Form NPORT-P LEGG MASON PARTNERS INCO For: Mar 31

Article

FREE Breaking News Alerts from StreetInsider.com!

StreetInsider.com Top Tickers, 4/25/2024

1. META
2. CMG
3. LRCX
4. IBM
5. HCP

6. SPY
7. PI
8. BSX
9. ORCL
10. ALGN

Top News Most Read Special Reports

May 27, 2022 12:15 PM EDT

E-mail


  
    NPORT-P
    false
    
      
      
        
          0000764624
          XXXXXXXX
        
      
      
      
      
        S000016639
        C000046471
        C000046473
        C000117030
        C000046474
        C000088507
        C000062459
      
      
    
  
  
    
      Legg Mason Partners Income Trust
      811-04254
      0000764624
      549300Y1U2UCLTK83X35
      620 Eighth Avenue
      47th Floor
      New York
      
      10018
      1-877-721-1926
      Western Asset Short-Term Bond Fund
      S000016639
      549300G71M2UUYXXMK17
      2022-12-31
      2022-03-31
      N
    
    
      744853233.52
      9289064.84
      735564168.68
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      4037785.77000000
      
        
          USD
          
          
        
      
      
      
      N
      
        
          
          
          
          
          
          
        
        
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
      
    
    
      
        GCI Funding I LLC
        N/A
        GCI Funding I LLC
        36166VAE5
        
          
        
        640013.33000000
        PA
        USD
        597196.44000000
        0.081188897641
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2046-06-18
          Fixed
          2.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Saxon Asset Securities Trust
        N/A
        Saxon Asset Securities Trust 2006-3
        80556AAD9
        
          
        
        1420000.00000000
        PA
        USD
        1283335.37000000
        0.174469532998
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2046-10-25
          Floating
          0.69657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital I Trust
        N/A
        Morgan Stanley Capital I Trust 2017-ASHF
        61691KAA9
        
          
        
        309550.74000000
        PA
        USD
        306698.69000000
        0.041695708282
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-11-15
          Floating
          1.24700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LAS VEGAS SANDS CORP
        549300DUOO1KXOHPM605
        Las Vegas Sands Corp
        517834AH0
        
          
          
        
        2330000.00000000
        PA
        USD
        2173633.28000000
        0.295505595915
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-25
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HOME DEPOT INC
        QEKMOTMBBKA8I816DO57
        Home Depot Inc/The
        437076CN0
        
          
          
        
        290000.00000000
        PA
        USD
        289120.78000000
        0.039305990192
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-15
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38141GWM2
        
          
          
        
        1020000.00000000
        PA
        USD
        1021286.00000000
        0.138843902882
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-07-24
          Fixed
          2.90500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US BANCORP
        N1GZ7BBF3NP8GI976H15
        US Bancorp
        91159HHV5
        
          
          
        
        1790000.00000000
        PA
        USD
        1815329.74000000
        0.246794204679
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-02-05
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CARRIER GLOBAL CORP
        549300JE3W6CWY2NAN77
        Carrier Global Corp
        14448CAN4
        
          
          
        
        62000.00000000
        PA
        USD
        60419.85000000
        0.008214082818
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-15
          Fixed
          2.24200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital I Trust
        N/A
        Morgan Stanley Capital I Trust 2018-H4
        61691RAF3
        
          
        
        24287690.88000000
        PA
        USD
        1047834.13000000
        0.142453123006
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-12-15
          Variable
          0.83509100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ellington Financial Mortgage T
        N/A
        Ellington Financial Mortgage Trust 2021-2
        31572LAA4
        
          
        
        548798.02000000
        PA
        USD
        515596.73000000
        0.070095411379
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2066-06-25
          Variable
          0.93100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SCIENTIFIC GAMES INTERNATIO
        RLTHESQ0RNFQJWPBJN60
        Scientific Games International Inc
        80875AAP6
        
          
          
        
        498701.30000000
        PA
        USD
        497457.04000000
        0.067629319260
        Long
        LON
        CORP
        US
        N
        
        2
        
          2024-08-14
          Floating
          3.18060000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CONTINENTAL RESOURCES
        XXRTID9RYWOZ0UPIVR53
        Continental Resources Inc/OK
        212015AL5
        
          
          
        
        2460000.00000000
        PA
        USD
        2493480.60000000
        0.338988861362
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-04-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dryden Senior Loan Fund
        254900JFO9XUH2EREJ70
        Dryden 75 CLO Ltd
        26252JAS7
        
          
        
        250000.00000000
        PA
        USD
        241632.83000000
        0.032850000080
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-04-15
          Floating
          1.28129000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        US 5 YEAR TREASURY NOTE
        000000000
        
          
          
        
        -115.00000000
        NC
        USD
        -21562.50000000
        -0.00293142337
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Call
            Written
            
              
                
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                  
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                    CBOT 5 Year US Treasury Note
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  Long
                  
                    
                      US TREASURY N/B
                      United States Treasury Note/Bond
                      
                        
                        
                        
                      
                    
                  
                  2022-06-30
                  0.00000000
                  USD
                
              
            
            100000.00000000
            115.75000000
            USD
            2022-04-22
            XXXX
            18668.30000000
          
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967JM4
        
          
          
        
        540000.00000000
        PA
        USD
        551097.00000000
        0.074921675560
        Long
        DBT
        CORP
        US
        N
        
        2
        
          N/A
          Fixed
          5.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO SANTANDER SA
        5493006QMFDDMYWIAM13
        Banco Santander SA
        05964HAG0
        
          
          
        
        200000.00000000
        PA
        USD
        202718.30000000
        0.027559567014
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2023-04-12
          Fixed
          3.84800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140XDFQ4
        
          
        
        98675.62000000
        PA
        USD
        91838.92000000
        0.012485507575
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-10-01
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        09659W2D5
        
          
          
        
        1150000.00000000
        PA
        USD
        1144942.07000000
        0.155654954217
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2025-01-09
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        Barclays Bank PLC
        06739GCR8
        
          
          
        
        460000.00000000
        PA
        USD
        460257.48000000
        0.062572036485
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2022-05-12
          Fixed
          1.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Palmer Square CLO Ltd
        549300Y43K78UTRMTN21
        Palmer Square CLO 2019-1 Ltd
        69700GAJ1
        
          
        
        770000.00000000
        PA
        USD
        760802.78000000
        0.103431190968
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-11-14
          Floating
          1.54486000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMAZON.COM INC
        ZXTILKJKG63JELOEG630
        Amazon.com Inc
        023135BW5
        
          
          
        
        1980000.00000000
        PA
        USD
        1907404.59000000
        0.259311786954
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-05-12
          Fixed
          0.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SHELL INTERNATIONAL FIN
        213800ITMMKU4Z7I4F78
        Shell International Finance BV
        822582BT8
        
          
          
        
        2060000.00000000
        PA
        USD
        2066350.86000000
        0.280920543439
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2026-05-10
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Residential Mortgage Loan
        N/A
        New Residential Mortgage Loan Trust 2022-NQM2
        64831MAA0
        
          
        
        1373476.88000000
        PA
        USD
        1359532.11000000
        0.184828485112
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2062-03-27
          Variable
          3.07900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NORDEA BANK ABP
        529900ODI3047E2LIV03
        Nordea Bank Abp
        65559CAC5
        
          
          
        
        1050000.00000000
        PA
        USD
        1000650.24000000
        0.136038469872
        Long
        DBT
        CORP
        FI
        N
        
        2
        
          2024-05-24
          Fixed
          0.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RML3
        
          
          
        
        1200000.00000000
        PA
        USD
        1137680.60000000
        0.154667756864
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-25
          Fixed
          1.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        CME 3 Month Eurodollar
        000000000
        
          
          
        
        -62.00000000
        NC
        USD
        53791.67000000
        0.007312981285
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Short
            
              
                NA
                90 DAY EURO DOLLAR TIME DEPOSIT
                
                  
                  
                
              
            
            2022-06-13
            -15316641.67000000
            USD
            53791.67000000
          
        
        
          N
          N
          N
        
      
      
        CHARTER COMMUNICATIONS OPER
        549300TPZNMN50BJ3745
        Charter Communications Operating LLC
        16117LBW8
        
          
          
        
        500000.00000000
        PA
        USD
        498672.50000000
        0.067794561131
        Long
        LON
        CORP
        US
        N
        
        2
        
          2025-04-30
          Floating
          1.96000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEXSTAR MEDIA INC
        5493006PK6I4I2OOT688
        Nexstar Media Inc
        65336RAW8
        
          
          
        
        750000.00000000
        PA
        USD
        748057.50000000
        0.101698469263
        Long
        LON
        CORP
        US
        N
        
        2
        
          2026-09-19
          Floating
          2.73060000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BCRED MML CLO 2021-1 LLC
        N/A
        BCRED MML CLO 2021-1 LLC
        05554LAG7
        
          
        
        1050000.00000000
        PA
        USD
        1049291.36000000
        0.142651233526
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2035-01-15
          Floating
          1.80953000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IBM CORP
        VGRQXHF3J8VDLUA7XE92
        International Business Machines Corp
        459200JY8
        
          
          
        
        910000.00000000
        PA
        USD
        916460.15000000
        0.124592821268
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-05-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SCHLUMBERGER HLDGS CORP
        529900IKZG65COT1D505
        Schlumberger Holdings Corp
        806851AK7
        
          
          
        
        500000.00000000
        PA
        USD
        505817.97000000
        0.068765988276
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-05-17
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WAMU Mortgage Pass-Through Cer
        N/A
        WaMu Mortgage Pass-Through Certificates Series 2005-AR19 Trust
        92925CBD3
        
          
        
        24469.77000000
        PA
        USD
        24154.23000000
        0.003283769252
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-12-25
          Floating
          1.27657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Magnetite CLO Ltd
        549300XD71H6EU9N2I97
        Magnetite XIV-R LTD
        55954LAL7
        
          
        
        730000.00000000
        PA
        USD
        723290.04000000
        0.098331331350
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-10-18
          Floating
          1.35914000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KINDER MORGAN INC
        549300WR7IX8XE0TBO16
        Kinder Morgan Inc
        49456BAF8
        
          
          
        
        1570000.00000000
        PA
        USD
        1614216.91000000
        0.219452901423
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-01
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARLES SCHWAB CORP
        549300VSGCJ7E698NM85
        Charles Schwab Corp/The
        808513BN4
        
          
          
        
        1970000.00000000
        PA
        USD
        1905821.22000000
        0.259096527692
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-18
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS CO
        54930070NSV60J38I987
        General Motors Co
        37045VAW0
        
          
          
        
        600000.00000000
        PA
        USD
        621068.16000000
        0.084434259639
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-10-02
          Fixed
          5.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38141GWQ3
        
          
          
        
        2920000.00000000
        PA
        USD
        2927202.53000000
        0.397953387976
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-09-29
          Fixed
          3.27200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PNC FINANCIAL SERVICES
        CFGNEKW0P8842LEUIA51
        PNC Financial Services Group Inc/The
        693475AV7
        
          
          
        
        900000.00000000
        PA
        USD
        913049.49000000
        0.124129141803
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-01-23
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ocean Trails CLO
        635400RMMLHBGDGXBC03
        Ocean Trails Clo X
        67516CAN9
        
          
        
        330000.00000000
        PA
        USD
        327501.91000000
        0.044523907490
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2034-10-15
          Floating
          1.46129000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        CBOT 2 Year US Treasury Note
        000000000
        
          
          
        
        623.00000000
        NC
        USD
        -1871092.80000000
        -0.25437519657
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2022-06-30
            133898421.54000000
            USD
            -1871092.80000000
          
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        Pacific Gas and Electric Co
        694308JE8
        
          
          
        
        690000.00000000
        PA
        USD
        689288.95000000
        0.093708880795
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-06-16
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sonic Capital LLC
        N/A
        Sonic Capital LLC
        83546DAG3
        
          
        
        88575.00000000
        PA
        USD
        86834.97000000
        0.011805220223
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2050-01-20
          Fixed
          3.84500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2020-R01
        20754CAB5
        
          
        
        181556.52000000
        PA
        USD
        181485.93000000
        0.024673024832
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2040-01-25
          Floating
          2.50657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MIZUHO FINANCIAL GROUP
        353800CI5L6DDAN5XZ33
        Mizuho Financial Group Inc
        60687YBJ7
        
          
          
        
        1160000.00000000
        PA
        USD
        1125042.44000000
        0.152949598132
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2024-09-08
          Fixed
          0.84900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VGG3
        
          
          
        
        1250000.00000000
        PA
        USD
        1176807.40000000
        0.159987048052
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-20
          Fixed
          1.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        Three-Month SOFR
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -3814.60000000
        -0.00051859513
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Long
            
              
                THE SECURED OVERNIGHT FINANCING RATE
                THE SECURED OVERNIGHT FINANCING RATE
                
                  
                  
                
              
            
            2024-03-19
            246889.60000000
            USD
            -3814.60000000
          
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABR5
        
          
          
        
        3880000.00000000
        PA
        USD
        3660392.00000000
        0.497630547525
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-15
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED AIRLINES INC
        K1OQBWM7XEOO08LDNP29
        United Airlines Inc
        90932LAG2
        
          
          
        
        800000.00000000
        PA
        USD
        788000.00000000
        0.107128654922
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-15
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WESTERN MIDSTREAM OPERAT
        L6D8A6MLSY454J2JXJ60
        Western Midstream Operating LP
        958254AB0
        
          
          
        
        560000.00000000
        PA
        USD
        560000.00000000
        0.076132039031
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-07-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital I Trust
        N/A
        Morgan Stanley Capital I Trust 2019-BPR
        61769GAA5
        
          
        
        670000.00000000
        PA
        USD
        661855.15000000
        0.089979253773
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-05-15
          Floating
          1.79700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC 2020-TMIC
        126390AA1
        
          
        
        1350000.00000000
        PA
        USD
        1346256.05000000
        0.183023603829
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-12-15
          Floating
          3.39700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WILLIAMS COMPANIES INC
        D71FAKCBLFS2O0RBPG08
        Williams Cos Inc/The
        96950FAM6
        
          
          
        
        1000000.00000000
        PA
        USD
        1022823.13000000
        0.139052875813
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-04
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO SANTANDER SA
        5493006QMFDDMYWIAM13
        Banco Santander SA
        05964HAQ8
        
          
          
        
        1200000.00000000
        PA
        USD
        1206892.15000000
        0.164077071911
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2028-03-24
          Fixed
          4.17500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Symphony CLO Ltd
        549300JQYSBIW1AM8R32
        Symphony CLO XVIII Ltd
        87154GAY1
        
          
        
        1040000.00000000
        PA
        USD
        1034317.90000000
        0.140615590595
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-07-23
          Floating
          1.85886000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SREIT Trust
        N/A
        SREIT Trust 2021-MFP
        78472UAA6
        
          
        
        1650000.00000000
        PA
        USD
        1617959.64000000
        0.219961725827
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-11-15
          Floating
          1.12737000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376XNT6
        
          
        
        289814.70000000
        PA
        USD
        289445.74000000
        0.039350168527
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2060-03-20
          Floating
          0.78057000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REYNOLDS AMERICAN INC
        02S2RPPVO9RP4NEU2740
        Reynolds American Inc
        761713AY2
        
          
          
        
        2140000.00000000
        PA
        USD
        2192999.82000000
        0.298138478378
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-09-15
          Fixed
          4.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BPR Trust
        N/A
        BPR Trust 2021-TY
        05592AAJ9
        
          
        
        990000.00000000
        PA
        USD
        969882.11000000
        0.131855540454
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-09-15
          Floating
          2.09700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Western Asset Premier Institutional Government Reserves
        549300WB3XRN9YTWFB76
        Western Asset Premier Institutional Government Reserves
        52470G494
        
          
          
        
        56903882.56000000
        NS
        USD
        56903882.56000000
        7.736086800165
        Long
        STIV
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        DERMIRA INC
        549300O9N05J47OFMV14
        Dermira Inc
        24983LAB0
        
          
        
        180000.00000000
        PA
        USD
        181575.00000000
        0.024685133905
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-05-15
          Fixed
          3.00000000
          N
          N
          N
          N
          N
          
            
              Dermira Inc
              Convertible Debt Underlying - 528.89 Cash - 28.2079 Equity Conversion on Dermira Inc.
              USD
              
                
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Structured Asset Securities Co
        N/A
        Structured Asset Securities Corp Mortgage Loan Trust 2006-GEL4
        86361NAD3
        
          
        
        399645.36000000
        PA
        USD
        395591.56000000
        0.053780700154
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-10-25
          Floating
          1.02657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTL LEASE FINANCE CORP
        N/A
        International Lease Finance Corp
        459745GN9
        
          
          
        
        470000.00000000
        PA
        USD
        475839.89000000
        0.064690466210
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-08-15
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MPLX LP
        5493000CZJ19CK4P3G36
        MPLX LP
        55336VAE0
        
          
          
        
        1070000.00000000
        PA
        USD
        1088298.00000000
        0.147954188953
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-07-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VEN0
        
          
          
        
        2070000.00000000
        PA
        USD
        2098139.08000000
        0.285242154163
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-15
          Fixed
          3.37600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Carlyle Global Market Strategi
        549300VC6J79YJCFU884
        Carlyle US Clo 2017-2 Ltd
        14315JAQ2
        
          
        
        1250000.00000000
        PA
        USD
        1240148.34000000
        0.168598253259
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-07-20
          Floating
          1.30400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VER1
        
          
          
        
        762000.00000000
        PA
        USD
        805029.32000000
        0.109443792163
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-09-21
          Fixed
          4.32900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OHA Loan Funding Ltd
        N/A
        OHA Loan Funding 2013-2 Ltd
        67104LAE7
        
          
        
        240000.00000000
        PA
        USD
        237937.00000000
        0.032347551733
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-05-23
          Floating
          1.50386000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Commercial Mortgage Trust 2021-XL2
        05609KAQ2
        
          
        
        966204.22000000
        PA
        USD
        931974.02000000
        0.126701932976
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-10-15
          Floating
          4.28700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Avis Budget Rental Car Funding
        IHXLB8SL0QWSSG2VG640
        Avis Budget Rental Car Funding AESOP LLC
        05377REK6
        
          
        
        980000.00000000
        PA
        USD
        894779.20000000
        0.121645294605
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2027-08-20
          Fixed
          2.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CD Commercial Mortgage Trust
        N/A
        CD 2016-CD2 Mortgage Trust
        12515ABE9
        
          
        
        960000.00000000
        PA
        USD
        964823.52000000
        0.131167824791
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-11-10
          Variable
          3.52600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC 2020-RPL4 Trust
        126405AA7
        
          
        
        355644.45000000
        PA
        USD
        343811.66000000
        0.046741219140
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2060-01-25
          Variable
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38375BKE1
        
          
        
        108043.02000000
        PA
        USD
        107788.61000000
        0.014653869042
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2060-12-20
          Floating
          0.60629000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HGI CRE CLO Ltd
        N/A
        HGI CRE CLO 2021-FL2 Ltd
        40390JAA0
        
          
        
        1320000.00000000
        PA
        USD
        1298791.24000000
        0.176570759602
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2036-09-17
          Floating
          1.43057000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MBRT 2019 MBR
        N/A
        MBRT 2019-MBR
        55282DBE3
        
          
        
        625000.00000000
        PA
        USD
        612489.56000000
        0.083267998371
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-11-15
          Floating
          4.64700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Octagon Investment Partners 47
        N/A
        Octagon Investment Partners 47 Ltd
        67576XAL4
        
          
        
        750000.00000000
        PA
        USD
        742254.11000000
        0.100909497988
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-07-20
          Floating
          1.41400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MICROCHIP TECHNOLOGY INC
        5493007PTFULNYZJ1R12
        Microchip Technology Inc
        595017AX2
        
          
          
        
        200000.00000000
        PA
        USD
        189525.96000000
        0.025766067471
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-09-01
          Fixed
          0.98300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38375BXV9
        
          
        
        106708.51000000
        PA
        USD
        106515.28000000
        0.014480759739
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2062-10-20
          Floating
          0.62629000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        QATAR ENERGY
        254900QTESJKJ3P87J26
        Qatar Energy
        74730DAB9
        
          
          
        
        1670000.00000000
        PA
        USD
        1561124.35000000
        0.212234964191
        Long
        DBT
        CORP
        QA
        N
        
        2
        
          2026-09-12
          Fixed
          1.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS GROUP AG
        549300SZJ9VS8SGXAN81
        UBS Group AG
        90351DAB3
        
          
          
        
        940000.00000000
        PA
        USD
        958360.59000000
        0.130289189007
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2025-09-24
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38375BGF3
        
          
        
        750922.52000000
        PA
        USD
        746926.34000000
        0.101544687982
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2060-10-20
          Floating
          0.43629000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MITSUBISHI UFJ FIN GRP
        353800V2V8PUY9TK3E06
        Mitsubishi UFJ Financial Group Inc
        606822BV5
        
          
          
        
        820000.00000000
        PA
        USD
        795130.96000000
        0.108098109431
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2024-09-15
          Fixed
          0.84800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61761JVL0
        
          
          
        
        1390000.00000000
        PA
        USD
        1415792.95000000
        0.192477150231
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-23
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Residential Mortgage Loan
        N/A
        New Residential Mortgage Loan Trust 2017-4
        64829NAA2
        
          
        
        162946.78000000
        PA
        USD
        163340.88000000
        0.022206204020
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2057-05-25
          Variable
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HUMANA INC
        529900YLDW34GJAO4J06
        Humana Inc
        444859BP6
        
          
          
        
        3020000.00000000
        PA
        USD
        2947628.21000000
        0.400730260595
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-08-03
          Fixed
          0.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ASURION LLC
        549300KNQVXGIOXWK278
        Asurion LLC
        04649VAY6
        
          
          
        
        498740.55000000
        PA
        USD
        489389.16000000
        0.066532490411
        Long
        LON
        CORP
        US
        N
        
        2
        
          2027-07-31
          Floating
          3.70510000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38141GXJ8
        
          
          
        
        1010000.00000000
        PA
        USD
        1018148.95000000
        0.138417420716
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        CME 3 Month Eurodollar
        000000000
        
          
          
        
        102.00000000
        NC
        USD
        -605064.20000000
        -0.08225852016
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Long
            
              
                NA
                90 DAY EURO DOLLAR TIME DEPOSIT
                
                  
                  
                
              
            
            2023-06-19
            25306914.20000000
            USD
            -605064.20000000
          
        
        
          N
          N
          N
        
      
      
