# EDGAR Filing Document

**Accession Number:** 0000863520
**File Stem:** 0001752724-23-069670
**Filing Date:** 2023-3
**Character Count:** 329165
**Document Hash:** bdfeafa50540278e514dab1dc35b5f14
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-069670.hdr.sgml**: 20230328

**ACCESSION NUMBER**: 0001752724-23-069670

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20230131

**FILED AS OF DATE**: 20230328

**DATE AS OF CHANGE**: 20230328

**PERIOD START**: 20231031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** WESTERN ASSET FUNDS INC
- **CENTRAL INDEX KEY:** 0000863520
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-06110
- **FILM NUMBER:** 23767893

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

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

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

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

## Series and Classes Contracts Data

### Western Asset Macro Opportunities Fund (Series ID: S000041845)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000129905 | Class A      | LAAAX           |
| C000129906 | Class C      | LAACX           |
| C000129907 | Class FI     | LAFIX           |
| C000129908 | Class I      | LAOIX           |
| C000129909 | Class IS     | LAOSX           |

## Nport-Ex

**WESTERN ASSET MACRO OPPORTUNITIES FUND** 

---

| | |
|:---|:---|
| **Schedule of investments (unaudited)** | **January 31, 2023** |

---

(Percentages shown based on Fund net assets)

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **SECURITY** | **RATE** |  | **MATURITY<br>DATE** | **FACE<br>AMOUNT†** | **VALUE** |  |
| **CORPORATE BONDS & NOTES - 32.0%** |  |  |  |  |  |  |
| **COMMUNICATION SERVICES - 1.8%** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Diversified Telecommunication Services - 0.4%** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Diversified Telecommunication Services - 0.4%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Altice France SA, Senior Secured Notes | 5.500 | % | 1/15/28 | 2250000 | $1872608 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Altice France SA, Senior Secured Notes | 5.500 | % | 10/15/29 | 200000 | 158391 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Diversified Telecommunication Services* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Diversified Telecommunication Services* |  |  |  | *2030999* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Media - 0.6%** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes | 4.500 | % | 8/15/30 | 70000 | 59894 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes | 4.750 | % | 2/1/32 | 110000 | 93654 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes | 4.500 | % | 5/1/32 | 1480000 | 1226580 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes | 4.250 | % | 1/15/34 | 1130000 | 882558 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; DISH DBS Corp., Senior Notes | 5.125 | % | 6/1/29 | 420000 | 267750 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; DISH DBS Corp., Senior Secured Notes | 5.250 | % | 12/1/26 | 240000 | 207300 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; DISH DBS Corp., Senior Secured Notes | 5.750 | % | 12/1/28 | 30000 | 24602 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Time Warner Cable LLC, Senior Secured Notes | 7.300 | % | 7/1/38 | 190000 | 204041 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Virgin Media Secured Finance PLC, Senior Secured Notes | 5.500 | % | 5/15/29 | 550000 | 510947 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Media* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Media* |  |  |  | *3477326* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Wireless Telecommunication Services - 0.8%** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CSC Holdings LLC, Senior Notes | 6.500 | % | 2/1/29 | 960000 | 831686 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CSC Holdings LLC, Senior Notes | 5.750 | % | 1/15/30 | 2210000 | 1395118 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CSC Holdings LLC, Senior Notes | 4.125 | % | 12/1/30 | 1120000 | 829842 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Sprint Capital Corp., Senior Notes | 8.750 | % | 3/15/32 | 250000 | 309088 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Sprint LLC, Senior Notes | 7.625 | % | 2/15/25 | 300000 | 311790 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Vmed O2 UK Financing I PLC, Senior Secured Notes | 4.750 | % | 7/15/31 | 410000 | 349150 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Wireless Telecommunication Services* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Wireless Telecommunication Services* |  |  |  | *4026674* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL COMMUNICATION SERVICES** |  |  |  |  | 9534999 |  |
| **CONSUMER DISCRETIONARY - 4.8%** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Automobiles - 1.0%** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ford Motor Co., Senior Notes | 3.250 | % | 2/12/32 | 130000 | 103344 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ford Motor Co., Senior Notes | 6.100 | % | 8/19/32 | 1790000 | 1758600 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ford Motor Credit Co. LLC, Senior Notes | 3.375 | % | 11/13/25 | 300000 | 279849 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ford Motor Credit Co. LLC, Senior Notes | 4.389 | % | 1/8/26 | 220000 | 211454 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ford Motor Credit Co. LLC, Senior Notes | 2.700 | % | 8/10/26 | 200000 | 178784 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ford Motor Credit Co. LLC, Senior Notes | 4.271 | % | 1/9/27 | 1120000 | 1048132 |  |

---

**See Notes to Schedule of Investments.** 

Western Asset Macro Opportunities Fund 2023 Quarterly Report 1

------

**WESTERN ASSET MACRO OPPORTUNITIES FUND** 

---

| | |
|:---|:---|
| **Schedule of investments (unaudited) (cont'd)** | **January 31, 2023** |

---

(Percentages shown based on Fund net assets)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **SECURITY** | **RATE** | **MATURITY<br>DATE** | **FACE<br>AMOUNT†** | **VALUE** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Automobiles - (continued)** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ford Motor Credit Co. LLC, Senior Notes | 2.900% | 2/10/29 | 200000 | $167092 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ford Motor Credit Co. LLC, Senior Notes | 5.113% | 5/3/29 | 420000 | 398621 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ford Motor Credit Co. LLC, Senior Notes | 3.625% | 6/17/31 | 1180000 | 983036 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Automobiles* |  |  |  | *5128912* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Diversified Consumer Services - 0.1%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Wesleyan University, Senior Notes | 4.781% | 7/1/2116 | 690000 | *578183* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Hotels, Restaurants & Leisure - 2.8%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1011778 BC ULC/New Red Finance Inc., Senior Secured Notes | 3.875% | 1/15/28 | 280000 | 256333 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1011778 BC ULC/New Red Finance Inc., Senior Secured Notes | 3.500% | 2/15/29 | 280000 | 245360 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Carnival Corp., Senior Notes | 5.750% | 3/1/27 | 2940000 | 2444345 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Carnival Corp., Senior Notes | 10.500% | 6/1/30 | 2630000 | 2534741 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Las Vegas Sands Corp., Senior Notes | 3.200% | 8/8/24 | 920000 | 885715 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Las Vegas Sands Corp., Senior Notes | 2.900% | 6/25/25 | 130000 | 121779 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Las Vegas Sands Corp., Senior Notes | 3.500% | 8/18/26 | 240000 | 223743 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Royal Caribbean Cruises Ltd., Senior Notes | 5.500% | 8/31/26 | 650000 | 582564 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Royal Caribbean Cruises Ltd., Senior Notes | 5.375% | 7/15/27 | 2000000 | 1742264 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Sands China Ltd., Senior Notes | 5.625% | 8/8/25 | 2240000 | 2229270 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Sands China Ltd., Senior Notes | 2.800% | 3/8/27 | 960000 | 839932 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Sands China Ltd., Senior Notes | 3.350% | 3/8/29 | 630000 | 539675 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; VOC Escrow Ltd., Senior Secured Notes | 5.000% | 2/15/28 | 670000 | 590153 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Wynn Macau Ltd., Senior Notes | 4.875% | 10/1/24 | 840000 | 808509 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Wynn Macau Ltd., Senior Notes | 5.500% | 1/15/26 | 1320000 | 1232175 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Hotels, Restaurants & Leisure* |  |  |  | *15276558* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Internet & Direct Marketing Retail - 0.9%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Amazon.com Inc., Senior Notes | 4.050% | 8/22/47 | 4500000 | 4090170 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Prosus NV, Senior Notes | 4.027% | 8/3/50 | 1290000 | 873709 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Internet & Direct Marketing Retail* |  |  |  | *4963879* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL CONSUMER DISCRETIONARY** |  |  |  | 25947532 |  |
| **ENERGY - 10.7%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Oil, Gas & Consumable Fuels - 10.7%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Apache Corp., Senior Notes | 7.750% | 12/15/29 | 190000 | 202289 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Apache Corp., Senior Notes | 6.000% | 1/15/37 | 410000 | 388844 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Apache Corp., Senior Notes | 5.250% | 2/1/42 | 1210000 | 1017719 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Apache Corp., Senior Notes | 7.375% | 8/15/47 | 100000 | 100254 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Apache Corp., Senior Notes | 5.350% | 7/1/49 | 940000 | 779673 |  |

---

**See Notes to Schedule of Investments.** 

2 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Western Asset Macro Opportunities Fund 2023 Quarterly Report

------

**WESTERN ASSET MACRO OPPORTUNITIES FUND** 

---

| | |
|:---|:---|
| **Schedule of investments (unaudited) (cont'd)** | **January 31, 2023** |

---

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| **SECURITY** | **RATE** | **MATURITY<br>DATE** | **FACE<br>AMOUNT†** | **VALUE** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Oil, Gas & Consumable Fuels - (continued)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Berry Petroleum Co. LLC, Senior Notes | 7.000% | 2/15/26 | 780000 | $747879 <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Blue Racer Midstream LLC/Blue Racer Finance Corp., Senior Notes | 7.625% | 12/15/25 | 580000 | 589840 <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cheniere Energy Partners LP, Senior Notes | 3.250% | 1/31/32 | 430000 | 359549 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Continental Resources Inc., Senior Notes | 4.900% | 6/1/44 | 240000 | 193035 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; DCP Midstream Operating LP, Senior Notes | 6.450% | 11/3/36 | 660000 | 697250 <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; DCP Midstream Operating LP, Senior Notes | 6.750% | 9/15/37 | 620000 | 679861 <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Devon Energy Corp., Senior Notes | 7.875% | 9/30/31 | 220000 | 258131 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Devon Energy Corp., Senior Notes | 7.950% | 4/15/32 | 340000 | 402549 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ecopetrol SA, Senior Notes | 5.375% | 6/26/26 | 2090000 | 2022211 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ecopetrol SA, Senior Notes | 8.875% | 1/13/33 | 870000 | 893634 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Energy Transfer LP, Junior Subordinated Notes (6.625% to 2/15/28 then 3 mo. USD LIBOR + 4.155%) | 6.625% | 2/15/28 | 3450000 | 2894308 <sup>(c)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Energy Transfer LP, Junior Subordinated Notes (6.750% to 5/15/25 then 5 year Treasury Constant Maturity Rate + 5.134%) | 6.750% | 5/15/25 | 2870000 | 2722912 <sup>(c)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Energy Transfer LP, Junior Subordinated Notes (7.125% to 5/15/30 then 5 year Treasury Constant Maturity Rate + 5.306%) | 7.125% | 5/15/30 | 4570000 | 4186120 <sup>(c)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Energy Transfer LP, Senior Notes | 6.850% | 2/15/40 | 400000 | 406340 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; EQT Corp., Senior Notes | 7.000% | 2/1/30 | 200000 | 212995 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Kinder Morgan Energy Partners LP, Senior Notes | 6.950% | 1/15/38 | 70000 | 79294 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Northern Oil and Gas Inc., Senior Notes | 8.125% | 3/1/28 | 650000 | 648320 <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Occidental Petroleum Corp., Senior Notes | 3.200% | 8/15/26 | 860000 | 797671 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Occidental Petroleum Corp., Senior Notes | 6.625% | 9/1/30 | 2270000 | 2412573 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Occidental Petroleum Corp., Senior Notes | 0.000% | 10/10/36 | 11680000 | 5929215 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Occidental Petroleum Corp., Senior Notes | 6.200% | 3/15/40 | 980000 | 991407 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Occidental Petroleum Corp., Senior Notes | 4.500% | 7/15/44 | 180000 | 147487 |

---

**See Notes to Schedule of Investments.** 

Western Asset Macro Opportunities Fund 2023 Quarterly Report 3

------

**WESTERN ASSET MACRO OPPORTUNITIES FUND** 

---

| | |
|:---|:---|
| **Schedule of investments (unaudited) (cont'd)** | **January 31, 2023** |

---

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| **SECURITY** | **RATE** | **MATURITY<br>DATE** | **FACE<br>AMOUNT†** | **VALUE** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Oil, Gas & Consumable Fuels - (continued)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Occidental Petroleum Corp., Senior Notes | 6.600% | 3/15/46 | 1420000 | $1513983 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Occidental Petroleum Corp., Senior Notes | 4.400% | 4/15/46 | 510000 | 418445 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Occidental Petroleum Corp., Senior Notes | 4.200% | 3/15/48 | 2800000 | 2216190 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Petrobras Global Finance BV, Senior Notes | 5.999% | 1/27/28 | 150000 | 150164 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Petrobras Global Finance BV, Senior Notes | 6.850% | 6/5/2115 | 1490000 | 1293211 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Petroleos Mexicanos, Senior Notes | 6.375% | 1/23/45 | 1300000 | 876745 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Plains All American Pipeline LP, Junior Subordinated Notes (3 mo. USD LIBOR + 4.110%) | 8.716% | 3/3/23 | 800000 | 732000 <sup>(c)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Plains All American Pipeline LP/PAA Finance Corp., Senior Notes | 6.700% | 5/15/36 | 560000 | 577152 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Range Resources Corp., Senior Notes | 8.250% | 1/15/29 | 590000 | 607322 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Rockies Express Pipeline LLC, Senior Notes | 6.875% | 4/15/40 | 1180000 | 1001639 <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Southwestern Energy Co., Senior Notes | 4.750% | 2/1/32 | 5800000 | 5120008 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Western Midstream Operating LP, Senior Notes | 4.500% | 3/1/28 | 730000 | 690668 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Western Midstream Operating LP, Senior Notes | 5.450% | 4/1/44 | 2130000 | 1877222 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Western Midstream Operating LP, Senior Notes | 5.300% | 3/1/48 | 720000 | 630774 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Western Midstream Operating LP, Senior Notes | 5.500% | 8/15/48 | 890000 | 774171 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Western Midstream Operating LP, Senior Notes | 5.500% | 2/1/50 | 6090000 | 5289987 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Williams Cos. Inc., Senior Notes | 8.750% | 3/15/32 | 1090000 | 1341003 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; YPF SA, Senior Notes | 8.500% | 7/28/25 | 1610000 | 1480242 <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL ENERGY** |  |  |  | 57352286 |
| **FINANCIALS - 8.0%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Banks - 4.5%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; BAC Capital Trust XIV, Junior |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Subordinated Notes (3 mo. USD LIBOR + 0.400%) | 5.169% | 2/16/23 | 260000 | 208342 <sup>(c)(d)</sup> |

---

**See Notes to Schedule of Investments.** 

4 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Western Asset Macro Opportunities Fund 2023 Quarterly Report

------

**WESTERN ASSET MACRO OPPORTUNITIES FUND** 

---

| | |
|:---|:---|
| **Schedule of investments (unaudited) (cont'd)** | **January 31, 2023** |

---

(Percentages shown based on Fund net assets)

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **SECURITY** | **RATE** | **MATURITY<br>DATE** | **FACE<br>AMOUNT†** |  | **VALUE** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Banks - (continued)** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Banco Mercantil del Norte SA, Junior Subordinated Notes (7.625% to 1/10/28 then 10 year Treasury Constant Maturity Rate + 5.353%) | 7.625% | 1/10/28 | 1630000 |  | $1614336 | <sup>(a)(c)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bank of America Corp., Junior Subordinated Notes (5.875% to 3/15/28 then 3 mo. USD LIBOR + 2.931%) | 5.875% | 3/15/28 | 4900000 |  | 4697875 | <sup>(c)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Barclays PLC, Junior Subordinated Notes (7.750% to 9/15/23 then USD 5 year ICE Swap Rate + 4.842%) | 7.750% | 9/15/23 | 1780000 |  | 1771047 | <sup>(c)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; BNP Paribas SA, Junior Subordinated Notes (7.000% to 8/16/28 then USD 5 year ICE Swap Rate + 3.980%) | 7.000% | 8/16/28 | 200000 |  | 198125 | <sup>(a)(c)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Citigroup Inc., Junior Subordinated Notes (5.950% to 5/15/25 then 3 mo. USD LIBOR + 3.905%) | 5.950% | 5/15/25 | 7470000 |  | 7289034 | <sup>(c)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Citigroup Inc., Junior Subordinated Notes (6.300% to 5/15/24 then 3 mo. USD LIBOR + 3.423%) | 6.300% | 5/15/24 | 880000 |  | 869000 | <sup>(c)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Agricole SA, Junior Subordinated Notes (7.500% to 6/23/26 then GBP 5 year Swap Rate + 4.812%) | 7.500% | 6/23/26 | 1680000 | <sup>GBP</sup> | 2067263 | <sup>(a)(c)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Agricole SA, Junior Subordinated Notes (8.125% to 12/23/25 then USD 5 year ICE Swap Rate + 6.185%) | 8.125% | 12/23/25 | 3250000 |  | 3360971 | <sup>(a)(c)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; HSBC Holdings PLC, Junior Subordinated Notes (6.375% to 3/30/25 then USD 5 year ICE Swap Rate + 4.368%) | 6.375% | 3/30/25 | 860000 |  | 850002 | <sup>(c)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Intesa Sanpaolo SpA, Subordinated Notes | 5.017% | 6/26/24 | 200000 |  | 195186 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Intesa Sanpaolo SpA, Subordinated Notes | 5.710% | 1/15/26 | 210000 |  | 206467 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Wells Fargo & Co., Junior Subordinated Notes (5.875% to 6/15/25 then 3 mo. USD LIBOR + 3.990%) | 5.875% | 6/15/25 | 847000 |  | 845052 | <sup>(c)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Banks* |  |  |  |  | *24172700* | |

---

**See Notes to Schedule of Investments.** 

Western Asset Macro Opportunities Fund 2023 Quarterly Report 5

------

**WESTERN ASSET MACRO OPPORTUNITIES FUND** 

---

| | |
|:---|:---|
| **Schedule of investments (unaudited) (cont'd)** | **January 31, 2023** |

---

(Percentages shown based on Fund net assets)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **SECURITY** | **RATE** | **MATURITY<br>DATE** | **FACE<br>AMOUNT†** | **VALUE** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Capital Markets - 2.1%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Suisse Group AG, Junior Subordinated Notes (5.250% to 8/11/27 then 5 year Treasury Constant Maturity Rate + 4.889%) | 5.250% | 2/11/27 | 4080000 | $3070200 | <sup>(a)(c)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Suisse Group AG, Junior Subordinated Notes (6.375% to 8/21/26 then 5 year Treasury Constant Maturity Rate + 4.822%) | 6.375% | 8/21/26 | 200000 | 162500 | <sup>(a)(c)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Suisse Group AG, Junior Subordinated Notes (7.250% to 9/12/25 then USD 5 year ICE Swap Rate + 4.332%) | 7.250% | 9/12/25 | 300000 | 246045 | <sup>(a)(c)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Suisse Group AG, Junior Subordinated Notes (7.500% to 7/17/23 then USD 5 year ICE Swap Rate + 4.600%) | 7.500% | 7/17/23 | 570000 | 529107 | <sup>(a)(c)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Suisse Group AG, Junior Subordinated Notes (9.750% to 12/23/27 then 5 year Treasury Constant Maturity Rate + 6.383%) | 9.750% | 6/23/27 | 4150000 | 4035875 | <sup>(a)(c)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Suisse Group AG, Senior Notes | 4.875% | 5/15/45 | 530000 | 439533 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Suisse Group AG, Senior Notes (3.091% to 5/14/31 then SOFR + 1.730%) | 3.091% | 5/14/32 | 790000 | 597974 | <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Suisse Group AG, Senior Notes (4.194% to 4/1/30 then SOFR + 3.730%) | 4.194% | 4/1/31 | 630000 | 534318 | <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Suisse Group AG, Senior Notes (9.016% to 11/15/32 then SOFR + 5.020%) | 9.016% | 11/15/33 | 470000 | 528442 | <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Suisse Group AG, Junior Subordinated Notes (7.500% to 12/11/23 then USD 5 year ICE Swap Rate + 4.598%) | 7.500% | 12/11/23 | 1310000 | 1247771 | <sup>(a)(c)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Goldman Sachs Capital II, Junior Subordinated Notes (3 mo. USD LIBOR + 0.768%) | 5.528% | 3/3/23 | 109000 | 87609 | <sup>(c)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Capital Markets* |  |  |  | *11479374* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Diversified Financial Services - 0.5%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Senior Notes | 3.300% | 1/30/32 | 170000 | 142825 |  |

---

**See Notes to Schedule of Investments.** 

6 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Western Asset Macro Opportunities Fund 2023 Quarterly Report

------

**WESTERN ASSET MACRO OPPORTUNITIES FUND** 

---

| | |
|:---|:---|
| **Schedule of investments (unaudited) (cont'd)** | **January 31, 2023** |

