD4<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |       170000 | PA      | $168513.62    | 0.01%             | 2027-10-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                                    | Devon Energy Corp                                                               | CUSIP: 25179MBE2<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |       720000 | PA      | $728879.73    | 0.03%             | 2028-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| PARK AEROSPACE HOLDINGS                                                     | Park Aerospace Holdings Ltd                                                     | CUSIP: 70014LAC4<br>LEI: 635400CPI3EOIFF6OC33 | Long             | DBT              | CORP              | KY        |      1210000 | PA      | $1207103.62   | 0.05%             | 2023-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MRCD Mortgage Trust                                                         | MRCD 2019-MARK Mortgage Trust                                                   | CUSIP: 55348UAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7980000 | PA      | $7344317.19   | 0.28%             | 2036-12-15      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| Asplundh Tree Expert LLC                                                    | Asplundh Tree Expert LLC                                                        | CUSIP: 04538FAD1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      2145515 | PA      | $2144613.91   | 0.08%             | 2027-09-07      | Floating      | 6.13%                 | 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        |           80 | NC      | $67500.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| RBSSP Resecuritization Trust                                                | RBSSP Resecuritization Trust 2013-4                                             | CUSIP: 74932FAB0<br>LEI: 549300WI4CNLL8T7Q274 | Long             | ABS-MBS          | CORP              | US        |     18067145 | PA      | $12858056.48  | 0.49%             | 2037-12-26      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Asurion LLC                                                                 | Asurion LLC                                                                     | CUSIP: 04649VBB5<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |      1281611 | PA      | $1146721.23   | 0.04%             | 2028-08-21      | Floating      | 8.68%                 | No            |                  2 | On Loan: No      |
| Asurion LLC                                                                 | Asurion LLC                                                                     | CUSIP: 04649VAW0<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |       627060 | PA      | $610599.43    | 0.02%             | 2024-11-03      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                                                          | Ford Motor Co                                                                   | CUSIP: 345370DB3<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |      4770000 | PA      | $4413597.53   | 0.17%             | 2032-08-19      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA SECURED FIN                                                    | Virgin Media Secured Finance PLC                                                | CUSIP: 92769XAP0<br>LEI: 213800X3RLP4NOTPY579 | Long             | DBT              | CORP              | GB        |      3300000 | PA      | $2963614.50   | 0.11%             | 2029-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Caesars Resort Collection LLC                                               | Caesars Resort Collection LLC                                                   | CUSIP: 12769LAD1<br>LEI: 549300V3UCT773B1KR38 | Long             | LON              | CORP              | US        |       184394 | PA      | $184174.10    | 0.01%             | 2025-07-21      | Floating      | 7.88%                 | 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        |        -3072 | NC      | $160207.22    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Edelman Financial Engines Center LLC (The)                                  | Edelman Financial Engines Center LLC/The                                        | CUSIP: 27943UAK2<br>LEI: 549300Z31KZXNP05U733 | Long             | LON              | CORP              | US        |      2934968 | PA      | $2746396.54   | 0.11%             | 2028-04-07      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                | CSMC 2020-TMIC                                                                  | CUSIP: 126390AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6870000 | PA      | $6850292.03   | 0.26%             | 2035-12-15      | Floating      | 7.82%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                                           | EURO-BUND                                                                       | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |         -318 | NC      | $-1191129.59  | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| BX Trust                                                                    | BX Commercial Mortgage Trust 2021-ACNT                                          | CUSIP: 05609QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7780000 | PA      | $7497020.39   | 0.29%             | 2038-11-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| BUILDERS FIRSTSOURCE INC                                                    | Builders FirstSource Inc                                                        | CUSIP: 12008RAP2<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |      1070000 | PA      | $869356.60    | 0.03%             | 2032-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Nexstar Broadcasting Inc                                                    | Nexstar Media Inc                                                               | CUSIP: 65336RAW8<br>LEI: 5493006PK6I4I2OOT688 | Long             | LON              | CORP              | US        |      4379655 | PA      | $4351735.10   | 0.17%             | 2026-09-18      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                               | DISH DBS Corp                                                                   | CUSIP: 25470XAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      5100000 | PA      | $4749598.84   | 0.18%             | 2024-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| ARCELORMITTAL                                                               | ArcelorMittal SA                                                                | CUSIP: 03938LAP9<br>LEI: 2EULGUTUI56JI9SAL165 | Long             | DBT              | CORP              | LU        |      2000000 | PA      | $2038046.02   | 0.08%             | 2039-10-15      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | US TREASURY LONG BOND                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         -234 | NC      | $-1184625.00  | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| SUZANO AUSTRIA GMBH                                                         | Suzano Austria GmbH                                                             | CUSIP: 86964WAJ1<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |     13710000 | PA      | $11532598.37  | 0.44%             | 2031-01-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                      | Credit Suisse Group AG                                                          | CUSIP: 225401BB3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |       890000 | PA      | $913718.26    | 0.04%             | 2033-11-15      | Fixed         | 9.02%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                                | GS Mortgage Securities Corp Trust 2018-LUAU                                     | CUSIP: 36256AAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10000000 | PA      | $9298795.00   | 0.36%             | 2032-11-15      | Floating      | 8.77%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                                        | Kraft Heinz Foods Co                                                            | CUSIP: 50077LBF2<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |      1360000 | PA      | $1275163.32   | 0.05%             | 