        SANDS CHINA LTD
        549300EVO6UZDGY05787
        Sands China Ltd
        80007RAP0
        
          
          
        
        200000.00000000
        PA
        USD
        171000.00000000
        0.023247461918
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2029-03-08
          Fixed
          3.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Acquisition
        N/A
        JP Morgan Mortgage Acquisition Trust 2007-CH2
        46630MAY8
        
          
        
        420000.00000000
        PA
        USD
        409416.92000000
        0.055660258809
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-01-25
          Floating
          0.75657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NORDEA BANK ABP
        529900ODI3047E2LIV03
        Nordea Bank Abp
        65557CBE2
        
          
          
        
        290000.00000000
        PA
        USD
        284246.90000000
        0.038643385866
        Long
        DBT
        CORP
        FI
        N
        
        2
        
          2023-06-09
          Fixed
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc of America Mortgage Secur
        N/A
        Bank of America Mortgage 2002-J Trust
        06050HVQ8
        
          
        
        38851.43000000
        PA
        USD
        38667.15000000
        0.005256801737
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-09-25
          Variable
          3.39071000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS HEALTH CORP
        549300EJG376EN5NQE29
        CVS Health Corp
        126650DF4
        
          
          
        
        1190000.00000000
        PA
        USD
        1181995.73000000
        0.160692401877
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-08-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175BQ6
        
          
          
        
        1330000.00000000
        PA
        USD
        1361228.91000000
        0.185059165190
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Whitebox CLO I Ltd
        549300C89ZJ5IWOT1F21
        Whitebox Clo II Ltd
        96466CAL2
        
          
        
        610000.00000000
        PA
        USD
        601744.24000000
        0.081807171368
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-10-24
          Floating
          1.47886000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Trust 2021-ARIA
        05608RAQ8
        
          
        
        990000.00000000
        PA
        USD
        956538.89000000
        0.130041528765
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-10-15
          Floating
          3.53910000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Structured Pass Through
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Structured Pass-Through Certificates
        31392W7B0
        
          
        
        42719.30000000
        PA
        USD
        49398.13000000
        0.006715679216
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-09-25
          Variable
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967MQ1
        
          
          
        
        3090000.00000000
        PA
        USD
        3065936.78000000
        0.416814318933
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-08
          Fixed
          3.10600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NXP BV/NXP FDG/NXP USA
        N/A
        NXP BV / NXP Funding LLC / NXP USA Inc
        62954HAE8
        
          
          
        
        46000.00000000
        PA
        USD
        44634.94000000
        0.006068123204
        Long
        DBT
        CORP
        N/A
        N
        
        2
        
          2025-05-01
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US BANCORP
        N1GZ7BBF3NP8GI976H15
        US Bancorp
        91159HHZ6
        
          
          
        
        930000.00000000
        PA
        USD
        889930.94000000
        0.120986173320
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-12
          Fixed
          1.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31386QFL0
        
          
        
        374.14000000
        PA
        USD
        383.68000000
        0.000052161322
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-03-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36210FXS0
        
          
        
        4788.82000000
        PA
        USD
        5115.27000000
        0.000695421313
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2028-11-15
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        CBOT 10 Year US Treasury Note
        000000000
        
          
          
        
        -269.00000000
        NC
        USD
        993121.03000000
        0.135014873247
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2022-06-21
            -34046496.03000000
            USD
            993121.03000000
          
        
        
          N
          N
          N
        
      
      
        MAGALLANES INC
        549300DXR29GD4N0A520
        Magallanes Inc
        55903VAE3
        
          
          
        
        470000.00000000
        PA
        USD
        473356.55000000
        0.064352855964
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-15
          Fixed
          3.63800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        US 5 YEAR TREASURY NOTE
        000000000
        
          
          
        
        111.00000000
        NC
        USD
        47695.37000000
        0.006484188875
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Call
            Purchased
            
              
                
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                  
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                    CBOT 5 Year US Treasury Note
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  Long
                  
                    
                      US TREASURY N/B
                      United States Treasury Note/Bond
                      
                        
                        
                        
                      
                    
                  
                  2022-06-30
                  0.00000000
                  USD
                
              
            
            100000.00000000
            115.00000000
            USD
            2022-04-22
            XXXX
            -21113.90000000
          
        
        
          N
          N
          N
        
      
      
        COMMSCOPE INC
        549300Z6K4JXMFE8QY54
        CommScope Inc
        203372AX5
        
          
          
        
        10000.00000000
        PA
        USD
        9223.80000000
        0.001253976252
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-09-01
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MET LIFE GLOB FUNDING I
        635400MMSOCXNNNZDZ82
        Metropolitan Life Global Funding I
        59217GEH8
        
          
          
        
        320000.00000000
        PA
        USD
        314512.52000000
        0.042757999015
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-06-08
          Fixed
          0.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IndyMac INDX Mortgage Loan Tru
        N/A
        IndyMac INDX Mortgage Loan Trust 2004-AR14
        45660LAC3
        
          
          
        
        47729.52000000
        PA
        USD
        41586.92000000
        0.005653744672
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-01-25
          Floating
          1.17657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Avery Point CLO Ltd
        N/A
        Avery Point VI CLO Ltd
        05363LBC6
        
          
        
        192995.36000000
        PA
        USD
        192074.47000000
        0.026112537583
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2027-08-05
          Floating
          1.21500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        US 5 YEAR TREASURY NOTE
        000000000
        
          
          
        
        139.00000000
        NC
        USD
        95562.50000000
        0.012991728535
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Call
            Purchased
            
              
                
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                  
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                    CBOT 5 Year US Treasury Note
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  Long
                  
                    
                      US TREASURY N/B
                      United States Treasury Note/Bond
                      
                        
                        
                        
                      
                    
                  
                  2022-06-30
                  0.00000000
                  USD
                
              
            
            100000.00000000
            114.50000000
            USD
            2022-04-22
            XXXX
            24736.02000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38375BGS5
        
          
        
        655615.48000000
        PA
        USD
        652630.53000000
        0.088725166041
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2058-08-20
          Floating
          0.45629000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31384WD49
        
          
          
        
        4850.96000000
        PA
        USD
        5314.95000000
        0.000722567822
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-02-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SAUDI INTERNATIONAL BOND
        635400FMICXSM3SI3H65
        Saudi Government International Bond
        80413TAH2
        
          
          
        
        1420000.00000000
        PA
        USD
        1557747.10000000
        0.211775826818
        Long
        DBT
        NUSS
        SA
        N
        
        2
        
          2030-04-17
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF NOVA SCOTIA
        L3I9ZG2KFGXZ61BMYR72
        Bank of Nova Scotia/The
        064159VM5
        
          
          
        
        1300000.00000000
        PA
        USD
        1275339.14000000
        0.173382444972
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2023-06-15
          Fixed
          0.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2021-DNA1
        35564KAH2
        
          
        
        230000.00000000
        PA
        USD
        225541.45000000
        0.030662375847
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-01-25
          Floating
          1.89900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Asset Securities Co
        N/A
        Structured Asset Securities Corp
        86359BYT2
        
          
        
        6239.15000000
        PA
        USD
        5791.48000000
        0.000787352109
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2029-12-25
          Variable
          7.95124100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        APPLOVIN CORP
        549300LLVXMUAOL3SQ07
        AppLovin Corp
        03835EAC8
        
          
          
        
        748067.01000000
        PA
        USD
        745321.60000000
        0.101326523468
        Long
        LON
        CORP
        US
        N
        
        2
        
          2025-08-15
          Floating
          3.45860000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UKY7
        
          
          
        
        31708.52000000
        PA
        USD
        32989.03000000
        0.004484860927
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-01-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MRCD Mortgage Trust
        N/A
        MRCD 2019-MARK Mortgage Trust
        55348UAG3
        
          
        
        970000.00000000
        PA
        USD
        939529.78000000
        0.127729139075
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-12-15
          Fixed
          2.71752000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31385JJX7
        
          
        
        9377.94000000
        PA
        USD
        9862.81000000
        0.001340849706
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-06-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust
        N/A
        Citigroup Mortgage Loan Trust 2007-AR4
        17311WAD9
        
          
        
        20758.97000000
        PA
        USD
        20660.61000000
        0.002808811369
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-03-25
          Variable
          2.42500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley BAML Trust
        N/A
        Morgan Stanley Bank of America Merrill Lynch Trust 2016-C32
        61691GAQ3
        
          
        
        244709.59000000
        PA
        USD
        245751.54000000
        0.033409938991
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-12-15
          Fixed
          3.51400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CONTINENTAL RESOURCES
        XXRTID9RYWOZ0UPIVR53
        Continental Resources Inc/OK
        212015AN1
        
          
          
        
        860000.00000000
        PA
        USD
        864140.90000000
        0.117480015584
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-01
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Asset Securities Co
        N/A
        Structured Asset Sec Corp Mort Pass Thr Cert Ser 2002-3
        86358RWV5
        
          
        
        263166.27000000
        PA
        USD
        300281.29000000
        0.040823262304
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-03-25
          Variable
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617MQCZ7
        
          
        
        79253.35000000
        PA
        USD
        77023.82000000
        0.010471393697
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-12-20
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Whitebox CLO I Ltd
        549300E4AC0513DYO913
        Whitebox Clo I Ltd
        96467FAJ9
        
          
        
        1350000.00000000
        PA
        USD
        1342140.16000000
        0.182464048297
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-07-24
          Floating
          1.38886000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Residential Mortgage Loan
        N/A
        New Residential Mortgage Loan Trust 2017-2
        64829KAU4
        
          
        
        352580.61000000
        PA
        USD
        359476.03000000
        0.048870791333
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2057-03-25
          Variable
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chase Mortgage Finance Corpora
        N/A
        Chase Mortgage Finance Trust Series 2007-A1
        161630AJ7
        
          
        
        7185.16000000
        PA
        USD
        7107.65000000
        0.000966285512
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-02-25
          Variable
          2.46192900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CONTINENTAL RESOURCES
        XXRTID9RYWOZ0UPIVR53
        Continental Resources Inc/OK
        212015AU5
        
          
          
        
        250000.00000000
        PA
        USD
        233750.00000000
        0.031778328792
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-11-15
          Fixed
          2.26800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828ZW3
        
          
          
        
        20000.00000000
        PA
        USD
        18583.98000000
        0.002526493376
        Long
        DBT
        UST
        US
        N
        
        2
        
          2025-06-30
          Fixed
          0.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3132AEFK7
        
          
        
        85970.40000000
        PA
        USD
        88692.74000000
        0.012057784184
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-04-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF MONTREAL
        NQQ6HPCNCCU6TUTQYE16
        Bank of Montreal
        06367WB85
        
          
          
        
        1260000.00000000
        PA
        USD
        1211840.67000000
        0.164749823550
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2025-05-01
          Fixed
          1.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Option One Mortgage Loan Trust
        N/A
        Option One Mortgage Loan Trust 2007-FXD1
        68402VAB8
        
          
        
        431293.55000000
        PA
        USD
        398592.53000000
        0.054188682234
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-01-25
          Variable
          5.86600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITEDHEALTH GROUP INC
        549300GHBMY8T5GXDE41
        UnitedHealth Group Inc
        91324PDJ8
        
          
          
        
        50000.00000000
        PA
        USD
        50670.52000000
        0.006888660725
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-06-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FXFZ0
        
          
        
        91707.17000000
        PA
        USD
        96296.22000000
        0.013091477820
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2057-01-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        D.R. HORTON INC
        529900ZIUEYVSB8QDD25
        DR Horton Inc
        23331ABM0
        
          
          
        
        240000.00000000
        PA
        USD
        236856.14000000
        0.032200608741
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TENCENT HOLDINGS LTD
        254900N4SLUMW4XUYY11
        Tencent Holdings Ltd
        88032XAE4
        
          
          
        
        710000.00000000
        PA
        USD
        709918.08000000
        0.096513412456
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2023-01-19
          Fixed
          2.98500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XUW2
        
          
        
        370000.00000000
        PA
        USD
        377412.58000000
        0.051309266556
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2030-05-25
          Floating
          4.45657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fanniemae-Aces
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae-Aces
        3136B57A7
        
          
        
        194283.88000000
        PA
        USD
        191756.40000000
        0.026069295945
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-09-25
          Fixed
          2.56000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMAZON.COM INC
        ZXTILKJKG63JELOEG630
        Amazon.com Inc
        023135BP0
        
          
          
        
        300000.00000000
        PA
        USD
        295211.45000000
        0.040134017203
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-06-03
          Fixed
          0.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140XB4B3
        
          
        
        558769.61000000
        PA
        USD
        554395.65000000
        0.075370127258
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-02-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Adjustable Rate Mor
        N/A
        Structured Adjustable Rate Mortgage Loan Trust
        863579SU3
        
          
        
        11828.89000000
        PA
        USD
        10958.13000000
        0.001489758537
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-06-25
          Variable
          2.33660800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3620E0DZ6
        
          
        
        22179.11000000
        PA
        USD
        22301.35000000
        0.003031870086
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2060-07-20
          Floating
          1.20600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATWEST GROUP PLC
        2138005O9XJIJN4JPN90
        NatWest Group PLC
        780097BK6
        
          
          
        
        1770000.00000000
        PA
        USD
        1791387.55000000
        0.243539262280
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-03-22
          Fixed
          4.26900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        US 5 YEAR TREASURY NOTE
        000000000
        
          
          
        
        -34.00000000
        NC
        USD
        -796.89000000
        -0.00010833725
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Call
            Written
            
              
                
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                  
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                    CBOT 5 Year US Treasury Note
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  Long
                  
                    
                      US TREASURY N/B
                      United States Treasury Note/Bond
                      
                        
                        
                        
                      
                    
                  
                  2022-06-30
                  0.00000000
                  USD
                
              
            
            100000.00000000
            118.25000000
            USD
            2022-04-22
            XXXX
            14550.54000000
          
        
        
          N
          N
          N
        
      
      
        HOME DEPOT INC
        QEKMOTMBBKA8I816DO57
        Home Depot Inc/The
        437076CM2
        
          
          
        
        870000.00000000
        PA
        USD
        867646.39000000
        0.117956587194
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-15
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        Broadcom Inc
        11135FBC4
        
          
          
        
        360000.00000000
        PA
        USD
        373896.85000000
        0.050831302817
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-15
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31384WJZ4
        
          
        
        1535.24000000
        PA
        USD
        1658.05000000
        0.000225412013
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-02-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617MKP78
        
          
        
        78101.10000000
        PA
        USD
        74565.57000000
        0.010137194438
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-12-20
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Corportation Trust 2021-IP
        36262MAA6
        
          
        
        990000.00000000
        PA
        USD
        972611.44000000
        0.132226593057
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-10-15
          Floating
          1.34700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MidOcean Credit CLO
        549300XXQYQPW7OQNX23
        Midocean Credit CLO IX
        59802MAE7
        
          
        
        1750000.00000000
        PA
        USD
        1736875.00000000
        0.236128277308
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-07-20
          Floating
          2.00400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MASSMUTUAL GLOBAL FUNDIN
        549300K1IE3K7YU6VG29
        MassMutual Global Funding II
        57629WCU2
        
          
          
        
        460000.00000000
        PA
        USD
        452038.70000000
        0.061454692771
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-06-09
          Fixed
          0.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        Barclays Bank PLC
        06740L8C2
        
          
          
        
        244000.00000000
        PA
        USD
        250182.92000000
        0.034012385411
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2022-11-21
          Fixed
          7.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EQT CORP
        4NT01YGM4X7ZX86ISY52
        EQT Corp
        26884LAM1
        
          
          
        
        560000.00000000
        PA
        USD
        544560.80000000
        0.074033078715
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-05-15
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Impac CMB Trust
        N/A
        Impac CMB Trust Series 2007-A
        452550AA4
        
          
        
        47665.98000000
        PA
        USD
        47184.93000000
        0.006414794522
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-05-25
          Floating
          0.95657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EQT CORP
        4NT01YGM4X7ZX86ISY52
        EQT Corp
        26884LAL3
        
          
          
        
        1150000.00000000
        PA
        USD
        1188605.50000000
        0.161591000569
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-01-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137ACDW6
        
          
        
        23664.19000000
        PA
        USD
        23690.67000000
        0.003220748237
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-11-15
          Floating
          0.74657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Navient Student Loan Trust
        N/A
        Navient Student Loan Trust 2016-6
        63940LAC8
        
          
        
        1940000.00000000
        PA
        USD
        1986089.36000000
        0.270008986920
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2066-03-25
          Floating
          1.75657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Foundation Finance Trust
        549300MQ65NOVQXYNB21
        Foundation Finance Trust 2021-1
        35041LAA8
        
          
        
        562573.82000000
        PA
        USD
        531866.12000000
        0.072307236084
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2041-05-15
          Fixed
          1.27000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Whitebox CLO III Ltd
        549300JXCQSPB1A61C68
        Whitebox CLO III Ltd
        96467HAA4
        
          
        
        660000.00000000
        PA
        USD
        654362.33000000
        0.088960604371
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-10-15
          Floating
          1.34093000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Home Equity Loan T
        N/A
        CWABS Revolving Home Equity Loan Trust Series 2004-B
        1266715X0
        
          
        
        608127.41000000
        PA
        USD
        578899.53000000
        0.078701431452
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2029-02-15
          Floating
          0.61657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GJC4
        
          
          
        
        2740000.00000000
        PA
        USD
        2701510.07000000
        0.367270482308
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-05-19
          Fixed
          1.48600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS HEALTH CORP
        549300EJG376EN5NQE29
        CVS Health Corp
        126650DE7
        
          
          
        
        3630000.00000000
        PA
        USD
        3620902.02000000
        0.492261881991
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-15
          Fixed
          2.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00774MAU9
        
          
          
        
        2260000.00000000
        PA
        USD
        2136255.08000000
        0.290424027020
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2024-10-29
          Fixed
          1.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31384VQR6
        
          
          
        
        3091.84000000
        PA
        USD
        3318.26000000
        0.000451117678
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-02-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        US 5 YEAR TREASURY NOTE
        000000000
        
          
          
        
        -40.00000000
        NC
        USD
        -7500.00000000
        -0.00101962552
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Call
            Written
            
              
                
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                  
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                    CBOT 5 Year US Treasury Note
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  Long
                  
                    
                      US TREASURY N/B
                      United States Treasury Note/Bond
                      
                        
                        
                        
                      
                    
                  
                  2022-06-30
                  0.00000000
                  USD
                
              
            
            100000.00000000
            115.75000000
            USD
            2022-04-22
            XXXX
            6180.80000000
          
        
        
          N
          N
          N
        
      
      
        HalseyPoint CLO 3, Ltd.
        N/A
        HalseyPoint CLO 3 Ltd
        40638UAA7
        
          
        
        370000.00000000
        PA
        USD
        367534.44000000
        0.049966332734
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-11-30
          Floating
          1.74900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31378LZK1
        
          
        
        30.91000000
        PA
        USD
        33.00000000
        0.000004486352
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-11-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Black Diamond CLO Ltd
        54930069GUF2V1O4MD77
        Black Diamond Clo 2017-1 Ltd
        09202VAY4
        
          
        
        876156.20000000
        PA
        USD
        876304.33000000
        0.119133634740
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-04-24
          Floating
          1.30886000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31390C5L6
        
          
        
        4921.26000000
        PA
        USD
        4974.91000000
        0.000676339361
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-07-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Golub Capital Partners CLO Ltd
        N/A
        Golub Capital Partners Clo 47M Ltd
        38176VAA7
        
          
        
        1080000.00000000
        PA
        USD
        1076210.85000000
        0.146310940068
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-05-05
          Floating
          1.99500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WAMU Mortgage Pass-Through Cer
        N/A
        WaMu Mortgage Pass-Through Certificates Series 2006-AR13 Trust
        93363RAB2
        
          
          
        
        408216.26000000
        PA
        USD
        395624.01000000
        0.053785111734
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-10-25
          Floating
          1.72300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38141GWT7
        
          
          
        
        370000.00000000
        PA
        USD
        373442.37000000
        0.050769516229
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-02-23
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HOME DEPOT INC
        QEKMOTMBBKA8I816DO57
        Home Depot Inc/The
        437076CA8
        
          
          
        
        770000.00000000
        PA
        USD
        757124.01000000
        0.102931061930
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VALE OVERSEAS LIMITED
        254900BA3U6G5DNV5V04
        Vale Overseas Ltd
        91911TAH6
        
          
          
        
        751000.00000000
        PA
        USD
        907335.67000000
        0.123352347576
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2036-11-21
          Fixed
          6.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMAZON.COM INC
        ZXTILKJKG63JELOEG630
        Amazon.com Inc
        023135BQ8
        
          
          
        
        650000.00000000
        PA
        USD
        615415.35000000
        0.083665759726
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-03
          Fixed
          0.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mor
        N/A
        JP Morgan Chase Commercial Mortgage Securities Trust 2021-NYAH
        46654EAL5
        
          
        
        1320000.00000000
        PA
        USD
        1275808.38000000
        0.173446238183
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-06-15
          Floating
          2.58700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Owl Rock CLO Ltd
        N/A
        Owl Rock CLO I Ltd
        69122DAA7
        
          
        
        720000.00000000
        PA
        USD
        717547.54000000
        0.097550638075
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-05-20
          Floating
          2.27957000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Merrill Lynch Mortgage Investo
        N/A
        Merrill Lynch Mortgage Investors Trust Series MLMI 2004-A1
        59020UAB1
        
          
        
        7612.78000000
        PA
        USD
        7721.31000000
        0.001049712632
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-02-25
          Variable
          2.29359800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SREIT Trust
        N/A
        SREIT Trust 2021-MFP2
        85236WCE4
        
          
        
        1450000.00000000
        PA
        USD
        1424609.92000000
        0.193675817917
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-11-15
          Floating
          1.21880000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC SERVICES INC
        NKNQHM6BLECKVOQP7O46
        Republic Services Inc
        760759AU4
        
          
          
        
        460000.00000000
        PA
        USD
        455493.31000000
        0.061924347241
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COLT Funding LLC
        N/A
        COLT 2022-2 Mortgage Loan Trust
        19685EAA9
        
          
        
        313856.70000000
        PA
        USD
        307122.62000000
        0.041753341595
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2067-02-25
          Variable
          2.99400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mor
        N/A
        JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN
        46652BAS8
        
          
        
        585812.80000000
        PA
        USD
        565874.43000000
        0.076930668199
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-01-16
          Floating
          3.43057000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EXXON MOBIL CORPORATION
        J3WHBG0MTS7O8ZVMDC91
        Exxon Mobil Corp
        30231GBL5
        