---

(Percentages shown based on Fund net assets)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **SECURITY** | **RATE** | **MATURITY<br>DATE** | **FACE<br>AMOUNT†** | **VALUE** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Diversified Financial Services - (continued)** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; ILFC E-Capital Trust I Ltd. GTD ((Highest of 3 mo. USD LIBOR, 10 year Treasury Constant Maturity Rate and 30 year Treasury Constant Maturity Rate) + 1.550%) | 6.288% | 12/21/65 | 740000 | $479150 | <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Toll Road Investors Partnership II LP | 0.000% | 2/15/24 | 520000 | 483927 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Toll Road Investors Partnership II LP | 0.000% | 2/15/38 | 200000 | 68366 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Vanguard Group Inc. | 3.050% | 8/22/50 | 2610000 | 1802941 | <sup>(e)(f)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Diversified Financial Services* |  |  |  | *2977209* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Insurance - 0.9%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Highlands Holdings Bond Issuer Ltd./Highlands Holdings Bond Co-Issuer Inc., Senior Secured Notes (7.625% Cash or 8.375% PIK) | 7.625% | 10/15/25 | 4950000 | *4598525* | <sup>(a)(g)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL FINANCIALS** |  |  |  | 43227808 |  |
| **HEALTH CARE - 4.3%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Health Care Providers & Services - 0.4%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Dignity Health, Secured Notes | 5.267% | 11/1/64 | 760000 | 730506 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; HCA Inc., Senior Notes | 7.500% | 11/15/95 | 1250000 | 1402135 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Health Care Providers & Services* |  |  |  | *2132641* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Pharmaceuticals - 3.9%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bausch Health Cos. Inc., Senior Notes | 6.250% | 2/15/29 | 6030000 | 2779193 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bausch Health Cos. Inc., Senior Notes | 7.250% | 5/30/29 | 1140000 | 511388 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bausch Health Cos. Inc., Senior Notes | 5.250% | 1/30/30 | 5490000 | 2414500 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Teva Pharmaceutical Finance Co. LLC, Senior Notes | 6.150% | 2/1/36 | 4146000 | 3839813 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Teva Pharmaceutical Finance Netherlands III BV, Senior Notes | 7.125% | 1/31/25 | 4200000 | 4262160 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Teva Pharmaceutical Finance Netherlands III BV, Senior Notes | 3.150% | 10/1/26 | 2374000 | 2132897 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Teva Pharmaceutical Finance Netherlands III BV, Senior Notes | 6.750% | 3/1/28 | 520000 | 523640 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Teva Pharmaceutical Finance Netherlands III BV, Senior Notes | 4.100% | 10/1/46 | 6917000 | 4750947 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Pharmaceuticals* |  |  |  | *21214538* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL HEALTH CARE** |  |  |  | 23347179 |  |
| **INDUSTRIALS - 1.7%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Air Freight & Logistics - 0.3%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; XPO CNW Inc., Senior Notes | 6.700% | 5/1/34 | 1510000 | *1364070* | |

---

**See Notes to Schedule of Investments.** 

Western Asset Macro Opportunities Fund 2023 Quarterly Report 7

------

**WESTERN ASSET MACRO OPPORTUNITIES FUND** 

---

| | |
|:---|:---|
| **Schedule of investments (unaudited) (cont'd)** | **January 31, 2023** |

---

(Percentages shown based on Fund net assets)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **SECURITY** | **RATE** | **MATURITY<br>DATE** | **FACE<br>AMOUNT†** | **VALUE** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Airlines - 1.0%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd., Senior Secured Notes | 5.750% | 1/20/26 | 50000 | $47813 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., Senior Secured Notes | 6.500% | 6/20/27 | 612000 | 619047 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., Senior Secured Notes | 8.000% | 9/20/25 | 522000 | 533484 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; United Airlines Inc., Senior Secured Notes | 4.375% | 4/15/26 | 3420000 | 3250795 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; United Airlines Inc., Senior Secured Notes | 4.625% | 4/15/29 | 1220000 | 1114684 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Airlines* |  |  |  | *5565823* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Building Products - 0.0%††** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Builders FirstSource Inc., Senior Notes | 4.250% | 2/1/32 | 50000 | *43091* | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Commercial Services & Supplies - 0.1%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; California Institute of Technology, Senior Notes | 3.650% | 9/1/2119 | 990000 | *705688* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Road & Rail - 0.0%††** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; XPO Inc., Senior Notes | 6.250% | 5/1/25 | 36000 | *36368* | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Trading Companies & Distributors - 0.3%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; H&E Equipment Services Inc., Senior Notes | 3.875% | 12/15/28 | 110000 | 96956 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; United Rentals North America Inc., Senior Notes | 5.250% | 1/15/30 | 320000 | 310014 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; United Rentals North America Inc., Senior Notes | 3.875% | 2/15/31 | 1310000 | 1154677 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Trading Companies & Distributors* |  |  |  | *1561647* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL INDUSTRIALS** |  |  |  | 9276687 |  |
| **MATERIALS - 0.3%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Containers & Packaging - 0.1%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ardagh Packaging Finance PLC/Ardagh Holdings USA Inc., Senior Notes | 5.250% | 8/15/27 | 890000 | *730138* | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Metals & Mining - 0.2%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Glencore Funding LLC, Senior Notes | 4.125% | 5/30/23 | 150000 | 149519 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Yamana Gold Inc., Senior Notes | 4.625% | 12/15/27 | 780000 | 746107 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Metals & Mining* |  |  |  | *895626* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL MATERIALS** |  |  |  | 1625764 |  |

---

**See Notes to Schedule of Investments.** 

8 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Western Asset Macro Opportunities Fund 2023 Quarterly Report

------

**WESTERN ASSET MACRO OPPORTUNITIES FUND** 

---

| | |
|:---|:---|
| **Schedule of investments (unaudited) (cont'd)** | **January 31, 2023** |

---

(Percentages shown based on Fund net assets)

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **SECURITY** | **RATE** | **MATURITY<br>DATE** | **FACE<br>AMOUNT†** |  | **VALUE** |  |
| **REAL ESTATE - 0.1%** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Equity Real Estate Investment Trusts (REITs) - 0.1%** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Equity Real Estate Investment Trusts (REITs) - 0.1%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CTR Partnership LP/CareTrust Capital Corp., Senior Notes | 3.875% | 6/30/28 | 240000 |  | $215174 | <sup>(a)</sup> |
| **UTILITIES - 0.3%** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Electric Utilities - 0.3%** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Enel Finance International NV, Senior Notes | 6.000% | 10/7/39 | 1680000 |  | 1673078 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pacific Gas and Electric Co., First Mortgage Bonds | 3.300% | 8/1/40 | 200000 |  | 143784 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL UTILITIES** |  |  |  |  | 1816862 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL CORPORATE BONDS & NOTES**<br> (Cost - $190,002,835) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL CORPORATE BONDS & NOTES**<br> (Cost - $190,002,835) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL CORPORATE BONDS & NOTES**<br> (Cost - $190,002,835) |  |  | 172344291 |  |
| **SOVEREIGN BONDS - 25.1%** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Angola - 0.2%** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Angolan Government International Bond, Senior Notes | 8.250% | 5/9/28 | 700000 |  | 664818 | <sup>(h)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Angolan Government International Bond, Senior Notes | 8.750% | 4/14/32 | 400000 |  | 371234 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Angola* |  |  |  |  | *1036052* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Argentina - 1.7%** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Argentine Republic Government International Bond, Senior Notes, Step bond (0.500% to 7/9/23, 0.750% to 7/9/27 then 1.750%) | 0.500% | 7/9/30 | 4457393 |  | 1600341 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Argentine Republic Government International Bond, Senior Notes, Step bond (3.875% to 7/9/23 then 4.250%) | 3.875% | 1/9/38 | 2874178 |  | 1062985 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Provincia de Buenos Aires, Senior Notes, Step bond (5.250% to 9/1/23, 6.375% to 9/1/24 then 6.625%) | 5.250% | 9/1/37 | 6272122 |  | 2502341 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Provincia de Cordoba, Senior Notes | 6.875% | 12/10/25 | 700000 |  | 606565 | <sup>(h)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Provincia de Cordoba, Senior Notes | 6.875% | 12/10/25 | 824492 |  | 714441 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Provincia de Cordoba, Senior Notes | 6.990% | 6/1/27 | 2600000 |  | 2014236 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Provincia de Cordoba, Senior Notes (6.875% PIK) | 6.875% | 2/1/29 | 1034131 |  | 728888 | <sup>(a)(g)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Argentina* |  |  |  |  | *9229797* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Australia - 0.7%** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Australia Government Bond, Senior Notes | 3.000% | 3/21/47 | 6690000 | <sup>AUD</sup> | *4018117* | <sup>(h)</sup> |

---

**See Notes to Schedule of Investments.** 

Western Asset Macro Opportunities Fund 2023 Quarterly Report 9

------

**WESTERN ASSET MACRO OPPORTUNITIES FUND** 

---

| | |
|:---|:---|
| **Schedule of investments (unaudited) (cont'd)** | **January 31, 2023** |

---

(Percentages shown based on Fund net assets)

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **SECURITY** | **RATE** | **MATURITY<br>DATE** | **FACE**<br>**AMOUNT†** |  | **VALUE** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Brazil - 1.6%** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Brazil Notas do Tesouro Nacional Serie F, Notes | 10.000% | 1/1/27 | 13552000 | <sup>BRL</sup> | $2453669 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Brazil Notas do Tesouro Nacional Serie F, Notes | 10.000% | 1/1/31 | 38024000 | <sup>BRL</sup> | 6428132 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Brazil* |  |  |  |  | *8881801* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Dominican Republic - 0.3%** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Dominican Republic International Bond, Senior Notes | 5.875% | 1/30/60 | 2110000 |  | *1631288* | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Egypt - 0.3%** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Egypt Government Bond | 18.400% | 5/30/24 | 3500000 | <sup>EGP</sup> | 111673 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Egypt Government International Bond, Senior Notes | 5.250% | 10/6/25 | 1490000 |  | 1343327 | <sup>(h)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Egypt* |  |  |  |  | *1455000* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Gabon - 0.6%** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Gabon Government International Bond, Senior Notes | 7.000% | 11/24/31 | 3690000 |  | *3122286* | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Indonesia - 8.9%** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indonesia Treasury Bond | 8.375% | 9/15/26 | 3507000000 | <sup>IDR</sup> | 250076 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indonesia Treasury Bond | 8.250% | 5/15/29 | 258401000000 | <sup>IDR</sup> | 18717610 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indonesia Treasury Bond | 6.500% | 2/15/31 | 143819000000 | <sup>IDR</sup> | 9496180 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indonesia Treasury Bond | 7.000% | 2/15/33 | 86483000000 | <sup>IDR</sup> | 5880065 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indonesia Treasury Bond | 8.375% | 3/15/34 | 132689000000 | <sup>IDR</sup> | 9894581 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indonesia Treasury Bond | 8.250% | 5/15/36 | 45190000000 | <sup>IDR</sup> | 3364861 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indonesia Treasury Bond | 8.375% | 4/15/39 | 6456000000 | <sup>IDR</sup> | 488459 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indonesia Treasury Bond | 7.375% | 5/15/48 | 576000000 | <sup>IDR</sup> | 39367 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Indonesia* |  |  |  |  | *48131199* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Ivory Coast - 1.0%** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ivory Coast Government International Bond, Senior Notes | 4.875% | 1/30/32 | 2150000 | <sup>EUR</sup> | 1840915 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ivory Coast Government International Bond, Senior Notes | 5.750% | 12/31/32 | 364136 |  | 336203 | <sup>(h)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ivory Coast Government International Bond, Senior Notes | 6.125% | 6/15/33 | 1420000 |  | 1264953 | <sup>(h)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ivory Coast Government International Bond, Senior Notes | 6.125% | 6/15/33 | 2150000 |  | 1915246 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Ivory Coast* |  |  |  |  | *5357317* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Kenya - 0.3%** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Republic of Kenya Government International Bond, Senior Notes | 7.250% | 2/28/28 | 1600000 |  | *1418784* | <sup>(h)</sup> |

---

**See Notes to Schedule of Investments.** 

10 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Western Asset Macro Opportunities Fund 2023 Quarterly Report

------

**WESTERN ASSET MACRO OPPORTUNITIES FUND** 

---

| | |
|:---|:---|
| **Schedule of investments (unaudited) (cont'd)** | **January 31, 2023** |

---

(Percentages shown based on Fund net assets)

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **SECURITY** | **RATE** | **MATURITY<br>DATE** | **FACE<br>AMOUNT†** |  | **VALUE** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Kuwait - 0.2%** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Kuwait International Government Bond, Senior Notes | 3.500% | 3/20/27 | 1370000 |  | $*1349450* | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Mexico - 4.6%** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Mexican Bonos, Bonds | 8.000% | 11/7/47 | 163030000 | <sup>MXN</sup> | 7984795 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Mexican Bonos, Senior Notes | 7.750% | 11/13/42 | 348475400 | <sup>MXN</sup> | 16722303 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Mexico* |  |  |  |  | *24707098* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Nigeria - 0.2%** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Nigeria Government International Bond, Senior Notes | 6.125% | 9/28/28 | 1080000 |  | *842281* | <sup>(h)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Poland - 3.0%** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Republic of Poland Government Bond | 1.750% | 4/25/32 | 99000000 | <sup>PLN</sup> | *16174320* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Russia - 0.9%** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Russian Federal Bond - OFZ | 8.150% | 2/3/27 | 548657000 | <sup>RUB</sup> | 1172156 | \*<sup>(i)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Russian Federal Bond - OFZ | 7.650% | 4/10/30 | 321260000 | <sup>RUB</sup> | 686343 | \*<sup>(i)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Russian Federal Bond - OFZ | 7.700% | 3/23/33 | 437180000 | <sup>RUB</sup> | 933996 | \*<sup>(i)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Russian Federal Bond - OFZ | 7.250% | 5/10/34 | 935800000 | <sup>RUB</sup> | 1999252 | \*<sup>(i)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Russian Federal Bond - OFZ | 7.700% | 3/16/39 | 6482000 | <sup>RUB</sup> | 13848 | \*<sup>(i)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Russia* |  |  |  |  | *4805595* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Supranational - 0.5%** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; European Bank for Reconstruction & Development, Senior Notes | 5.000% | 10/6/26 | 38012000000 | <sup>IDR</sup> | *2447220* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Zambia - 0.1%** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Zambia Government International Bond, Senior Notes | 8.500% | 4/14/24 | 550000 |  | *277984* | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL SOVEREIGN BONDS**<br> (Cost - $166,095,865) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL SOVEREIGN BONDS**<br> (Cost - $166,095,865) |  |  |  | 134885589 |  |
| **COLLATERALIZED MORTGAGE OBLIGATIONS <sup>(j)</sup> - 8.3%** | **COLLATERALIZED MORTGAGE OBLIGATIONS <sup>(j)</sup> - 8.3%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; AREIT Trust, 2021-CRE5 B (1 mo. USD LIBOR + 1.820%) | 6.285% | 11/17/38 | 807000 |  | 780239 | <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Benchmark Mortgage Trust, 2020-IG3 C | 3.290% | 9/15/48 | 1190000 |  | 808346 | <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; BX Trust, 2018-GWMZ MC (1 mo. USD LIBOR + 5.488%) | 9.947% | 5/15/37 | 4400000 |  | 4259275 | <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; BX Trust, 2021-ARIA G (1 mo. USD LIBOR + 3.142%) | 7.601% | 10/15/36 | 2570000 |  | 2365214 | <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CSMC Trust, 2015-2R 7A2 | 3.598% | 8/27/36 | 6750384 |  | 5150615 | <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CSMC Trust, 2019-RIO B (1 mo. USD LIBOR + 7.000%) | 11.459% | 2/15/23 | 6207741 |  | 6194364 | <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2020-DNA3 B1 (1 mo. USD LIBOR + 5.100%) | 9.606% | 6/25/50 | 629901 |  | 659425 | <sup>(a)(d)</sup> |

---

**See Notes to Schedule of Investments.** 

Western Asset Macro Opportunities Fund 2023 Quarterly Report 11

------

**WESTERN ASSET MACRO OPPORTUNITIES FUND** 

---

| | |
|:---|:---|
| **Schedule of investments (unaudited) (cont'd)** | **January 31, 2023** |

---

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| **SECURITY** | **RATE** | **MATURITY<br>DATE** | **FACE<br>AMOUNT†** | **VALUE** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **COLLATERALIZED MORTGAGE OBLIGATIONS <sup>(j)</sup> - (continued)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **COLLATERALIZED MORTGAGE OBLIGATIONS <sup>(j)</sup> - (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2020-DNA6 B1 (30 Day Average SOFR + 3.000%) | 7.310% | 12/25/50 | 2180000 | $2103646 <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2015-HQ2 B (1 mo. USD LIBOR + 7.950%) | 12.456% | 5/25/25 | 1531127 | 1563621 <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) - CAS, 2017-C05 1B1 (1 mo. USD LIBOR + 3.600%) | 8.106% | 1/25/30 | 3880000 | 3978083 <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) - CAS, 2018-C01 1B1 (1 mo. USD LIBOR + 3.550%) | 8.056% | 7/25/30 | 5280000 | 5424143 <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; GS Mortgage Securities Corp. II, 2018- SRP5 C (1 mo. USD LIBOR + 4.250%) | 8.709% | 9/15/31 | 7585008 | 3221603 <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; GS Mortgage Securities Corp. Trust, 2018-LUAU G (1 mo. USD LIBOR + 4.450%) | 8.909% | 11/15/32 | 1032000 | 970868 <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; IMPAC Secured Assets Corp., 2006-3 A7 (1 mo. USD LIBOR + 0.540%) | 5.046% | 11/25/36 | 1479995 | 1108065 <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; JPMorgan Chase Commercial Mortgage Securities Trust, 2018-PHMZ M (1 mo. USD LIBOR + 8.508%) | 12.967% | 6/15/35 | 10570000 | 106 <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; JPMorgan Chase Commercial Mortgage Securities Trust, 2021-NYAH F (1 mo. USD LIBOR + 2.190%) | 6.649% | 6/15/38 | 344000 | 324328 <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; MHC Trust, 2021-MHC2 E (1 mo. USD LIBOR + 1.950%) | 6.409% | 5/15/38 | 850000 | 818420 <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; ML-CFC Commercial Mortgage Trust, 2007-5 AJ | 5.450% | 8/12/48 | 96506 | 24725 <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; ML-CFC Commercial Mortgage Trust, 2007-9 AJ | 6.193% | 9/12/49 | 2920 | 2864 <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Morgan Stanley Capital I Trust, 2021-L7 XA, IO | 1.100% | 10/15/54 | 7252762 | 433758 <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Residential Asset Securitization Trust, 2005-A15 1A4 | 5.750% | 2/25/36 | 70044 | 65139 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Residential Asset Securitization Trust, 2005-A15 2A11, IO (-1.000 x 1 mo. USD LIBOR + 5.550%) | 1.044% | 2/25/36 | 1666309 | 215227 <sup>(d)</sup> |

---

**See Notes to Schedule of Investments.** 

12 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Western Asset Macro Opportunities Fund 2023 Quarterly Report

------

**WESTERN ASSET MACRO OPPORTUNITIES FUND** 

---

| | |
|:---|:---|
| **Schedule of investments (unaudited) (cont'd)** | **January 31, 2023** |

---

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| **SECURITY** | **RATE** | **MATURITY<br>DATE** | **FACE<br>AMOUNT†** | **VALUE** |
| **COLLATERALIZED MORTGAGE OBLIGATIONS <sup>(j)</sup> - (continued)** | **COLLATERALIZED MORTGAGE OBLIGATIONS <sup>(j)</sup> - (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Sequoia Mortgage Trust, 2004-3 M1 (1 mo. USD LIBOR + 0.750%) | 5.236% | 5/20/34 | 192978 | $186413 <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; SFO Commercial Mortgage Trust, 2021-555 D (1 mo. USD LIBOR + 2.400%) | 6.859% | 5/15/38 | 1000000 | 865259 <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Starwood Retail Property Trust, 2014-STAR E (1 mo. USD LIBOR + 4.400%) | 8.860% | 11/15/27 | 5070000 | 10165 <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; WaMu Mortgage Pass-Through Certificates Trust, 2005-AR2 B1 (1 mo. USD LIBOR + 0.795%) | 5.301% | 1/25/45 | 3151996 | 2546007 <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; WaMu Mortgage Pass-Through Certificates Trust, 2005-AR17 A1C3 (1 mo. USD LIBOR + 0.960%) | 5.466% | 12/25/45 | 1316893 | 845080 <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS**<br> (Cost - $66,903,764) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS**<br> (Cost - $66,903,764) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS**<br> (Cost - $66,903,764) |  | 44924998 |
| **ASSET-BACKED SECURITIES - 7.0%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Aegis Asset Backed Securities Trust, 2003-3 M2 (1 mo. USD LIBOR + 2.475%) | 6.981% | 1/25/34 | 184108 | 172572 <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bain Capital Credit CLO Ltd., 2021-4A E (3 mo. USD LIBOR + 6.500%) | 11.308% | 10/20/34 | 1900000 | 1684402 <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bayview Financial Mortgage Pass- Through Trust, 2006-C 2A3 (1 mo. USD LIBOR + 0.435%) | 4.982% | 11/28/36 | 1649427 | 1424119 <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; BlueMountain CLO Ltd., 2020-29A ER (3 mo. USD LIBOR + 6.860%) | 11.678% | 7/25/34 | 4390000 | 4016798 <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Conseco Finance Corp., 1996-4 M1 | 7.750% | 6/15/27 | 1083949 | 1082684 <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Dryden CLO Ltd., 2021-95A SUB | 0.000% | 8/20/34 | 3900000 | 2956200 <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Elmwood CLO Ltd., 2019-2A SUB | 0.000% | 4/20/34 | 6600000 | 4800303 <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hayfin US Ltd., 2021-14A E (3 mo. USD LIBOR + 7.180%) | 11.988% | 7/20/34 | 5110000 | 5028638 <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; KeyCorp Student Loan Trust, 2005-A 2C (3 mo. USD LIBOR + 1.300%) | 6.024% | 12/27/38 | 3229873 | 2965242 <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Madison Park Funding Ltd., 2017-26A DR (3 mo. USD LIBOR + 3.000%) | 7.802% | 7/29/30 | 5025000 | 4704685 <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Navient Private Education Loan Trust, 2020-A B | 3.160% | 11/15/68 | 1890000 | 1630602 <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Popular ABS Mortgage Pass-Through Trust, 2005-2 M2 | 6.217% | 4/25/35 | 4283540 | 3202578 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; RAMP Trust, 2006-RZ3 M1 (1 mo. USD LIBOR + 0.350%) | 4.856% | 8/25/36 | 1064438 | 1031242 <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; SMB Private Education Loan Trust, 2021-A D2 | 3.860% | 1/15/53 | 3340000 | 3010617 <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL ASSET-BACKED SECURITIES**<br> (Cost - $41,485,562) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL ASSET-BACKED SECURITIES**<br> (Cost - $41,485,562) |  |  | 37710682 |