2031-03-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Asurion LLC                                                                 | Asurion LLC                                                                     | CUSIP: 04649VAX8<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |      7368212 | PA      | $6586887.08   | 0.25%             | 2026-12-23      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                                              | JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN                   | CUSIP: 46652BBN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39120000 | PA      | $31996021.10  | 1.23%             | 2037-01-16      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition                                              | JP Morgan Mortgage Acquisition Trust 2007-CH4                                   | CUSIP: 46630CAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12625000 | PA      | $11247930.65  | 0.43%             | 2037-05-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Station Casinos LLC                                                         | Station Casinos LLC                                                             | CUSIP: 85769EAZ4<br>LEI: 5493004E7Q60TX54WL62 | Long             | LON              | CORP              | US        |      8135327 | PA      | $7955658.18   | 0.31%             | 2027-02-08      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                                       | Continental Resources Inc/OK                                                    | CUSIP: 212015AS0<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |     10830000 | PA      | $9940748.70   | 0.38%             | 2028-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                                                   | Prosus NV                                                                       | CUSIP: 74365PAF5<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |     19380000 | PA      | $14988314.67  | 0.58%             | 2031-07-13      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| EyeCare Partners LLC                                                        | Eyecare Partners LLC                                                            | CUSIP: 30233PAB6<br>LEI: 254900ZAACWK09RJ8W93 | Long             | LON              | CORP              | US        |      2589220 | PA      | $2105903.62   | 0.08%             | 2027-02-18      | Floating      | 8.48%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                                                | Ecopetrol SA                                                                    | CUSIP: 279158AJ8<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |      1170000 | PA      | $817167.17    | 0.03%             | 2045-05-28      | Fixed         | 5.88%                 | 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        |         -355 | NC      | $-72109.39    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| RUSSIA GOVT BOND - OFZ                                                      | Russian Federal Bond - OFZ                                                      | CUSIP: 000000000<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |   1497220000 | PA      | $5481347.80   | 0.21%             | 2030-04-10      | Fixed         | 7.65%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | US TREASURY LONG BOND                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |           40 | NC      | $63125.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ORBIA ADVANCE CORP SAB                                                      | Orbia Advance Corp SAB de CV                                                    | CUSIP: 68560EAA6<br>LEI: 549300MVHZ20SBIOEQ79 | Long             | DBT              | CORP              | MX        |     10430000 | PA      | $9023410.20   | 0.35%             | 2026-05-11      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| API GROUP DE INC                                                            | APi Group DE Inc                                                                | CUSIP: 00186XAB9<br>LEI: 549300XP4G7B4QYA0G83 | Long             | LON              | CORP              | US        |     13276651 | PA      | $13207479.61  | 0.51%             | 2026-10-01      | Floating      | 6.88%                 | 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        |         -156 | NC      | $-12187.50    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                                        | Kraft Heinz Foods Co                                                            | CUSIP: 50077LBJ4<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |      2730000 | PA      | $2624114.00   | 0.10%             | 2050-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                                                        | Indonesia Treasury Bond                                                         | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 100987000000 | PA      | $6693124.63   | 0.26%             | 2035-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                          | Energy Transfer LP                                                              | CUSIP: 29273VAL4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       600000 | PA      | $521250.00    | 0.02%             | N/A             | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                                            | CDS CDX.NA.HY.39.V1                                                             | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              | CORP              | DE        |            1 | NC      | $303172.63    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FRESENIUS MED CARE II                                                       | Fresenius Medical Care US Finance II Inc                                        | CUSIP: 35802XAJ2<br>LEI: 5493008GJ5TVVTY4UM62 | Long             | DBT              | CORP              | US        |      5070000 | PA      | $4978453.90   | 0.19%             | 2024-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                                                       | Bausch Health Cos Inc                                                           | CUSIP: 071734AJ6<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |      2160000 | PA      | $1039597.20   | 0.04%             | 2030-01-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                | CSMC 2014-USA OA LLC                                                            | CUSIP: 12649AAS8<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |      1100000 | PA      | $559112.95    | 0.02%             | 2037-09-15      | Fixed         | 4.37%                 | 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        |         -862 | NC      | $-1737468.77  | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| ALTICE FRANCE SA                                                            | Altice France SA/France                                                         | CUSIP: 02156LAH4<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |      2650000 | PA      | $2025434.75   | 0.08%             | 2029-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                                                        | Indonesia Treasury Bond                                                         | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 875398000000 | PA      | $54714132.26  | 2.10%             | 2031-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SOHO Trust 2021-SOHO                                                        | Soho Trust 2021-SOHO                                                            | CUSIP: 83410JAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15108500 | PA      | $10219013.20  | 0.39%             | 2038-08-10      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                                                       | Argentine Republic Government International Bond                                | CUSIP: 040114HS2<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     16237114 | PA      | $4419574.21   | 0.17%             | 2030-07-09      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-27

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

**Signature:** Christopher Berarducci

**Name of Signer:** Christopher Berarducci

**Title:** Principal Financial Officer