          
          
        
        890000.00000000
        PA
        USD
        887606.85000000
        0.120670213122
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-04-15
          Fixed
          1.57100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BENCHMARK Mortgage Trust
        N/A
        Benchmark 2021-B31 Mortgage Trust
        08163MAE7
        
          
        
        1320000.00000000
        PA
        USD
        1249308.46000000
        0.169843572212
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2054-12-15
          Fixed
          2.66900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENTERPRISE PRODUCTS OPER
        5493004LGN656HWLDA30
        Enterprise Products Operating LLC
        29379VBE2
        
          
          
        
        320000.00000000
        PA
        USD
        326025.38000000
        0.044323173134
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SMB Private Education Loan Tru
        N/A
        SMB Private Education Loan Trust 2021-A
        78448YAC5
        
          
        
        610000.00000000
        PA
        USD
        568425.08000000
        0.077277429244
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2053-01-15
          Fixed
          1.59000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRISTOL-MYERS SQUIBB CO
        HLYYNH7UQUORYSJQCN42
        Bristol-Myers Squibb Co
        110122CM8
        
          
          
        
        301000.00000000
        PA
        USD
        303390.33000000
        0.041245936509
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-26
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MED Trust
        N/A
        Med Trust 2021-MDLN
        58403YAU0
        
          
        
        980000.00000000
        PA
        USD
        958907.56000000
        0.130363549616
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-11-15
          Floating
          3.54700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cerberus
        5493006EIGNTETP6G413
        CERBERUS LOAN FUNDING XXVII LP
        15673FAA8
        
          
        
        470000.00000000
        PA
        USD
        468405.01000000
        0.063679693756
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-01-15
          Floating
          2.04129000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DSLA Mortgage Loan Trust
        N/A
        DSLA Mortgage Loan Trust 2005-AR1
        23332UCM4
        
          
          
        
        15452.98000000
        PA
        USD
        15278.45000000
        0.002077106342
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-02-19
          Floating
          0.94857000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC Series 2021-2R
        12657PAA3
        
          
        
        323106.70000000
        PA
        USD
        328334.95000000
        0.044637159337
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-07-25
          Floating
          1.99143000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Avis Budget Rental Car Funding
        IHXLB8SL0QWSSG2VG640
        Avis Budget Rental Car Funding AESOP LLC
        05377REH3
        
          
        
        1230000.00000000
        PA
        USD
        1142264.22000000
        0.155290900323
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2027-08-20
          Fixed
          1.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2020-DNA6
        35566CAH8
        
          
        
        1310000.00000000
        PA
        USD
        1294644.84000000
        0.176007056233
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-12-25
          Floating
          2.09900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALTRIA GROUP INC
        XSGZFLO9YTNO9VCQV219
        Altria Group Inc
        02209SBH5
        
          
          
        
        1480000.00000000
        PA
        USD
        1438588.09000000
        0.195576151103
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-06
          Fixed
          2.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITEDHEALTH GROUP INC
        549300GHBMY8T5GXDE41
        UnitedHealth Group Inc
        91324PDR0
        
          
          
        
        460000.00000000
        PA
        USD
        458117.35000000
        0.062281085662
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-15
          Fixed
          2.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Zais CLO 13, Limited
        549300GODB02F7ODZK39
        Zais Clo 13 Ltd
        98876NAA2
        
          
        
        300000.00000000
        PA
        USD
        300439.07000000
        0.040844712506
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-07-15
          Floating
          1.73129000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WAMU Mortgage Pass-Through Cer
        N/A
        WaMu Mortgage Pass-Through Certificates Series 2005-AR4 Trust
        92922FG77
        
          
          
        
        11569.94000000
        PA
        USD
        11523.45000000
        0.001566613830
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-04-25
          Variable
          2.86706800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DISH DBS CORP
        N/A
        DISH DBS Corp
        25470XAW5
        
          
          
        
        250000.00000000
        PA
        USD
        249716.25000000
        0.033948941592
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-11-15
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GoodLeap Sustainable Home Impr
        N/A
        GoodLeap Sustainable Home Solutions Trust 2021-4
        38237GAA7
        
          
        
        676159.31000000
        PA
        USD
        613917.16000000
        0.083462080691
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2048-07-20
          Fixed
          1.93000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Nelnet Student Loan Trust
        N/A
        Nelnet Student Loan Trust 2021-A
        64035DAC0
        
          
        
        1310000.00000000
        PA
        USD
        1294574.10000000
        0.175997439125
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2062-04-20
          Floating
          1.47857000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KEY BANK NA
        HUX2X73FUCYHUVH1BK78
        KeyBank NA/Cleveland OH
        49327M3A0
        
          
          
        
        1410000.00000000
        PA
        USD
        1389813.50000000
        0.188945242193
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-01-03
          Fixed
          0.42300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        29278NAH6
        
          
          
        
        300000.00000000
        PA
        USD
        307154.18000000
        0.041757632179
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Octagon Investment Partners XX
        549300XIS9D4AHDX5A35
        Octagon Investment Partners XXI Ltd
        67590QBK2
        
          
        
        260000.00000000
        PA
        USD
        257391.12000000
        0.034992340703
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-02-14
          Floating
          1.39486000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Allegro CLO Ltd
        2549008FHFGEJOVBP855
        Allegro CLO XI Ltd
        01750HAA0
        
          
        
        250000.00000000
        PA
        USD
        249053.66000000
        0.033858862435
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-01-19
          Floating
          1.63800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38141GXE9
        
          
          
        
        6190000.00000000
        PA
        USD
        6271380.67000000
        0.852594639194
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-02-20
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIFTH THIRD BANCORP
        THRNG6BD57P9QWTQLG42
        Fifth Third Bancorp
        316773CX6
        
          
          
        
        230000.00000000
        PA
        USD
        232926.81000000
        0.031666416054
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-01-25
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PHILIP MORRIS INTL INC
        HL3H1H2BGXWVG3BSWR90
        Philip Morris International Inc
        718172CQ0
        
          
          
        
        1930000.00000000
        PA
        USD
        1908301.15000000
        0.259433674348
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-01
          Fixed
          1.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GHR3
        
          
          
        
        840000.00000000
        PA
        USD
        845435.20000000
        0.114936974365
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-15
          Fixed
          3.45800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC HOLDINGS PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280CS6
        
          
          
        
        2420000.00000000
        PA
        USD
        2299250.11000000
        0.312583212709
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-05-24
          Fixed
          0.97600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MASTR Reperforming Loan Trust
        N/A
        MASTR Reperforming Loan Trust 2005-1
        576436AT6
        
          
        
        8753.94000000
        PA
        USD
        7918.35000000
        0.001076500234
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-08-25
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MCDONALD'S CORP
        UE2136O97NLB5BYP9H04
        McDonald's Corp
        58013MFB5
        
          
          
        
        10000.00000000
        PA
        USD
        10191.47000000
        0.001385531056
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Money Management Corp
        549300ICO4ZE2FVC2Y46
        AMMC CLO 23 Ltd
        00177JAS4
        
          
        
        2840000.00000000
        PA
        USD
        2818824.99000000
        0.383219453859
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-10-17
          Floating
          1.28129000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140XC6P8
        
          
        
        95742.35000000
        PA
        USD
        92253.79000000
        0.012541909180
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-09-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179Q6P1
        
          
        
        6197.91000000
        PA
        USD
        6340.06000000
        0.000861931598
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-03-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENTERPRISE PRODUCTS OPER
        5493004LGN656HWLDA30
        Enterprise Products Operating LLC
        29379VBH5
        
          
          
        
        3950000.00000000
        PA
        USD
        4005580.41000000
        0.544558935923
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-15
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CAG6
        
          
          
        
        1350000.00000000
        PA
        USD
        1345545.27000000
        0.182926973239
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-08-31
          Fixed
          0.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Trust 2021-BXMF
        05609RAA2
        
          
        
        1640000.00000000
        PA
        USD
        1592985.96000000
        0.216566552291
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2026-10-15
          Floating
          1.03293000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITEDHEALTH GROUP INC
        549300GHBMY8T5GXDE41
        UnitedHealth Group Inc
        91324PCP5
        
          
          
        
        420000.00000000
        PA
        USD
        432306.14000000
        0.058772049864
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Neuberger Berman CLO Ltd
        549300E610NX15ZSSH14
        Neuberger Berman Loan Advisers CLO 24 Ltd
        64130HAL5
        
          
        
        500000.00000000
        PA
        USD
        497062.50000000
        0.067575681519
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-04-19
          Floating
          1.26800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371HYA0
        
          
        
        1938.30000000
        PA
        USD
        2075.75000000
        0.000282198357
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-10-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Avenue of Americas
        N/A
        AOA 2021-1177 Mortgage Trust
        00192NAA5
        
          
        
        1650000.00000000
        PA
        USD
        1609033.80000000
        0.218748257257
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-10-15
          Floating
          1.27140000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        -963566.34000000
        -0.13099691108
        N/A
        DIR
        CORP
        US
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2024-06-04
            0.00000000
            USD
            0.00000000
            USD
            44336000.00000000
            USD
            -963566.34000000
          
        
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YBC2
        
          
          
        
        2930000.00000000
        PA
        USD
        2987570.69000000
        0.406160443535
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-11-14
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATIONAL SECS CLEARING
        549300RYC9NELN2ICA34
        National Securities Clearing Corp
        637639AA3
        
          
          
        
        1050000.00000000
        PA
        USD
        1041191.25000000
        0.141550023007
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-04-23
          Fixed
          1.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TOYOTA MOTOR CORP
        5493006W3QUS5LMH6R84
        Toyota Motor Corp
        892331AL3
        
          
          
        
        3860000.00000000
        PA
        USD
        3728623.28000000
        0.506906594796
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2024-03-25
          Fixed
          0.68100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CARGILL INC
        QXZYQNMR4JZ5RIRN4T31
        Cargill Inc
        141781BL7
        
          
          
        
        150000.00000000
        PA
        USD
        148200.11000000
        0.020147815283
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-07-23
          Fixed
          1.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38375BH21
        
          
        
        1184898.20000000
        PA
        USD
        1179510.70000000
        0.160354561875
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2062-12-20
          Floating
          0.44629000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - SCRT
        N/A
        Seasoned Credit Risk Transfer Trust Series 2020-2
        35563PRE1
        
          
        
        950000.00000000
        PA
        USD
        904234.13000000
        0.122930692997
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2059-11-25
          Variable
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Flagstar Mortgage Trust
        N/A
        Flagstar Mortgage Trust 2018-2
        33851HAD5
        
          
        
        28218.12000000
        PA
        USD
        28228.68000000
        0.003837691013
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-04-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOUTHWEST AIRLINES CO
        UDTZ87G0STFETI6HGH41
        Southwest Airlines Co
        844741BH0
        
          
          
        
        1210000.00000000
        PA
        USD
        1235927.46000000
        0.168024424329
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-04
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MPLX LP
        5493000CZJ19CK4P3G36
        MPLX LP
        55336VAA8
        
          
          
        
        3380000.00000000
        PA
        USD
        3436243.67000000
        0.467157566438
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC HOLDINGS PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280BZ1
        
          
          
        
        1160000.00000000
        PA
        USD
        1166039.69000000
        0.158523177127
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-03-11
          Fixed
          3.80300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        US 5 YEAR TREASURY NOTE
        000000000
        
          
          
        
        17.00000000
        NC
        USD
        7304.70000000
        0.000993074474
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Call
            Purchased
            
              
                
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                  
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                    CBOT 5 Year US Treasury Note
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  Long
                  
                    
                      US TREASURY N/B
                      United States Treasury Note/Bond
                      
                        
                        
                        
                      
                    
                  
                  2022-06-30
                  0.00000000
                  USD
                
              
            
            100000.00000000
            115.00000000
            USD
            2022-04-22
            XXXX
            -2818.46000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179T7L3
        
          
        
        141911.59000000
        PA
        USD
        147354.05000000
        0.020032793367
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-08-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Greywolf CLO Ltd
        5493006V5AX99BBCEZ73
        GREYWOLF CLO VI Ltd
        39809GAC9
        
          
        
        650000.00000000
        PA
        USD
        644398.41000000
        0.087606008753
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-26
          Floating
          1.89714000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wachovia Mortgage Loan Trust,
        N/A
        Wachovia Mortgage Loan Trust LLC Series 2005-A Trust
        92977YAA9
        
          
          
        
        4140.65000000
        PA
        USD
        4163.49000000
        0.000566026755
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-08-20
          Variable
          2.17733600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        Broadcom Inc
        11135FBB6
        
          
          
        
        230000.00000000
        PA
        USD
        228429.91000000
        0.031055062185
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-15
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Asset Securities Co
        N/A
        Structured Asset Securities Corp
        86359DME4
        
          
          
        
        129258.18000000
        PA
        USD
        121364.67000000
        0.016499535345
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-06-25
          Variable
          3.35996000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LLOYDS BANKING GROUP PLC
        549300PPXHEU2JF0AM85
        Lloyds Banking Group PLC
        539439AS8
        
          
          
        
        690000.00000000
        PA
        USD
        702540.46000000
        0.095510424503
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-08-16
          Fixed
          4.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF NY MELLON CORP
        WFLLPEPC7FZXENRZV188
        Bank of New York Mellon Corp/The
        06406RAL1
        
          
          
        
        2490000.00000000
        PA
        USD
        2457597.23000000
        0.334110514710
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-24
          Fixed
          2.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CCO HLDGS LLC/CAP CORP
        N/A
        CCO Holdings LLC / CCO Holdings Capital Corp
        1248EPBT9
        
          
          
        
        2700000.00000000
        PA
        USD
        2707560.00000000
        0.368092970713
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-05-01
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Commercial Mortgage Trust 2021-ACNT
        05609QAA4
        
          
        
        1980000.00000000
        PA
        USD
        1955874.29000000
        0.265901246047
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-11-15
          Floating
          1.24700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC Series 2014-11R
        12649FDY1
        
          
        
        681462.24000000
        PA
        USD
        679406.68000000
        0.092365385499
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-01-27
          Variable
          2.81008000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Commercial Mortgage Trust 2021-VOLT
        05609VAA3
        
          
        
        1000000.00000000
        PA
        USD
        975617.00000000
        0.132635199149
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-09-15
          Floating
          1.09657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BMW US CAPITAL LLC
        KK5MZM9DIXLXZL9DZL15
        BMW US Capital LLC
        05565EBF1
        
          
          
        
        1430000.00000000
        PA
        USD
        1430803.56000000
        0.194517843707
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-04-14
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Merrill Lynch Mortgage Investo
        N/A
        Merrill Lynch Mortgage Investors Trust MLMI Series 2003-A2
        589929P51
        
          
        
        55231.36000000
        PA
        USD
        47287.84000000
        0.006428785143
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-03-25
          Variable
          1.96736600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ellington Financial Mortgage T
        N/A
        Ellington Financial Mortgage Trust 2022-1
        31573CAA3
        
          
        
        1258024.74000000
        PA
        USD
        1195813.15000000
        0.162570881089
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2067-01-25
          Variable
          2.20600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Arbor Realty Collateralized Lo
        N/A
        Arbor Realty Commercial Real Estate Notes 2021-FL3 Ltd
        03880KAA2
        
          
        
        1320000.00000000
        PA
        USD
        1316335.68000000
        0.178955927443
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2034-08-15
          Floating
          1.46657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABB0
        
          
          
        
        1100000.00000000
        PA
        USD
        1108406.96000000
        0.150688003466
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        US 5 YEAR TREASURY NOTE
        000000000
        
          
          
        
        -37.00000000
        NC
        USD
        -3179.71000000
        -0.00043228179
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Call
            Written
            
              
                
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                  
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                    CBOT 5 Year US Treasury Note
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  Long
                  
                    
                      US TREASURY N/B
                      United States Treasury Note/Bond
                      
                        
                        
                        
                      
                    
                  
                  2022-06-30
                  0.00000000
                  USD
                
              
            
            100000.00000000
            116.50000000
            USD
            2022-04-22
            XXXX
            11787.53000000
          
        
        
          N
          N
          N
        
      
      
        3M COMPANY
        LUZQVYP4VS22CLWDAR65
        3M Co
        88579YBB6
        
          
          
        
        2150000.00000000
        PA
        USD
        2179054.65000000
        0.296242631545
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-02-14
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128P8FW6
        
          
        
        33228.00000000
        PA
        USD
        33097.83000000
        0.004499652295
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-02-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLENCORE FUNDING LLC
        213800STG1QDNBY87K49
        Glencore Funding LLC
        378272AP3
        
          
          
        
        190000.00000000
        PA
        USD
        190767.41000000
        0.025934842685
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-10-27
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HYUNDAI CAPITAL AMERICA
        549300RIPPWJB5Z0FK07
        Hyundai Capital America
        44891ABM8
        
          
          
        
        2000000.00000000
        PA
        USD
        1946588.70000000
        0.264638869439
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-09-18
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage
        N/A
        Citigroup Commercial Mortgage Trust 2013-375P
        17320QAA7
        
          
        
        330000.00000000
        PA
        USD
        330250.34000000
        0.044897556741
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-05-10
          Fixed
          3.25100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Impac Secured Assets Corp.
        N/A
        Impac Secured Assets Trust 2006-3
        45255RAZ0
        
          
        
        753859.24000000
        PA
        USD
        627082.43000000
        0.085251900065
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-11-25
          Floating
          0.99657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HUDSON RIVER TRADING LLC
        549300SMOBUC8O5UOE10
        Hudson River Trading LLC
        44413EAF5
        
          
          
        
        750000.00000000
        PA
        USD
        739766.25000000
        0.100571273248
        Long
        LON
        CORP
        US
        N
        
        2
        
          2028-03-18
          Floating
          3.30490000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MF1 Multifamily Housing Mortga
        N/A
        MF1 2021-FL7 Ltd
        55284AAA6
        
          
        
        1060000.00000000
        PA
        USD
        1046208.76000000
        0.142232153841
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2036-10-16
          Floating
          1.51057000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Asset Securities Co
        N/A
        Structured Asset Securities Corp Trust 2005-SC1
        86359DTG2
        
          
        
        529610.73000000
        PA
        USD
        483867.09000000
        0.065781764610
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2031-05-25
          Variable
          6.70234000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Octagon Investment Partners 35
        549300EBYXJ9QVMC7X31
        OCTAGON INVESTMENT PARTNERS 35 LTD
        67591TAA8
        
          
        
        1150000.00000000
        PA
        USD
        1144733.25000000
        0.155626565124
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-01-20
          Floating
          1.31400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140X9MD4
        
          
        
        1086854.24000000
        PA
        USD
        1083125.96000000
        0.147251049754
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANTHEM INC
        8MYN82XMYQH89CTMTH67
        Anthem Inc
        94973VBA4
        
          
          
        
        930000.00000000
        PA
        USD
        937304.39000000
        0.127426597149
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-01-15
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMDB Commercial Mortgage Secu
        N/A
        JPMDB Commercial Mortgage Securities Trust 2017-C7
        46648KAU0
        
          
        
        893000.00000000
        PA
        USD
        895693.47000000
        0.121769589675
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-10-15
          Fixed
          3.40920000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YBZ1
        
          
          
        
        1970000.00000000
        PA
        USD
        1958191.50000000
        0.266216270908
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-11-21
          Fixed
          2.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        CME Ultra Long Term US Treasury Bond
        000000000
        
          
          
        
        -6.00000000
        NC
        USD
        59002.02000000
        0.008021328731
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2022-06-21
            -1121752.02000000
            USD
            59002.02000000
          
        
        
          N
          N
          N
        
      
      
        NEW YORK LIFE GLOBAL FDG
        635400DPNHEAUHB7ZI15
        New York Life Global Funding
        64952WDQ3
        
          
          
        
        940000.00000000
        PA
        USD
        878634.99000000
        0.119450488130
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-24
          Fixed
          0.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENESEE & WYOMING INC
        G617XSG94Z7G0RMW3L02
        Genesee & Wyoming Inc
        55316HAB1
        
          
          
        
        750000.00000000
        PA
        USD
        742852.50000000
        0.100990849150
        Long
        LON
        CORP
        US
        N
        
        2
        
          2026-12-30
          Floating
          2.22380000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SLM Student Loan Trust
        549300ZTEFT8CS12SF95
        SLM Private Credit Student Loan Trust 2005-A
        78443CBV5
        
          
        
        1282834.69000000
        PA
        USD
        1256566.47000000
        0.170830299177
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2038-12-15
          Floating
          1.13600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VNO Mortgage Trust
        N/A
        VNDO 2012-6AVE Mortgage Trust
        91830CAA6
        
          
        
        807000.00000000
        PA
        USD
        810283.84000000
        0.110158144523
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2030-11-15
          Fixed
          2.99560000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL DYNAMICS CORP
        9C1X8XOOTYY2FNYTVH06
        General Dynamics Corp
        369550BK3
        
          
          
        
        1340000.00000000
        PA
        USD
        1355341.83000000
        0.184258816254
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-01
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EKYT6
        
          
        
        377775.50000000
        PA
        USD
        399585.73000000
        0.054323707844
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-09-01
          Floating
          2.44800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WESTERN MIDSTREAM OPERAT
        L6D8A6MLSY454J2JXJ60
        Western Midstream Operating LP
        958667AD9
        
          
          
        
        40000.00000000
        PA
        USD
        39604.62000000
        0.005384250849
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-01-13
          Floating
          1.84443000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PRIME SECURITY SERVICES BOR
        549300O6QPZVWXV2DC15
        Prime Security Services Borrower LLC
        03765VAK6
        
          
          
        
        500000.00000000
        PA
        USD
        497085.00000000
        0.067578740396
        Long
        LON
        CORP
        US
        N
        
        2
        
          2026-09-23
          Floating
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF NY MELLON CORP
        WFLLPEPC7FZXENRZV188
        Bank of New York Mellon Corp/The
        06406RAN7
        
          
          
        
        440000.00000000
        PA
        USD
        424471.56000000
        0.057706938167
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-24
          Fixed
          1.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHEVY CHASE MORTGAGE FUNDING C
        549300TC8R2SGZ2KM445
        Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-3
        16678RBV8
        
          
          
        
        1640.18000000
        PA
        USD
        1611.34000000
        0.000219061785
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-08-25
          Floating
          0.75657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38375BJN3
        
          
        
        894023.64000000
        PA
        USD
        891165.09000000
        0.121153956098
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2060-11-20
          Floating
          0.55629000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        95000U2R3
        