---

**See Notes to Schedule of Investments.** 

Western Asset Macro Opportunities Fund 2023 Quarterly Report 13

------

**WESTERN ASSET MACRO OPPORTUNITIES FUND** 

---

| | |
|:---|:---|
| **Schedule of investments (unaudited) (cont'd)** | **January 31, 2023** |

---

(Percentages shown based on Fund net assets)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **SECURITY** | **RATE** | **MATURITY<br>DATE** | **FACE<br>AMOUNT†** | **VALUE** |  |
| **U.S. GOVERNMENT & AGENCY OBLIGATIONS - 4.4%** | **U.S. GOVERNMENT & AGENCY OBLIGATIONS - 4.4%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **U.S. Government Obligations - 4.4%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | 1.125% | 8/15/40 | 60000 | $39838 | <sup>(k)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | 3.000% | 5/15/45 | 972000 | 856347 | <sup>(k)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | 2.875% | 8/15/45 | 10000 | 8616 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | 4.000% | 11/15/52 | 20674000 | 22111489 | <sup>(k)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Notes | 4.000% | 10/31/29 | 620800 | 636368 | <sup>(k)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS**<br> (Cost - $23,886,666) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS**<br> (Cost - $23,886,666) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS**<br> (Cost - $23,886,666) |  | 23652658 |  |
| **SENIOR LOANS - 1.9%** |  |  |  |  |  |
| **COMMUNICATION SERVICES - 0.7%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Diversified Telecommunication Services - 0.1%** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Diversified Telecommunication Services - 0.1%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Level 3 Financing Inc., 2027 Term Loan B (1 mo. USD LIBOR + 1.750%) | 6.320% | 3/1/27 | 503536 | *495867* | <sup>(d)(l)(m)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Media - 0.6%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Charter Communications Operating LLC, Term Loan B1 (1 mo. USD LIBOR + 1.750%) | 6.320% | 4/30/25 | 1349996 | 1349497 | <sup>(d)(l)(m)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Univision Communications Inc., 2021 Replacement Term Loan (1 mo. USD LIBOR + 3.250%) | 7.820% | 3/15/26 | 1351809 | 1340075 | <sup>(d)(l)(m)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Virgin Media Bristol LLC, Term Loan Facility N (1 mo. USD LIBOR + 2.500%) | 6.959% | 1/31/28 | 360000 | 358652 | <sup>(d)(l)(m)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Media* |  |  |  | *3048224* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL COMMUNICATION SERVICES** |  |  |  | 3544091 |  |
| **CONSUMER DISCRETIONARY - 0.5%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Diversified Consumer Services - 0.1%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Prime Security Services Borrower LLC, 2021 Refinancing Term Loan B1 (3 mo. USD LIBOR + 2.750%) | 7.517% | 9/23/26 | 843180 | *843707* | <sup>(d)(l)(m)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Hotels, Restaurants & Leisure - 0.4%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1011778 BC Unlimited Liability Co., Term Loan B4 (1 mo. USD LIBOR + 1.750%) | 6.320% | 11/19/26 | 743626 | 736922 | <sup>(d)(l)(m)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Alterra Mountain Co., 2028 Term Loan B (1 mo. USD LIBOR + 3.500%) | 8.070% | 8/17/28 | 279850 | 279675 | <sup>(d)(l)(m)</sup> |

---

**See Notes to Schedule of Investments.** 

14 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Western Asset Macro Opportunities Fund 2023 Quarterly Report

------

**WESTERN ASSET MACRO OPPORTUNITIES FUND** 

---

| | |
|:---|:---|
| **Schedule of investments (unaudited) (cont'd)** | **January 31, 2023** |

---

(Percentages shown based on Fund net assets)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **SECURITY** | **RATE** | **MATURITY<br>DATE** | **FACE<br>AMOUNT†** | **VALUE** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Hotels, Restaurants & Leisure - (continued)** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Caesars Resort Collection LLC, Term Loan B (1 mo. USD LIBOR + 2.750%) | 7.320% | 12/23/24 | 886633 | $886992 | <sup>(d)(l)(m)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hilton Worldwide Finance LLC, Refinance Term Loan B2 (1 mo. USD LIBOR + 1.750%) | 6.380% | 6/22/26 | 159506 | 159498 | <sup>(d)(l)(m)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Hotels, Restaurants & Leisure* |  |  |  | *2063087* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL CONSUMER DISCRETIONARY** |  |  |  | 2906794 |  |
| **FINANCIALS - 0.2%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Capital Markets - 0.0%††** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Edelman Financial Engines Center LLC, 2021 Refinancing Term Loan (1 mo. USD LIBOR + 3.500%) | 8.070% | 4/7/28 | 308391 | *302745* | <sup>(d)(l)(m)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Diversified Financial Services - 0.1%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Jane Street Group LLC, Dollar Term Loan (1 mo. USD LIBOR + 2.750%) | 7.320% | 1/26/28 | 327382 | *326794* | <sup>(d)(l)(m)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Insurance - 0.1%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Asurion LLC, New Term Loan B7 (1 mo. USD LIBOR + 3.000%) | 7.570% | 11/3/24 | 548463 | *543620* | <sup>(d)(l)(m)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL FINANCIALS** |  |  |  | 1173159 |  |
| **HEALTH CARE - 0.2%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Health Care Providers & Services - 0.2%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; LifePoint Health Inc., First Lien Term Loan B (3 mo. USD LIBOR + 3.750%) | 8.575% | 11/16/25 | 671578 | 653855 | <sup>(d)(l)(m)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Phoenix Guarantor Inc., Term Loan B1 (1 mo. USD LIBOR + 3.250%) | 7.820% | 3/5/26 | 270242 | 266779 | <sup>(d)(l)(m)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL HEALTH CARE** |  |  |  | 920634 |  |
| **INDUSTRIALS - 0.3%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Building Products - 0.3%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hunter Douglas Holding BV, Term Loan B1 (3 mo. Term SOFR + 3.500%) | 7.859% | 2/26/29 | 1890500 | 1743400 | <sup>(d)(l)(m)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL SENIOR LOANS**<br> (Cost - $10,493,647) |  |  |  | 10288078 |  |
| **CONVERTIBLE BONDS & NOTES - 0.6%** |  |  |  |  |  |
| **COMMUNICATION SERVICES - 0.6%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Media - 0.6%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; DISH Network Corp., Senior Notes<br>(Cost - $3,350,939) | 2.375% | 3/15/24 | 3650000 | 3395413 |  |

---

**See Notes to Schedule of Investments.** 

Western Asset Macro Opportunities Fund 2023 Quarterly Report 15

------

**WESTERN ASSET MACRO OPPORTUNITIES FUND** 

---

| | |
|:---|:---|
| **Schedule of investments (unaudited) (cont'd)** | **January 31, 2023** |

---

(Percentages shown based on Fund net assets)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **SECURITY** | **RATE** | **MATURITY<br>DATE** | **FACE<br>AMOUNT†** | **VALUE** |  |
| **MUNICIPAL BONDS - 0.5%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **California - 0.1%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Morongo Band of Mission Indians, CA, Revenue, Tribal Economic Development, Series A | 7.000% | 10/1/39 | 360000 | $397608 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Regents of the University of California, CA, Medical Center Pooled Revenue, Taxable Bonds, Series N | 3.706% | 5/15/2120 | 205000 | 143457 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total California* |  |  |  | *541065* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Illinois - 0.3%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; State of Illinois, GO | 5.100% | 6/1/33 | 1425000 | *1416591* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Michigan - 0.1%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Detroit, MI, GO, Financial Recovery, Series B-1, Step bond (4.000% to 4/1/34 then 6.000%) | 4.000% | 4/1/44 | 820000 | *619249* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL MUNICIPAL BONDS**<br> (Cost - $2,639,713) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL MUNICIPAL BONDS**<br> (Cost - $2,639,713) |  |  | 2576905 |  |
|  | **EXPIRATION<br>DATE** | **CONTRACTS** | **NOTIONAL<br>AMOUNT†** |  |  |
| **PURCHASED OPTIONS - 0.4%** |  |  |  |  |  |
| **EXCHANGE-TRADED PURCHASED OPTIONS - 0.4%** | **EXCHANGE-TRADED PURCHASED OPTIONS - 0.4%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 90-Day Eurodollar Futures, Call @ $97.13 | 12/18/23 | 4430 | 11075000 | 415310 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Australian Dollar Futures, Call @ $68.00 | 2/3/23 | 27 | 27000 | 72090 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Canadian Dollar Futures, Call @ $75.00 | 3/3/23 | 182 | 182000 | 134680 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Canadian Dollar Futures, Call @ $75.50 | 3/3/23 | 52 | 52000 | 25480 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Euro Futures, Put @ $1.09 | 3/3/23 | 52 | 6500000 | 58500 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Japanese Yen Futures, Call @ $77.50 | 2/3/23 | 26 | 32500 | 12025 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury 5-Year Notes Futures, Call @ $109.25 | 2/24/23 | 331 | 331000 | 175844 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury 5-Year Notes Futures, Call @ $109.50 | 2/24/23 | 624 | 624000 | 258375 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury 5-Year Notes Futures, Call @ $109.75 | 2/24/23 | 572 | 572000 | 178750 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury 10-Year Notes Futures, Call @ $114.50 | 2/24/23 | 130 | 130000 | 101563 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury 10-Year Notes Futures, Call @ $114.75 | 2/24/23 | 130 | 130000 | 85313 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury 10-Year Notes Futures, Call @ $115.00 | 2/24/23 | 101 | 101000 | 56813 |  |

---

**See Notes to Schedule of Investments.** 

16 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Western Asset Macro Opportunities Fund 2023 Quarterly Report

------

**WESTERN ASSET MACRO OPPORTUNITIES FUND** 

---

| | |
|:---|:---|
| **Schedule of investments (unaudited) (cont'd)** | **January 31, 2023** |

---

(Percentages shown based on Fund net assets)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **SECURITY** | **SECURITY** | **EXPIRATION<br>DATE** | **CONTRACTS** | **NOTIONAL<br>AMOUNT†** | **VALUE** |
| **EXCHANGE-TRADED PURCHASED OPTIONS - (continued)** | **EXCHANGE-TRADED PURCHASED OPTIONS - (continued)** | **EXCHANGE-TRADED PURCHASED OPTIONS - (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury 10-Year Notes Futures, Put @ $115.00 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury 10-Year Notes Futures, Put @ $115.00 | 2/24/23 | 76 | 76000 | $79563 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Long-Term Bonds Futures, Call @ $130.00 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Long-Term Bonds Futures, Call @ $130.00 | 2/24/23 | 234 | 234000 | 340031 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Long-Term Bonds Futures, Call @ $130.50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Long-Term Bonds Futures, Call @ $130.50 | 2/24/23 | 52 | 52000 | 64188 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Long-Term Bonds Futures, Call @ $131.00 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Long-Term Bonds Futures, Call @ $131.00 | 2/24/23 | 51 | 51000 | 52594 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL EXCHANGE-TRADED PURCHASED OPTIONS**<br> (Cost - $8,758,724) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL EXCHANGE-TRADED PURCHASED OPTIONS**<br> (Cost - $8,758,724) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL EXCHANGE-TRADED PURCHASED OPTIONS**<br> (Cost - $8,758,724) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL EXCHANGE-TRADED PURCHASED OPTIONS**<br> (Cost - $8,758,724) |  | 2111119 |
|  | **COUNTERPARTY** |  |  |  |  |
| **OTC PURCHASED OPTIONS - 0.0%††** | **OTC PURCHASED OPTIONS - 0.0%††** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Dollar/Indian Rupee, Put @ 82.75<sup>INR</sup>(Cost - $33,856) | JPMorgan<br>Chase & Co. | 4/3/23 | 4600000 | 4600000 | 60220 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL PURCHASED OPTIONS**<br> (Cost - $8,792,580) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL PURCHASED OPTIONS**<br> (Cost - $8,792,580) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL PURCHASED OPTIONS**<br> (Cost - $8,792,580) |  |  | 2171339 |
|  |  |  |  | **SHARES** |  |
| **COMMON STOCKS - 0.2%** |  |  |  |  |  |
| **ENERGY - 0.1%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Oil, Gas & Consumable Fuels - 0.1%** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Oil, Gas & Consumable Fuels - 0.1%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Berry Corp. |  |  |  | 40182 | 369674 |
| **FINANCIALS - 0.1%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Capital Markets - 0.1%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; EG Acquisition Corp., Class A Shares | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; EG Acquisition Corp., Class A Shares |  |  | 55833 | 561680 \* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL COMMON STOCKS**<br> (Cost - $972,723) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL COMMON STOCKS**<br> (Cost - $972,723) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL COMMON STOCKS**<br> (Cost - $972,723) |  |  | 931354 |
|  |  |  | **EXPIRATION<br>DATE** | **WARRANTS** |  |
| **WARRANTS - 0.0%††** |  |  |  |  |  |
| **FINANCIALS - 0.0%††** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Capital Markets - 0.0%††** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Capital Markets - 0.0%††** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; EG Acquisition Corp., Class A Shares<br>(Cost - $67,285) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; EG Acquisition Corp., Class A Shares<br>(Cost - $67,285) |  | 5/28/28 | 70273 | 12649 \* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS**<br> (Cost - $514,691,579) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS**<br> (Cost - $514,691,579) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS**<br> (Cost - $514,691,579) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS**<br> (Cost - $514,691,579) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS**<br> (Cost - $514,691,579) | 432893956 |

---

**See Notes to Schedule of Investments.** 

Western Asset Macro Opportunities Fund 2023 Quarterly Report 17

------

**WESTERN ASSET MACRO OPPORTUNITIES FUND** 

---

| | |
|:---|:---|
| **Schedule of investments (unaudited) (cont'd)** | **January 31, 2023** |

---

(Percentages shown based on Fund net assets)

---

| | | | |
|:---|:---|:---|:---|
| **SECURITY** | **Rate** | **Shares** | **Value** |
| **SHORT-TERM INVESTMENTS - 4.1%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Western Asset Premier Institutional Government Reserves, Premium Shares<br>(Cost - $22,364,948) | 4.283% | 22364948 | $22364948 <sup>(n)(o)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL INVESTMENTS - 84.5%**<br> (Cost - $537,056,527) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL INVESTMENTS - 84.5%**<br> (Cost - $537,056,527) |  | 455258904 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Other Assets in Excess of Liabilities - 15.5% |  |  | 83203917 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL NET ASSETS - 100.0%** |  |  | $538462821 |

---

† Face amount/notional amount denominated in U.S. dollars, unless otherwise noted.

---

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

---

\* Non-income producing security.

(a) Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold
in transactions that are exempt from registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Directors.

(b) All or a portion of this security is held at the broker as collateral for open centrally cleared swap
contracts.

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

(d) Variable rate security. Interest rate disclosed is as of the most recent information available. Certain
variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description
above.

(e) Security is valued in good faith in accordance with procedures approved by the Board of Directors (Note 1).

(f) Security is valued using significant unobservable inputs (Note 1).

(g) Payment-in-kind security for
which the issuer has the option at each interest payment date of making interest payments in cash or additional securities.

(h) Security is exempt from registration under Regulation S of the Securities Act of 1933. Regulation S applies to
securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States. This security has been deemed liquid pursuant to guidelines approved by the Board of Directors.

(i) The coupon payment on this security is currently in default as of January 31, 2023.

(j) Collateralized mortgage obligations are secured by an underlying pool of mortgages or mortgage pass-through
certificates that are structured to direct payments on underlying collateral to different series or classes of the obligations. The interest rate may change positively or inversely in relation to one or more interest rates, financial indices or
other financial indicators and may be subject to an upper and/or lower limit.

(k) All or a portion of this security is held at the broker as collateral for OTC derivatives.

(l) Interest rates disclosed represent the effective rates on senior loans. Ranges in interest rates are
attributable to multiple contracts under the same loan.

(m) Senior loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive
approval from the agent bank and/or borrower prior to the disposition of a senior loan.

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

(o) In this instance, as defined in the Investment Company Act of 1940, an "Affiliated Company"
represents Fund ownership of at least 5% of the outstanding voting securities of an issuer, or a company which is under common ownership or control with the Fund. At January 31, 2023, the total market value of investments in Affiliated
Companies was $22,364,948 and the cost was $22,364,948 (Note 2).

**See Notes to Schedule of Investments.** 

18 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Western Asset Macro Opportunities Fund 2023 Quarterly Report

------

**WESTERN ASSET MACRO OPPORTUNITIES FUND** 

---

| | |
|:---|:---|
| **Schedule of investments (unaudited) (cont'd)** | **January 31, 2023** |

---

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

---

| | |
|:---|:---|
| AUD | — Australian Dollar |
| BRL | — Brazilian Real |
| CAS | — Connecticut Avenue Securities |
| CLO | — Collateralized Loan Obligation |
| EGP | — Egyptian Pound |
| EUR | — Euro |
| GBP | — British Pound |
| GO | — General Obligation |
| GTD | — Guaranteed |
| ICE | — Intercontinental Exchange |
| IDR | — Indonesian Rupiah |
| INR | — Indian Rupee |
| IO | — Interest Only |
| LIBOR | — London Interbank Offered Rate |
| MXN | — Mexican Peso |
| OFZ | — Obligatsyi Federal'novo Zaima (Russian Federal Loan Obligation) |
| PIK | — Payment-In-Kind |
| PLN | — Polish Zloty |
| REMIC | — Real Estate Mortgage Investment Conduit |
| RUB | — Russian Ruble |
| SOFR | — Secured Overnight Financing Rate |
| USD | — United States Dollar |

---

At January 31, 2023, the Fund had the following written options contracts:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **EXCHANGE-TRADED WRITTEN OPTIONS**<br>**SECURITY** | <br>**EXPIRATION<br>DATE** | <br>**STRIKE<br>PRICE** | <br>**CONTRACTS** | <br>**NOTIONAL<br>AMOUNT†** | <br>**VALUE** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 90-Day Eurodollar Futures, Call | 12/18/23 | $97.00 | 1301 | 3252500 | $(138231) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 90-Day Eurodollar Futures, Call | 12/18/23 | 97.88 | 2195 | 5487500 | (109750) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 90-Day Eurodollar Futures, Call | 12/18/23 | 98.00 | 6665 | 16662500 | (291594) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Australian Dollar Futures, Call | 2/3/23 | 67.00 | 54 | 54000 | (197100) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Australian Dollar Futures, Call | 2/3/23 | 67.50 | 54 | 54000 | (170640) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Australian Dollar Futures, Call | 2/3/23 | 68.50 | 78 | 78000 | (170040) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Australian Dollar Futures, Call | 2/3/23 | 69.00 | 52 | 52000 | (89440) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Australian Dollar Futures, Call | 2/3/23 | 71.00 | 52 | 52000 | (17160) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Australian Dollar Futures, Put | 2/3/23 | 68.50 | 52 | 52000 | (2080) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Australian Dollar Futures, Put | 3/3/23 | 68.00 | 51 | 51000 | (14790) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Australian Dollar Futures, Put | 3/3/23 | 70.50 | 26 | 26000 | (26260) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Canadian Dollar Futures, Call | 2/3/23 | 74.00 | 26 | 26000 | (31460) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Canadian Dollar Futures, Call | 2/3/23 | 74.50 | 111 | 111000 | (84360) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Canadian Dollar Futures, Call | 2/3/23 | 75.00 | 26 | 26000 | (10400) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Canadian Dollar Futures, Put | 2/3/23 | 74.00 | 26 | 26000 | (910) |

---

**See Notes to Schedule of Investments.** 

Western Asset Macro Opportunities Fund 2023 Quarterly Report 19

------

**WESTERN ASSET MACRO OPPORTUNITIES FUND** 

---

| | |
|:---|:---|
| **Schedule of investments (unaudited) (cont'd)** | **January 31, 2023** |

---

**EXCHANGE-TRADED WRITTEN OPTIONS - (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **SECURITY** | **EXPIRATION<br>DATE** | **STRIKE<br>PRICE** |  | **CONTRACTS** | **NOTIONAL<br>AMOUNT†** |  | **VALUE** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Euro Futures, Call | 3/3/23 | $1.09 |  | 52 | 6500000 |  | $(68250) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Euro Futures, Put | 2/3/23 | 1.06 |  | 26 | 3250000 |  | (650) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Euro Futures, Put | 3/3/23 | 1.08 |  | 106 | 13250000 |  | (74200) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Euro Futures, Put | 3/3/23 | 1.08 |  | 52 | 6500000 |  | (46150) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Euro-Bund Futures, Call | 2/24/23 | 137.50 | <sup>EUR</sup> | 104 | 10400000 | <sup>EUR</sup> | (131154) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Euro-Bund Futures, Call | 2/24/23 | 138.00 | <sup>EUR</sup> | 52 | 5200000 | <sup>EUR</sup> | (54270) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Euro-Bund Futures, Call | 2/24/23 | 139.00 | <sup>EUR</sup> | 441 | 44100000 | <sup>EUR</sup> | (302043) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Euro-Bund Futures, Call | 2/24/23 | 140.00 | <sup>EUR</sup> | 260 | 26000000 | <sup>EUR</sup> | (113064) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Euro-Bund Futures, Call | 2/24/23 | 141.00 | <sup>EUR</sup> | 52 | 5200000 | <sup>EUR</sup> | (13568) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Euro-Bund Futures, Put | 2/24/23 | 136.50 | <sup>EUR</sup> | 52 | 5200000 | <sup>EUR</sup> | (74622) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Euro-Bund Futures, Put | 2/24/23 | 137.00 | <sup>EUR</sup> | 156 | 15600000 | <sup>EUR</sup> | (266265) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Euro-Bund Futures, Put | 2/24/23 | 137.50 | <sup>EUR</sup> | 156 | 15600000 | <sup>EUR</sup> | (312055) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Euro-Bund Futures, Put | 2/24/23 | 138.00 | <sup>EUR</sup> | 78 | 7800000 | <sup>EUR</sup> | (181467) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Japanese Yen Futures, Call | 2/3/23 | 77.00 |  | 154 | 192500 |  | (115500) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Japanese Yen Futures, Call | 2/3/23 | 79.00 |  | 52 | 65000 |  | (3900) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Japanese Yen Futures, Call | 3/3/23 | 78.00 |  | 81 | 101250 |  | (85050) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Japanese Yen Futures, Call | 3/3/23 | 79.00 |  | 26 | 32500 |  | (17550) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Japanese Yen Futures, Call | 3/3/23 | 80.00 |  | 52 | 65000 |  | (21450) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Japanese Yen Futures, Put | 2/3/23 | 76.00 |  | 288 | 360000 |  | (32400) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Japanese Yen Futures, Put | 2/3/23 | 76.50 |  | 78 | 97500 |  | (18525) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Japanese Yen Futures, Put | 2/3/23 | 77.00 |  | 129 | 161250 |  | (59662) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Japanese Yen Futures, Put | 2/3/23 | 77.50 |  | 26 | 32500 |  | (20475) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Japanese Yen Futures, Put | 3/3/23 | 77.00 |  | 154 | 192500 |  | (200200) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury 5-Year Notes Futures, Call | 2/24/23 | 108.75 |  | 306 | 306000 |  | (251016) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury 5-Year Notes Futures, Call | 2/24/23 | 110.00 |  | 666 | 666000 |  | (156094) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury 5-Year Notes Futures, Call | 2/24/23 | 110.25 |  | 577 | 577000 |  | (99172) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury 5-Year Notes Futures, Call | 2/24/23 | 110.50 |  | 470 | 470000 |  | (58750) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury 5-Year Notes Futures, Call | 2/24/23 | 110.75 |  | 156 | 156000 |  | (14625) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury 5-Year Notes Futures, Call | 2/24/23 | 111.00 |  | 130 | 130000 |  | (8125) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury 5-Year Notes Futures, Put | 2/24/23 | 108.00 |  | 892 | 892000 |  | (118469) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury 5-Year Notes Futures, Put | 2/24/23 | 109.25 |  | 312 | 312000 |  | (168188) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury 10-Year Notes Futures, Call | 2/24/23 | 115.50 |  | 370 | 370000 |  | (138750) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury 10-Year Notes Futures, Call | 2/24/23 | 116.00 |  | 1108 | 1108000 |  | (277000) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury 10-Year Notes Futures, Call | 2/24/23 | 116.50 |  | 818 | 818000 |  | (127812) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury 10-Year Notes Futures, Put | 2/24/23 | 114.50 |  | 119 | 119000 |  | (91109) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Long-Term Bonds Futures, Call | 2/3/23 | 131.00 |  | 47 | 47000 |  | (18359) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Long-Term Bonds Futures, Call | 2/24/23 | 132.00 |  | 272 | 272000 |  | (191250) |

---

**See Notes to Schedule of Investments.** 

20 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Western Asset Macro Opportunities Fund 2023 Quarterly Report

------

**WESTERN ASSET MACRO OPPORTUNITIES FUND** 

---

| | |
|:---|:---|
| **Schedule of investments (unaudited) (cont'd)** | **January 31, 2023** |

---

**EXCHANGE-TRADED WRITTEN OPTIONS - (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **SECURITY** | **SECURITY** | **EXPIRATION<br>DATE** | **STRIKE<br>PRICE** |  | **CONTRACTS** | **NOTIONAL<br>AMOUNT†** | **VALUE** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Long-Term Bonds Futures, Call | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Long-Term Bonds Futures, Call | 2/24/23 | $135.00 |  | 102 | 102000 | $(19125) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Long-Term Bonds Futures, Put | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Long-Term Bonds Futures, Put | 2/24/23 | 125.00 |  | 102 | 102000 | (20719) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Long-Term Bonds Futures, Put | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Long-Term Bonds Futures, Put | 2/24/23 | 129.00 |  | 103 | 103000 | (115875) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Long-Term Bonds Futures, Put | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Long-Term Bonds Futures, Put | 2/24/23 | 130.00 |  | 130 | 130000 | (205156) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL EXCHANGE-TRADED WRITTEN OPTIONS**<br> (Premiums received - $15,932,568) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL EXCHANGE-TRADED WRITTEN OPTIONS**<br> (Premiums received - $15,932,568) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL EXCHANGE-TRADED WRITTEN OPTIONS**<br> (Premiums received - $15,932,568) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL EXCHANGE-TRADED WRITTEN OPTIONS**<br> (Premiums received - $15,932,568) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL EXCHANGE-TRADED WRITTEN OPTIONS**<br> (Premiums received - $15,932,568) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL EXCHANGE-TRADED WRITTEN OPTIONS**<br> (Premiums received - $15,932,568) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL EXCHANGE-TRADED WRITTEN OPTIONS**<br> (Premiums received - $15,932,568) | $(5646279) |
| **OTC Written Options** |  |  |  |  |  |  |  |
|  | **COUNTERPARTY** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Dollar/Australian Dollar, Put | Morgan Stanley<br>& Co. Inc. | 3/29/23 | $0.70 |  | 5210000 | 5210000 | $(139743) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Dollar/Brazilian Real, Call | Morgan Stanley<br>& Co. Inc. | 3/2/23 | 5.29 | <sup>BRL</sup> | 5733973 | 5733973 | (42770) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Dollar/Brazilian Real, Call | Morgan Stanley<br>& Co. Inc. | 4/5/23 | 5.37 | <sup>BRL</sup> | 5130000 | 5130000 | (72688) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Dollar/Brazilian Real, Put | Morgan Stanley<br>& Co. Inc. | 3/2/23 | 5.29 | <sup>BRL</sup> | 5733973 | 5733973 | (251891) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Dollar/Brazilian Real, Put | Morgan Stanley<br>& Co. Inc. | 3/21/23 | 5.00 | <sup>BRL</sup> | 5340000 | 5340000 | (76895) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Dollar/Brazilian Real, Put | Morgan Stanley<br>& Co. Inc. | 4/5/23 | 5.37 | <sup>BRL</sup> | 5130000 | 5130000 | (299607) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Dollar/Chinese Yuan Renminbi, Call | JPMorgan<br>Chase & Co. | 2/6/23 | 7.27 | <sup>CNY</sup> | 11790000 | 11790000 | (2) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Dollar/Japanese Yen, Put | Bank of<br>America N.A. | 2/10/23 | 140.03 | <sup>JPY</sup> | 6100000 | 6100000 | (471099) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Dollar/Mexican Peso, Put | Morgan Stanley<br>& Co. Inc. | 3/6/23 | 19.25 | <sup>MXN</sup> | 5705938 | 5705938 | (128309) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL OTC WRITTEN OPTIONS**<br> (Premiums received - $1,296,813) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL OTC WRITTEN OPTIONS**<br> (Premiums received - $1,296,813) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL OTC WRITTEN OPTIONS**<br> (Premiums received - $1,296,813) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL OTC WRITTEN OPTIONS**<br> (Premiums received - $1,296,813) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL OTC WRITTEN OPTIONS**<br> (Premiums received - $1,296,813) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL OTC WRITTEN OPTIONS**<br> (Premiums received - $1,296,813) |  | $(1483004) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL WRITTEN OPTIONS**<br> (Premiums received - $17,229,381) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL WRITTEN OPTIONS**<br> (Premiums received - $17,229,381) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL WRITTEN OPTIONS**<br> (Premiums received - $17,229,381) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL WRITTEN OPTIONS**<br> (Premiums received - $17,229,381) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL WRITTEN OPTIONS**<br> (Premiums received - $17,229,381) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL WRITTEN OPTIONS**<br> (Premiums received - $17,229,381) |  | $(7129283) |

---

† Notional amount denominated in U.S. dollars, unless otherwise noted.

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

---

| | |
|:---|:---|
| BRL | — Brazilian Real |
| CNY | — Chinese Yuan Renminbi |
| EUR | — Euro |
| JPY | — Japanese Yen |
| MXN | — Mexican Peso |

---

**See Notes to Schedule of Investments.** 

Western Asset Macro Opportunities Fund 2023 Quarterly Report 21

------

**WESTERN ASSET MACRO OPPORTUNITIES FUND** 

---

| | |
|:---|:---|
| **Schedule of investments (unaudited) (cont'd)** | **January 31, 2023** |

---

At January 31, 2023, the Fund had the following open futures contracts:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Number of<br>Contracts** | **Expiration<br>Date** | **Notional<br>Amount** | **Market**<br>**Value** | **Unrealized<br>Appreciation<br>(Depreciation)** |
| **Contracts to Buy:** |  |  |  |  |  |
|  3-Month EURIBOR | 656 | 12/23 | $173031201 | $172212822 | $(818379) |
|  3-Month SOFR | 1118 | 12/23 | 266244545 | 266251700 | 7155 |
|  3-Month SOFR | 136 | 9/23 | 32823886 | 32335700 | (488186) |
|  90-Day Eurodollar | 43 | 3/23 | 10219099 | 10214113 | (4986) |
|  Australian Dollar | 570 | 3/23 | 39025022 | 40267650 | 1242628 |
|  British Pound | 260 | 3/23 | 20147172 | 20041125 | (106047) |
|  Canadian Dollar | 49 | 3/23 | 3618234 | 3683575 | 65341 |
|  Euro | 87 | 3/23 | 11852655 | 11845594 | (7061) |
|  Japanese Yen | 921 | 3/23 | 87321995 | 88916794 | 1594799 |
|  Mexican Peso | 1019 | 3/23 | 25938273 | 26855745 | 917472 |
|  U.S. Treasury 5-Year Notes | 3784 | 3/23 | 413923895 | 413372447 | (551448) |
|  U.S. Treasury 10-Year Notes | 3399 | 3/23 | 388851017 | 389238626 | 387609 |
|  U.S. Treasury Long-Term Bonds | 3152 | 3/23 | 406168090 | 409366000 | 3197910 |
|  U.S. Treasury Ultra Long- Term Bonds | 674 | 3/23 | 94151737 | 95539500 | 1387763 |
|  United Kingdom Long Gilt Bonds | 123 | 3/23 | 15985564 | 15847954 | (137610) |
|  |  |  |  |  | 6686960 |
| **Contracts to Sell:** |  |  |  |  |  |
|  30-Day Federal Funds | 268 | 2/23 | 106554765 | 106560858 | (6093) |
|  3-Month SOFR | 218 | 3/24 | 52095477 | 52093825 | 1652 |
|  Euro-Bund | 432 | 3/23 | 64201851 | 64257349 | (55498) |
|  Japanese 10-Year Bonds | 130 | 3/23 | 147590565 | 146374217 | 1216348 |
|  U.S. Treasury 2-Year Notes | 2760 | 3/23 | 568500962 | 567589689 | 911273 |
|  U.S. Treasury Ultra 10-Year Notes | 3370 | 3/23 | 402931770 | 408454548 | (5522778) |
|  |  |  |  |  | (3455096) |
|  **Net unrealized appreciation on open futures contracts** |  |  |  |  | $3231864 |

---

---

| | |
|:---|:---|
| <u>Abbreviation(s) used in this table:</u> | <u>Abbreviation(s) used in this table:</u> |
| EURIBOR | — Euro Interbank Offered Rate |
| SOFR | — Secured Overnight Financing Rate |

---

**See Notes to Schedule of Investments.** 

22 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Western Asset Macro Opportunities Fund 2023 Quarterly Report

------

**WESTERN ASSET MACRO OPPORTUNITIES FUND** 

---

| | |
|:---|:---|
| **Schedule of investments (unaudited) (cont'd)** | **January 31, 2023** |

---

At January 31, 2023, the Fund had the following open forward foreign currency contracts:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Currency**<br>**Purchased** | **Currency**<br>**Purchased** | **Currency**<br>**Sold** | **Currency**<br>**Sold** | **Counterparty** | **Settlement<br>Date** | **Unrealized**<br>**Appreciation<br>(Depreciation)** |
| CNH | 25260000 | USD | 3534320 | JPMorgan Chase & Co. | 2/8/23 | $206945 |
| USD | 3537320 | CNH | 25260000 | JPMorgan Chase & Co. | 2/8/23 | (203946) |
| KRW | 2449822000 | USD | 1925779 | Bank of America N.A. | 4/18/23 | 68979 |
| KRW | 3910844973 | USD | 3071304 | Bank of America N.A. | 4/18/23 | 113086 |
| USD | 11291022 | TWD | 343247065 | Bank of America N.A. | 4/18/23 | (233369) |
| EUR | 3150000 | USD | 3439958 | BNP Paribas SA | 4/18/23 | 1051 |
| EUR | 10474000 | USD | 11374083 | BNP Paribas SA | 4/18/23 | 67544 |
| USD | 66797 | EUR | 61711 | BNP Paribas SA | 4/18/23 | (615) |
| USD | 3720358 | EUR | 3413000 | BNP Paribas SA | 4/18/23 | (7948) |
| USD | 3796707 | EUR | 3491000 | BNP Paribas SA | 4/18/23 | (16805) |
| MXN | 177069920 | USD | 9097213 | Goldman Sachs Group Inc. | 4/18/23 | 174298 |
| USD | 1057826 | JPY | 135636000 | Goldman Sachs Group Inc. | 4/18/23 | 4516 |
| USD | 1083298 | JPY | 139388000 | Goldman Sachs Group Inc. | 4/18/23 | 851 |
| USD | 6884665 | JPY | 901065000 | Goldman Sachs Group Inc. | 4/18/23 | (112746) |
| USD | 43238789 | JPY | 5654984974 | Goldman Sachs Group Inc. | 4/18/23 | (676194) |
| USD | 27218496 | MXN | 538762916 | Goldman Sachs Group Inc. | 4/18/23 | (991527) |
| ZAR | 135848545 | USD | 7931141 | Goldman Sachs Group Inc. | 4/18/23 | (174550) |
| BRL | 2527458 | USD | 478438 | JPMorgan Chase & Co. | 4/18/23 | 12506 |
| BRL | 19061217 | USD | 3558986 | JPMorgan Chase & Co. | 4/18/23 | 143544 |
| CAD | 27693406 | USD | 20735581 | JPMorgan Chase & Co. | 4/18/23 | 91126 |
| CNH | 11102016 | USD | 1643657 | JPMorgan Chase & Co. | 4/18/23 | 7807 |
| CNH | 51951580 | USD | 7602006 | JPMorgan Chase & Co. | 4/18/23 | 125974 |
| CNH | 63310000 | USD | 9424567 | JPMorgan Chase & Co. | 4/18/23 | (6981) |
| IDR | 24187915972 | USD | 1554943 | JPMorgan Chase & Co. | 4/18/23 | 56467 |
| INR | 254675089 | USD | 3078984 | JPMorgan Chase & Co. | 4/18/23 | 13056 |
| INR | 857163540 | USD | 10291314 | JPMorgan Chase & Co. | 4/18/23 | 115608 |
| SGD | 3585990 | USD | 2704489 | JPMorgan Chase & Co. | 4/18/23 | 29565 |
| SGD | 6724000 | USD | 5013346 | JPMorgan Chase & Co. | 4/18/23 | 113209 |
| USD | 4390455 | BRL | 22788000 | JPMorgan Chase & Co. | 4/18/23 | (35980) |
| USD | 31362494 | CNH | 214671564 | JPMorgan Chase & Co. | 4/18/23 | (570657) |
| USD | 28879734 | CNY | 198100534 | JPMorgan Chase & Co. | 4/18/23 | (586533) |
| USD | 5310886 | COP | 25901192968 | JPMorgan Chase & Co. | 4/18/23 | (151944) |
| USD | 32735087 | IDR | 511526656600 | JPMorgan Chase & Co. | 4/18/23 | (1343062) |
| USD | 5170433 | KRW | 6360666973 | JPMorgan Chase & Co. | 4/18/23 | (8715) |
| AUD | 446539 | USD | 311355 | Morgan Stanley & Co. Inc. | 4/18/23 | 4770 |
| AUD | 886225 | USD | 626269 | Morgan Stanley & Co. Inc. | 4/18/23 | 1129 |
| AUD | 6464893 | USD | 4590727 | Morgan Stanley & Co. Inc. | 4/18/23 | (13943) |
| GBP | 465000 | USD | 565799 | Morgan Stanley & Co. Inc. | 4/18/23 | 8438 |

---

**See Notes to Schedule of Investments.** 

Western Asset Macro Opportunities Fund 2023 Quarterly Report 23

------

**WESTERN ASSET MACRO OPPORTUNITIES FUND** 

---

| | |
|:---|:---|
| **Schedule of investments (unaudited) (cont'd)** | **January 31, 2023** |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Currency**<br>**Purchased** | **Currency**<br>**Purchased** | **Currency**<br>**Sold** | **Currency**<br>**Sold** | **Counterparty** | **Settlement<br>Date** | **Unrealized**<br>**Appreciation<br>(Depreciation)** |
| JPY | 212350000 | USD | 1650428 | Morgan Stanley & Co. Inc. | 4/18/23 | $(1379) |
| MYR | 11297758 | USD | 2601072 | Morgan Stanley & Co. Inc. | 4/18/23 | 59458 |
| NOK | 11737746 | USD | 1177874 | Morgan Stanley & Co. Inc. | 4/18/23 | 2364 |
| USD | 7153101 | EUR | 6735030 | Morgan Stanley & Co. Inc. | 4/18/23 | (204136) |
| USD | 26105951 | GBP | 21372919 | Morgan Stanley & Co. Inc. | 4/18/23 | (287857) |
| USD | 14772401 | PLN | 65843544 | Morgan Stanley & Co. Inc. | 4/18/23 | (338803) |
| USD | 1379035 | RUB | 99980000 | Goldman Sachs Group Inc. | 9/20/23 | 84537 |
| Total |  |  |  |  |  | $(4460862) |

---

---

| | |
|:---|:---|
| <u>Abbreviation(s) used in this table:</u> | <u>Abbreviation(s) used in this table:</u> |
| AUD | — Australian Dollar |
| BRL | — Brazilian Real |
| CAD | — Canadian Dollar |
| CNH | — Chinese Offshore Yuan |
| CNY | — Chinese Yuan Renminbi |
| COP | — Colombian Peso |
| EUR | — Euro |
| GBP | — British Pound |
| IDR | — Indonesian Rupiah |
| INR | — Indian Rupee |
| JPY | — Japanese Yen |
| KRW | — South Korean Won |
| MXN | — Mexican Peso |
| MYR | — Malaysian Ringgit |
| NOK | — Norwegian Krone |
| PLN | — Polish Zloty |
| RUB | — Russian Ruble |
| SGD | — Singapore Dollar |
| TWD | — Taiwan Dollar |
| USD | — United States Dollar |
| ZAR | — South African Rand |

---

**See Notes to Schedule of Investments.** 

24 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Western Asset Macro Opportunities Fund 2023 Quarterly Report

------

**WESTERN ASSET MACRO OPPORTUNITIES FUND** 

---

| | |
|:---|:---|
| **Schedule of investments (unaudited) (cont'd)** | **January 31, 2023** |

---

At January 31, 2023, the Fund had the following open swap contracts:

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **OTC INTEREST RATE SWAPS** | **OTC INTEREST RATE SWAPS** | **OTC INTEREST RATE SWAPS** | **OTC INTEREST RATE SWAPS** | **OTC INTEREST RATE SWAPS** | **OTC INTEREST RATE SWAPS** | **OTC INTEREST RATE SWAPS** | **OTC INTEREST RATE SWAPS** | **OTC INTEREST RATE SWAPS** |
| **SWAP COUNTERPARTY** | **NOTIONAL**<br>**AMOUNT\*** |  | **TERMINATION**<br>**DATE** | **PAYMENTS**<br>**MADE BY**<br>**THE FUND†<sup></sup>** | **PAYMENTS**<br>**RECEIVED BY**<br>**THE FUND†** | **MARKET<br>VALUE** | **UPFRONT**<br>**PREMIUMS PAID**<br>**(RECEIVED)** | **UNREALIZED**<br>**APPRECIATION**<br>**(DEPRECIATION)** |
| Bank of America N.A. | 122898368 | <sup>BRL</sup> | 1/4/27 | BRL-CDI\*\* | 11.993%\*\* | $(521700) |  | $(521700) |
| BNP Paribas SA | 142015300 | <sup>BRL</sup> | 1/2/29 | BRL-CDI\*\* | 12.610%\*\* | (149098) |  | (149098) |
| JPMorgan Chase & Co. | 4588200 | <sup>BRL</sup> | 1/2/29 | BRL-CDI\*\* | 12.893%\*\* | 2196 |  | 2196 |
| Total |  |  |  |  |  | $(668602) |  | $(668602) |