          
          
        
        3140000.00000000
        PA
        USD
        3103536.75000000
        0.421926037475
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-02
          Fixed
          1.65400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36178NF95
        
          
        
        50734.91000000
        PA
        USD
        50547.81000000
        0.006871978292
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2042-09-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31283HRL1
        
          
          
        
        31418.41000000
        PA
        USD
        34252.80000000
        0.004656670547
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-04-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX 2021-LBA3 Mortgage Trust
        05609PAA6
        
          
        
        330000.00000000
        PA
        USD
        323933.12000000
        0.044038730241
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-10-15
          Floating
          1.08610000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHEVY CHASE MORTGAGE FUNDING C
        549300IPR6D6ZFC6NF33
        Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2005-1
        16678RCU9
        
          
          
        
        3500.15000000
        PA
        USD
        3285.72000000
        0.000446693863
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-01-25
          Floating
          0.65657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36178WDN6
        
          
        
        64417.73000000
        PA
        USD
        64180.15000000
        0.008725295865
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2042-10-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179QGC9
        
          
        
        42986.00000000
        PA
        USD
        44145.61000000
        0.006001598756
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2044-06-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SILVERSTONE MASTER ISSUER
        549300P6OXWKM20QS303
        Silverstone Master Issuer PLC
        82846GAU4
        
          
          
        
        134400.00000000
        PA
        USD
        134406.65000000
        0.018272593435
        Long
        ABS-MBS
        CORP
        GB
        N
        
        2
        
          2070-01-21
          Floating
          0.64514000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMCAST CORP
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NCS8
        
          
          
        
        2130000.00000000
        PA
        USD
        2201539.44000000
        0.299299440312
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-15
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ocean Trails CLO
        549300D1D91PFKUUCT75
        Ocean Trails CLO VII
        67515WDG8
        
          
        
        1550000.00000000
        PA
        USD
        1539060.01000000
        0.209235315630
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-04-17
          Floating
          1.25129000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        XPO LOGISTICS INC
        54930096DB9LCLPN7H13
        XPO Logistics Inc
        983793AH3
        
          
          
        
        50000.00000000
        PA
        USD
        51740.00000000
        0.007034056606
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-01
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EOG RESOURCES INC
        XWTZDRYZPBUHIQBKDB46
        EOG Resources Inc
        26875PAK7
        
          
          
        
        1040000.00000000
        PA
        USD
        1042524.42000000
        0.141731267561
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-03-15
          Fixed
          2.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TSMC ARIZONA CORP
        2549005GOBWLCSY63Q97
        TSMC Arizona Corp
        872898AA9
        
          
          
        
        1150000.00000000
        PA
        USD
        1078951.53000000
        0.146683535705
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2026-10-25
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Asset Backed Funding Certifica
        N/A
        ABFC 2003-OPT1 Trust
        04542BDG4
        
          
        
        514742.39000000
        PA
        USD
        494020.30000000
        0.067162094217
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-04-25
          Floating
          1.13657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BECTON DICKINSON AND CO
        ICE2EP6D98PQUILVRZ91
        Becton Dickinson and Co
        075887BU2
        
          
          
        
        510000.00000000
        PA
        USD
        510395.57000000
        0.069388313315
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-06-06
          Floating
          1.61314000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CCD1
        
          
          
        
        38340000.00000000
        PA
        USD
        37564963.03000000
        5.106959342162
        Long
        DBT
        UST
        US
        N
        
        2
        
          2023-05-31
          Fixed
          0.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PBZ8
        
          
          
        
        3700000.00000000
        PA
        USD
        3631478.55000000
        0.493699761982
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-16
          Fixed
          0.69700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PETROLEOS DEL PERU SA
        549300ZMGDLC9JT2OR80
        Petroleos del Peru SA
        716564AA7
        
          
          
        
        1010000.00000000
        PA
        USD
        906348.75000000
        0.123218175733
        Long
        DBT
        CORP
        PE
        N
        
        2
        
          2032-06-19
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TEVA PHARMACEUTICALS NE
        5493004T21MOAFINJP35
        Teva Pharmaceutical Finance Netherlands III BV
        88167AAD3
        
          
          
        
        1560000.00000000
        PA
        USD
        1540656.00000000
        0.209452290581
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2023-07-21
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36241LNK8
        
          
        
        73203.13000000
        PA
        USD
        79780.36000000
        0.010846145502
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2034-08-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38375BXT4
        
          
        
        105613.52000000
        PA
        USD
        106358.43000000
        0.014459435971
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2062-10-20
          Floating
          0.63629000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOUTHERN CAL EDISON
        9R1Z5I36FERIBVKW4P77
        Southern California Edison Co
        842400HK2
        
          
          
        
        1170000.00000000
        PA
        USD
        1116562.25000000
        0.151796715710
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-01
          Fixed
          0.97500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OCP CLO Ltd
        254900NXH68CRC058O44
        OCP CLO 2014-5 Ltd
        67102SAL8
        
          
        
        970000.00000000
        PA
        USD
        965313.88000000
        0.131234489267
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-26
          Floating
          1.34714000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DOLLAR GENERAL CORP
        OPX52SQVOZI8IVSWYU66
        Dollar General Corp
        256677AC9
        
          
          
        
        10000.00000000
        PA
        USD
        10076.15000000
        0.001369853294
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-04-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        09659W2L7
        
          
          
        
        770000.00000000
        PA
        USD
        732811.95000000
        0.099625835678
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2026-06-09
          Fixed
          2.21900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CANADIAN IMPERIAL BANK
        2IGI19DL77OX0HC3ZE78
        Canadian Imperial Bank of Commerce
        13607GRK2
        
          
          
        
        3070000.00000000
        PA
        USD
        3013844.67000000
        0.409732392947
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2023-06-23
          Fixed
          0.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Golub Capital Partners CLO Ltd
        254900XWTZJ46JGSP919
        Golub Capital Partners Clo 25M Ltd
        38175NAA6
        
          
        
        1550000.00000000
        PA
        USD
        1544789.63000000
        0.210014257868
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-05-05
          Floating
          1.69500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABU DHABI GOVT INT'L
        213800FER4348CINTA77
        Abu Dhabi Government International Bond
        29135LAL4
        
          
          
        
        540000.00000000
        PA
        USD
        528892.20000000
        0.071902931453
        Long
        DBT
        NUSS
        AE
        N
        
        2
        
          2023-09-02
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128P8F48
        
          
        
        34024.26000000
        PA
        USD
        33891.12000000
        0.004607500126
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Voya CLO Ltd
        54930068MLVF3BECCK93
        Voya CLO 2018-3 Ltd
        92917KAA2
        
          
        
        350000.00000000
        PA
        USD
        348681.46000000
        0.047403268789
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-10-15
          Floating
          1.39129000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31377BXH3
        
          
        
        111.34000000
        PA
        USD
        115.67000000
        0.000015725344
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-02-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PILOT TRAVEL CENTERS LLC
        549300115UILLXNE1Z49
        Pilot Travel Centers LLC
        72165NBH1
        
          
          
        
        750000.00000000
        PA
        USD
        740936.25000000
        0.100730334829
        Long
        LON
        CORP
        US
        N
        
        2
        
          2028-08-06
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT AGRICOLE SA
        969500TJ5KRTCJQWXH05
        Credit Agricole SA
        22535WAH0
        
          
          
        
        2030000.00000000
        PA
        USD
        1849186.52000000
        0.251397036280
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2027-01-26
          Fixed
          1.24700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        3622A3CG3
        
          
        
        123268.19000000
        PA
        USD
        126920.23000000
        0.017254814114
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-06-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NIKE INC
        787RXPR0UX0O0XUXPZ81
        NIKE Inc
        654106AH6
        
          
          
        
        730000.00000000
        PA
        USD
        725600.39000000
        0.098645423593
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-27
          Fixed
          2.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3620E0DY9
        
          
        
        50466.98000000
        PA
        USD
        51096.38000000
        0.006946556422
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2060-07-20
          Floating
          1.53200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FXF98
        
          
        
        161081.96000000
        PA
        USD
        168710.07000000
        0.022936145775
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2057-06-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATWEST GROUP PLC
        2138005O9XJIJN4JPN90
        NatWest Group PLC
        780097BE0
        
          
          
        
        910000.00000000
        PA
        USD
        911319.07000000
        0.123893891084
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-05-15
          Fixed
          3.49800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Trust 2021-ARIA
        05608RAJ4
        
          
        
        930000.00000000
        PA
        USD
        911231.02000000
        0.123881920680
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-10-15
          Floating
          2.29240000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38375BAM4
        
          
        
        33368.19000000
        PA
        USD
        33395.60000000
        0.004540134147
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2060-02-20
          Floating
          0.91057000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Grippen Park CLO LTD
        549300P7KR0IARP7PG22
        Grippen Park CLO Ltd
        39862EAC8
        
          
        
        750000.00000000
        PA
        USD
        733903.53000000
        0.099774236055
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-01-20
          Floating
          2.55400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DAIMLER FINANCE NA LLC
        549300423Z16BB673J12
        Daimler Finance North America LLC
        233851EB6
        
          
          
        
        1590000.00000000
        PA
        USD
        1526755.25000000
        0.207562482650
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-03-01
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED RENTALS NORTH AM
        NGIZXNT70J2LYT3FBI09
        United Rentals North America Inc
        911365BF0
        
          
          
        
        1350000.00000000
        PA
        USD
        1397871.00000000
        0.190040659879
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-05-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Greystone Commercial Real Esta
        N/A
        Greystone CRE Notes 2021-FL3 Ltd
        39809PAA3
        
          
        
        1030000.00000000
        PA
        USD
        1016375.16000000
        0.138176273842
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2039-07-15
          Floating
          1.41657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BECTON DICKINSON AND CO
        ICE2EP6D98PQUILVRZ91
        Becton Dickinson and Co
        075887BV0
        
          
          
        
        580000.00000000
        PA
        USD
        585221.14000000
        0.079560854772
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-06
          Fixed
          3.36300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC Series 2019-UVIL
        12656DAA1
        
          
        
        1730000.00000000
        PA
        USD
        1677715.42000000
        0.228085528283
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2041-12-15
          Fixed
          3.15950000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOEING CO
        RVHJWBXLJ1RFUBSY1F30
        Boeing Co/The
        097023CT0
        
          
          
        
        1730000.00000000
        PA
        USD
        1786439.09000000
        0.242866518798
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-01
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DANSKE BANK A/S
        MAES062Z21O4RZ2U7M96
        Danske Bank A/S
        23636AAW1
        
          
          
        
        280000.00000000
        PA
        USD
        267011.01000000
        0.036300165419
        Long
        DBT
        CORP
        DK
        N
        
        2
        
          2024-06-22
          Fixed
          1.22600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG LONDON
        BFM8T61CT2L1QCEMIK50
        UBS AG/London
        902674YK0
        
          
          
        
        1000000.00000000
        PA
        USD
        948737.29000000
        0.128980900701
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2024-08-09
          Fixed
          0.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SPIRIT LOYALTY KY LTD/IP
        N/A
        Spirit Loyalty Cayman Ltd / Spirit IP Cayman Ltd
        84859BAA9
        
          
          
        
        538000.00000000
        PA
        USD
        573906.12000000
        0.078022577014
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2025-09-20
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31387N3S4
        
          
          
        
        662.82000000
        PA
        USD
        699.56000000
        0.000095105230
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-08-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Saxon Asset Securities Trust
        N/A
        Saxon Asset Securities Trust 2003-3
        805564PE5
        
          
        
        20212.13000000
        PA
        USD
        19939.28000000
        0.002710746505
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-12-25
          Floating
          1.43157000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GJD2
        
          
          
        
        5920000.00000000
        PA
        USD
        5554629.20000000
        0.755152226891
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-19
          Fixed
          1.31900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SLM Student Loan Trust
        549300JLVVUXV7DNSJ85
        SLM Student Loan Trust 2003-4
        78442GGD2
        
          
        
        44329.42000000
        PA
        USD
        44473.17000000
        0.006046130561
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2033-03-15
          Floating
          1.57600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        XPO LOGISTICS INC
        54930096DB9LCLPN7H13
        XPO Logistics Inc
        98379EAE6
        
          
          
        
        750000.00000000
        PA
        USD
        744296.25000000
        0.101187127064
        Long
        LON
        CORP
        US
        N
        
        2
        
          2025-02-23
          Floating
          1.99240000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174468Q5
        
          
          
        
        4380000.00000000
        PA
        USD
        4235348.40000000
        0.575795910178
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-28
          Fixed
          2.18800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Towd Point Mortgage Trust
        N/A
        Towd Point Mortgage Trust 2019-4
        89178BBA1
        
          
        
        910000.00000000
        PA
        USD
        822952.86000000
        0.111880498675
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2059-10-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31386X4F0
        
          
        
        13298.79000000
        PA
        USD
        13871.57000000
        0.001885840908
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-06-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GoldenTree Loan Management US
        5493007PBV0WMI12LF68
        Goldentree Loan Management US Clo 10 Ltd
        38138TAC5
        
          
        
        2590000.00000000
        PA
        USD
        2555935.28000000
        0.347479579461
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2034-07-20
          Floating
          1.35400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EXXON MOBIL CORPORATION
        J3WHBG0MTS7O8ZVMDC91
        Exxon Mobil Corp
        30231GBH4
        
          
          
        
        1870000.00000000
        PA
        USD
        1879595.89000000
        0.255531192251
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-19
          Fixed
          2.99200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABU DHABI GOVT INT'L
        213800FER4348CINTA77
        Abu Dhabi Government International Bond
        29135LAD2
        
          
          
        
        1040000.00000000
        PA
        USD
        1027913.12000000
        0.139744860308
        Long
        DBT
        NUSS
        AE
        N
        
        2
        
          2024-09-30
          Fixed
          2.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Neuberger Berman CLO Ltd
        549300BLCSV170UP8R47
        Neuberger Berman Loan Advisers CLO 29 Ltd
        64130XAA4
        
          
        
        250000.00000000
        PA
        USD
        248921.97000000
        0.033840959171
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-10-19
          Floating
          1.37800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967MR9
        
          
          
        
        5320000.00000000
        PA
        USD
        5279258.16000000
        0.717715514810
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-05-15
          Fixed
          1.67800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BPCE SA
        9695005MSX1OYEMGDF46
        BPCE SA
        05583JAA0
        
          
          
        
        500000.00000000
        PA
        USD
        501011.62000000
        0.068112564658
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2022-05-22
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Greenwood Park CLO, Ltd
        N/A
        Greenwood Park CLO Ltd
        39729RAB4
        
          
        
        500000.00000000
        PA
        USD
        492852.97000000
        0.067003395622
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2031-04-15
          Floating
          1.25129000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Adjustable Rate Mor
        N/A
        Structured Adjustable Rate Mortgage Loan Trust
        86359BLE9
        
          
        
        62041.07000000
        PA
        USD
        61523.74000000
        0.008364156741
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-03-25
          Variable
          2.70646800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Towd Point Mortgage Trust
        N/A
        Towd Point Mortgage Trust 2015-2
        89171YAG6
        
          
        
        900000.00000000
        PA
        USD
        855304.56000000
        0.116278714545
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2060-11-25
          Variable
          3.30591800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROYAL BANK OF CANADA
        ES7IP3U3RHIGC71XBU11
        Royal Bank of Canada
        78016EZV2
        
          
          
        
        1200000.00000000
        PA
        USD
        1192881.67000000
        0.162172346178
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2024-07-29
          Floating
          0.45904300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36208A7L9
        
          
        
        279595.01000000
        PA
        USD
        283827.52000000
        0.038586371126
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2060-02-20
          Floating
          1.73000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALPHABET INC
        5493006MHB84DD0ZWV18
        Alphabet Inc
        02079KAH0
        
          
          
        
        370000.00000000
        PA
        USD
        345601.91000000
        0.046984603752
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-08-15
          Fixed
          0.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hawaii Hotel Trust 2019-MAUI
        N/A
        Hawaii Hotel Trust 2019-MAUI
        41975AAL6
        
          
        
        1000000.00000000
        PA
        USD
        976050.70000000
        0.132694160694
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-05-15
          Floating
          3.14657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Luminent Mortgage Trust
        N/A
        Luminent Mortgage Trust 2006-7
        55028BAH0
        
          
        
        19207.52000000
        PA
        USD
        20812.36000000
        0.002829441792
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-12-25
          Floating
          0.67657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        31329KUV4
        
          
        
        1050760.95000000
        PA
        USD
        1048818.52000000
        0.142586950895
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-11-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PBK1
        
          
          
        
        7930000.00000000
        PA
        USD
        7658331.60000000
        1.041150714796
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-22
          Fixed
          2.08300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        09659W2G8
        
          
          
        
        780000.00000000
        PA
        USD
        796768.51000000
        0.108320734468
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2025-01-10
          Fixed
          4.70500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc of America Mortgage Secur
        N/A
        Banc of America Mortgage 2003-C Trust
        0605067Q9
        
          
        
        65969.60000000
        PA
        USD
        18615.86000000
        0.002530827464
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-04-25
          Variable
          2.54182100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE NEW YORK
        549300D0YARF5HYP1809
        Credit Suisse AG/New York NY
        22546QAP2
        
          
          
        
        360000.00000000
        PA
        USD
        364331.40000000
        0.049530879223
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2024-09-09
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38375BN99
        
          
        
        388682.32000000
        PA
        USD
        386925.20000000
        0.052602507908
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2063-03-20
          Floating
          0.50629000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TEXAS INSTRUMENTS INC
        WDJNR2L6D8RWOEB8T652
        Texas Instruments Inc
        882508BH6
        
          
          
        
        540000.00000000
        PA
        USD
        519985.96000000
        0.070692127504
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-12
          Fixed
          1.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38375B3N0
        
          
        
        44329.92000000
        PA
        USD
        44206.55000000
        0.006009883553
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2063-06-20
          Floating
          0.57629000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SFO Commerical Mortgage Trust
        N/A
        SFO Commercial Mortgage Trust 2021-555
        78432WAG8
        
          
        
        920000.00000000
        PA
        USD
        896025.26000000
        0.121814696548
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-05-15
          Floating
          2.79700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Golub Capital Partners CLO Ltd
        N/A
        Golub Capital Partners Clo 36m Ltd
        38175BAC8
        
          
        
        1270000.00000000
        PA
        USD
        1256816.01000000
        0.170864224158
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-02-05
          Floating
          1.96500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHEVRON CORP
        N/A
        Chevron Corp
        166764BW9
        
          
          
        
        2540000.00000000
        PA
        USD
        2452346.96000000
        0.333396740137
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-11
          Fixed
          1.55400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        Three-Month SOFR
        000000000
        
          
          
        
        143.00000000
        NC
        USD
        -10287.80000000
        -0.00139862712
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Long
            
              
                THE SECURED OVERNIGHT FINANCING RATE
                THE SECURED OVERNIGHT FINANCING RATE
                
                  
                  
                
              
            
            2022-09-20
            35283025.30000000
            USD
            -10287.80000000
          
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        95000U2N2
        
          
          
        
        5830000.00000000
        PA
        USD
        5627784.88000000
        0.765097746685
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-30
          Fixed
          2.18800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BMW US CAPITAL LLC
        KK5MZM9DIXLXZL9DZL15
        BMW US Capital LLC
        05565EBQ7
        
          
          
        
        1460000.00000000
        PA
        USD
        1400795.20000000
        0.190438205073
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-04-01
          Fixed
          0.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLENCORE FINANCE CANADA
        5493005TTO0UJ33KCK70
        Glencore Finance Canada Ltd
        98417EAT7
        
          
          
        
        560000.00000000
        PA
        USD
        564575.20000000
        0.076754037790
        Long
        DBT
        CORP
        CA
        
        N
        
        2
        
          2022-10-25
          Variable
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        31392XUX4
        
          
        
        72477.43000000
        PA
        USD
        75728.67000000
        0.010295317964
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-04-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SREIT Trust
        N/A
        SREIT Trust 2021-PALM
        85237AAA1
        
          
        
        1650000.00000000
        PA
        USD
        1601507.99000000
        0.217725122863
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-10-15
          Floating
          0.98700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABU DHABI GOVT INT'L
        213800FER4348CINTA77
        Abu Dhabi Government International Bond
        29135LAC4
        
          
          
        
        830000.00000000
        PA
        USD
        834500.26000000
        0.113450368510
        Long
        DBT
        NUSS
        AE
        N
        
        2
        
          2022-10-11
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STATE OF QATAR
        52990074F6OJOAXK4P65
        Qatar Government International Bond
        000000000
        
          
          
        
        990000.00000000
        PA
        USD
        1008576.36000000
        0.137116026438
        Long
        DBT
        NUSS
        QA
        N
        
        2
        
          2023-04-23
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NextGear Floorplan Master Owne
        N/A
        NextGear Floorplan Master Owner Trust
        65341KBN5
        
          
        
        1320000.00000000
        PA
        USD
        1311855.20000000
        0.178346805874
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-02-15
          Fixed
          1.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VGF5
        
          
          
        
        1560000.00000000
        PA
        USD
        1510673.83000000
        0.205376212480
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-22
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371FSZ6
        
          
        
        499.78000000
        PA
        USD
        523.26000000
        0.000071137233
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-02-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RECKITT BENCKISER TSY
        213800LAXWIUOOBZ3908
        Reckitt Benckiser Treasury Services PLC
        75625QAC3
        
          
          
        
        330000.00000000
        PA
        USD
        330591.69000000
        0.044943963297
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2022-06-24
          Fixed
          2.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140LYQL0
        
          
        
        2810564.07000000
        PA
        USD
        2730890.28000000
        0.371264723905
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-11-01
          Floating
          1.92900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Non Gold Pool
        31326FRF7
        
          
        
        121610.52000000
        PA
        USD
        125328.23000000
        0.017038381603
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-06-01
          Floating
          1.74500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Merrill Lynch Mortgage Investo
        N/A
        Merrill Lynch Mortgage Investors Trust Series MLMI 2004-A1
        59020UAC9
        
          
        
        324110.06000000
        PA
        USD
        328730.57000000
        0.044690943903
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-02-25
          Variable
          2.29359800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO SANTANDER SA
        5493006QMFDDMYWIAM13
        Banco Santander SA
        05971KAE9
        
          
          
        
        3000000.00000000
        PA
        USD
        2926656.21000000
        0.397879115733
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2025-05-28
          Fixed
          2.74600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE GROUP AG
        549300506SI9CRFV9Z86
        Credit Suisse Group AG
        225401AQ1
        