---

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **CENTRALLY CLEARED INTEREST RATE SWAPS** | **CENTRALLY CLEARED INTEREST RATE SWAPS** | **CENTRALLY CLEARED INTEREST RATE SWAPS** | **CENTRALLY CLEARED INTEREST RATE SWAPS** | **CENTRALLY CLEARED INTEREST RATE SWAPS** | **CENTRALLY CLEARED INTEREST RATE SWAPS** | **CENTRALLY CLEARED INTEREST RATE SWAPS** | **CENTRALLY CLEARED INTEREST RATE SWAPS** |
| **NOTIONAL**<br>**AMOUNT\*** |  | **TERMINATION<br>DATE** | **PAYMENTS**<br> **MADE BY**<br> **THE FUND†** | **PAYMENTS<br>RECEIVED BY<br>THE FUND†** | **MARKET**<br>**VALUE** | **UPFRONT<br>PREMIUMS PAID<br>(RECEIVED)** | **UNREALIZED**<br>**APPRECIATION**<br>**(DEPRECIATION)** |
| 144900000 |  | 6/4/24 | Daily SOFR Compound\*\* | 4.600%\*\* | $(38757) | $4508 | $(43265) |
| 538736000 |  | 3/1/25 | Daily SOFR Compound annually | 3.550%<br>annually | 225996 | (31766) | 257762 |
| 200460000 |  | 6/21/25 | Daily SOFR Compound annually | 3.400%<br>annually | 450556 | (12510) | 463066 |
| 170428000 |  | 10/13/25 | Daily SOFR Compound\*\* | 1.396%\*\* | (2459933) |  | (2459933) |
| 10560000 | <sup>GBP</sup> | 10/15/26 | UKRPI\*\* | 4.500%\*\* | (1104388) | (363067) | (741321) |
| 111986000 |  | 4/30/29 | 3.270% annually | Daily SOFR<br>Compound<br>annually | 337249 | (55430) | 392679 |
| 65315000 |  | 6/30/29 | 3.850% annually | Daily SOFR<br>Compound<br>annually | (1997892) | (17521) | (1980371) |
| 12579000 |  | 3/18/32 | 2.000% annually | Daily SOFR<br>Compound<br>annually | 1220992 | 101962 | 1119030 |
| 95948000 |  | 5/15/32 | 3.220% annually | Daily SOFR<br>Compound<br>annually | 50079 | 2390186 | (2340107) |
| 228101667 | <sup>MXN</sup> | 10/25/32 | 28-Day MXN TIIE - Banxico every 28 days | 9.260%<br>every 28<br>days | 683795 |  | 683795 |
| 7341000 |  | 8/15/47 | 1.650% annually | Daily SOFR<br>Compound<br>annually | 1812954 | 738023 | 1074931 |

---

**See Notes to Schedule of Investments.** 

Western Asset Macro Opportunities Fund 2023 Quarterly Report 25

------

**WESTERN ASSET MACRO OPPORTUNITIES FUND** 

---

| | |
|:---|:---|
| **Schedule of investments (unaudited) (cont'd)** | **January 31, 2023** |

---

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **CENTRALLY CLEARED INTEREST RATE SWAPS (cont'd)** | **CENTRALLY CLEARED INTEREST RATE SWAPS (cont'd)** | **CENTRALLY CLEARED INTEREST RATE SWAPS (cont'd)** | **CENTRALLY CLEARED INTEREST RATE SWAPS (cont'd)** | **CENTRALLY CLEARED INTEREST RATE SWAPS (cont'd)** | **CENTRALLY CLEARED INTEREST RATE SWAPS (cont'd)** | **CENTRALLY CLEARED INTEREST RATE SWAPS (cont'd)** | **CENTRALLY CLEARED INTEREST RATE SWAPS (cont'd)** |
|  | **NOTIONAL**<br>**AMOUNT\*** | **TERMINATION<br>DATE** | **PAYMENTS**<br> **MADE BY**<br> **THE FUND†** | **PAYMENTS<br>RECEIVED BY<br>THE FUND†** | **MARKET**<br>**VALUE** | **UPFRONT<br>PREMIUMS PAID<br>(RECEIVED)** | **UNREALIZED**<br>**APPRECIATION**<br>**(DEPRECIATION)** |
|  | 63279000 | 2/15/48 | 2.600% annually | Daily SOFR<br>Compound<br>annually | $5392874 | $3152470 | $2240404 |
|  | 23407000 | 2/15/48 | 2.620% annually | Daily SOFR<br>Compound<br>annually | 1914647 | (479630) | 2394277 |
|  | 9268000 | 5/15/48 | 3.150% annually | Daily SOFR<br>Compound<br>annually | (121942) | (2767324) | 2645382 |
|  | 10840000 | 4/21/52 | 2.500% annually | Daily SOFR<br>Compound<br>annually | 1054144 | 22058 | 1032086 |
|  Total |  |  |  |  | $7420374 | $2681959 | $4738415 |

---

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION<sup>1</sup>** | **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION<sup>1</sup>** | **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION<sup>1</sup>** | **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION<sup>1</sup>** | **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION<sup>1</sup>** | **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION<sup>1</sup>** | **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION<sup>1</sup>** | **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION<sup>1</sup>** |
| **REFERENCE ENTITY** | **NOTIONAL<br>AMOUNT<sup>2</sup>** | **TERMINATION<br>DATE** | **IMPLIED<br>CREDIT<br>SPREAD AT<br>JANUARY 31,<br>2023<sup>3</sup>** | **PERIODIC<br>PAYMENTS<br>RECEIVED BY<br>THE FUND†** | **MARKET<br>VALUE** | **UPFRONT<br>PREMIUMS PAID<br>(RECEIVED)** | **UNREALIZED**<br>**APPRECIATION** |
| Teva Pharmaceutical Finance Netherlands III BV, 3.150%, due 10/1/26 | $3270000 | 6/20/26 | 2.398% | 1.000% quarterly | $(137477) | $(218171) | $80694 |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION<sup>1</sup>** | **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION<sup>1</sup>** | **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION<sup>1</sup>** | **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION<sup>1</sup>** | **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION<sup>1</sup>** | **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION<sup>1</sup>** | **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION<sup>1</sup>** |
| **REFERENCE ENTITY** | **NOTIONAL<br>AMOUNT<sup>2</sup>** | **TERMINATION<br>DATE** | **PERIODIC<br>PAYMENTS<br>RECEIVED BY<br>THE FUND†** | **MARKET<br>VALUE<sup>4</sup>** | **UPFRONT<br>PREMIUMS PAID<br>(RECEIVED)** | **UNREALIZED**<br>**APPRECIATION** |
|  Markit CDX.NA.IG.39 Index | $158670000 | 12/20/27 | 1.000% quarterly | $1990306 | $539340 | $1450966 |

---

**See Notes to Schedule of Investments.** 

26 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Western Asset Macro Opportunities Fund 2023 Quarterly Report

------

**WESTERN ASSET MACRO OPPORTUNITIES FUND** 

---

| | |
|:---|:---|
| **Schedule of investments (unaudited) (cont'd)** | **January 31, 2023** |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — BUY PROTECTION<sup>5</sup>** | **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — BUY PROTECTION<sup>5</sup>** | **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — BUY PROTECTION<sup>5</sup>** | **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — BUY PROTECTION<sup>5</sup>** | **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — BUY PROTECTION<sup>5</sup>** | **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — BUY PROTECTION<sup>5</sup>** | **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — BUY PROTECTION<sup>5</sup>** |
| **REFERENCE ENTITY** | **NOTIONAL<br>AMOUNT<sup>2</sup>** | **TERMINATION<br>DATE** | **PERIODIC<br>PAYMENTS<br>MADE BY<br>THE FUND†** | **MARKET<br>VALUE<sup>4</sup>** | **UPFRONT<br>PREMIUMS PAID<br>(RECEIVED)** | **UNREALIZED**<br>**DEPRECIATION** |
|  Markit CDX.NA.HY.39 Index | $17802600 | 12/20/27 | 5.000% quarterly | $(491246) | $(184106) | $(307140) |

---

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

<sup>2</sup> The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. 

<sup>3</sup> Implied credit spreads, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end, serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as "Defaulted" indicates a credit event has occurred for the referenced entity or obligation. 

<sup>4</sup> The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected loss (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period end. Decreasing market values (sell protection) or increasing market values (buy protection) when compared to the notional amount of the swap, represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. 

<sup>5</sup> If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or the underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or the underlying securities comprising the referenced index. 

† Percentage shown is an annual percentage rate.

\* Notional amount denominated in U.S. dollars, unless otherwise noted. 

\*\* One time payment made at termination date.

**See Notes to Schedule of Investments.** 

Western Asset Macro Opportunities Fund 2023 Quarterly Report 27

------

**WESTERN ASSET MACRO OPPORTUNITIES FUND** 

---

| | |
|:---|:---|
| **Schedule of investments (unaudited) (cont'd)** | **January 31, 2023** |

---

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

---

| | |
|:---|:---|
| BRL | — Brazilian Real |
| BRL-CDI | — Brazil Cetip InterBank Deposit Rate |
| GBP | — British Pound |
| MXN | — Mexican Peso |
| SOFR | — Secured Overnight Financing Rate |
| TIIE | — Tasa de Intere's Interbancaria de Equilibrio (Equilibrium Interbanking Interest Rate) |
| UKRPI | — United Kingdom Retail Price Index |

---

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

**See Notes to Schedule of Investments.** 

28 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Western Asset Macro Opportunities Fund 2023 Quarterly Report

------

**Notes to Schedule of Investments (unaudited)** 

**1. Organization and significant accounting policies** 

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

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

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

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

<br>29<br>

------

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

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

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

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

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

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

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

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

<br>30<br>

------

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

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

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

---

| | | | | |
|:---|:---|:---|:---|:---|
| **ASSETS** | **ASSETS** | **ASSETS** | **ASSETS** | **ASSETS** |
| **DESCRIPTION** | **QUOTED PRICES<br>(LEVEL 1)** | **OTHER SIGNIFICANT<br>OBSERVABLE INPUTS<br>(LEVEL 2)** | **SIGNIFICANT<br>UNOBSERVABLE<br>INPUTS**<br>**(LEVEL 3)** | **TOTAL** |
|  Long-Term Investments†: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Corporate Bonds & Notes: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Financials |  | $41424867 | $1802941 | $43227808 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Other Corporate Bonds & Notes |  | 129116483 |  | 129116483 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Sovereign Bonds |  | 134885589 |  | 134885589 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Collateralized Mortgage Obligations |  | 44924998 |  | 44924998 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Asset-Backed Securities |  | 37710682 |  | 37710682 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Government & Agency Obligations |  | 23652658 |  | 23652658 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Senior Loans |  | 10288078 |  | 10288078 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Convertible Bonds & Notes |  | 3395413 |  | 3395413 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Municipal Bonds |  | 2576905 |  | 2576905 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Purchased Options: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Exchange-Traded Purchased Options | $2111119 |  |  | 2111119 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; OTC Purchased Options |  | 60220 |  | 60220 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Common Stocks | 931354 |  |  | 931354 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Warrants | 12649 |  |  | 12649 |
|  Total Long-Term Investments | 3055122 | 428035893 | 1802941 | 432893956 |
|  Short-Term Investments† | 22364948 |  |  | 22364948 |
|  Total Investments | $25420070 | $428035893 | $1802941 | $455258904 |

---

<br>31<br>

------

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

---

| | | | | |
|:---|:---|:---|:---|:---|
| **ASSETS (CONT'D)** | **ASSETS (CONT'D)** | **ASSETS (CONT'D)** | **ASSETS (CONT'D)** | **ASSETS (CONT'D)** |
| **DESCRIPTION** | **QUOTED PRICES<br>(LEVEL 1)** | **OTHER SIGNIFICANT<br>OBSERVABLE INPUTS<br>(LEVEL 2)** | **SIGNIFICANT<br>UNOBSERVABLE<br>INPUTS**<br>**(LEVEL 3)** | **TOTAL** |
|  Other Financial Instruments: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts†† | $10929950 |  |  | $10929950 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward Foreign Currency Contracts†† |  | $1506828 |  | 1506828 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; OTC Interest Rate Swaps |  | 2196 |  | 2196 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Centrally Cleared Interest Rate Swaps†† |  | 12303412 |  | 12303412 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Centrally Cleared Credit Default Swaps on Corporate Issues - Sell Protection†† |  | 80694 |  | 80694 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Centrally Cleared Credit Default Swaps on Credit Indices - Sell Protection†† |  | 1450966 |  | 1450966 |
|  Total Other Financial Instruments | $10929950 | $15344096 |  | $26274046 |
|  Total | $36350020 | $443379989 | $1802941 | $481532950 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **LIABILITIES** | **LIABILITIES** | **LIABILITIES** | **LIABILITIES** | **LIABILITIES** |
| **DESCRIPTION** | **QUOTED PRICES<br>(LEVEL 1)** | **OTHER SIGNIFICANT<br>OBSERVABLE INPUTS<br>(LEVEL 2)** | **SIGNIFICANT<br>UNOBSERVABLE<br>INPUTS**<br>**(LEVEL 3)** | **TOTAL** |
|  Other Financial Instruments: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Written Options: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Exchange-Traded Written Options | $5646279 |  |  | $5646279 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; OTC Written Options |  | $1483004 |  | 1483004 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts†† | 7698086 |  |  | 7698086 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward Foreign Currency Contracts†† |  | 5967690 |  | 5967690 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; OTC Interest Rate Swaps |  | 670798 |  | 670798 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Centrally Cleared Interest Rate Swaps†† |  | 7564997 |  | 7564997 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Centrally Cleared Credit Default Swaps on Credit Indices — Buy Protection†† |  | 307140 |  | 307140 |
|  Total | $13344365 | $15993629 |  | $29337994 |

---

† See Schedule of Investments for additional detailed categorizations.

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

<br>32<br>

------

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

**2. Transactions with affiliated company** 

As defined by the 1940 Act, an affiliated company is one in which the Fund owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control with the Fund. The following company was considered an affiliated company for all or some portion of the period ended January 31, 2023. The following transactions were effected in such company for the period ended January 31, 2023.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Affiliate<br>Value at**<br>**October 31,**<br>**2022** | **Purchased** | **Purchased** | **Sold** | **Sold** |
|  | **Affiliate<br>Value at**<br>**October 31,**<br>**2022** | **Cost** | **Shares** | **Proceeds** | **Shares** |
|  Western Asset Premier Institutional Government Reserves, Premium Shares | $12836917 | $149914175 | 149914175 | $140386144 | 140386144 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **(cont'd)** | **Realized<br>Gain (Loss)** | **Dividend<br>Income** | **Net Increase<br>(Decrease) in<br>Unrealized<br>Appreciation<br>(Depreciation)** | **Affiliate**<br>**Value at<br>January 31,<br>2023** |
|  Western Asset Premier Institutional Government Reserves, Premium Shares | – $| 134393 | – $| 22364948 |

---

<br>33<br>

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10018

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

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

- **a. Name of Series:** Western Asset Macro Opportunities Fund

- **b. EDGAR series identifier (if any):** S000041845

- **c. LEI of Series:** 549300ZYUVHGM1KPPY53

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

- **a. Date of fiscal year-end:** 2023-10-31

- **b. Date as of which information is reported:** 2023-01-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $554522641.34

**Total Liabilities:** $16118958.90

**Net Assets:** $538403682.44

**Cash Not Reported:** $33095918.42

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 10315.57000000 | **1-Year:** 170739.29000000 | **5-Year:** 26784.22000000 | **10-Year:** -142878.57000000 | **30-Year:** -76180.44000000

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

- **3-Month:** 77.06000000 | **1-Year:** 12022.60000000 | **5-Year:** 50335.67000000 | **10-Year:** 26984.10000000 | **30-Year:** 2282.88000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000129906 | 8.19%                | -0.11%               | 7.24%                |
| Class ID C000129909 | 8.20%                | 0.00%                | 7.35%                |
| Class ID C000129907 | 8.26%                | -0.11%               | 7.31%                |
| Class ID C000129908 | 8.23%                | -0.11%               | 7.39%                |
| Class ID C000129905 | 8.25%                | -0.11%               | 7.30%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-9425456.01             | $25138219.22                               |
| Month 2  | $-810551.52              | $-5431870.42                               |
| Month 3  | $-2870366.25             | $19081833.85                               |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                   | US TREASURY LONG BOND                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         -102 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EGYPT GOVERNMENT BOND                                                         | Egypt Government Bond                                                      | CUSIP: 000000000<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |      3500000 | PA      | $111672.62    | 0.02%             | 2024-05-30      | Fixed         | 18.40%                | 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        |       110000 | PA      | $93654.55     | 0.02%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                                       | MXN/USD FORWARD                                                            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-991526.58   | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                                             | EURO-BUND                                                                  | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |          -78 | NC      | $-181744.86   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                              | AUDUSD EURO CURRENCY 9AM                                                   | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |          -78 | NC      | $-170040.00   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| INTESA SANPAOLO SPA                                                           | Intesa Sanpaolo SpA                                                        | CUSIP: 46115HAW7<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |       210000 | PA      | $206466.69    | 0.04%             | 2026-01-15      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                                          | Las Vegas Sands Corp                                                       | CUSIP: 517834AE7<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |       240000 | PA      | $223742.67    | 0.04%             | 2026-08-18      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                              | CME 3 Month Eurodollar                                                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          696 | NC      | $-1061622.93  | -0.20%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                                      | BRL CALL VERSUS USD PUT                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |     -5340000 | NC      | $-76894.95    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                                          | Las Vegas Sands Corp                                                       | CUSIP: 517834AH0<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |       130000 | PA      | $121778.98    | 0.02%             | 2025-06-25      | 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        |         -182 | NC      | $-31281.25    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| NOTA DO TESOURO NACIONAL                                                      | Brazil Notas do Tesouro Nacional Serie F                                   | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |     38024000 | PA      | $6428132.18   | 1.19%             | 2031-01-01      | Fixed         | 10.00%                | 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      | $206945.05    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| EG ACQUISITION CORP-A                                                         | EG ACQUISITION CORP-A -CW28                                                | CUSIP: 26846A118<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        70273 | NS      | $12649.14     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Caesars Resort Collection LLC                                                 | Caesars Resort Collection LLC                                              | CUSIP: 12769LAB5<br>LEI: 549300V3UCT773B1KR38 | Long             | LON              | CORP              | US        |       886633 | PA      | $886991.92    | 0.16%             | 2024-12-23      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                              | Fannie Mae Connecticut Avenue Securities                                   | CUSIP: 30711XNW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |      3880000 | PA      | $3978083.30   | 0.74%             | 2030-01-25      | Floating      | 8.11%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                              | EURO CURRENCY 9AM                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |         -106 | NC      | $-74200.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| THE VANGUARD GROUP INC                                                        | THE VANGUARD GROUP INC                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2610000 | PA      | $1802940.65   | 0.33%             | 2050-08-22      | Fixed         | 3.05%                 | No            |                  3 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                              | CME Euro Foreign Exchange Currency                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |           74 | NC      | $-9060.00     | -0.00%            |  |  |  | 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        |          104 | NC      | $81250.00     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                              | JPN YEN CURRENCY 9AM                                                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |          -81 | NC      | $-85050.00    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| XPO CNW INC                                                                   | XPO CNW Inc                                                                | CUSIP: 12612WAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1510000 | PA      | $1364070.01   | 0.25%             | 2034-05-01      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                                | Amazon.com Inc                                                             | CUSIP: 023135BJ4<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |      4500000 | PA      | $4090169.97   | 0.76%             | 2047-08-22      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                                      | USD/MYR FORWARD                                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |            1 | NC      | $59458.44     | 0.01%             |  |  |  | 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        |         -258 | NC      | $-2015.76     | -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        |          718 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                                                          | Indonesia Treasury Bond                                                    | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |   6456000000 | PA      | $488459.50    | 0.09%             | 2039-04-15      | Fixed         | 8.38%                 | 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        |         -312 | NC      | $-78000.00    | -0.01%            |  |  |  | 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        |           76 | NC      | $79562.50     | 0.01%             |  |  |  | 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        |         -551 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES                                                       | Royal Caribbean Cruises Ltd                                                | CUSIP: 780153BJ0<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |       650000 | PA      | $582563.48    | 0.11%             | 2026-08-31      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMER PIPELINE                                                      | Plains All American Pipeline LP / PAA Finance Corp                         | CUSIP: 72650RAM4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       560000 | PA      | $577152.44    | 0.11%             | 2036-05-15      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                                      | Western Midstream Operating LP                                             | CUSIP: 958254AL8<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |       890000 | PA      | $774170.95    | 0.14%             | 2048-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| IVORY COAST                                                                   | Ivory Coast Government International Bond                                  | CUSIP: 000000000<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |      2150000 | PA      | $1840914.58   | 0.34%             | 2032-01-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                                      | AUD CALL VERSUS USD PUT                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |     -5210000 | NC      | $-139743.11   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| DETROIT MI                                                                    | City of Detroit MI                                                         | CUSIP: 251093S84<br>LEI: 549300BQRJP7MKKHOY28 | Long             | DBT              | MUN               | US        |       820000 | PA      | $619248.58    | 0.12%             | 2044-04-01      | Variable      | 4.00%                 | 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      | $56467.48     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                              | CANADIAN DOLLAR CURRENCY 9AM                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |          -26 | NC      | $-910.00      | -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        |        96506 | PA      | $24724.82     | 0.00%             | 2048-08-12      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                                                | WaMu Mortgage Pass-Through Certificates Series 2005-AR17 Trust             | CUSIP: 92922F7W2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1316892 | PA      | $845080.46    | 0.16%             | 2045-12-25      | Floating      | 5.47%                 | 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        |         -116 | NC      | $-81562.51    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| H&E EQUIPMENT SERVICES                                                        | H&E Equipment Services Inc                                                 | CUSIP: 404030AJ7<br>LEI: 254900KVLRCDMQRYY541 | Long             | DBT              | CORP              | US        |       110000 | PA      | $96955.65     | 0.02%             | 2028-12-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AM                                                       | United Rentals North America Inc                                           | CUSIP: 911363AM1<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |      1310000 | PA      | $1154676.84   | 0.21%             | 2031-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| DISH NETWORK CORP                                                             | DISH Network Corp                                                          | CUSIP: 25470MAD1<br>LEI: 529900U350CWHH15G169 | Long             | DBT              | CORP              | US        |      4050000 | PA      | $3767512.50   | 0.70%             | 2024-03-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                                            | Long Gilt                                                                  | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |          123 | NC      | $-137610.40   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION                                         | JPY CALL VERSUS USD PUT                                                    | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |     -6100000 | NC      | $-471099.53   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                                                       | Mexican Bonos                                                              | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    163030000 | PA      | $7984794.78   | 1.48%             | 2047-11-07      | Fixed         | 8.00%                 | 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        |          -52 | NC      | $0.00         | 0.00%             |  |  |  | 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        |      1032000 | PA      | $970868.34    | 0.18%             | 2032-11-15      | Floating      | 8.91%                 | 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        |          103 | NC      | $54718.75     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION                                     | USD CALL VERSUS CNY PUT                                                    | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |    -11790000 | NC      | $-1.91        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                                               | CDS TEVA PHARMACEUT FIN BV                                                 | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |            1 | NC      | $-133571.51   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                      | Ford Motor Credit Co LLC                                                   | CUSIP: 345397B93<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |       200000 | PA      | $167091.82    | 0.03%             | 2029-02-10      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                              | CANADIAN DOLLAR CURRENCY 9AM                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |           52 | NC      | $25480.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                                      | USD/NOK FORWARD                                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |            1 | NC      | $2364.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                   | US 5 YEAR TREASURY NOTE                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         -303 | NC      | $-2367.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                                      | Western Midstream Operating LP                                             | CUSIP: 958667AA5<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |      6090000 | PA      | $5289987.15   | 0.98%             | 2050-02-01      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                                             | EURO-BUND                                                                  | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |         -156 | NC      | $-266346.03   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| YAMANA GOLD INC                                                               | Yamana Gold Inc                                                            | CUSIP: 98462YAD2<br>LEI: 54930002VY22NXG01418 | Long             | DBT              | CORP              | CA        |       780000 | PA      | $746107.33    | 0.14%             | 2027-12-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                                    | CAD/USD FORWARD                                                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |            1 | NC      | $91125.71     | 0.02%             |  |  |  | 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        |         -310 | NC      | $-72656.26    | -0.01%            |  |  |  | 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        |           52 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                                                           | United Airlines Inc                                                        | CUSIP: 90932LAH0<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |      1220000 | PA      | $1114683.77   | 0.21%             | 2029-04-15      | 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        |          -52 | NC      | $-58500.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                              | AUDUSD EURO CURRENCY 9AM                                                   | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |          -52 | NC      | $-17160.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| IVORY COAST                                                                   | Ivory Coast Government International Bond                                  | CUSIP: 000000000<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |      2150000 | PA      | $1915245.80   | 0.36%             | 2033-06-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                                        | Sequoia Mortgage Trust 2004-3                                              | CUSIP: 81744FBA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       192978 | PA      | $186413.18    | 0.03%             | 2034-05-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                                  | EUR/USD FORWARD                                                            | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-25367.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                                          | Glencore Funding LLC                                                       | CUSIP: 378272AF5<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |       150000 | PA      | $149518.92    | 0.03%             | 2023-05-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust                                                 | MHC Trust 2021-MHC2                                                        | CUSIP: 55293AAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       850000 | PA      | $818419.61    | 0.15%             | 2038-05-15      | Floating      | 6.41%                 | 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        |         -104 | NC      | $0.00         | 0.00%             |  |  |  | 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      | $-170640.00   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae - CAS                                                              | Fannie Mae Connecticut Avenue Securities                                   | CUSIP: 30711XYW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |      5280000 | PA      | $5424142.94   | 1.01%             | 2030-07-25      | Floating      | 8.06%                 | 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        |         -370 | NC      | $-138750.00   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                                      | Occidental Petroleum Corp                                                  | CUSIP: 674599DJ1<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |       980000 | PA      | $991406.90    | 0.18%             | 2040-03-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Bank of America, National Association                                         | USD/KRW FORWARD                                                            | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |            1 | NC      | $182064.92    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                              | JPN YEN CURRENCY 9AM                                                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |          -26 | NC      | $-20475.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                                  | USD/EUR FORWARD                                                            | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |            1 | NC      | $68594.74     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                               | United States Treasury Note/Bond                                           | CUSIP: 912810RM2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       972000 | PA      | $856347.18    | 0.16%             | 2045-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                              | CANADIAN DOLLAR CURRENCY 9AM                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |          -26 | NC      | $-31460.00    | -0.01%            |  |  |  | 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        |          -51 | NC      | $-57375.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| OSAKA EXCHANGE,INC                                                            | TSE Japanese 10 Year Bond                                                  | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              | CORP              | JP        |         -130 | NC      | $1216348.45   | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| APACHE CORP                                                                   | Apache Corp                                                                | CUSIP: 037411AR6<br>LEI: 72ZZ1XRHOOU9P9X16K08 | Long             | DBT              | CORP              | US        |       410000 | PA      | $388844.00    | 0.07%             | 2037-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                                                | J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-PHMZ           | CUSIP: 46650BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10570000 | PA      | $105.70       | 0.00%             | 2035-06-15      | Floating      | 12.97%                | No            |                  2 | On Loan: No      |
| Hilton Worldwide Finance LLC                                                  | Hilton Worldwide Finance LLC                                               | CUSIP: 43289DAH6<br>LEI: 549300406TN7EY0NPH20 | Long             | LON              | CORP              | US        |       159506 | PA      | $159497.81    | 0.03%             | 2026-06-22      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                 | Citigroup Inc                                                              | CUSIP: 172967HQ7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       880000 | PA      | $869000.00    | 0.16%             | N/A             | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| RUSSIA GOVT BOND - OFZ                                                        | Russian Federal Bond - OFZ                                                 | CUSIP: 000000000<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    935800000 | PA      | $1999252.26   | 0.37%             | 2034-05-10      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                                    | INR/USD FORWARD                                                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |            1 | NC      | $128663.94    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | Credit Suisse Group AG                                                     | CUSIP: 225433AF8<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |       530000 | PA      | $439533.07    | 0.08%             | 2045-05-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                              | JPN YEN CURRENCY 9AM                                                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |         -154 | NC      | $-115500.00   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| CONTINENTAL RESOURCES                                                         | Continental Resources Inc/OK                                               | CUSIP: 212015AQ4<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |       240000 | PA      | $193035.54    | 0.04%             | 2044-06-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| BERRY PETROLEUM CO LLC                                                        | Berry Petroleum Co LLC                                                     | CUSIP: 08580BAA4<br>LEI: DQ2XTZKV7SILNNV77403 | Long             | DBT              | CORP              | US        |       780000 | PA      | $747878.71    | 0.14%             | 2026-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| SPRINT CAPITAL CORP                                                           | Sprint Capital Corp                                                        | CUSIP: 852060AT9<br>LEI: 549300L17W0GQBR1PO80 | Long             | DBT              | CORP              | US        |       250000 | PA      | $309087.50    | 0.06%             | 2032-03-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                              | AUDUSD EURO CURRENCY 9AM                                                   | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |          -52 | NC      | $-89440.00    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                              | CME 3 Month Eurodollar                                                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           43 | NC      | $-4986.39     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                                      | Occidental Petroleum Corp                                                  | CUSIP: 674599ED3<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |      2270000 | PA      | $2412573.03   | 0.45%             | 2030-09-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                                  | GS Mortgage Securities Corp II                                             | CUSIP: 36255TAL6<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |      7585008 | PA      | $3221603.38   | 0.60%             | 2031-09-15      | Floating      | 8.71%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                                                          | Indonesia Treasury Bond                                                    | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 258401000000 | PA      | $18717609.99  | 3.48%             | 2029-05-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Pro                                                | RAMP Series 2006-RZ3 Trust                                                 | CUSIP: 75156MAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1064438 | PA      | $1031242.46   | 0.19%             | 2036-08-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                                                          | Indonesia Treasury Bond                                                    | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |    576000000 | PA      | $39367.04     | 0.01%             | 2048-05-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA INSTITUTE OF                                                       | California Institute of Technology                                         | CUSIP: 13034VAD6<br>LEI: 549300CITPNHOTVPHC04 | Long             | DBT              | CORP              | US        |       990000 | PA      | $705688.34    | 0.13%             | 2119-09-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                                       | JPY/USD FORWARD                                                            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-783572.25   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| APACHE CORP                                                                   | Apache Corp                                                                | CUSIP: 03746AAA8<br>LEI: 72ZZ1XRHOOU9P9X16K08 | Long             | DBT              | CORP              | US        |       190000 | PA      | $202288.99    | 0.04%             | 2029-12-15      | Fixed         | 7.75%                 | 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        |          -98 | NC      | $-22968.76    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Bank of America, National Association                                         | TWD/USD FORWARD                                                            | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-233368.92   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                              | CME Japanese Yen Currency                                                  | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |          921 | NC      | $1594798.90   | 0.30%             |  |  |  | No            |                  1 | On Loan: No      |
| APACHE CORP                                                                   | Apache Corp                                                                | CUSIP: 037411AY1<br>LEI: 72ZZ1XRHOOU9P9X16K08 | Long             | DBT              | CORP              | US        |      1210000 | PA      | $1017718.90   | 0.19%             | 2042-02-01      | Fixed         | 5.25%                 | 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       |       890000 | PA      | $730138.20    | 0.14%             | 2027-08-15      | Fixed         | 5.25%                 | 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        |          130 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DIGNITY HEALTH                                                                | Dignity Health                                                             | CUSIP: 254010AE1<br>LEI: TFVG45LTYVO3XKPZWP18 | Long             | DBT              | CORP              | US        |       760000 | PA      | $730505.71    | 0.14%             | 2064-11-01      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ANGOLA                                                            | Angolan Government International Bond                                      | CUSIP: 035198AF7<br>LEI: 549300QHR2R3J8JSGK83 | Long             | DBT              | NUSS              | AO        |       400000 | PA      | $371234.00    | 0.07%             | 2032-04-14      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                              | IMM EURODOLLAR TIME DEPOSIT                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        -6665 | NC      | $-291593.75   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| TIME WARNER CABLE LLC                                                         | Time Warner Cable LLC                                                      | CUSIP: 88732JAN8<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |       190000 | PA      | $204041.36    | 0.04%             | 2038-07-01      | Fixed         | 7.30%                 | 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        |         -306 | NC      | $-251015.79   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                              | IMM EURODOLLAR TIME DEPOSIT                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         4430 | NC      | $415312.50    | 0.08%             |  |  |  | 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        |         -465 | NC      | $-72656.25    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Virgin Media Bristol LLC                                                      | Virgin Media Bristol LLC                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       360000 | PA      | $358651.80    | 0.07%             | 2028-01-31      | Floating      | 6.96%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                                             | EURO-BUND                                                                  | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |         -441 | NC      | $-300348.11   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| XPO INC                                                                       | XPO Inc                                                                    | CUSIP: 983793AH3<br>LEI: 54930096DB9LCLPN7H13 | Long             | DBT              | CORP              | US        |        36000 | PA      | $36368.16     | 0.01%             | 2025-05-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                              | JPN YEN CURRENCY 9AM                                                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |         -288 | NC      | $-32400.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| INTESA SANPAOLO SPA                                                           | Intesa Sanpaolo SpA                                                        | CUSIP: 46115HAT4<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |       200000 | PA      | $195186.21    | 0.04%             | 2024-06-26      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                              | IRS USD                                                                    | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |            1 | NC      | $535619.14    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                                      | Occidental Petroleum Corp                                                  | CUSIP: 674599DG7<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     11680000 | PA      | $5929214.99   | 1.10%             | 2036-10-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                             | HSBC Holdings PLC                                                          | CUSIP: 404280AT6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |       860000 | PA      | $850002.50    | 0.16%             | N/A             | Fixed         | 6.38%                 | 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        |         -242 | NC      | $-37812.50    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                                      | BRL CALL VERSUS USD PUT                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |     -5733973 | NC      | $-251890.76   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                                                          | Indonesia Treasury Bond                                                    | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |  86483000000 | PA      | $5880065.13   | 1.09%             | 2033-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                                      | USD/GBP FORWARD                                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-287857.02   | -0.05%            |  |  |  | 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        |         -128 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TOLL ROAD INV PART II                                                         | Toll Road Investors Partnership II LP                                      | CUSIP: 88948AAZ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       520000 | PA      | $483927.25    | 0.09%             | 2024-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                                      | USD/GBP FORWARD                                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |            1 | NC      | $8438.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                              | IRS USD                                                                    | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |            1 | NC      | $1252593.20   | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                  | Barclays PLC                                                               | CUSIP: 06738EBA2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |      1780000 | PA      | $1771046.60   | 0.33%             | N/A             | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                              | IRS USD                                                                    | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |            1 | NC      | $145334.05    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                              | IRS USD                                                                    | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |            1 | NC      | $-38757.66    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                                    | USD/COP FORWARD                                                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-151944.43   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Aegis Asset Backed Securities                                                 | Aegis Asset Backed Sec Corp Mort Pass Thr Certs Series 2003-3              | CUSIP: 00764MAW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       184108 | PA      | $172571.62    | 0.03%             | 2034-01-25      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                                             | EURO-BUND                                                                  | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |          -52 | NC      | $-54077.29    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                              | Three-Month SOFR                                                           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         -914 | NC      | $49475.18     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                                                      | Cheniere Energy Partners LP                                                | CUSIP: 16411QAN1<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |       430000 | PA      | $359548.80    | 0.07%             | 2032-01-31      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                                      | Madison Park Funding XXVI Ltd                                              | CUSIP: 55819YAG5<br>LEI: 549300FNRP3W5DX0O430 | Long             | ABS-CBDO         | CORP              | KY        |      5025000 | PA      | $4704685.54   | 0.87%             | 2030-07-29      | Floating      | 7.80%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                  | CSMC 2019-RIO                                                              | CUSIP: 12597HAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      6207741 | PA      | $6194364.33   | 1.15%             | 2022-12-15      | Floating      | 11.46%                | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | Credit Suisse Group AG                                                     | CUSIP: 225401AL2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |       200000 | PA      | $162500.00    | 0.03%             | N/A             | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| PROVINCIA DE CORDOBA                                                          | Provincia de Cordoba                                                       | CUSIP: 74408DAE4<br>LEI: 5299006CLM2Z97AATT29 | Long             | DBT              | NUSS              | AR        |      1034131 | PA      | $728888.54    | 0.14%             | 2029-02-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                              | IMM EURODOLLAR TIME DEPOSIT                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        -1301 | NC      | $-138231.25   | -0.03%            |  |  |  | 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        |           51 | NC      | $52593.75     | 0.01%             |  |  |  | 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        |          -51 | NC      | $-398.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                                      | PLN/USD FORWARD                                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-338803.28   | -0.06%            |  |  |  | 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        |         -130 | NC      | $-205156.25   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| PETROLEOS MEXICANOS                                                           | Petroleos Mexicanos                                                        | CUSIP: 71654QBR2<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |      1300000 | PA      | $876744.96    | 0.16%             | 2045-01-23      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                                                 | Carnival Corp                                                              | CUSIP: 143658BS0<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |      2630000 | PA      | $2534741.40   | 0.47%             | 2030-06-01      | Fixed         | 10.50%                | 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        |          -26 | NC      | $-18281.26    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ENERGY TRANSFER LP                                                            | Energy Transfer LP                                                         | CUSIP: 29273VAM2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      4570000 | PA      | $4186120.00   | 0.78%             | N/A             | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Popular ABS Mortgage Pass-Thro                                                | Popular ABS Mortgage Pass-Through Trust 2005-2                             | CUSIP: 73316PCL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4283540 | PA      | $3202577.85   | 0.59%             | 2035-04-25      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| WESLEYAN UNIVERSITY                                                           | Wesleyan University                                                        | CUSIP: 95101VAA7<br>LEI: MR0KVN5WYB7MX4TE2T37 | Long             | DBT              | CORP              | US        |       690000 | PA      | $578182.81    | 0.11%             | 2116-07-01      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                                      | JPY/USD FORWARD                                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-1379.