          
          
        
        630000.00000000
        PA
        USD
        592294.52000000
        0.080522481276
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2026-06-05
          Fixed
          2.19300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS FINL CO
        5493008B6JBRUJ90QL97
        General Motors Financial Co Inc
        37045XCX2
        
          
          
        
        1760000.00000000
        PA
        USD
        1711354.22000000
        0.232658725488
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-20
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIFC Funding Ltd
        N/A
        CIFC Funding 2021-IV Ltd
        12547DAA4
        
          
        
        840000.00000000
        PA
        USD
        832711.70000000
        0.113207213654
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-07-15
          Floating
          1.29129000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38375BKL5
        
          
        
        148832.84000000
        PA
        USD
        148349.79000000
        0.020168164290
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2061-02-20
          Floating
          0.55629000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XY32
        
          
        
        190000.00000000
        PA
        USD
        191004.97000000
        0.025967138984
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2031-01-25
          Floating
          4.70657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF MONTREAL
        NQQ6HPCNCCU6TUTQYE16
        Bank of Montreal
        06367WMQ3
        
          
          
        
        1490000.00000000
        PA
        USD
        1484012.66000000
        0.201751624560
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2024-06-28
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GILEAD SCIENCES INC
        549300WTZWR07K8MNV44
        Gilead Sciences Inc
        375558BW2
        
          
          
        
        590000.00000000
        PA
        USD
        576479.64000000
        0.078372447237
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-09-29
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Commercial Mortgage Trust 2020-FOX
        12433AAL3
        
          
        
        555548.73000000
        PA
        USD
        552928.48000000
        0.075170665394
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-11-15
          Floating
          4.64700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36241LN69
        
          
        
        21690.36000000
        PA
        USD
        24038.48000000
        0.003268033031
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-03-15
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WALMART INC
        Y87794H0US1R65VBXU25
        Walmart Inc
        931142ER0
        
          
          
        
        660000.00000000
        PA
        USD
        615230.09000000
        0.083640573616
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-09-17
          Fixed
          1.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YBM0
        
          
          
        
        2040000.00000000
        PA
        USD
        2047539.29000000
        0.278363109186
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-11-21
          Fixed
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FANNIE MAE
        B1V7KEBTPIMZEU4LTD58
        Federal National Mortgage Association
        3135G05X7
        
          
          
        
        1010000.00000000
        PA
        USD
        940247.78000000
        0.127826751225
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2025-08-25
          Fixed
          0.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KINDER MORGAN ENER PART
        549300PDHUGWPWGOT525
        Kinder Morgan Energy Partners LP
        494550BM7
        
          
          
        
        1160000.00000000
        PA
        USD
        1168512.52000000
        0.158859358537
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-02-15
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Recette CLO LLC
        549300392I5L5XOJ0016
        Recette Clo Ltd
        75620TAW8
        
          
        
        350000.00000000
        PA
        USD
        345455.91000000
        0.046964755042
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-04-20
          Floating
          1.33400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MONDELEZ INTL HLDINGS NE
        549300CW356R8I7N8D33
        Mondelez International Holdings Netherlands BV
        60920LAE4
        
          
          
        
        210000.00000000
        PA
        USD
        210307.81000000
        0.028591361427
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2022-09-19
          Fixed
          2.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174468W2
        
          
          
        
        5550000.00000000
        PA
        USD
        5461910.40000000
        0.742547099568
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-01-25
          Fixed
          0.52900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hilton USA Trust
        N/A
        Hilton USA Trust 2016-HHV
        43300LAL4
        
          
        
        690000.00000000
        PA
        USD
        667712.10000000
        0.090775506533
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-11-05
          Variable
          4.19350000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        29278NAL7
        
          
          
        
        890000.00000000
        PA
        USD
        900033.75000000
        0.122359651043
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-03-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WESTERN MIDSTREAM OPERAT
        L6D8A6MLSY454J2JXJ60
        Western Midstream Operating LP
        958667AB3
        
          
          
        
        1650000.00000000
        PA
        USD
        1641420.00000000
        0.223151163405
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-01
          Variable
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        API GROUP DE INC
        549300XP4G7B4QYA0G83
        APi Group DE Inc
        00186XAB9
        
          
          
        
        750000.00000000
        PA
        USD
        742657.50000000
        0.100964338887
        Long
        LON
        CORP
        US
        N
        
        2
        
          2026-10-01
          Floating
          2.70860000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KKR Financial CLO Ltd
        5493008X0MRR4A6VYF15
        KKR CLO 21 Ltd
        48252KAA7
        
          
        
        460000.00000000
        PA
        USD
        456815.78000000
        0.062104137130
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-15
          Floating
          1.24129000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WESTERN MIDSTREAM OPERAT
        L6D8A6MLSY454J2JXJ60
        Western Midstream Operating LP
        958254AE4
        
          
          
        
        170000.00000000
        PA
        USD
        171241.00000000
        0.023280225885
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-01
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIRSTENERGY CORP
        549300SVYJS666PQJH88
        FirstEnergy Corp
        337932AG2
        
          
          
        
        1106000.00000000
        PA
        USD
        1107354.85000000
        0.150544969038
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-07-15
          Variable
          3.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SMB Private Education Loan Tru
        N/A
        SMB Private Education Loan Trust 2021-A
        78448YAE1
        
          
        
        970000.00000000
        PA
        USD
        905721.30000000
        0.123132873862
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2053-01-15
          Fixed
          2.99000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan T
        N/A
        Alternative Loan Trust 2005-56
        12668AHA6
        
          
          
        
        71003.34000000
        PA
        USD
        67385.99000000
        0.009161130037
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-11-25
          Floating
          1.07657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Thornburg Mortgage Securities
        N/A
        Thornburg Mortgage Securities Trust 2004-2
        885220FH1
        
          
        
        313702.86000000
        PA
        USD
        304812.87000000
        0.041439330921
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2044-06-25
          Floating
          1.13657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Nelnet Student Loan Trust
        N/A
        Nelnet Student Loan Trust 2021-A
        64035DAB2
        
          
        
        776085.60000000
        PA
        USD
        727918.78000000
        0.098960608876
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2062-04-20
          Fixed
          1.36000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TV69
        
          
        
        6947.01000000
        PA
        USD
        7144.82000000
        0.000971338776
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-04-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        USAA CAPITAL CORP
        5493007XLF4LU3U2W757
        USAA Capital Corp
        90327QD71
        
          
          
        
        340000.00000000
        PA
        USD
        326384.20000000
        0.044371954738
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-05-01
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTESA SANPAOLO SPA
        2W8N8UU78PMDQKZENC08
        Intesa Sanpaolo SpA
        46115HBJ5
        
          
          
        
        430000.00000000
        PA
        USD
        426109.53000000
        0.057929620302
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2024-09-23
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sequoia Mortgage Trust
        N/A
        Sequoia Mortgage Trust 2003-2
        81743PAQ9
        
          
        
        103082.66000000
        PA
        USD
        101115.34000000
        0.013746637520
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-06-20
          Floating
          0.90350000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31390PM38
        
          
        
        13856.17000000
        PA
        USD
        14393.24000000
        0.001956761981
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-08-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LOWE'S COS INC
        WAFCR4OKGSC504WU3E95
        Lowe's Cos Inc
        548661DT1
        
          
          
        
        1310000.00000000
        PA
        USD
        1346479.95000000
        0.183054043050
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Starwood Commercial Mortgage T
        N/A
        STWD 2022-FL3 Ltd
        78485KAA3
        
          
        
        990000.00000000
        PA
        USD
        980822.90000000
        0.133342941617
        Long
        ABS-O
        CORP
        KY
        N
        
        2
        
          2038-11-15
          Floating
          1.39967000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CFK Trust
        N/A
        CFK Trust 2020-MF2
        12529AAL8
        
          
        
        1270000.00000000
        PA
        USD
        1107266.77000000
        0.150532994556
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2039-03-15
          Variable
          3.45750000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        10 YEAR US TREASURY NOTE
        000000000
        
          
          
        
        -90.00000000
        NC
        USD
        -35156.25000000
        -0.00477949463
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Call
            Written
            
              
                
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                  
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                    CBOT 10 Year US Treasury Note
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  Long
                  
                    
                      US TREASURY N/B
                      United States Treasury Note/Bond
                      
                        
                        
                        
                      
                    
                  
                  2022-06-21
                  0.00000000
                  USD
                
              
            
            100000.00000000
            124.00000000
            USD
            2022-04-22
            XXXX
            23750.55000000
          
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        29273RBD0
        
          
          
        
        610000.00000000
        PA
        USD
        619243.75000000
        0.084186230973
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-15
          Fixed
          4.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WAMU Mortgage Pass-Through Cer
        N/A
        WaMu Mortgage Pass-Through Certificates Series 2003-AR5 Trust
        929227R65
        
          
          
        
        17211.10000000
        PA
        USD
        17298.77000000
        0.002351768987
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-06-25
          Variable
          2.58468600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LLOYDS BANKING GROUP PLC
        549300PPXHEU2JF0AM85
        Lloyds Banking Group PLC
        53944YAH6
        
          
          
        
        370000.00000000
        PA
        USD
        375843.13000000
        0.051095899719
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-03-12
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOEING CO
        RVHJWBXLJ1RFUBSY1F30
        Boeing Co/The
        097023DG7
        
          
          
        
        1640000.00000000
        PA
        USD
        1552314.04000000
        0.211037201932
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-04
          Fixed
          2.19600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SLM Student Loan Trust
        5493000NQN5E3MSIIG77
        SLM Student Loan Trust 2003-10
        78442GJH0
        
          
          
        
        920000.00000000
        PA
        USD
        907982.41000000
        0.123440271924
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2068-12-17
          Floating
          1.49600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        205222.53000000
        0.027900017257
        N/A
        DIR
        CORP
        US
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
              
                
              
            
            
            2026-11-20
            0.00000000
            USD
            -16138.35000000
            USD
            -9440000.00000000
            USD
            221360.88000000
          
        
        
          N
          N
          N
        
      
      
        Bluemountain CLO Ltd
        N/A
        BlueMountain CLO XXII Ltd
        09629PAA4
        
          
        
        320000.00000000
        PA
        USD
        318278.18000000
        0.043269940754
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-07-15
          Floating
          1.31914000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital I Trust
        3IFG42XD94UUZ7FL2766
        Morgan Stanley Capital I Inc
        62479WAA9
        
          
        
        1654528.70000000
        PA
        USD
        1630215.57000000
        0.221627920365
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2023-11-15
          Floating
          1.17490000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KINDER MORGAN ENER PART
        549300PDHUGWPWGOT525
        Kinder Morgan Energy Partners LP
        494550BV7
        
          
          
        
        1690000.00000000
        PA
        USD
        1731656.32000000
        0.235418797398
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-09-01
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mercury Financial Credit Card
        N/A
        Mercury Financial Credit Card Master Trust
        58940BAB2
        
          
        
        920000.00000000
        PA
        USD
        894890.81000000
        0.121660467992
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-03-20
          Fixed
          2.33000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ReadyCap Commercial Mortgage T
        N/A
        Ready Capital Mortgage Financing 2021-FL7 LLC
        75575WAA4
        
          
        
        1649770.15000000
        PA
        USD
        1636538.99000000
        0.222487589755
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-11-25
          Floating
          1.65657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Golub Capital Partners CLO Ltd
        2549007JA1TZWEDGPD41
        Golub Capital Partners CLO 54M L.P
        381743AA1
        
          
        
        1980000.00000000
        PA
        USD
        1976516.14000000
        0.268707506993
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-08-05
          Floating
          1.84500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        29278NAP8
        
          
          
        
        1070000.00000000
        PA
        USD
        1047738.59000000
        0.142440134336
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-15
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIGNA CORP
        549300VIWYMSIGT1U456
        Cigna Corp
        125523AG5
        
          
          
        
        1410000.00000000
        PA
        USD
        1454461.71000000
        0.197734170848
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-15
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        09659W2E3
        
          
          
        
        1610000.00000000
        PA
        USD
        1626865.96000000
        0.221172540652
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2023-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Home Loans
        N/A
        Reperforming Loan REMIC Trust 2006-R2
        125435AA5
        
          
        
        101813.15000000
        PA
        USD
        97464.18000000
        0.013250262064
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-07-25
          Floating
          0.87657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OPG Trust
        N/A
        OPG Trust 2021-PORT
        67118AAA3
        
          
        
        1320000.00000000
        PA
        USD
        1274976.25000000
        0.173333110051
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-10-15
          Floating
          0.88100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BDS Ltd
        N/A
        BDS 2021-FL10 Ltd
        07335YAJ5
        
          
        
        1320000.00000000
        PA
        USD
        1305734.23000000
        0.177514659576
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2036-12-16
          Floating
          3.31757000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRP LLC
        N/A
        TRP 2021 LLC
        87267CAA6
        
          
        
        918572.35000000
        PA
        USD
        849267.08000000
        0.115457918718
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2051-06-19
          Fixed
          2.07000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MASTR Specialized Loan Trust
        N/A
        Mastr Specialized Loan Trust
        57643BAA6
        
          
          
        
        46389.11000000
        PA
        USD
        44878.84000000
        0.006101281426
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-06-25
          Floating
          0.71657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE NEW YORK
        549300D0YARF5HYP1809
        Credit Suisse AG/New York NY
        22550L2F7
        
          
          
        
        250000.00000000
        PA
        USD
        243345.87000000
        0.033082887987
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2023-08-09
          Fixed
          0.52000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMCAST CORP
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NBS9
        
          
          
        
        70000.00000000
        PA
        USD
        70669.23000000
        0.009607486744
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-01
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITEDHEALTH GROUP INC
        549300GHBMY8T5GXDE41
        UnitedHealth Group Inc
        91324PEB4
        
          
          
        
        1450000.00000000
        PA
        USD
        1390087.20000000
        0.188982451727
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-05-15
          Fixed
          0.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF NOVA SCOTIA
        L3I9ZG2KFGXZ61BMYR72
        Bank of Nova Scotia/The
        0641593U8
        
          
          
        
        650000.00000000
        PA
        USD
        597097.12000000
        0.081175395080
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2026-03-02
          Fixed
          1.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UMK5
        
          
        
        8780.79000000
        PA
        USD
        8911.17000000
        0.001211474182
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-02-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM CRP / CAYMN FI
        N/A
        Broadcom Corp / Broadcom Cayman Finance Ltd
        11134LAF6
        
          
          
        
        790000.00000000
        PA
        USD
        799675.60000000
        0.108715953556
        Long
        DBT
        CORP
        N/A
        N
        
        2
        
          2024-01-15
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        5493007ZK0X40BI7UF30
        Freddie Mac STACR Remic Trust 2020-DNA2
        35565KAH1
        
          
        
        226886.29000000
        PA
        USD
        226495.66000000
        0.030792100763
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-02-25
          Floating
          2.30657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31390HA70
        
          
        
        2250.58000000
        PA
        USD
        2318.23000000
        0.000315163530
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-07-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38375BVU3
        
          
        
        2475493.88000000
        PA
        USD
        2469434.61000000
        0.335719807346
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2062-07-20
          Floating
          0.60629000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fanniemae-Aces
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae-Aces
        3136B7GA3
        
          
        
        48159.14000000
        PA
        USD
        47157.57000000
        0.006411074928
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-02-25
          Fixed
          2.23200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENRGY TRANS LP/REG FIN
        N/A
        Energy Transfer LP / Regency Energy Finance Corp
        75886AAJ7
        
          
          
        
        2170000.00000000
        PA
        USD
        2204035.97000000
        0.299638843740
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-11-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00774MAK1
        
          
          
        
        840000.00000000
        PA
        USD
        851716.22000000
        0.115790879472
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2024-01-16
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cedar Funding Ltd
        635400NWFWJ92O7QGD64
        Cedar Funding V CLO Ltd
        15032AAY3
        
          
        
        1700000.00000000
        PA
        USD
        1658864.15000000
        0.225522696813
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-07-17
          Fixed
          1.93700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31387EKT3
        
          
          
        
        2074.84000000
        PA
        USD
        2232.13000000
        0.000303458229
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-07-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Onslow Bay Financial LLC
        N/A
        OBX 2022-NQM1 Trust
        67114VAA1
        
          
        
        1220190.59000000
        PA
        USD
        1183441.50000000
        0.160888954409
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2061-11-25
          Variable
          2.30500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38375B3P5
        
          
        
        44091.40000000
        PA
        USD
        43971.10000000
        0.005977874109
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2063-05-20
          Floating
          0.57629000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MidOcean Credit CLO
        549300T32RO3I7BJ4V26
        Midocean Credit Clo VIII
        59801MAL2
        
          
        
        1300000.00000000
        PA
        USD
        1289048.65000000
        0.175246253812
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-02-20
          Floating
          1.52957000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OCCIDENTAL PETROLEUM COR
        IM7X0T3ECJW4C1T7ON55
        Occidental Petroleum Corp
        674599CR4
        
          
          
        
        2150000.00000000
        PA
        USD
        2115825.75000000
        0.287646658183
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-08-15
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENTERPRISE PRODUCTS OPER
        5493004LGN656HWLDA30
        Enterprise Products Operating LLC
        29379VAZ6
        
          
          
        
        1920000.00000000
        PA
        USD
        1935019.87000000
        0.263066086195
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-03-15
          Fixed
          3.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AETNA INC
        549300QKBENKLBXQ8968
        Aetna Inc
        008117AP8
        
          
          
        
        1110000.00000000
        PA
        USD
        1114746.84000000
        0.151549910594
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-11-15
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - SCRT
        N/A
        Seasoned Credit Risk Transfer Trust Series 2018-1
        35563PES4
        
          
        
        710000.00000000
        PA
        USD
        695373.36000000
        0.094536056758
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2057-05-25
          Variable
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FXDJ8
        
          
        
        165072.06000000
        PA
        USD
        173332.16000000
        0.023564519233
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2056-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hertz Vehicle Financing LLC
        5493004IHDYOZ9K9WF47
        Hertz Vehicle Financing LLC
        42806MAA7
        
          
        
        1250000.00000000
        PA
        USD
        1185206.00000000
        0.161128838307
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-12-26
          Fixed
          1.21000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38375BKP6
        
          
        
        99541.55000000
        PA
        USD
        99325.92000000
        0.013503365746
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2061-02-20
          Floating
          0.60629000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AREIT CRE Trust
        N/A
        AREIT 2021-CRE5 Trust
        04002PAA2
        
          
        
        990000.00000000
        PA
        USD
        985369.18000000
        0.133961008700
        Long
        ABS-MBS
        CORP
        KY
        
        N
        
        2
        
          2026-07-17
          Floating
          1.47657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LUKOIL INTL FINANCE BV
        724500LG1GUKJ5TOIW61
        Lukoil International Finance BV
        549876AL4
        
          
          
        
        1600000.00000000
        PA
        USD
        920000.00000000
        0.125074064122
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2026-11-02
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Neuberger Berman CLO Ltd
        549300Y2YE54ON4DJE28
        Neuberger Berman Loan Advisers Clo 40 Ltd
        64134JAA1
        
          
          
        
        600000.00000000
        PA
        USD
        595343.19000000
        0.080936948175
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-04-16
          Floating
          1.30129000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOEING CO
        RVHJWBXLJ1RFUBSY1F30
        Boeing Co/The
        097023DE2
        
          
          
        
        2970000.00000000
        PA
        USD
        2874358.78000000
        0.390769276480
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-02-04
          Fixed
          1.43300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VFH PARENT LLC
        549300FRO9M476YHHY64
        VFH Parent LLC
        000000000
        
          
        
        500000.00000000
        PA
        USD
        496042.50000000
        0.067437012448
        Long
        LON
        CORP
        US
        N
        
        2
        
          2029-01-13
          Floating
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TEVA PHARMACEUTICAL INDU
        5493004T21MOAFINJP35
        Teva Pharmaceutical Finance Netherlands III BV
        88167AAP6
        
          
          
        
        1000000.00000000
        PA
        USD
        961200.00000000
        0.130675206994
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2027-05-09
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VIRGIN MEDIA BRISTOL LLC
        N/A
        Virgin Media Bristol LLC
        000000000
        
          
          
        
        750000.00000000
        PA
        USD
        742031.25000000
        0.100879200156
        Long
        LON
        CORP
        US
        N
        
        2
        
          2028-01-31
          Floating
          2.69110000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        APPLE INC
        HWUPKR0MPOU8FGXBT394
        Apple Inc
        037833DT4
        
          
          
        
        2350000.00000000
        PA
        USD
        2245585.25000000
        0.305287471252
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-11
          Fixed
          1.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Carlyle Global Market Strategi
        N/A
        Carlyle Global Market Strategies CLO 2014-3-R Ltd
        14315LAA2
        
          
        
        376896.43000000
        PA
        USD
        373806.18000000
        0.050818976224
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-07-27
          Floating
          1.31757000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOPERATIEVE RABOBANK UA
        DG3RU1DBUFHT4ZF9WN62
        Cooperatieve Rabobank UA
        74977RDH4
        
          
          
        
        1970000.00000000
        PA
        USD
        1840785.63000000
        0.250254934699
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2026-06-24
          Fixed
          1.33900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XJX3
        
          
          
        
        1033521.36000000
        PA
        USD
        1056213.56000000
        0.143592307098
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2029-10-25
          Floating
          3.45657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MITSUBISHI UFJ FIN GRP
        353800V2V8PUY9TK3E06
        Mitsubishi UFJ Financial Group Inc
        606822BS2
        
          
          
        
        640000.00000000
        PA
        USD
        600278.02000000
        0.081607838657
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2025-07-17
          Fixed
          1.41200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Voya CLO Ltd
        N/A
        Voya CLO 2018-4 Ltd
        92917WBG2
        
          
        
        820000.00000000
        PA
        USD
        813073.97000000
        0.110537462891
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-01-15
          Floating
          1.28129000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Parliament Funding II Ltd
        N/A
        Parliament Funding II ltd
        70163QAE8
        
          
        
        1950000.00000000
        PA
        USD
        1941989.40000000
        0.264013594284
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-10-20
          Floating
          1.48955000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEVON ENERGY CORPORATION
        54930042348RKR3ZPN35
        Devon Energy Corp
        25179MAV5
        
          
          
        
        2520000.00000000
        PA
        USD
        2729594.02000000
        0.371088497268
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-12-15
          Fixed
          5.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Non Gold Pool
        31288QMX5
        
          
        