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                                             | EURO-BUND                                                                  | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |         -260 | NC      | $-112615.62   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| CSC HOLDINGS LLC                                                              | CSC Holdings LLC                                                           | CUSIP: 126307AZ0<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |       960000 | PA      | $831686.40    | 0.15%             | 2029-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                              | IRS USD                                                                    | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |            1 | NC      | $-2459932.60  | -0.46%            |  |  |  | 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        |          535 | NC      | $4179.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                                      | BRL CALL VERSUS USD PUT                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |     -5130000 | NC      | $-299606.66   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| BUILDERS FIRSTSOURCE INC                                                      | Builders FirstSource Inc                                                   | CUSIP: 12008RAP2<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |        50000 | PA      | $43091.13     | 0.01%             | 2032-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                            | Dominican Republic International Bond                                      | CUSIP: 25714PEE4<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |      2110000 | PA      | $1631287.78   | 0.30%             | 2060-01-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| RUSSIA GOVT BOND - OFZ                                                        | Russian Federal Bond - OFZ                                                 | CUSIP: 000000000<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    548657000 | PA      | $1172156.17   | 0.22%             | 2027-02-03      | Fixed         | 8.15%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                                             | Eurex 10 Year Euro BUND                                                    | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |         -432 | NC      | $-55498.35    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                                    | USD/IDR FORWARD                                                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-1343062.37  | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                              | CME Canadian Dollar Currency                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |           49 | NC      | $65341.50     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | Credit Suisse Group AG                                                     | CUSIP: 225401AK4<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |       300000 | PA      | $246045.00    | 0.05%             | N/A             | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                   | CBOT 10 Year US Treasury Note                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         3351 | NC      | $337730.40    | 0.06%             |  |  |  | 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        |         -319 | NC      | $-2492.34     | -0.00%            |  |  |  | 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        |         2920 | PA      | $2863.51      | 0.00%             | 2049-09-12      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                                | Morgan Stanley Capital I Trust 2021-L7                                     | CUSIP: 61772TBN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7252762 | PA      | $433757.95    | 0.08%             | 2054-10-15      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                                               | Sands China Ltd                                                            | CUSIP: 80007RAN5<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |       960000 | PA      | $839931.74    | 0.16%             | 2027-03-08      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| PROVINCIA DE BUENOS AIRE                                                      | Provincia de Buenos Aires/Government Bonds                                 | CUSIP: 000000000<br>LEI: 549300L6AYROPOTQ4L07 | Long             | DBT              | NUSS              | AR        |      6272122 | PA      | $2502341.10   | 0.46%             | 2037-09-01      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                              | EURO CURRENCY 9AM                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |          -26 | NC      | $-650.00      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                              | JPN YEN CURRENCY 9AM                                                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |         -154 | NC      | $-200200.00   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| CSC HOLDINGS LLC                                                              | CSC Holdings LLC                                                           | CUSIP: 126307BB2<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |      1120000 | PA      | $829841.60    | 0.15%             | 2030-12-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                            | Energy Transfer LP                                                         | CUSIP: 29273VAL4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      2870000 | PA      | $2722912.50   | 0.51%             | N/A             | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                                          | BlueMountain CLO XXIX Ltd                                                  | CUSIP: 09630LAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      4390000 | PA      | $4016797.80   | 0.75%             | 2034-07-25      | Floating      | 11.68%                | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                              | Altice France SA/France                                                    | CUSIP: 02156LAH4<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |       200000 | PA      | $158391.15    | 0.03%             | 2029-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                                               | Sands China Ltd                                                            | CUSIP: 80007RAF2<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |      2240000 | PA      | $2229269.73   | 0.41%             | 2025-08-08      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                            | Energy Transfer LP                                                         | CUSIP: 29273VAJ9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      3450000 | PA      | $2894308.50   | 0.54%             | N/A             | Fixed         | 6.62%                 | 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        |         3188 | NC      | $3196816.01   | 0.59%             |  |  |  | No            |                  1 | On Loan: No      |
| US TREASURY N/B                                                               | United States Treasury Note/Bond                                           | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     20674000 | PA      | $22111489.06  | 4.11%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                          | Bank of America Corp                                                       | CUSIP: 060505FL3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      4900000 | PA      | $4697875.00   | 0.87%             | N/A             | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| PETROBRAS GLOBAL FINANCE                                                      | Petrobras Global Finance BV                                                | CUSIP: 71647NAY5<br>LEI: 549300FNENFFSMO3GT38 | Long             | DBT              | CORP              | NL        |       150000 | PA      | $150163.98    | 0.03%             | 2028-01-27      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                              | Three-Month SOFR                                                           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1118 | NC      | $7155.20      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Dryden Senior Loan Fund                                                       | Dryden 95 CLO Ltd                                                          | CUSIP: 262485AC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3900000 | PA      | $2956200.00   | 0.55%             | 2034-08-20      | Variable      | 0.01%                 | 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        |         -892 | NC      | $-118469.19   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Elmwood CLO II Ltd.                                                           | Elmwood CLO II Ltd                                                         | CUSIP: 29001RAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      6600000 | PA      | $4800302.94   | 0.89%             | 2034-04-20      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | Credit Suisse Group AG                                                     | CUSIP: 225401AX6<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |      4150000 | PA      | $4035875.00   | 0.75%             | N/A             | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                                            | Credit Agricole SA                                                         | CUSIP: 000000000<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |      1680000 | PA      | $2067263.10   | 0.38%             | N/A             | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| VOC ESCROW LTD                                                                | VOC Escrow Ltd                                                             | CUSIP: 91832VAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |       670000 | PA      | $590152.75    | 0.11%             | 2028-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Western Asset Premier Institutional Government Reserves                       | Western Asset Premier Institutional Government Reserves                    | CUSIP: 52470G494<br>LEI: 549300WB3XRN9YTWFB76 | Long             | STIV             | RF                | US        |     23886959 | NS      | $23886959.31  | 4.44%             |  |  |  | No            |                  1 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                                               | CDS CDX.NA.IG.39.V1                                                        | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |            1 | NC      | $2179828.67   | 0.40%             |  |  |  | No            |                  2 | On Loan: No      |
| RUSSIA GOVT BOND - OFZ                                                        | Russian Federal Bond - OFZ                                                 | CUSIP: 000000000<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |      6482000 | PA      | $13848.21     | 0.00%             | 2039-03-16      | Fixed         | 7.70%                 | No            |                  2 | On Loan: No      |
| PETROBRAS GLOBAL FINANCE                                                      | Petrobras Global Finance BV                                                | CUSIP: 71647NAN9<br>LEI: 549300FNENFFSMO3GT38 | Long             | DBT              | CORP              | NL        |      1490000 | PA      | $1293210.93   | 0.24%             | 2115-06-05      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICALS NE                                                       | Teva Pharmaceutical Finance Netherlands III BV                             | CUSIP: 88167AAK7<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |       520000 | PA      | $523640.00    | 0.10%             | 2028-03-01      | Fixed         | 6.75%                 | 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        |         -132 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                                      | Western Midstream Operating LP                                             | CUSIP: 958254AH7<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |       730000 | PA      | $690667.60    | 0.13%             | 2028-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ARAB REPUBLIC OF EGYPT                                                        | Egypt Government International Bond                                        | CUSIP: 000000000<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |      1490000 | PA      | $1343327.38   | 0.25%             | 2025-10-06      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Berry Corp                                                                    | Berry Corp                                                                 | CUSIP: 08579X101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        40182 | NS      | $369674.40    | 0.07%             |  |  |  | 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        |          282 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BX Trust                                                                      | BX Trust 2018-GW MZ                                                        | CUSIP: 12433RAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4400000 | PA      | $4259275.24   | 0.79%             | 2037-05-15      | Floating      | 9.95%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                              | AUDUSD EURO CURRENCY 9AM                                                   | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |           27 | NC      | $72090.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                                             | EURO-BUND                                                                  | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |          -52 | NC      | $-13043.68    | -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        |          -52 | NC      | $-36562.51    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| POLAND GOVERNMENT BOND                                                        | Republic of Poland Government Bond                                         | CUSIP: 000000000<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |     99000000 | PA      | $16174319.55  | 3.00%             | 2032-04-25      | Fixed         | 1.75%                 | 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        |         -306 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                                                            | Ford Motor Co                                                              | CUSIP: 345370DB3<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |      1790000 | PA      | $1758600.45   | 0.33%             | 2032-08-19      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| CTR PARTNERSHIP/CARETRST                                                      | CTR Partnership LP / CareTrust Capital Corp                                | CUSIP: 126458AE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       240000 | PA      | $215174.40    | 0.04%             | 2028-06-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Acquisition                                                 | Bayview Financial Mortgage Pass-Through Trust 2006-C                       | CUSIP: 07325DAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1649427 | PA      | $1424118.87   | 0.26%             | 2036-11-28      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| TOLL ROAD INV PART II                                                         | Toll Road Investors Partnership II LP                                      | CUSIP: 88948ABQ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       200000 | PA      | $68366.07     | 0.01%             | 2038-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                              | IRS USD                                                                    | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |            1 | NC      | $5491659.80   | 1.02%             |  |  |  | No            |                  2 | On Loan: No      |
| KUWAIT INTL BOND                                                              | Kuwait International Government Bond                                       | CUSIP: 501499AB3<br>LEI: 549300FSC1YD0D9XX589 | Long             | DBT              | NUSS              | KW        |      1370000 | PA      | $1349450.00   | 0.25%             | 2027-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                              | IRS USD                                                                    | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |            1 | NC      | $-1970767.53  | -0.37%            |  |  |  | No            |                  2 | On Loan: No      |
| Keycorp Student Loan Trust                                                    | KeyCorp Student Loan Trust 2005-A                                          | CUSIP: 493268CL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3229873 | PA      | $2965241.65   | 0.55%             | 2038-12-27      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                                      | Devon Energy Corp                                                          | CUSIP: 25179SAD2<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |       220000 | PA      | $258131.36    | 0.05%             | 2031-09-30      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                                       | USD/ZAR FORWARD                                                            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-174550.26   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                                                  | Ecopetrol SA                                                               | CUSIP: 279158AS8<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |       870000 | PA      | $893633.55    | 0.17%             | 2033-01-13      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ZAMBIA                                                            | Zambia Government International Bond                                       | CUSIP: 988895AE8<br>LEI: 213800DMLAZ6LGMMD849 | Long             | DBT              | NUSS              | ZM        |       550000 | PA      | $277983.75    | 0.05%             | 2024-04-14      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                           | Freddie Mac STACR REMIC Trust 2020-DNA3                                    | CUSIP: 35565WBD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       629901 | PA      | $659424.73    | 0.12%             | 2050-06-25      | Floating      | 9.61%                 | No            |                  2 | On Loan: No      |
| Asurion LLC                                                                   | Asurion LLC                                                                | CUSIP: 04649VAW0<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |       548464 | PA      | $543620.57    | 0.10%             | 2024-11-03      | Floating      | 7.57%                 | 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      | $-570657.21   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                            | Energy Transfer LP                                                         | CUSIP: 86765BAH2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       400000 | PA      | $406339.86    | 0.08%             | 2040-02-15      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                                                          | Indonesia Treasury Bond                                                    | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |   3507000000 | PA      | $250075.54    | 0.05%             | 2026-09-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                                                         | Argentine Republic Government International Bond                           | CUSIP: 040114HU7<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |      2874178 | PA      | $1062984.95   | 0.20%             | 2038-01-09      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| Alterra Mountain Company                                                      | Alterra Mountain Co                                                        | CUSIP: 46124CAJ6<br>LEI: 549300C5O4FSVNUEI843 | Long             | LON              | CORP              | US        |       279850 | PA      | $279675.07    | 0.05%             | 2028-08-17      | Floating      | 8.07%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                              | JPN YEN CURRENCY 9AM                                                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |          -26 | NC      | $-17550.00    | -0.00%            |  |  |  | No            |                  1 | 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        |      1480000 | PA      | $1226579.60   | 0.23%             | 2032-05-01      | 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        |          -64 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                                       | USD/RUB FORWARD                                                            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $84536.90     | 0.02%             |  |  |  | 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        |      1000000 | PA      | $865259.10    | 0.16%             | 2038-05-15      | Floating      | 6.86%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                        | Pacific Gas and Electric Co                                                | CUSIP: 694308JH1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       200000 | PA      | $143784.06    | 0.03%             | 2040-08-01      | Fixed         | 3.30%                 | 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        |         -102 | NC      | $-20718.76    | -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      | $2008515.80   | 0.37%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                                               | CDS CDX.NA.HY.39.V1                                                        | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |            1 | NC      | $-173604.62   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                                      | Occidental Petroleum Corp                                                  | CUSIP: 674599DL6<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |      1420000 | PA      | $1513982.70   | 0.28%             | 2046-03-15      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                              | JPN YEN CURRENCY 9AM                                                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |          -52 | NC      | $-3900.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                                               | CDS CDX.NA.HY.39.V1                                                        | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |            1 | NC      | $-423961.83   | -0.08%            |  |  |  | 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        |          -53 | NC      | $-414.09      | -0.00%            |  |  |  | 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        |       522000 | PA      | $533484.00    | 0.10%             | 2025-09-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | Credit Suisse Group AG                                                     | CUSIP: 225401AR9<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |      4080000 | PA      | $3070200.00   | 0.57%             | N/A             | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| RUSSIA GOVT BOND - OFZ                                                        | Russian Federal Bond - OFZ                                                 | CUSIP: 000000000<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    437180000 | PA      | $933995.62    | 0.17%             | 2033-03-23      | Fixed         | 7.70%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                              | IMM EURODOLLAR TIME DEPOSIT                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        -2195 | NC      | $-109750.00   | -0.02%            |  |  |  | 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        |         -130 | NC      | $-8125.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORONGO BAND OF MISSION                                                       | Morongo Band of Mission Indians/The                                        | CUSIP: 617734AG3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |       360000 | PA      | $397608.05    | 0.07%             | 2039-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                                            | 3 Month Euro Euribor                                                       | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |          656 | NC      | $-818379.03   | -0.15%            |  |  |  | No            |                  1 | 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        |        -2787 | NC      | $-34328.87    | -0.01%            |  |  |  | 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        |          624 | NC      | $258375.30    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                                      | Occidental Petroleum Corp                                                  | CUSIP: 674599DK8<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |       180000 | PA      | $147487.50    | 0.03%             | 2044-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | Credit Suisse Group AG                                                     | CUSIP: 225401AU2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |       790000 | PA      | $597974.18    | 0.11%             | 2032-05-14      | Fixed         | 3.09%                 | 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        |         -258 | NC      | $-2015.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Hunter Douglas Holding BV                                                     | Hunter Douglas Inc                                                         | CUSIP: 000000000<br>LEI: 529900811T142NS3H544 | Long             | LON              | CORP              | US        |      1890500 | PA      | $1743400.20   | 0.32%             | 2029-02-26      | Floating      | 7.86%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                                 | DISH DBS Corp                                                              | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |        30000 | PA      | $24601.73     | 0.00%             | 2028-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICALS NE                                                       | Teva Pharmaceutical Finance Netherlands III BV                             | CUSIP: 88167AAF8<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |      6917000 | PA      | $4750947.26   | 0.88%             | 2046-10-01      | Fixed         | 4.10%                 | 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        |         -418 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                      | Ford Motor Credit Co LLC                                                   | CUSIP: 345397ZR7<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |       420000 | PA      | $398620.95    | 0.07%             | 2029-05-03      | Fixed         | 5.11%                 | 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        |          -26 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                   | US TREASURY LONG BOND WEEK 1                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          -47 | NC      | $-18359.38    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| HAWAIIAN BRAND INTELLECT                                                      | Hawaiian Brand Intellectual Property Ltd / HawaiianMiles Loyalty Ltd       | CUSIP: 41984LAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |        50000 | PA      | $47812.25     | 0.01%             | 2026-01-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                      | Ford Motor Credit Co LLC                                                   | CUSIP: 345397XU2<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |       220000 | PA      | $211454.10    | 0.04%             | 2026-01-08      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                              | IRS USD                                                                    | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |            1 | NC      | $-8986.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                              | CME British Pound Currency                                                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |          260 | NC      | $-106047.00   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Phoenix Guarantor Inc                                                         | Phoenix Guarantor Inc                                                      | CUSIP: 71913BAE2<br>LEI: 254900JIOIDL3GSUFE55 | Long             | LON              | CORP              | US        |       270242 | PA      | $266778.85    | 0.05%             | 2026-03-05      | Floating      | 7.82%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati                                                | Residential Asset Securitization Trust 2005-A15                            | CUSIP: 45660L4B2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1666309 | PA      | $215227.03    | 0.04%             | 2036-02-25      | Floating      | 1.04%                 | 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        |          218 | NC      | $122625.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| HCA INC                                                                       | HCA Inc                                                                    | CUSIP: 197677AH0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      1250000 | PA      | $1402135.34   | 0.26%             | 2095-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                   | BNP Paribas SA                                                             | CUSIP: 05565AGF4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |       200000 | PA      | $198125.00    | 0.04%             | N/A             | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                                                | WaMu Mortgage Pass-Through Certificates Series 2005-AR2 Trust              | CUSIP: 92922FD96<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3151996 | PA      | $2546006.88   | 0.47%             | 2045-01-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                              | EURO CURRENCY 9AM                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |          -52 | NC      | $-46150.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                              | IRS USD                                                                    | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |            1 | NC      | $225995.65    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Starwood Retail Property Trust                                                | Starwood Retail Property Trust 2014-STAR                                   | CUSIP: 85571XAS6<br>LEI: 5493007115G809OI4R97 | Long             | ABS-MBS          | CORP              | US        |      5070000 | PA      | $10165.35     | 0.00%             | 2027-11-15      | Floating      | 8.86%                 | 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        |         -479 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROCKIES EXPRESS PIPELINE                                                      | Rockies Express Pipeline LLC                                               | CUSIP: 77340RAM9<br>LEI: W2ZGZGZKY5GGNY6F3V51 | Long             | DBT              | CORP              | US        |      1180000 | PA      | $1001638.88   | 0.19%             | 2040-04-15      | Fixed         | 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        |         -153 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                              | IRS USD                                                                    | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |            1 | NC      | $450555.92    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                              | CANADIAN DOLLAR CURRENCY 9AM                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |         -111 | NC      | $-84360.00    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Chase Commercial Mor                                                | JP Morgan Chase Commercial Mortgage Securities Trust 2021-NYAH             | CUSIP: 46654EAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       344000 | PA      | $324327.98    | 0.06%             | 2038-06-15      | Floating      | 6.65%                 | 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        |         -115 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF KENYA                                                             | Republic of Kenya Government International Bond                            | CUSIP: 000000000<br>LEI: 549300VVURQQYU45PR87 | Long             | DBT              | NUSS              | KE        |      1600000 | PA      | $1418784.00   | 0.26%             | 2028-02-28      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| ILFC E-CAPITAL TRUST I                                                        | ILFC E-Capital Trust I                                                     | CUSIP: 44965TAA5<br>LEI: N/A                  | Long             | SN               | CORP              | US        |       740000 | PA      | $479150.00    | 0.09%             | 2065-12-21      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                              | IRS USD                                                                    | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |            1 | NC      | $1873975.90   | 0.35%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                         | Wells Fargo & Co                                                           | CUSIP: 949746RN3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |       847000 | PA      | $845051.90    | 0.16%             | N/A             | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| BANCO MERCANTIL DE NORTE                                                      | Banco Mercantil del Norte SA/Grand Cayman                                  | CUSIP: 05962GAJ8<br>LEI: 549300QTVYRPFHS0J362 | Long             | DBT              | CORP              | MX        |      1630000 | PA      | $1614335.70   | 0.30%             | N/A             | Fixed         | 7.62%                 | 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        |          -78 | NC      | $-51187.50    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                              | CANADIAN DOLLAR CURRENCY 9AM                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |          -26 | NC      | $-10400.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| AUSTRALIAN GOVERNMENT                                                         | Australia Government Bond                                                  | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |      6690000 | PA      | $4018116.85   | 0.75%             | 2047-03-21      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                                            | Credit Agricole SA                                                         | CUSIP: 225313AJ4<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |      3250000 | PA      | $3360971.25   | 0.62%             | N/A             | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICALS NE                                                       | Teva Pharmaceutical Finance Netherlands III BV                             | CUSIP: 88167AAE1<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |      2374000 | PA      | $2132896.56   | 0.40%             | 2026-10-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                                      | Occidental Petroleum Corp                                                  | CUSIP: 674599CR4<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |       860000 | PA      | $797670.61    | 0.15%             | 2026-08-15      | Fixed         | 3.20%                 | 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      | $-54843.75    | -0.01%            |  |  |  | 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        |         -102 | NC      | $-19125.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                                      | Occidental Petroleum Corp                                                  | CUSIP: 674599CJ2<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |       510000 | PA      | $418444.80    | 0.08%             | 2046-04-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                                                           | United Airlines Inc                                                        | CUSIP: 90932LAG2<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |      3420000 | PA      | $3250795.16   | 0.60%             | 2026-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                                                     | IRS IFS GBP                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |            1 | NC      | $-1104387.63  | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                                               | Sands China Ltd                                                            | CUSIP: 80007RAQ8<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |       630000 | PA      | $539675.45    | 0.10%             | 2029-03-08      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                               | United States Treasury Note/Bond                                           | CUSIP: 912810RN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |        10000 | PA      | $8615.63      | 0.00%             | 2045-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES                                                       | Royal Caribbean Cruises Ltd                                                | CUSIP: 780153BK7<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |      2000000 | PA      | $1742264.00   | 0.32%             | 2027-07-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ANGOLA                                                            | Angolan Government International Bond                                      | CUSIP: 000000000<br>LEI: 549300QHR2R3J8JSGK83 | Long             | DBT              | NUSS              | AO        |       700000 | PA      | $664818.00    | 0.12%             | 2028-05-09      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                                 | DISH DBS Corp                                                              | CUSIP: 25470XBD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       420000 | PA      | $267750.00    | 0.05%             | 2029-06-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                                    | Navient Private Education Loan Trust 2020-A                                | CUSIP: 63941FAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1890000 | PA      | $1630602.04   | 0.30%             | 2068-11-15      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AM                                                       | United Rentals North America Inc                                           | CUSIP: 911365BL7<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |       320000 | PA      | $310014.40    | 0.06%             | 2030-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                              | CME Australian Dollar Currency                                             | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |          570 | NC      | $1242627.73   | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| NORTHERN OIL AND GAS INC                                                      | Northern Oil and Gas Inc                                                   | CUSIP: 665531AG4<br>LEI: OKFF0PIZDDMNH4UCYE51 | Long             | DBT              | CORP              | US        |       650000 | PA      | $648319.75    | 0.12%             | 2028-03-01      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                                                   | State of Illinois                                                          | CUSIP: 452151LF8<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |      1425000 | PA      | $1416591.36   | 0.26%             | 2033-06-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| HIGHLAND HOLDINGS BOND                                                        | Highlands Holdings Bond Issuer Ltd / Highlands Holdings Bond Co-Issuer Inc | CUSIP: 43103QAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |      4950000 | PA      | $4598525.25   | 0.85%             | 2025-10-15      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF NIGERIA                                                           | Nigeria Government International Bond                                      | CUSIP: 000000000<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |      1080000 | PA      | $842281.20    | 0.16%             | 2028-09-28      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICALS NE                                                       | Teva Pharmaceutical Finance Netherlands III BV                             | CUSIP: 88167AAN1<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |      4200000 | PA      | $4262160.00   | 0.79%             | 2025-01-31      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | Credit Suisse Group AG                                                     | CUSIP: 22546DAB2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |      1310000 | PA      | $1247771.07   | 0.23%             | N/A             | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                              | Three-Month SOFR                                                           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          136 | NC      | $-488185.60   | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| FORD MOTOR COMPANY                                                            | Ford Motor Co                                                              | CUSIP: 345370DA5<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |       130000 | PA      | $103344.42    | 0.02%             | 2032-02-12      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| PROVINCIA DE CORDOBA                                                          | Provincia de Cordoba                                                       | CUSIP: 000000000<br>LEI: 5299006CLM2Z97AATT29 | Long             | DBT              | NUSS              | AR        |       700000 | PA      | $606565.48    | 0.11%             | 2025-12-10      | Variable      | 6.88%                 | 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      | $-197100.00   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| CARNIVAL CORP                                                                 | Carnival Corp                                                              | CUSIP: 143658BN1<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |      2940000 | PA      | $2444345.40   | 0.45%             | 2027-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS CAPITAL II                                                      | Goldman Sachs Capital II                                                   | CUSIP: 381427AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       109000 | PA      | $87608.75     | 0.02%             | N/A             | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                                    | USD/SGD FORWARD                                                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |            1 | NC      | $142773.68    | 0.03%             |  |  |  | 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        |         -281 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                                        | CCO Holdings LLC / CCO Holdings Capital Corp                               | CUSIP: 1248EPCE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |        70000 | PA      | $59893.75     | 0.01%             | 2030-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                                      | AUD/USD FORWARD                                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-8044.