        4886445.04000000
        PA
        USD
        4714131.35000000
        0.640886485601
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-08-01
          Floating
          1.78100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CENTENE CORP
        549300Z7JJ4TQSQGT333
        Centene Corp
        15135BAR2
        
          
          
        
        360000.00000000
        PA
        USD
        361720.80000000
        0.049175967971
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-12-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KCAP Senior Funding I LLC
        5493006EPGSPYDWRRN21
        Great Lakes Kcap F3c Senior LLC
        48669RAA9
        
          
        
        1792570.70000000
        PA
        USD
        1795254.30000000
        0.244064947212
        Long
        ABS-CBDO
        CORP
        US
        N
        
        2
        
          2029-12-20
          Floating
          2.82786000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAESARS RESORT COLLECTIO
        549300V3UCT773B1KR38
        Caesars Resort Collection LLC
        12769LAB5
        
          
          
        
        498697.92000000
        PA
        USD
        496757.99000000
        0.067534283363
        Long
        LON
        CORP
        US
        N
        
        2
        
          2024-12-22
          Floating
          3.70370000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WILLIAMS COMPANIES INC
        D71FAKCBLFS2O0RBPG08
        Williams Cos Inc/The
        96950FAL8
        
          
          
        
        1150000.00000000
        PA
        USD
        1174535.79000000
        0.159678222514
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-11-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        CBOT 5 Year US Treasury Note
        000000000
        
          
          
        
        -141.00000000
        NC
        USD
        -24273.81000000
        -0.00330002616
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2022-06-30
            -16146663.69000000
            USD
            -24273.81000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382YGG2
        
          
        
        2907356.34000000
        PA
        USD
        2885285.44000000
        0.392254756668
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2071-09-20
          Floating
          0.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Nelnet Student Loan Trust
        N/A
        Nelnet Student Loan Trust 2014-6
        64033RAA5
        
          
        
        330458.42000000
        PA
        USD
        324696.15000000
        0.044142464223
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2052-11-25
          Floating
          1.10657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF MONTREAL
        NQQ6HPCNCCU6TUTQYE16
        Bank of Montreal
        06367WHH9
        
          
          
        
        690000.00000000
        PA
        USD
        699639.83000000
        0.095116083652
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2024-02-05
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        89630.29000000
        0.012185244172
        N/A
        DIR
        CORP
        US
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
              
                
              
            
            
            2028-02-15
            0.00000000
            USD
            -28926.76000000
            USD
            -1387000.00000000
            USD
            118557.05000000
          
        
        
          N
          N
          N
        
      
      
        Ballyrock Ltd
        N/A
        Ballyrock CLO 2019-2 Ltd
        05875MAN2
        
          
        
        490000.00000000
        PA
        USD
        490238.79000000
        0.066647997669
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-11-20
          Floating
          1.67957000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS IFS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        227513.58000000
        0.030930487058
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
              
                
              
            
            
            2023-11-18
            0.00000000
            USD
            -30651.00000000
            USD
            -8310000.00000000
            USD
            258164.58000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        3617MKLU1
        
          
        
        79945.94000000
        PA
        USD
        81631.57000000
        0.011097817631
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-05-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DELTA AIR LINES INC
        Q2CCMS6R0AS67HJMBN42
        Delta Air Lines Inc
        247361ZX9
        
          
          
        
        1000000.00000000
        PA
        USD
        1071933.87000000
        0.145729484339
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MCDONALD'S CORP
        UE2136O97NLB5BYP9H04
        McDonald's Corp
        58013MFN9
        
          
          
        
        440000.00000000
        PA
        USD
        445413.36000000
        0.060553977336
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-01
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UEA6
        
          
          
        
        92473.46000000
        PA
        USD
        96279.74000000
        0.013089237363
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-10-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITEDHEALTH GROUP INC
        549300GHBMY8T5GXDE41
        UnitedHealth Group Inc
        91324PDD1
        
          
          
        
        20000.00000000
        PA
        USD
        20099.11000000
        0.002732475405
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-10-15
          Fixed
          2.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TARGET CORP
        8WDDFXB5T1Z6J0XC1L66
        Target Corp
        87612EBL9
        
          
          
        
        800000.00000000
        PA
        USD
        789467.72000000
        0.107328191558
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-15
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VISA INC
        549300JZ4OKEHW3DPJ59
        Visa Inc
        92826CAD4
        
          
          
        
        520000.00000000
        PA
        USD
        526357.66000000
        0.071558360563
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-12-14
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31384VQK1
        
          
        
        2601.40000000
        PA
        USD
        2766.05000000
        0.000376044690
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-02-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MCDONALD'S CORP
        UE2136O97NLB5BYP9H04
        McDonald's Corp
        58013MFL3
        
          
          
        
        1240000.00000000
        PA
        USD
        1186691.58000000
        0.161330803012
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-09-01
          Fixed
          1.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DUKE ENERGY CAROLINAS
        MWIUSDMN17TCR56VW396
        Duke Energy Carolinas LLC
        26442CAW4
        
          
          
        
        1190000.00000000
        PA
        USD
        1193209.69000000
        0.162216940520
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-05-15
          Fixed
          3.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DISH DBS CORP
        N/A
        DISH DBS Corp
        25470XBE4
        
          
          
        
        100000.00000000
        PA
        USD
        95437.50000000
        0.012974734776
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-12-01
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bravo Mortgage Asset Trust
        N/A
        Bravo Mortgage Asset Trust
        105667AD1
        
          
        
        750000.00000000
        PA
        USD
        709104.45000000
        0.096402799401
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-07-25
          Floating
          1.05657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ORACLE CORP
        1Z4GXXU7ZHVWFCD8TV52
        Oracle Corp
        68389XBL8
        
          
          
        
        1050000.00000000
        PA
        USD
        1046547.80000000
        0.142278246353
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-09-15
          Fixed
          2.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3620E0D78
        
          
        
        368453.18000000
        PA
        USD
        380222.24000000
        0.051691240029
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2060-08-20
          Floating
          2.15400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Legacy Mortgage Asset Trust
        N/A
        Legacy Mortgage Asset Trust 2019-GS5
        52475FAF0
        
          
        
        249527.36000000
        PA
        USD
        249616.79000000
        0.033935419998
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2059-05-25
          Variable
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ASIAN DEVELOPMENT BANK
        549300X0MVH42CY8Q105
        Asian Development Bank
        045167FH1
        
          
          
        
        830000.00000000
        PA
        USD
        791007.60000000
        0.107537538352
        Long
        DBT
        NUSS
        N/A
        N
        
        2
        
          2027-01-20
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CTR PARTNERSHIP/CARETRST
        N/A
        CTR Partnership LP / CareTrust Capital Corp
        126458AE8
        
          
          
        
        390000.00000000
        PA
        USD
        368163.90000000
        0.050051907865
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-06-30
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DANSKE BANK A/S
        MAES062Z21O4RZ2U7M96
        Danske Bank A/S
        23636ABD2
        
          
          
        
        1990000.00000000
        PA
        USD
        1995136.25000000
        0.271238912246
        Long
        DBT
        CORP
        DK
        N
        
        2
        
          2025-03-28
          Fixed
          3.77300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        US 5 YEAR TREASURY NOTE
        000000000
        
          
          
        
        -17.00000000
        NC
        USD
        -398.45000000
        -0.00005416930
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Call
            Written
            
              
                
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                  
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                    CBOT 5 Year US Treasury Note
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  Long
                  
                    
                      US TREASURY N/B
                      United States Treasury Note/Bond
                      
                        
                        
                        
                      
                    
                  
                  2022-06-30
                  0.00000000
                  USD
                
              
            
            100000.00000000
            118.50000000
            USD
            2022-04-22
            XXXX
            7509.65000000
          
        
        
          N
          N
          N
        
      
      
        UNION PACIFIC CORP
        549300LMMRSZZCZ8CL11
        Union Pacific Corp
        907818DK1
        
          
          
        
        770000.00000000
        PA
        USD
        770594.86000000
        0.104762424926
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-07-15
          Fixed
          4.16300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN HONDA FINANCE
        B6Q2VFHD1797Q7NZ3E43
        American Honda Finance Corp
        02665WCZ2
        
          
          
        
        2530000.00000000
        PA
        USD
        2513517.86000000
        0.341712928256
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-27
          Fixed
          2.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CLARIOS GLOBAL LP
        549300474L1ZLXZY2P98
        Clarios Global LP
        000000000
        
          
          
        
        750000.00000000
        PA
        USD
        741750.00000000
        0.100840964199
        Long
        LON
        CORP
        CA
        
        N
        
        2
        
          2026-04-30
          Floating
          3.45860000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36178WGQ6
        
          
        
        55220.04000000
        PA
        USD
        55016.38000000
        0.007479480695
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2042-11-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Trust 2021-ARIA
        05608RAA3
        
          
        
        1650000.00000000
        PA
        USD
        1620196.88000000
        0.220265878761
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-10-15
          Floating
          1.29610000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Asset-Backed Certi
        N/A
        Countrywide Asset-Backed Certificates
        126671RX6
        
          
        
        2013.20000000
        PA
        USD
        1805.18000000
        0.000245414346
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-05-25
          Variable
          4.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIR LEASE CORP
        5493004NW4M4P8TMMK63
        Air Lease Corp
        00914AAL6
        
          
          
        
        1160000.00000000
        PA
        USD
        1108907.85000000
        0.150756099497
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-02-15
          Fixed
          0.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATIONAL SECS CLEARING
        549300RYC9NELN2ICA34
        National Securities Clearing Corp
        637639AE5
        
          
          
        
        1020000.00000000
        PA
        USD
        940621.21000000
        0.127877519059
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-12-07
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Saranac CLO LTD
        5493000LWP4BVD5LGS13
        Saranac CLO III Ltd
        803169AS0
        
          
        
        690000.00000000
        PA
        USD
        687802.83000000
        0.093506842677
        Long
        ABS-CBDO
        CORP
        JE
        N
        
        2
        
          2030-06-22
          Floating
          2.78400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldentree Loan Opportunities
        549300IOBSI2NBFBJX90
        GoldenTree Loan Opportunities IX Ltd
        38123HAN4
        
          
        
        326162.86000000
        PA
        USD
        325195.34000000
        0.044210329138
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-10-29
          Floating
          1.40900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Avis Budget Rental Car Funding
        IHXLB8SL0QWSSG2VG640
        Avis Budget Rental Car Funding AESOP LLC
        05377RDY7
        
          
        
        940000.00000000
        PA
        USD
        892461.29000000
        0.121330174578
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2027-02-20
          Fixed
          2.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        295041.03000000
        0.040110848592
        N/A
        DIR
        CORP
        US
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
              
                
              
            
            
            2028-02-15
            7487.41000000
            USD
            0.00000000
            USD
            -4999000.00000000
            USD
            287553.62000000
          
        
        
          N
          N
          N
        
      
      
        AREIT CRE Trust
        N/A
        AREIT 2022-CRE6 Trust
        04002VAA9
        
          
        
        1320000.00000000
        PA
        USD
        1305508.12000000
        0.177483919906
        Long
        ABS-MBS
        CORP
        KY
        
        N
        
        2
        
          2024-11-17
          Floating
          1.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HalseyPoint CLO I, Ltd.
        549300POBLM5RW6LD816
        Halsey Point CLO I Ltd
        406375AA3
        
          
        
        1360000.00000000
        PA
        USD
        1357076.00000000
        0.184494576786
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-01-20
          Floating
          1.60400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        5493003FQV7GR462GO02
        Freddie Mac Stacr Remic Trust 2020-DNA1
        35565HBD6
        
          
        
        230000.00000000
        PA
        USD
        220149.40000000
        0.029929326274
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-01-25
          Floating
          2.75657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE NEW YORK
        549300D0YARF5HYP1809
        Credit Suisse AG/New York NY
        22550L2D2
        
          
          
        
        940000.00000000
        PA
        USD
        926278.58000000
        0.125927637511
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2023-05-05
          Fixed
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVOLON HOLDINGS FNDG LTD
        635400ZRKEX9L1BKCH30
        Avolon Holdings Funding Ltd
        05401AAL5
        
          
          
        
        1350000.00000000
        PA
        USD
        1333203.35000000
        0.181249088355
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2026-04-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CAB7
        
          
          
        
        4545000.00000000
        PA
        USD
        4214333.48000000
        0.572938930340
        Long
        DBT
        UST
        US
        N
        
        2
        
          2025-07-31
          Fixed
          0.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUZANO AUSTRIA GMBH
        254900287ZNSGVP1R341
        Suzano Austria GmbH
        05674XAA9
        
          
          
        
        1190000.00000000
        PA
        USD
        1278208.75000000
        0.173772568652
        Long
        DBT
        CORP
        AT
        
        N
        
        2
        
          2026-07-14
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FORD MOTOR CREDIT CO LLC
        UDSQCVRUX5BONN0VY111
        Ford Motor Credit Co LLC
        345397C27
        
          
          
        
        1150000.00000000
        PA
        USD
        1170757.50000000
        0.159164563725
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-05-28
          Fixed
          4.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO SANTANDER SA
        5493006QMFDDMYWIAM13
        Banco Santander SA
        05964HAE5
        
          
          
        
        400000.00000000
        PA
        USD
        403059.28000000
        0.054795937208
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2023-02-23
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TSH9
        
          
        
        8668.49000000
        PA
        USD
        8981.58000000
        0.001221046427
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-02-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PIONEER NATURAL RESOURCE
        FY8JBF7CCL2VE4F1B628
        Pioneer Natural Resources Co
        723787AU1
        
          
          
        
        1230000.00000000
        PA
        USD
        1203353.16000000
        0.163595945974
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-15
          Fixed
          0.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FOX CORP
        549300DDU6FDRBIELS05
        Fox Corp
        35137LAG0
        
          
          
        
        2460000.00000000
        PA
        USD
        2512893.91000000
        0.341628102210
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-01-25
          Fixed
          4.03000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE GROUP AG
        549300506SI9CRFV9Z86
        Credit Suisse Group AG
        225401AM0
        
          
          
        
        1490000.00000000
        PA
        USD
        1440507.62000000
        0.195837111340
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2025-09-11
          Fixed
          2.59300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KUWAIT INTL BOND
        549300FSC1YD0D9XX589
        Kuwait International Government Bond
        501499AB3
        
          
          
        
        730000.00000000
        PA
        USD
        761090.70000000
        0.103470333712
        Long
        DBT
        NUSS
        KW
        N
        
        2
        
          2027-03-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SG Capital Partners
        N/A
        SG Residential Mortgage Trust 2022-1
        78433QAA3
        
          
        
        1466671.33000000
        PA
        USD
        1441287.94000000
        0.195943195899
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2062-03-27
          Variable
          3.16600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TCI-Flatiron CLO Ltd
        549300EEOTVLW827QY91
        TCI-Flatiron CLO 2016-1 Ltd
        87230AAW6
        
          
        
        1200000.00000000
        PA
        USD
        1189542.28000000
        0.161718355875
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-01-17
          Floating
          1.27007000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED AIRLINES INC
        K1OQBWM7XEOO08LDNP29
        United Airlines Inc
        90932LAH0
        
          
          
        
        1410000.00000000
        PA
        USD
        1342637.25000000
        0.182531627717
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-04-15
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Accredit Loans, In
        N/A
        RALI Series 2007-QS7 Trust
        74923WAG3
        
          
          
        
        542220.45000000
        PA
        USD
        428292.02000000
        0.058226329970
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-05-25
          Floating
          1.00657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31387SX68
        
          
        
        3105.38000000
        PA
        USD
        3114.87000000
        0.000423466793
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-08-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DIAMONDBACK ENERGY INC
        549300R22LSX6OHWEN64
        Diamondback Energy Inc
        25278XAM1
        
          
          
        
        1810000.00000000
        PA
        USD
        1810035.26000000
        0.246074419754
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-12-01
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUMITOMO MITSUI FINL GRP
        35380028MYWPB6AUO129
        Sumitomo Mitsui Financial Group Inc
        86562MBE9
        
          
          
        
        1290000.00000000
        PA
        USD
        1296445.24000000
        0.176251820738
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2023-10-16
          Floating
          1.04129000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XYX6
        
          
          
        
        703290.26000000
        PA
        USD
        709248.61000000
        0.096422397963
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2030-07-25
          Floating
          2.70657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF NOVA SCOTIA
        L3I9ZG2KFGXZ61BMYR72
        Bank of Nova Scotia/The
        064159VL7
        
          
          
        
        1310000.00000000
        PA
        USD
        1235590.51000000
        0.167978615953
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2025-06-11
          Fixed
          1.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38375B3L4
        
          
        
        116256.55000000
        PA
        USD
        115956.92000000
        0.015764351356
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2063-06-20
          Floating
          0.57629000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JOHN DEERE CAPITAL CORP
        E0KSF7PFQ210NWI8Z391
        John Deere Capital Corp
        24422EVQ9
        
          
          
        
        2070000.00000000
        PA
        USD
        1973038.32000000
        0.268234697122
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-07
          Fixed
          0.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MPT OPER PARTNERSP/FINL
        N/A
        MPT Operating Partnership LP / MPT Finance Corp
        55342UAH7
        
          
          
        
        60000.00000000
        PA
        USD
        61080.00000000
        0.008303830257
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-10-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TORONTO-DOMINION BANK
        PT3QB789TSUIDF371261
        Toronto-Dominion Bank/The
        89114QCG1
        
          
          
        
        1150000.00000000
        PA
        USD
        1129545.42000000
        0.153561778576
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2023-06-12
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Legacy Mortgage Asset Trust
        N/A
        Legacy Mortgage Asset Trust 2020-RPL1
        52474HAA8
        
          
        
        1108281.15000000
        PA
        USD
        1095804.23000000
        0.148974661444
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2059-09-25
          Variable
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Option One Mortgage Loan Trust
        N/A
        Option One Mortgage Loan Trust 2007-FXD1
        68402VAA0
        
          
        
        486997.11000000
        PA
        USD
        447900.06000000
        0.060892044375
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-01-25
          Variable
          5.86600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        CME 3 Month Eurodollar
        000000000
        
          
          
        
        357.00000000
        NC
        USD
        -692718.62000000
        -0.09417514467
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Long
            
              
                NA
                90 DAY EURO DOLLAR TIME DEPOSIT
                
                  
                  
                
              
            
            2022-12-19
            87568668.62000000
            USD
            -692718.62000000
          
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABV6
        
          
          
        
        70000.00000000
        PA
        USD
        66675.00000000
        0.009064470897
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-04-15
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OCCIDENTAL PETROLEUM COR
        IM7X0T3ECJW4C1T7ON55
        Occidental Petroleum Corp
        674599CM5
        
          
          
        
        130000.00000000
        PA
        USD
        127346.05000000
        0.017312704373
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-02-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SANDS CHINA LTD
        549300EVO6UZDGY05787
        Sands China Ltd
        80007RAM7
        
          
          
        
        420000.00000000
        PA
        USD
        366870.00000000
        0.049876002070
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2027-03-08
          Fixed
          2.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31382N3S9
        
          
        
        1931.37000000
        PA
        USD
        1958.79000000
        0.000266297637
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-04-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3622AAHA5
        
          
        
        31695.94000000
        PA
        USD
        31601.25000000
        0.004296192140
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-10-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Home Equity Asset Trust
        N/A
        Home Equity Asset Trust 2005-6
        437084NG7
        
          
        
        380000.00000000
        PA
        USD
        372016.62000000
        0.050575685418
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-12-25
          Floating
          1.40157000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418BYV2
        
          
        
        322573.38000000
        PA
        USD
        321979.58000000
        0.043773146342
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-02-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PETROBRAS GLOBAL FINANCE
        549300FNENFFSMO3GT38
        Petrobras Global Finance BV
        71647NAZ2
        
          
          
        
        150000.00000000
        PA
        USD
        156114.00000000
        0.021223709180
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2029-02-01
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Asset Backed Funding Corporati
        N/A
        ABFC 2002-WF2 Trust
        04542BBT8
        
          
        
        24207.41000000
        PA
        USD
        23940.26000000
        0.003254680015
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-05-25
          Floating
          1.58157000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Commercial Mortgage Trust 2021-XL2
        05609KAA7
        
          
        
        1610340.36000000
        PA
        USD
        1578031.94000000
        0.214533552229
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-10-15
          Floating
          1.08550000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS IFS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        -224932.58000000
        -0.03057959992
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2026-11-18
            82185.25000000
            USD
            0.00000000
            USD
            8310000.00000000
            USD
            -307117.83000000
          
        
        
          N
          N
          N
        
      
      
        MARRIOTT INTERNATIONAL
        225YDZ14ZO8E1TXUSU86
        Marriott International Inc/MD
        571900BB4
        
          
          
        
        1230000.00000000
        PA
        USD
        1243467.34000000
        0.169049471541
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-15
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DANSKE BANK A/S
        MAES062Z21O4RZ2U7M96
        Danske Bank A/S
        23636AAT8
        
          
          
        
        1220000.00000000
        PA
        USD
        1258415.47000000
        0.171081670856
        Long
        DBT
        CORP
        DK
        N
        
        2
        
          2024-01-12
          Fixed
          5.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PAH9
        
          
          
        
        920000.00000000
        PA
        USD
        923679.76000000
        0.125574327751
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-01
          Fixed
          3.22000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PROCTER & GAMBLE CO/THE
        2572IBTT8CCZW6AU4141
        Procter & Gamble Co/The
        742718FG9
        
          
          
        
        30000.00000000
        PA
        USD
        30052.27000000
        0.004085608201
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-25
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Commercial Mortgage Trust 2021-CIP
        12434FAA5
        
          
        
        1320000.00000000
        PA
        USD
        1300348.24000000
        0.176782433860
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-12-15
          Floating
          1.31800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38375BBX9
        
          
        
        388644.24000000
        PA
        USD
        391595.53000000
        0.053237439597
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2060-05-20
          Floating
          1.23057000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Adjustable Rate Mor
        N/A
        Structured Adjustable Rate Mortgage Loan Trust Series 2005-4
        863579MP0
        
          
        
        88701.12000000
        PA
        USD
        80296.04000000
        0.010916252234
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-03-25
          Variable
          2.69789400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        6488.32000000
        0.000882087556
        N/A
        DIR
        CORP
        US
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
              
                
              
            
            
            2028-08-15
            0.00000000
            USD
            -179.26000000
            USD
            -122000.00000000
            USD
            6667.58000000
          
        
        
          N
          N
          N
        
      
      
        CATERPILLAR FINL SERVICE
        EDBQKYOPJUCJKLOJDE72
        Caterpillar Financial Services Corp
        14913R2L0
        