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IVORY COAST                                                                   | Ivory Coast Government International Bond                                  | CUSIP: 000000000<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |      1420000 | PA      | $1264953.04   | 0.23%             | 2033-06-15      | Fixed         | 6.12%                 | 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        |         -258 | NC      | $-60468.76    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| VMED O2 UK FINAN                                                              | Vmed O2 UK Financing I PLC                                                 | CUSIP: 92858RAB6<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |       410000 | PA      | $349150.37    | 0.06%             | 2031-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                                             | EURO-BUND                                                                  | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |         -104 | NC      | $-131142.10   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| DISH DBS CORP                                                                 | DISH DBS Corp                                                              | CUSIP: 25470XBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       240000 | PA      | $207300.00    | 0.04%             | 2026-12-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                                                  | Ecopetrol SA                                                               | CUSIP: 279158AL3<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |      2090000 | PA      | $2022210.85   | 0.38%             | 2026-06-26      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA SECURED FIN                                                      | Virgin Media Secured Finance PLC                                           | CUSIP: 92769XAP0<br>LEI: 213800X3RLP4NOTPY579 | Long             | DBT              | CORP              | GB        |       550000 | PA      | $510947.25    | 0.09%             | 2029-05-15      | Fixed         | 5.50%                 | 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        |       280000 | PA      | $256333.00    | 0.05%             | 2028-01-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| RANGE RESOURCES CORP                                                          | Range Resources Corp                                                       | CUSIP: 75281ABJ7<br>LEI: H3Y3WLYCX0BTO1TRW162 | Long             | DBT              | CORP              | US        |       590000 | PA      | $607322.40    | 0.11%             | 2029-01-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                   | IRS BRL                                                                    | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              | CORP              | FR        |            1 | NC      | $-149098.16   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                                                         | Argentine Republic Government International Bond                           | CUSIP: 040114HS2<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |      4457393 | PA      | $1600340.80   | 0.30%             | 2030-07-09      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENER PART                                                       | Kinder Morgan Energy Partners LP                                           | CUSIP: 494550AW6<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |        70000 | PA      | $79294.23     | 0.01%             | 2038-01-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| BLUE RACER MID LLC/FINAN                                                      | Blue Racer Midstream LLC / Blue Racer Finance Corp                         | CUSIP: 095796AH1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       580000 | PA      | $589839.70    | 0.11%             | 2025-12-15      | Fixed         | 7.62%                 | 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        |         -321 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                      | Ford Motor Credit Co LLC                                                   | CUSIP: 345397B77<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |       200000 | PA      | $178784.00    | 0.03%             | 2026-08-10      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| PROVINCIA DE CORDOBA                                                          | Provincia de Cordoba                                                       | CUSIP: 74408DAD6<br>LEI: 5299006CLM2Z97AATT29 | Long             | DBT              | NUSS              | AR        |      2600000 | PA      | $2014235.91   | 0.37%             | 2027-06-01      | Variable      | 6.99%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                                                         | Bausch Health Cos Inc                                                      | CUSIP: 071734AK3<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |      6030000 | PA      | $2779192.87   | 0.52%             | 2029-02-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                                      | Western Midstream Operating LP                                             | CUSIP: 958254AJ3<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |       720000 | PA      | $630774.00    | 0.12%             | 2048-03-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| PROVINCIA DE CORDOBA                                                          | Provincia de Cordoba                                                       | CUSIP: 74408DAC8<br>LEI: 5299006CLM2Z97AATT29 | Long             | DBT              | NUSS              | AR        |       824492 | PA      | $714440.55    | 0.13%             | 2025-12-10      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                              | JPN YEN CURRENCY 9AM                                                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |          -52 | NC      | $-21450.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                                    | USD/CNH FORWARD                                                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-203945.76   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| UNIV OF CALIFORNIA CA RGTS MED                                                | Regents of the University of California Medical Center Pooled Revenue      | CUSIP: 913366KD1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |       205000 | PA      | $143457.16    | 0.03%             | 2120-05-15      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | Credit Suisse Group AG                                                     | CUSIP: 225401BB3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |       470000 | PA      | $528442.35    | 0.10%             | 2033-11-15      | Fixed         | 9.02%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION                                         | IRS BRL                                                                    | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              | CORP              | US        |            1 | NC      | $-521700.10   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| SPRINT LLC                                                                    | Sprint LLC                                                                 | CUSIP: 85207UAJ4<br>LEI: 549300ZTTY7CXOLJ6539 | Long             | DBT              | CORP              | US        |       300000 | PA      | $311790.30    | 0.06%             | 2025-02-15      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                                    | USD/BRL FORWARD                                                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |            1 | NC      | $156050.17    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| IVORY COAST                                                                   | Ivory Coast Government International Bond                                  | CUSIP: 000000000<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |       364136 | PA      | $336203.54    | 0.06%             | 2032-12-31      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                      | Ford Motor Credit Co LLC                                                   | CUSIP: 345397A45<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      1120000 | PA      | $1048132.08   | 0.19%             | 2027-01-09      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| RUSSIA GOVT BOND - OFZ                                                        | Russian Federal Bond - OFZ                                                 | CUSIP: 000000000<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    321260000 | PA      | $686343.00    | 0.13%             | 2030-04-10      | Fixed         | 7.65%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limit                                                | Bain Capital Credit CLO 2021-4 Ltd                                         | CUSIP: 05684VAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1900000 | PA      | $1684401.80   | 0.31%             | 2034-10-20      | Floating      | 11.31%                | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                              | AUDUSD EURO CURRENCY 9AM                                                   | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |          -51 | NC      | $-14790.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Jane Street Group LLC                                                         | Jane Street Group LLC                                                      | CUSIP: 47077DAG5<br>LEI: 5493002N1IVX6KHGYO08 | Long             | LON              | CORP              | US        |       327382 | PA      | $326793.97    | 0.06%             | 2028-01-26      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                              | EURO CURRENCY 9AM                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |          -52 | NC      | $-68250.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| EQT CORP                                                                      | EQT Corp                                                                   | CUSIP: 26884LAG4<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |       200000 | PA      | $212995.00    | 0.04%             | 2030-02-01      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| WYNN MACAU LTD                                                                | Wynn Macau Ltd                                                             | CUSIP: 98313RAG1<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |      1320000 | PA      | $1232175.27   | 0.23%             | 2026-01-15      | 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        |          166 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                              | JPN YEN CURRENCY 9AM                                                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |           26 | NC      | $12025.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BENCHMARK Mortgage Trust                                                      | Benchmark 2020-IG3 Mortgage Trust                                          | CUSIP: 08162QAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1190000 | PA      | $808346.29    | 0.15%             | 2048-09-15      | Variable      | 3.29%                 | 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        |        -1630 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| APACHE CORP                                                                   | Apache Corp                                                                | CUSIP: 037411AM7<br>LEI: 72ZZ1XRHOOU9P9X16K08 | Long             | DBT              | CORP              | US        |       100000 | PA      | $100253.57    | 0.02%             | 2047-08-15      | Fixed         | 7.38%                 | 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        |          -52 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION                                     | INR CALL VERSUS USD PUT                                                    | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |      4600000 | NC      | $60219.58     | 0.01%             |  |  |  | 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        |         -312 | NC      | $-53625.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                                      | USD/EUR FORWARD                                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-204136.01   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                                                          | Indonesia Treasury Bond                                                    | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 132689000000 | PA      | $9894580.67   | 1.84%             | 2034-03-15      | Fixed         | 8.38%                 | 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        |       843180 | PA      | $843707.16    | 0.16%             | 2026-09-23      | Floating      | 7.52%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                              | Altice France SA/France                                                    | CUSIP: 02156LAC5<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |      2250000 | PA      | $1872607.50   | 0.35%             | 2028-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                               | United States Treasury Note/Bond                                           | CUSIP: 91282CFT3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       620800 | PA      | $636368.50    | 0.12%             | 2029-10-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                                       | USD/MXN FORWARD                                                            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $174298.29    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                                                          | Indonesia Treasury Bond                                                    | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |  45190000000 | PA      | $3364861.27   | 0.62%             | 2036-05-15      | Fixed         | 8.25%                 | 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        |         -470 | NC      | $-58750.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                                    | CNH/USD FORWARD                                                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |            1 | NC      | $126799.54    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                              | EURO CURRENCY 9AM                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |           52 | NC      | $58500.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| EUROPEAN BK RECON & DEV                                                       | European Bank for Reconstruction & Development                             | CUSIP: 000000000<br>LEI: 549300HTGDOVDU6OGK19 | Long             | DBT              | CORP              | N/A       |  38012000000 | PA      | $2447219.74   | 0.45%             | 2026-10-06      | Fixed         | 5.00%                 | 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        |          155 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BAC CAPITAL TRUST XIV                                                         | BAC Capital Trust XIV                                                      | CUSIP: 05518VAA3<br>LEI: 549300QO5OB3VGJT6S64 | Long             | DBT              | CORP              | US        |       260000 | PA      | $208341.85    | 0.04%             | N/A             | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| WYNN MACAU LTD                                                                | Wynn Macau Ltd                                                             | CUSIP: 98313RAC0<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |       840000 | PA      | $808508.67    | 0.15%             | 2024-10-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                      | Ford Motor Credit Co LLC                                                   | CUSIP: 345397B28<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |       300000 | PA      | $279849.00    | 0.05%             | 2025-11-13      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                 | Citigroup Inc                                                              | CUSIP: 172967JM4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      7470000 | PA      | $7289033.95   | 1.35%             | N/A             | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Edelman Financial Engines Center LLC (The)                                    | Edelman Financial Engines Center LLC/The                                   | CUSIP: 27943UAK2<br>LEI: 549300Z31KZXNP05U733 | Long             | LON              | CORP              | US        |       308391 | PA      | $302744.81    | 0.06%             | 2028-04-07      | Floating      | 8.07%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp                                                        | Conseco Finance Corp                                                       | CUSIP: 393505MR0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1083949 | PA      | $1082684.48   | 0.20%             | 2027-06-15      | Variable      | 7.75%                 | 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        |          572 | NC      | $178750.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| WILLIAMS COMPANIES INC                                                        | Williams Cos Inc/The                                                       | CUSIP: 969457BM1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |      1090000 | PA      | $1341002.68   | 0.25%             | 2032-03-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                                        | CCO Holdings LLC / CCO Holdings Capital Corp                               | CUSIP: 1248EPCP6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1130000 | PA      | $882558.25    | 0.16%             | 2034-01-15      | Fixed         | 4.25%                 | 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        |         -312 | NC      | $-168187.67   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                              | AUDUSD EURO CURRENCY 9AM                                                   | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |          -52 | NC      | $-2080.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                                      | MXN CALL VERSUS USD PUT                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |     -5705938 | NC      | $-128308.67   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                                                         | Bausch Health Cos Inc                                                      | CUSIP: 071734AF4<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |      1140000 | PA      | $511388.35    | 0.09%             | 2029-05-30      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                                                          | Enel Finance International NV                                              | CUSIP: 29268BAF8<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |      1680000 | PA      | $1673077.96   | 0.31%             | 2039-10-07      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF GABON                                                             | Gabon Government International Bond                                        | CUSIP: 362420AE1<br>LEI: N/A                  | Long             | DBT              | NUSS              | GA        |      3690000 | PA      | $3122286.12   | 0.58%             | 2031-11-24      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                              | IRS MXN                                                                    | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |            1 | NC      | $682785.71    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| APACHE CORP                                                                   | Apache Corp                                                                | CUSIP: 037411BG9<br>LEI: 72ZZ1XRHOOU9P9X16K08 | Long             | DBT              | CORP              | US        |       940000 | PA      | $779673.40    | 0.14%             | 2049-07-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                                      | Western Midstream Operating LP                                             | CUSIP: 958254AD6<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |      2130000 | PA      | $1877222.25   | 0.35%             | 2044-04-01      | Fixed         | 5.45%                 | 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        |           -1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                                          | Las Vegas Sands Corp                                                       | CUSIP: 517834AG2<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |       920000 | PA      | $885715.12    | 0.16%             | 2024-08-08      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                                    | BRL/USD FORWARD                                                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-35980.49    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                              | IRS USD                                                                    | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |            1 | NC      | $5411189.03   | 1.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Hayfin US XIV LTD                                                             | Hayfin US XIV Ltd                                                          | CUSIP: 42088QAA7<br>LEI: 5493000YWK38UXBNS724 | Long             | ABS-CBDO         | CORP              | KY        |      5110000 | PA      | $5028638.28   | 0.93%             | 2034-07-20      | Floating      | 11.99%                | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                              | AUDUSD EURO CURRENCY 9AM                                                   | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |          -26 | NC      | $-26260.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                   | CBOT 2 Year US Treasury Note                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -2760 | NC      | $911273.59    | 0.17%             |  |  |  | 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        |         -744 | NC      | $-186000.00   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac - STACR                                                           | Freddie Mac Structured Agency Credit Risk Debt Notes                       | CUSIP: 3137G0FM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |      1531127 | PA      | $1563621.12   | 0.29%             | 2025-05-25      | Floating      | 12.46%                | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                                      | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                  | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |       170000 | PA      | $142825.30    | 0.03%             | 2032-01-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| LifePoint Health Inc                                                          | LifePoint Health Inc                                                       | CUSIP: 75915TAD4<br>LEI: 549300G8ZVHRTBBBSZ90 | Long             | LON              | CORP              | US        |       671578 | PA      | $653854.68    | 0.12%             | 2025-11-16      | Floating      | 8.58%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                          | Charter Communications Operating LLC                                       | CUSIP: 16117LBW8<br>LEI: 549300TPZNMN50BJ3745 | Long             | LON              | CORP              | US        |      1349997 | PA      | $1349497.11   | 0.25%             | 2025-04-30      | Floating      | 6.32%                 | 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        |          167 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                              | CANADIAN DOLLAR CURRENCY 9AM                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |          182 | NC      | $134680.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| YPF SOCIEDAD ANONIMA                                                          | YPF SA                                                                     | CUSIP: 984245AL4<br>LEI: 5493003N7447U18U5U53 | Long             | DBT              | CORP              | AR        |      1610000 | PA      | $1480242.05   | 0.27%             | 2025-07-28      | Fixed         | 8.50%                 | 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        |          -52 | NC      | $-13000.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FORD MOTOR CREDI                                                              | Ford Motor Credit Co LLC                                                   | CUSIP: 345397B69<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      1180000 | PA      | $983035.62    | 0.18%             | 2031-06-17      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                                      | Occidental Petroleum Corp                                                  | CUSIP: 674599CN3<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |      2800000 | PA      | $2216189.92   | 0.41%             | 2048-03-15      | Fixed         | 4.20%                 | 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        |         -284 | NC      | $-2218.89     | -0.00%            |  |  |  | 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        |       612000 | PA      | $619047.18    | 0.11%             | 2027-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                                      | Devon Energy Corp                                                          | CUSIP: 251799AA0<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |       340000 | PA      | $402548.60    | 0.07%             | 2032-04-15      | Fixed         | 7.95%                 | 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        |          -83 | NC      | $-14265.63    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Level 3 Financing Inc                                                         | Level 3 Financing Inc                                                      | CUSIP: 52729KAP1<br>LEI: 254900AE5FEFIJOXWL19 | Long             | LON              | CORP              | US        |       503535 | PA      | $495866.57    | 0.09%             | 2027-03-01      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                  | CSMC Series 2015-2R                                                        | CUSIP: 12649QBE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6750384 | PA      | $5150614.52   | 0.96%             | 2036-08-27      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                                      | USD CALL VERSUS BRL PUT                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |     -5733973 | NC      | $-42769.91    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                                      | USD CALL VERSUS BRL PUT                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |     -5130000 | NC      | $-72687.95    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                              | IRS USD                                                                    | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |            1 | NC      | $1055827.21   | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING                                                       | DCP Midstream Operating LP                                                 | CUSIP: 23311RAA4<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |       620000 | PA      | $679861.00    | 0.13%             | 2037-09-15      | Fixed         | 6.75%                 | 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        |         -111 | NC      | $-17343.75    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Univision Communications Inc                                                  | Univision Communications Inc                                               | CUSIP: 914908BC1<br>LEI: 549300YQDE2JSGTL8V47 | Long             | LON              | CORP              | US        |      1351809 | PA      | $1340075.04   | 0.25%             | 2026-03-15      | Floating      | 7.82%                 | 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        |          880 | NC      | $0.00         | 0.00%             |  |  |  | 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        |       280000 | PA      | $245360.05    | 0.05%             | 2029-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION                                     | IRS BRL                                                                    | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              | CORP              | US        |            1 | NC      | $2195.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru                                                | SMB Private Education Loan Trust 2021-A                                    | CUSIP: 78448YAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3340000 | PA      | $3010616.88   | 0.56%             | 2053-01-15      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| TEVA PHARM FIN CO LLC                                                         | Teva Pharmaceutical Finance Co LLC                                         | CUSIP: 88163VAD1<br>LEI: 5493006PITD7MU7WW480 | Long             | DBT              | CORP              | US        |      4146000 | PA      | $3839813.17   | 0.71%             | 2036-02-01      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati                                                | Residential Asset Securitization Trust 2005-A15                            | CUSIP: 45660L3K3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        70044 | PA      | $65138.72     | 0.01%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING                                                       | DCP Midstream Operating LP                                                 | CUSIP: 26439XAH6<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |       660000 | PA      | $697250.40    | 0.13%             | 2036-11-03      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                              | JPN YEN CURRENCY 9AM                                                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |         -129 | NC      | $-59662.50    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| 1011778 BC Unlimited Liability Company                                        | 1011778 BC ULC                                                             | CUSIP: 000000000<br>LEI: 549300RHSHNRWI5LLA86 | Long             | LON              | CORP              | CA        |       743626 | PA      | $736922.18    | 0.14%             | 2026-11-19      | Floating      | 6.32%                 | 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        |         -119 | NC      | $-91109.38    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                              | CME Mexican Peso Currency                                                  | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |         1019 | NC      | $917472.50    | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| SOUTHWESTERN ENERGY CO                                                        | Southwestern Energy Co                                                     | CUSIP: 845467AT6<br>LEI: EFWMP121W54QV9MGOP87 | Long             | DBT              | CORP              | US        |      5800000 | PA      | $5120008.00   | 0.95%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                      | BX Trust 2021-ARIA                                                         | CUSIP: 05608RAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2570000 | PA      | $2365214.18   | 0.44%             | 2036-10-15      | Floating      | 7.60%                 | 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        |         -214 | NC      | $-1671.98     | -0.00%            |  |  |  | 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        |           82 | NC      | $0.00         | 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        |           77 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                                                         | Bausch Health Cos Inc                                                      | CUSIP: 071734AJ6<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |      5490000 | PA      | $2414499.42   | 0.45%             | 2030-01-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                                                               | AREIT 2021-CRE5 Trust                                                      | CUSIP: 04002PAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |       807000 | PA      | $780238.99    | 0.14%             | 2038-11-17      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                                                       | Mexican Bonos                                                              | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    348475400 | PA      | $16722303.76  | 3.11%             | 2042-11-13      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMERICAN PIPE                                                      | Plains All American Pipeline LP                                            | CUSIP: 726503AE5<br>LEI: 5521FA2ITF25TVH63740 | Long             | DBT              | CORP              | US        |       800000 | PA      | $732000.00    | 0.14%             | N/A             | Floating      | 8.72%                 | 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        |      1479995 | PA      | $1108064.82   | 0.21%             | 2036-11-25      | Floating      | 5.05%                 | 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        |         -268 | NC      | $-6092.98     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                                             | EURO-BUND                                                                  | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |         -156 | NC      | $-312586.92   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                   | CME Ultra Long Term US Treasury Bond                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          674 | NC      | $1387763.49   | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| INDONESIA GOVERNMENT                                                          | Indonesia Treasury Bond                                                    | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 143819000000 | PA      | $9496179.56   | 1.76%             | 2031-02-15      | Fixed         | 6.50%                 | 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        |          538 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NOTA DO TESOURO NACIONAL                                                      | Brazil Notas do Tesouro Nacional Serie F                                   | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |     13552000 | PA      | $2453668.72   | 0.46%             | 2027-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                           | Freddie Mac STACR REMIC Trust 2020-DNA6                                    | CUSIP: 35566CBD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2180000 | PA      | $2103645.50   | 0.39%             | 2050-12-25      | Floating      | 7.31%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                                                     | Prosus NV                                                                  | CUSIP: 74365PAD0<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |      1290000 | PA      | $873708.92    | 0.16%             | 2050-08-03      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                   | CBOT 5 Year US Treasury Note                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         3986 | NC      | $-665093.59   | -0.12%            |  |  |  | No            |                  1 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | Credit Suisse Group AG                                                     | CUSIP: 225401AP3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |       630000 | PA      | $534317.70    | 0.10%             | 2031-04-01      | Fixed         | 4.19%                 | 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        |          182 | NC      | $264468.75    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                   | Ultra 10-Year US Treasury Note                                             | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -3370 | NC      | $-5522778.07  | -1.03%            |  |  |  | No            |                  1 | On Loan: No      |
| CSC HOLDINGS LLC                                                              | CSC Holdings LLC                                                           | CUSIP: 126307BA4<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |      2210000 | PA      | $1395117.75   | 0.26%             | 2030-01-15      | Fixed         | 5.75%                 | 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        |          111 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                              | JPN YEN CURRENCY 9AM                                                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |          -78 | NC      | $-18525.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | Credit Suisse Group AG                                                     | CUSIP: 225401AJ7<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |       570000 | PA      | $529106.53    | 0.10%             | N/A             | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                                    | USD/CNY FORWARD                                                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-586533.14   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                               | United States Treasury Note/Bond                                           | CUSIP: 912810SQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |        60000 | PA      | $39837.89     | 0.01%             | 2040-08-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| EG Acquisition Corp                                                           | EG Acquisition Corp                                                        | CUSIP: 26846A100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        55833 | NS      | $561679.98    | 0.10%             |  |  |  | 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        |         -156 | NC      | $-14625.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2023-03-17

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

**Signature:** Christopher Berarducci

**Name of Signer:** Christopher Berarducci

**Title:** Principal Financial Officer