          
          
        
        2960000.00000000
        PA
        USD
        2833433.51000000
        0.385205483171
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-05-17
          Fixed
          0.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIR LEASE CORP
        5493004NW4M4P8TMMK63
        Air Lease Corp
        00914AAM4
        
          
          
        
        3030000.00000000
        PA
        USD
        2795587.32000000
        0.380060291003
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-08-15
          Fixed
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        10 YEAR US TREASURY NOTE
        000000000
        
          
          
        
        -6.00000000
        NC
        USD
        -2343.75000000
        -0.00031863297
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Call
            Written
            
              
                
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                  
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                    CBOT 10 Year US Treasury Note
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  Long
                  
                    
                      US TREASURY N/B
                      United States Treasury Note/Bond
                      
                        
                        
                        
                      
                    
                  
                  2022-06-21
                  0.00000000
                  USD
                
              
            
            100000.00000000
            124.00000000
            USD
            2022-04-22
            XXXX
            1302.12000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GHF9
        
          
          
        
        3840000.00000000
        PA
        USD
        3863744.26000000
        0.525276301445
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-05
          Fixed
          3.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SETANTA AIRCRAFT LEASING
        N/A
        Setanta Aircraft Leasing DAC
        000000000
        
          
          
        
        750000.00000000
        PA
        USD
        740002.50000000
        0.100603391452
        Long
        LON
        CORP
        IE
        N
        
        2
        
          2028-11-05
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3622AANA8
        
          
        
        27987.22000000
        PA
        USD
        28404.49000000
        0.003861592395
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-09-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Alt-A Trust
        N/A
        Bear Stearns ALT-A Trust 2007-1
        07386XAA4
        
          
          
        
        89253.55000000
        PA
        USD
        83987.55000000
        0.011418113276
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-01-25
          Floating
          0.77657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE NEW YORK
        549300D0YARF5HYP1809
        Credit Suisse AG/New York NY
        22550L2C4
        
          
          
        
        880000.00000000
        PA
        USD
        871007.28000000
        0.118413500424
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2025-04-09
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MONDELEZ INTERNATIONAL
        549300DV9GIB88LZ5P30
        Mondelez International Inc
        609207AU9
        
          
          
        
        230000.00000000
        PA
        USD
        219938.94000000
        0.029900714222
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-04
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MCDONALD'S CORP
        UE2136O97NLB5BYP9H04
        McDonald's Corp
        58013MEY6
        
          
          
        
        660000.00000000
        PA
        USD
        676622.19000000
        0.091986833890
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-30
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2019-R07
        20753WAF3
        
          
        
        137115.80000000
        PA
        USD
        137171.80000000
        0.018648515770
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2039-10-25
          Floating
          2.55657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175AY0
        
          
          
        
        2680000.00000000
        PA
        USD
        2781782.30000000
        0.378183497571
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-23
          Fixed
          4.90800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Extended Stay America Trust
        N/A
        Extended Stay America Trust 2021-ESH
        30227FAA8
        
          
          
        
        1411314.05000000
        PA
        USD
        1396384.32000000
        0.189838545630
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-07-15
          Floating
          1.47700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG LONDON
        BFM8T61CT2L1QCEMIK50
        UBS AG/London
        902674YF1
        
          
          
        
        1790000.00000000
        PA
        USD
        1753773.50000000
        0.238425629560
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2023-06-01
          Fixed
          0.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140XCC22
        
          
        
        1069068.00000000
        PA
        USD
        1064942.05000000
        0.144778945922
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-03-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        95000U2C6
        
          
          
        
        3770000.00000000
        PA
        USD
        3840262.02000000
        0.522083889280
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-01-24
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ASTRAZENECA FINANCE LLC
        549300C3HATU4Q460S18
        Astrazeneca Finance LLC
        04636NAC7
        
          
          
        
        3420000.00000000
        PA
        USD
        3287817.48000000
        0.446979015562
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-05-28
          Fixed
          0.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fortress Credit BSL Limited
        N/A
        Fortress Credit Bsl X Ltd
        34962HAA5
        
          
        
        1990000.00000000
        PA
        USD
        1990629.26000000
        0.270626186641
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-04-20
          Floating
          1.72400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LLOYDS BANKING GROUP PLC
        549300PPXHEU2JF0AM85
        Lloyds Banking Group PLC
        53944YAL7
        
          
          
        
        2320000.00000000
        PA
        USD
        2345787.61000000
        0.318909989078
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-07-09
          Fixed
          3.87000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PHILIP MORRIS INTL INC
        HL3H1H2BGXWVG3BSWR90
        Philip Morris International Inc
        718172CH0
        
          
          
        
        230000.00000000
        PA
        USD
        230559.59000000
        0.031344592330
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-05-01
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank
        N/A
        BANK 2022-BNK39
        06539VAP3
        
          
        
        60848278.59000000
        PA
        USD
        2107443.62000000
        0.286507107025
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2055-02-15
          Variable
          0.42742900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DB Master Finance LLC
        549300F17UZJL70BPB08
        DB Master Finance LLC
        233046AS0
        
          
        
        1316700.00000000
        PA
        USD
        1183909.88000000
        0.160952630703
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2051-11-20
          Fixed
          2.79100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140X8EY9
        
          
        
        344377.15000000
        PA
        USD
        333700.07000000
        0.045366547775
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-10-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PAY2
        
          
          
        
        730000.00000000
        PA
        USD
        741998.27000000
        0.100874716522
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-12-05
          Fixed
          4.02300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CBAM CLO Management LLC
        254900JWJFDB3KD6V066
        CBAM 2017-1 Ltd
        12480VAC9
        
          
        
        350000.00000000
        PA
        USD
        349990.45000000
        0.047581226071
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-07-20
          Floating
          1.50400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418CAH7
        
          
        
        296005.53000000
        PA
        USD
        295794.63000000
        0.040213300565
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-08-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140M2EC2
        
          
        
        98645.44000000
        PA
        USD
        92037.31000000
        0.012512478709
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-11-01
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380QYC0
        
          
        
        2614378.09000000
        PA
        USD
        2605423.32000000
        0.354207481948
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2070-04-20
          Floating
          0.43000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Carlyle Global Market Strategi
        N/A
        Carlyle Global Market Strategies CLO 2014-1 Ltd
        14310MAW7
        
          
        
        667969.12000000
        PA
        USD
        661831.40000000
        0.089976024958
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-17
          Floating
          1.21129000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Asset Backed Funding Certifica
        N/A
        ABFC 2004-OPT2 Trust
        04542BFW7
        
          
        
        8638.66000000
        PA
        USD
        8632.28000000
        0.001173559067
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-08-25
          Floating
          1.28157000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31391BDK0
        
          
        
        5155.81000000
        PA
        USD
        5236.89000000
        0.000711955560
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-08-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLENCORE FUNDING LLC
        213800STG1QDNBY87K49
        Glencore Funding LLC
        378272AF5
        
          
          
        
        980000.00000000
        PA
        USD
        997404.80000000
        0.135597252077
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-05-30
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARTER COMMUNICATIONS OPER
        549300TPZNMN50BJ3745
        Charter Communications Operating LLC
        16117LBX6
        
          
          
        
        498721.23000000
        PA
        USD
        495225.19000000
        0.067325899097
        Long
        LON
        CORP
        US
        N
        
        2
        
          2027-02-01
          Floating
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RENT-A-CENTER INC
        529900QUHE15UQNCCJ63
        Rent-A-Center Inc/TX
        76009WAW0
        
          
          
        
        750000.00000000
        PA
        USD
        736758.75000000
        0.100162403413
        Long
        LON
        CORP
        US
        N
        
        2
        
          2028-02-17
          Floating
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MAGALLANES INC
        549300DXR29GD4N0A520
        Magallanes Inc
        55903VAG8
        
          
          
        
        1160000.00000000
        PA
        USD
        1159823.51000000
        0.157678087022
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-15
          Fixed
          3.75500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        CBOT US Long Bond
        000000000
        
          
          
        
        -22.00000000
        NC
        USD
        110780.68000000
        0.015060641167
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2022-06-21
            -3412155.68000000
            USD
            110780.68000000
          
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mor
        N/A
        JP Morgan Chase Commercial Mortgage Securities Trust 2012-HSBC
        46637YAA7
        
          
        
        1386517.12000000
        PA
        USD
        1386639.97000000
        0.188513800568
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-07-05
          Fixed
          3.09340000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31384VWG3
        
          
        
        3780.15000000
        PA
        USD
        4041.81000000
        0.000549484351
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-05-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FOUR SEASONS HOTELS LTD
        5493009FUVX8LHYY2202
        Four Seasons Hotels Ltd
        35100DAR7
        
          
          
        
        500000.00000000
        PA
        USD
        499140.00000000
        0.067858117789
        Long
        LON
        CORP
        CA
        N
        
        2
        
          2023-11-30
          Floating
          2.20860000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCM Ltd Partnership
        549300PYL1KC7BYM8G75
        LCM XVIII LP
        50188QAJ0
        
          
        
        95348.35000000
        PA
        USD
        95042.76000000
        0.012921069846
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2027-07-15
          Floating
          1.48129000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Allegro CLO Ltd
        635400R1GOVCHJ4SNX58
        Allegro CLO II-S Ltd
        01751EAC2
        
          
        
        1134902.00000000
        PA
        USD
        1134849.06000000
        0.154282808804
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2028-10-21
          Floating
          1.33514000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SMRT
        N/A
        SMRT 2022-MINI
        78457JAA0
        
          
        
        1290000.00000000
        PA
        USD
        1274962.73000000
        0.173331272006
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2024-01-15
          Floating
          1.30200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Trust 2022-LBA6
        12433EAA9
        
          
        
        1290000.00000000
        PA
        USD
        1269468.23000000
        0.172584294348
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2039-01-15
          Floating
          1.30116000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ELP 2021-ELP
        N/A
        ELP Commercial Mortgage Trust 2021-ELP
        26863LAA2
        
          
        
        2310000.00000000
        PA
        USD
        2267842.27000000
        0.308313314672
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-11-15
          Floating
          1.09800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NISSAN MOTOR CO
        353800DRBDH1LUTNAY26
        Nissan Motor Co Ltd
        654744AA9
        
          
          
        
        2460000.00000000
        PA
        USD
        2455754.38000000
        0.333859979124
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2023-09-15
          Fixed
          3.04300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DELTA AIR LINES INC
        Q2CCMS6R0AS67HJMBN42
        Delta Air Lines Inc
        247361ZZ4
        
          
          
        
        880000.00000000
        PA
        USD
        956648.00000000
        0.130056362277
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-15
          Fixed
          7.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        L3HARRIS TECH INC
        549300UTE50ZMDBG8A20
        L3Harris Technologies Inc
        502431AJ8
        
          
          
        
        810000.00000000
        PA
        USD
        821853.61000000
        0.111731055561
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-06-15
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31298GG87
        
          
        
        20579.19000000
        PA
        USD
        21012.44000000
        0.002856642682
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-02-01
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        251523.10000000
        0.034194582975
        N/A
        DIR
        CORP
        US
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
              
                
              
            
            
            2028-08-15
            33524.11000000
            USD
            0.00000000
            USD
            -4288000.00000000
            USD
            217998.99000000
          
        
        
          N
          N
          N
        
      
      
        PRINCIPAL LFE GLB FND II
        635400WSLKBQWSOIIT41
        Principal Life Global Funding II
        74256LEE5
        
          
          
        
        60000.00000000
        PA
        USD
        56331.09000000
        0.007658215611
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-23
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROYAL BANK OF CANADA
        ES7IP3U3RHIGC71XBU11
        Royal Bank of Canada
        78015K7H1
        
          
          
        
        1060000.00000000
        PA
        USD
        1001537.60000000
        0.136159106525
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2025-06-10
          Fixed
          1.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUMITOMO MITSUI FINL GRP
        35380028MYWPB6AUO129
        Sumitomo Mitsui Financial Group Inc
        86562MCC2
        
          
          
        
        510000.00000000
        PA
        USD
        490733.85000000
        0.066715301111
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2024-01-12
          Fixed
          0.50800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EQT CORP
        4NT01YGM4X7ZX86ISY52
        EQT Corp
        26884LAF6
        
          
          
        
        420000.00000000
        PA
        USD
        419403.60000000
        0.057017948651
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-10-01
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Galaxy CLO Ltd
        N/A
        Galaxy XXVI CLO Ltd
        36321LAA7
        
          
        
        450000.00000000
        PA
        USD
        448410.39000000
        0.060961423774
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-11-22
          Floating
          1.67957000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Grippen Park CLO LTD
        549300P7KR0IARP7PG22
        Grippen Park CLO Ltd
        39862EAA2
        
          
        
        1320000.00000000
        PA
        USD
        1315607.30000000
        0.178856904131
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-01-20
          Floating
          1.51400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTESA SANPAOLO SPA
        2W8N8UU78PMDQKZENC08
        Intesa Sanpaolo SpA
        46115HAZ0
        
          
          
        
        1730000.00000000
        PA
        USD
        1732827.56000000
        0.235578027558
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2022-07-14
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIGNA CORP
        549300VIWYMSIGT1U456
        Cigna Corp
        125523AF7
        
          
          
        
        2364000.00000000
        PA
        USD
        2399185.61000000
        0.326169450899
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-07-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank
        N/A
        BANK 2017-BNK9
        06540RAC8
        
          
        
        1280000.00000000
        PA
        USD
        1283914.24000000
        0.174548230415
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2054-11-15
          Fixed
          3.47000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust 2019-OC11
        N/A
        BX Trust 2019-OC11
        05606FAA1
        
          
          
        
        680000.00000000
        PA
        USD
        657890.89000000
        0.089440312349
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2041-12-09
          Fixed
          3.20200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hildene Community Funding CLO
        549300845E8YWIPN4S43
        Hildene Community Funding CDO Ltd
        43133KAC9
        
          
        
        1410000.00000000
        PA
        USD
        1360650.00000000
        0.184980462335
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2035-11-01
          Fixed
          2.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Stonepeak
        N/A
        Stonepeak 2021-1 ABS
        78433XAB6
        
          
        
        1525638.98000000
        PA
        USD
        1437875.53000000
        0.195479278521
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2033-02-28
          Fixed
          2.67500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RMJ8
        
          
          
        
        3880000.00000000
        PA
        USD
        3758618.66000000
        0.510984468798
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-25
          Fixed
          0.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Asset Mortgage Pro
        N/A
        RAMP Series 2004-SL4 Trust
        76112BGP9
        
          
        
        4212.91000000
        PA
        USD
        2296.05000000
        0.000312148157
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-07-25
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264AAV7
        
          
          
        
        900000.00000000
        PA
        USD
        915660.00000000
        0.124484040820
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-01
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Blackrock DLF VIII-L CLO Trust
        N/A
        Blackrock DLF VIII-L CLO Trust
        09262BAA7
        
          
        
        217860.89000000
        PA
        USD
        217962.41000000
        0.029632004831
        Long
        ABS-CBDO
        CORP
        US
        N
        
        2
        
          2032-04-17
          Floating
          1.59129000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SMR 2022-IND Mortgage Trust
        N/A
        SMR 2022-IND Mortgage Trust
        78458MAL8
        
          
        
        1543344.76000000
        PA
        USD
        1530689.33000000
        0.208097321100
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2039-02-15
          Floating
          6.30116000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GILEAD SCIENCES INC
        549300WTZWR07K8MNV44
        Gilead Sciences Inc
        375558AW3
        
          
          
        
        690000.00000000
        PA
        USD
        702620.71000000
        0.095521334496
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-01
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38375BMT6
        
          
        
        387222.88000000
        PA
        USD
        386187.83000000
        0.052502262405
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2061-08-20
          Floating
          0.57629000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - SCRT
        N/A
        Seasoned Credit Risk Transfer Trust Series 2019-1
        35563PJQ3
        
          
        
        1040000.00000000
        PA
        USD
        1004766.15000000
        0.136598028123
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2058-07-25
          Variable
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        CME 3 Month Eurodollar
        000000000
        
          
          
        
        154.00000000
        NC
        USD
        -394537.90000000
        -0.05363745500
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Long
            
              
                NA
                90 DAY EURO DOLLAR TIME DEPOSIT
                
                  
                  
                
              
            
            2023-12-18
            37727987.90000000
            USD
            -394537.90000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418CQD9
        
          
        
        185829.42000000
        PA
        USD
        185487.56000000
        0.025217046710
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-10-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PIONEER NATURAL RESOURCE
        FY8JBF7CCL2VE4F1B628
        Pioneer Natural Resources Co
        723787AT4
        
          
          
        
        1710000.00000000
        PA
        USD
        1587965.01000000
        0.215883953788
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-15
          Fixed
          1.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCM Ltd Partnership
        N/A
        LCM Loan Income Fund I Income Note Issuer Ltd
        50200JAC5
        
          
        
        690000.00000000
        PA
        USD
        686479.01000000
        0.093326869256
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-07-16
          Floating
          1.32129000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Navient Student Loan Trust
        N/A
        Navient Student Loan Trust 2021-1
        63942NAB4
        
          
        
        865867.91000000
        PA
        USD
        860027.20000000
        0.116920757782
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2069-12-26
          Floating
          1.05657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN INTL GROUP
        ODVCVCQG2BP6VHV36M30
        American International Group Inc
        026874DQ7
        
          
          
        
        90000.00000000
        PA
        USD
        88099.43000000
        0.011977123648
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-30
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PAYPAL HOLDINGS INC
        5493005X2GO78EFZ3E94
        PayPal Holdings Inc
        70450YAF0
        
          
          
        
        980000.00000000
        PA
        USD
        977506.26000000
        0.132892044178
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-06-01
          Fixed
          1.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage
        N/A
        CGMS Commercial Mortgage Trust 2017-B1
        17326CAZ7
        
          
        
        930000.00000000
        PA
        USD
        931833.40000000
        0.126682815677
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-08-15
          Fixed
          3.45800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSK CONSUMER HEALTHCARE
        5493004B26DRJNN0OV17
        GSK Consumer Healthcare Capital UK PLC
        36264NAA2
        
          
          
        
        1040000.00000000
        PA
        USD
        1037521.86000000
        0.141051169181
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2025-03-24
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ELI LILLY & CO
        FRDRIPF3EKNDJ2CQJL29
        Eli Lilly & Co
        532457BQ0
        
          
          
        
        320000.00000000
        PA
        USD
        320504.77000000
        0.043572645820
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-05-15
          Fixed
          2.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTERCONTINENTAL EXCHANGE, INC.
        5493000F4ZO33MV32P92
        CDS CDX.NA.IG.38
        000000000
        
          
        
        1.00000000
        NC
        USD
        170191.38000000
        0.023137529973
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              INTERCONTINENTAL EXCHANGE, INC.
              5493000F4ZO33MV32P92
            
            
              
                IHS MARKIT LTD
                CDX.NA.IG.38.V1
                
                  
                  
                
              
            
            Y
            
            Default Event
            2027-06-20
            145606.62000000
            USD
            0.00000000
            USD
            10562000.00000000
            USD
            24584.76000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XAP9
        
          
          
        
        155213.27000000
        PA
        USD
        159953.65000000
        0.021745709866
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2024-11-25
          Floating
          5.35657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SREIT Trust
        N/A
        STWD Trust 2021-FLWR
        78485GAN4
        
          
        
        2200000.00000000
        PA
        USD
        2112388.52000000
        0.287179366524
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-07-15
          Floating
          2.32099000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Residential Mortgage Loan
        N/A
        New Residential Mortgage Loan Trust 2019-6
        64828GAD2
        
          
        
        627503.53000000
        PA
        USD
        623268.63000000
        0.084733413689
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2059-09-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SLM Student Loan Trust
        549300I2YWZ9E1B0EY33
        SLM Private Credit Student Loan Trust 2006-A
        78443CCL6
        
          
        
        889188.20000000
        PA
        USD
        856107.02000000
        0.116387809038
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2039-06-15
          Floating
          1.11600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Commercial Mortgage Trust 2022-AHP
        05610FAA5
        
          
        
        1270000.00000000
        PA
        USD
        1255230.41000000
        0.170648661727
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2039-01-17
          Floating
          1.29116000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38375BJS2
        
          
        
        78646.13000000
        PA
        USD
        78466.48000000
        0.010667523425
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2061-01-20
          Floating
          0.60629000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SLM Student Loan Trust
        549300FBYELJTA2VHZ52
        SLM Student Loan Trust 2005-8
        78442GQS8
        
          
        
        1556138.33000000
        PA
        USD
        1494201.38000000
        0.203136781755
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2040-01-25
          Floating
          0.42771000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175BB9
        
          
          
        
        1095000.00000000
        PA
        USD
        1099093.35000000
        0.149421817538
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-07-23
          Fixed
          4.46400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS Commercial Mortgage Trust
        N/A
        UBS Commercial Mortgage Trust 2017-C4
        90276RBE7
        
          
        
        1330000.00000000
        PA
        USD
        1324563.23000000
        0.180074463438
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-10-15
          Fixed
          3.56300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140H3ZJ8
        
          
        
        40573.48000000
        PA
        USD
        40498.80000000
        0.005505814682
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Tharaldson Hotel Portfolio Tru
        N/A
        Tharaldson Hotel Portfolio Trust 2018-THPT
        88327HAL7
        
          
        
        793878.66000000
        PA
        USD
        776503.99000000
        0.105565771561
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-11-11
          Floating
          2.59000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Radnor Re LTD
        N/A
        Radnor RE 2021-1 Ltd
        75279YAC5
        
          
        
        1320000.00000000
        PA
        USD
        1245207.88000000
        0.169286098075
        Long
        ABS-MBS
        CORP
        BM
        
        N
        
        2
        
          2033-12-27
          Floating
          2.79900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CCG Receivables Trust
        N/A
        CCG Receivables Trust 2021-2
        12511EAC0
        
          
        
        2310000.00000000
        PA
        USD
        2250119.72000000
        0.305903932764
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2029-03-14
          Fixed
          0.54000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRANSCONT GAS PIPE LINE
        N/A
        Transcontinental Gas Pipe Line Co LLC
        893574AH6
        
          
          
        
        1640000.00000000
        PA
        USD
        1881629.24000000
        0.255807626325
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-01
          Fixed
          7.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROYAL BANK OF CANADA
        ES7IP3U3RHIGC71XBU11
        Royal Bank of Canada
        78015K7G3
        
          
          
        
        710000.00000000
        PA
        USD
        706827.20000000
        0.096093207105
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2023-04-17
          Fixed
          1.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GREAT-WEST LIFECO US FI
        N/A
        Great-West Lifeco US Finance 2020 LP
        391399AA0
        
          
          
        
        1630000.00000000
        PA
        USD
        1509481.70000000
        0.205214142324
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2025-08-12
          Fixed
          0.90400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cerberus
        N/A
        Cerberus Loan Funding XXVIII LP
        15673EAA1
        
          
        
        580000.00000000
        PA
        USD
        580118.07000000
        0.078867092050
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2031-10-15
          Floating
          2.09129000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NTT FINANCE CORP
        3538007PR116187GD960
        NTT Finance Corp
        62954WAB1
        
          
          
        
        2560000.00000000
        PA
        USD
        2455627.96000000
        0.333842792316
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2024-03-01
          Fixed
          0.58300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SCHLUMBERGER INVESTMENT
        529900EZ29I5KXPV2J32
        Schlumberger Investment SA
        806854AD7
        
          
          
        
        380000.00000000
        PA
        USD
        380266.76000000
        0.051697292526
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2022-08-01
          Fixed
          2.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        -216937.27000000
        -0.02949263697
        N/A
        DIR
        CORP
        US
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2027-03-04
            0.00000000
            USD
            -11262.91000000
            USD
            7370000.00000000
            USD
            -205674.36000000
          
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS FINL CO
        5493008B6JBRUJ90QL97
        General Motors Financial Co Inc
        37045XBW5
        
          
          
        
        1070000.00000000
        PA
        USD
        1087331.79000000
        0.147822832636
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-13
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ORBIA ADVANCE CORP SAB
        549300MVHZ20SBIOEQ79
        Orbia Advance Corp SAB de CV
        68560EAA6
        
          
          
        
        320000.00000000
        PA
        USD
        300326.40000000
        0.040829395012
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2026-05-11
          Fixed
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Home Equity Trust
        N/A
        Wells Fargo Home Equity Asset-Backed Securities 2005-4 Trust
        9497EUAM9
        
          
          
        
        1340000.00000000
        PA
        USD
        1232317.33000000
        0.167533626904
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-05-25
          Floating
          1.01157000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITEDHEALTH GROUP INC
        549300GHBMY8T5GXDE41
        UnitedHealth Group Inc
        91324PDW9
        
          
          
        
        350000.00000000
        PA
        USD
        329490.46000000
        0.044794251002
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-15
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABPCI Direct Lending Fund CLO
        N/A
        ABPCI Direct Lending Fund CLO X LP
        000848AA9
        
          
        
        980000.00000000
        PA
        USD
        981465.66000000
        0.133430324883
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-01-20
          Floating
          2.20400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LAS VEGAS SANDS CORP
        549300DUOO1KXOHPM605
        Las Vegas Sands Corp
        517834AG2
        
          
          
        
        210000.00000000
        PA
        USD
        200640.26000000
        0.027277057331
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-08
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mor
        N/A
        JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN
        46652BBQ1
        
          
        
        1350000.00000000
        PA
        USD
        1241715.69000000
        0.168811334601
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-01-16
          Variable
          4.68819000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967JT9
        
          
          
        
        2260000.00000000
        PA
        USD
        2327451.51000000
        0.316417195005
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-10
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CANADIAN PACIFIC RAILWAY
        54930036474DURYNB481
        Canadian Pacific Railway Co
        13645RBE3
        
          
          
        
        1340000.00000000
        PA
        USD
        1264353.65000000
        0.171888966841
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2026-12-02
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN EXPRESS CO
        R4PP93JZOLY261QX3811
        American Express Co
        025816CG2
        
          
          
        
        460000.00000000
        PA
        USD
        458069.81000000
        0.062274622596
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-30
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan ReRemic
        N/A
        JP Morgan Resecuritization Trust Series 2009-10
        46634ACP7
        
          
          
        
        1660373.23000000
        PA
        USD
        955690.91000000
        0.129926245825
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-02-26
          Variable
          6.05370000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MICROCHIP TECHNOLOGY INC
        5493007PTFULNYZJ1R12
        Microchip Technology Inc
        595017AP9
        
          
          
        
        1040000.00000000
        PA
        USD
        1056964.73000000
        0.143694428712
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-06-01
          Fixed
          4.33300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140XDUD6
        
          
        
        194081.91000000
        PA
        USD
        181226.78000000
        0.024637793372
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-07-01
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOPERATIEVE RABOBANK UA
        DG3RU1DBUFHT4ZF9WN62
        Cooperatieve Rabobank UA
        74977RDN1
        
          
        
        510000.00000000
        PA
        USD
        508849.73000000
        0.069178156259
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2028-04-06
          Fixed
          3.64900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERTIV GROUP CORPORATION
        549300ZT8RQ5VK10E643
        Vertiv Group Corp
        92535UAB0
        
          
          
        
        100000.00000000
        PA
        USD
        91380.00000000
        0.012423117369
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-11-15
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Myers Park CLO LTD
        N/A
        Myers Park CLO Ltd
        62848FAE2
        
          
        
        250000.00000000
        PA
        USD
        248852.52000000
        0.033831517438
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-10-20
          Floating
          1.85400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTEL CORP
        KNX4USFCNGPY45LOCE31
        Intel Corp
        458140AS9
        
          
          
        
        1310000.00000000
        PA
        USD
        1342623.78000000
        0.182529796470
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-29
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36178WDM8
        
          
        
        39697.80000000
        PA
        USD
        39551.39000000
        0.005377014227
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2042-10-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COTERRA ENERGY INC
        FCNMH6O7VWU7LHXMK351
        Coterra Energy Inc
        127097AB9
        
          
          
        
        3840000.00000000
        PA
        USD
        3919900.65000000
        0.532910766579
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-01
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLENCORE FUNDING LLC
        213800STG1QDNBY87K49
        Glencore Funding LLC
        378272AT5
        
          
          
        
        1540000.00000000
        PA
        USD
        1561860.18000000
        0.212335000330
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-03-12
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        US 5 YEAR TREASURY NOTE
        000000000
        
          
          
        
        -152.00000000
        NC
        USD
        -13062.57000000
        -0.00177585730
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Call
            Written
            
              
                
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                  
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                    CBOT 5 Year US Treasury Note
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  Long
                  
                    
                      US TREASURY N/B
                      United States Treasury Note/Bond
                      
                        
                        
                        
                      
                    
                  
                  2022-06-30
                  0.00000000
                  USD
                
              
            
            100000.00000000
            116.50000000
            USD
            2022-04-22
            XXXX
            49080.73000000
          
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CCG4
        
          
          
        
        22250000.00000000
        PA
        USD
        21225283.15000000
        2.885578723619
        Long
        DBT
        UST
        US
        N
        
        2
        
          2024-06-15
          Fixed
          0.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHEVY CHASE MORTGAGE FUNDING C
        549300BO65N44G8TZI31
        Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-4
        16678RCD7
        
          
          
        
        12690.64000000
        PA
        USD
        12596.97000000
        0.001712558949
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-10-25
          Floating
          1.03657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        US 5 YEAR TREASURY NOTE
        000000000
        
          
          
        
        23.00000000
        NC
        USD
        15812.50000000
        0.002149710477
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Call
            Purchased
            
              
                
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                  
                  
                    BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
                    549300EX04Q2QBFQTQ27
                    CBOT 5 Year US Treasury Note
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  Long
                  
                    
                      US TREASURY N/B
                      United States Treasury Note/Bond
                      
                        
                        
                        
                      
                    
                  
                  2022-06-30
                  0.00000000
                  USD
                
              
            
            100000.00000000
            114.50000000
            USD
            2022-04-22
            XXXX
            2116.46000000
          
        
        
          N
          N
          N
        
      
      
        HUMANA INC
        529900YLDW34GJAO4J06
        Humana Inc
        444859BM3
        
          
          
        
        370000.00000000
        PA
        USD
        383558.34000000
        0.052144783056
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        31329KUC6
        
          
        
        1069250.75000000
        PA
        USD
        1067269.93000000
        0.145095421370
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-06-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SMB Private Education Loan Tru
        54930027GONY06ZX8P67
        SMB Private Education Loan Trust 2016-C
        78449KAB6
        
          
        
        759712.25000000
        PA
        USD
        749542.59000000
        0.101900367352
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2034-09-15
          Fixed
          2.34000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TORONTO-DOMINION BANK
        PT3QB789TSUIDF371261
        Toronto-Dominion Bank/The
        89114TZA3
        
          
          
        
        2590000.00000000
        PA
        USD
        2531141.16000000
        0.344108817119
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2023-06-02
          Fixed
          0.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OZLM Ltd
        5493005RYHNVNU6C8029
        OZLM XII Ltd
        67109WAJ7
        
          
        
        148464.75000000
        PA
        USD
        148669.76000000
        0.020211664234
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2027-04-30
          Floating
          1.34900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEVON ENERGY CORPORATION
        54930042348RKR3ZPN35
        Devon Energy Corp
        25179MBC6
        
          
          
        
        1520000.00000000
        PA
        USD
        1589422.05000000
        0.216082038478
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-09-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN EXPRESS CO
        R4PP93JZOLY261QX3811
        American Express Co
        025816CC1
        
          
          
        
        920000.00000000
        PA
        USD
        932906.55000000
        0.126828710494
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-02-22
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        31329KUG7
        
          
        
        1885978.89000000
        PA
        USD
        1882485.13000000
        0.255923984630
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-06-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
    
    
      
    
    
      2022-05-20
      Legg Mason Partners Income Trust
      Christopher Berarducci
      Christopher Berarducci
      Principal Financial Officer
    
  
  XXXX

WESTERN ASSET SHORT-TERM BOND FUND

(Percentages shown based on Fund net assets)


Schedule of Investments (unaudited)		March 31, 2022


SECURITY	RATE			MATURITY DATE		FACE AMOUNT		VALUE
CORPORATE BONDS & NOTES - 50.5%
COMMUNICATION SERVICES - 4.6%
Diversified Telecommunication Services - 1.7%
AT&T Inc., Senior Notes		0.900	%		3/25/24	$	3,880,000	$	3,758,619
AT&T Inc., Senior Notes		1.700	%		3/25/26		1,200,000		1,137,681
NTT Finance Corp., Senior Notes		0.583	%		3/1/24		2,560,000		2,455,628	^(a)
Verizon Communications Inc., Senior Notes		0.750	%		3/22/24		1,560,000		1,510,674
Verizon Communications Inc., Senior Notes		3.376	%		2/15/25		2,070,000		2,098,139
Verizon Communications Inc., Senior Notes		1.450	%		3/20/26		1,250,000		1,176,807
Verizon Communications Inc., Senior Notes		4.329	%		9/21/28		762,000		805,029

Total Diversified Telecommunication Services									12,942,577

Entertainment - 0.2%
Magallanes Inc., Senior Notes		3.638	%		3/15/25		470,000		473,357	^(a)
Magallanes Inc., Senior Notes		3.755	%		3/15/27		1,160,000		1,159,823	^(a)

Total Entertainment									1,633,180

Interactive Media & Services - 0.1%
Alphabet Inc., Senior Notes		0.450	%		8/15/25		370,000		345,602
Tencent Holdings Ltd., Senior Notes		2.985	%		1/19/23		710,000		709,918	^(b)

Total Interactive Media & Services									1,055,520

Media - 1.8%
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes		5.125	%		5/1/27		2,700,000		2,707,560	^(a)
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes		4.464	%		7/23/22		1,095,000		1,099,093
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes		4.500	%		2/1/24		1,330,000		1,361,229
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes		4.908	%		7/23/25		2,680,000		2,781,782
Comcast Corp., Senior Notes		3.950	%		10/15/25		2,130,000		2,201,540
Comcast Corp., Senior Notes		3.150	%		3/1/26		70,000		70,669
DISH DBS Corp., Senior Notes		5.875	%		11/15/24		250,000		249,716
DISH DBS Corp., Senior Secured Notes		5.250	%		12/1/26		100,000		95,438	^(a)
Fox Corp., Senior Notes		4.030	%		1/25/24		2,460,000		2,512,894

Total Media									13,079,921

Wireless Telecommunication Services - 0.8%
T-Mobile USA Inc., Senior Notes		2.250	%		2/15/26		3,880,000		3,660,392
T-Mobile USA Inc., Senior Notes		4.750	%		2/1/28		900,000		915,660

See Notes to Schedule of Investments.

Western Asset Short-Term Bond Fund 2022 Quarterly Report

WESTERN ASSET SHORT-TERM BOND FUND

(Percentages shown based on Fund net assets)


Schedule of Investments (unaudited) (cont’d)		March 31, 2022


SECURITY	RATE			MATURITY DATE		FACE AMOUNT		VALUE
Wireless Telecommunication Services - (continued)
T-Mobile USA Inc., Senior Notes		3.375	%		4/15/29	$	70,000	$	66,675
T-Mobile USA Inc., Senior Secured Notes		3.500	%		4/15/25		1,100,000		1,108,407

Total Wireless Telecommunication Services									5,751,134

TOTAL COMMUNICATION SERVICES									34,462,332

CONSUMER DISCRETIONARY - 4.6%
Automobiles - 2.7%
American Honda Finance Corp., Senior Notes		2.400	%		6/27/24		2,530,000		2,513,518
BMW US Capital LLC, Senior Notes		2.950	%		4/14/22		1,430,000		1,430,804	^(a)
BMW US Capital LLC, Senior Notes		0.800	%		4/1/24		1,460,000		1,400,795	^(a)
Daimler Finance North America LLC, Senior Notes		0.750	%		3/1/24		1,590,000		1,526,755	^(a)
Ford Motor Credit Co. LLC, Senior Notes		4.950	%		5/28/27		1,150,000		1,170,758
General Motors Co., Senior Notes		5.400	%		10/2/23		600,000		621,068
General Motors Financial Co. Inc., Senior Notes		3.950	%		4/13/24		1,070,000		1,087,332
General Motors Financial Co. Inc., Senior Notes		2.750	%		6/20/25		1,760,000		1,711,354
Hyundai Capital America, Senior Notes		1.250	%		9/18/23		2,000,000		1,946,589	^(a)
Nissan Motor Co. Ltd., Senior Notes		3.043	%		9/15/23		2,460,000		2,455,754	^(a)
Toyota Motor Corp., Senior Notes		0.681	%		3/25/24		3,860,000		3,728,623

Total Automobiles									19,593,350

Hotels, Restaurants & Leisure - 0.9%
Las Vegas Sands Corp., Senior Notes		3.200	%		8/8/24		210,000		200,640
Las Vegas Sands Corp., Senior Notes		2.900	%		6/25/25		2,330,000		2,173,633
Marriott International Inc., Senior Notes		3.600	%		4/15/24		1,230,000		1,243,467
McDonald’s Corp., Senior Notes		3.300	%		7/1/25		440,000		445,414
McDonald’s Corp., Senior Notes		1.450	%		9/1/25		1,240,000		1,186,692
McDonald’s Corp., Senior Notes		3.700	%		1/30/26		660,000		676,622
McDonald’s Corp., Senior Notes		3.500	%		3/1/27		10,000		10,192
Sands China Ltd., Senior Notes		2.550	%		3/8/27		420,000		366,870	^(a)
Sands China Ltd., Senior Notes		3.100	%		3/8/29		200,000		171,000	^(a)

Total Hotels, Restaurants & Leisure									6,474,530

Household Durables - 0.0%††
DR Horton Inc., Senior Notes		2.500	%		10/15/24		240,000		236,856

Internet & Direct Marketing Retail - 0.4%
Amazon.com Inc., Senior Notes		0.400	%		6/3/23		300,000		295,211
Amazon.com Inc., Senior Notes		0.450	%		5/12/24		1,980,000		1,907,405
Amazon.com Inc., Senior Notes		0.800	%		6/3/25		650,000		615,415

Total Internet & Direct Marketing Retail									2,818,031

See Notes to Schedule of Investments.

Western Asset Short-Term Bond Fund 2022 Quarterly Report

WESTERN ASSET SHORT-TERM BOND FUND

(Percentages shown based on Fund net assets)


Schedule of Investments (unaudited) (cont’d)		March 31, 2022


SECURITY	RATE			MATURITY DATE		FACE AMOUNT		VALUE
Multiline Retail - 0.1%
Dollar General Corp., Senior Notes		3.250	%		4/15/23	$	10,000	$	10,076
Target Corp., Senior Notes		2.250	%		4/15/25		800,000		789,468

Total Multiline Retail									799,544

Specialty Retail - 0.4%
Home Depot Inc., Senior Notes		2.700	%		4/15/25		870,000		867,646
Home Depot Inc., Senior Notes		2.500	%		4/15/27		770,000		757,124
Home Depot Inc., Senior Notes		2.875	%		4/15/27		290,000		289,121
Lowe’s Cos. Inc., Senior Notes		4.000	%		4/15/25		1,310,000		1,346,480

Total Specialty Retail									3,260,371

Textiles, Apparel & Luxury Goods - 0.1%
NIKE Inc., Senior Notes		2.400	%		3/27/25		730,000		725,600

TOTAL CONSUMER DISCRETIONARY									33,908,282

CONSUMER STAPLES - 1.1%
Food & Staples Retailing - 0.1%
Walmart Inc., Senior Notes		1.050	%		9/17/26		660,000		615,230

Food Products - 0.0%††
Mondelez International Holdings Netherlands BV, Senior Notes		2.125	%		9/19/22		210,000		210,308	^(a)
Mondelez International Inc., Senior Notes		1.500	%		5/4/25		230,000		219,939

Total Food Products									430,247

Household Products - 0.2%
GSK Consumer Healthcare Capital UK PLC, Senior Notes		3.125	%		3/24/25		1,040,000		1,037,522	^(a)
Procter & Gamble Co., Senior Notes		2.800	%		3/25/27		30,000		30,052
Reckitt Benckiser Treasury Services PLC, Senior Notes		2.375	%		6/24/22		330,000		330,592	^(a)

Total Household Products									1,398,166

Tobacco - 0.8%
Altria Group Inc., Senior Notes		2.350	%		5/6/25		1,480,000		1,438,588
Cargill Inc., Senior Notes		1.375	%		7/23/23		150,000		148,200	^(a)
Philip Morris International Inc., Senior Notes		1.125	%		5/1/23		1,930,000		1,908,301
Philip Morris International Inc., Senior Notes		2.875	%		5/1/24		230,000		230,560
Reynolds American Inc., Senior Notes		4.850	%		9/15/23		2,140,000		2,193,000

Total Tobacco									5,918,649

TOTAL CONSUMER STAPLES									8,362,292

See Notes to Schedule of Investments.

Western Asset Short-Term Bond Fund 2022 Quarterly Report

WESTERN ASSET SHORT-TERM BOND FUND

(Percentages shown based on Fund net assets)


Schedule of Investments (unaudited) (cont’d)		March 31, 2022


SECURITY	RATE			MATURITY DATE		FACE AMOUNT		VALUE
ENERGY - 8.3%
Energy Equipment & Services - 0.2%
Duke Energy Carolinas LLC		3.350	%		5/15/22	$	1,190,000	$	1,193,209
Schlumberger Investment SA, Senior Notes		2.400	%		8/1/22		380,000		380,267	^(a)

Total Energy Equipment & Services									1,573,476

Oil, Gas & Consumable Fuels - 8.1%
Chevron Corp., Senior Notes		1.554	%		5/11/25		2,540,000		2,452,347
Continental Resources Inc., Senior Notes		4.500	%		4/15/23		2,460,000		2,493,481
Continental Resources Inc., Senior Notes		3.800	%		6/1/24		860,000		864,141
Continental Resources Inc., Senior Notes		2.268	%		11/15/26		250,000		233,750	^(a)
Coterra Energy Inc., Senior Notes		4.375	%		6/1/24		3,840,000		3,919,901	^(a)
Devon Energy Corp., Senior Notes		5.250	%		9/15/24		1,520,000		1,589,422
Devon Energy Corp., Senior Notes		5.850	%		12/15/25		2,520,000		2,729,594
Diamondback Energy Inc., Senior Notes		3.250	%		12/1/26		1,810,000		1,810,035
Energy Transfer LP, Senior Notes		4.250	%		3/15/23		890,000		900,034
Energy Transfer LP, Senior Notes		4.500	%		4/15/24		300,000		307,154
Energy Transfer LP, Senior Notes		4.050	%		3/15/25		610,000		619,244
Energy Transfer LP, Senior Notes		2.900	%		5/15/25		1,070,000		1,047,739
Energy Transfer LP/Regency Energy Finance Corp., Senior Notes		4.500	%		11/1/23		2,170,000		2,204,036
Enterprise Products Operating LLC, Senior Notes		3.350	%		3/15/23		1,920,000		1,935,020
Enterprise Products Operating LLC, Senior Notes		3.750	%		2/15/25		320,000		326,025
Enterprise Products Operating LLC, Senior Notes		3.700	%		2/15/26		3,950,000		4,005,580
EOG Resources Inc., Senior Notes		2.625	%		3/15/23		1,040,000		1,042,524
EQT Corp., Senior Notes		3.125	%		5/15/26		560,000		544,561	^(a)
EQT Corp., Senior Notes		3.900	%		10/1/27		420,000		419,404
EQT Corp., Senior Notes		5.000	%		1/15/29		1,150,000		1,188,605
Exxon Mobil Corp., Senior Notes		1.571	%		4/15/23		890,000		887,607
Exxon Mobil Corp., Senior Notes		2.992	%		3/19/25		1,870,000		1,879,596
Kinder Morgan Energy Partners LP, Senior Notes		3.450	%		2/15/23		1,160,000		1,168,512
Kinder Morgan Energy Partners LP, Senior Notes		4.250	%		9/1/24		1,690,000		1,731,656
Kinder Morgan Inc., Senior Notes		4.300	%		6/1/25		1,570,000		1,614,217
Lukoil International Finance BV, Senior Notes		4.750	%		11/2/26		1,600,000		920,000	^(a)
MPLX LP, Senior Notes		4.500	%		7/15/23		1,070,000		1,088,298
MPLX LP, Senior Notes		4.000	%		2/15/25		3,380,000		3,436,244
Occidental Petroleum Corp., Senior Notes		3.200	%		8/15/26		2,150,000		2,115,826
Occidental Petroleum Corp., Senior Notes		3.000	%		2/15/27		130,000		127,346
Petrobras Global Finance BV, Senior Notes		5.750	%		2/1/29		150,000		156,114
Petroleos del Peru SA, Senior Notes		4.750	%		6/19/32		1,010,000		906,349	^(a)
Pioneer Natural Resources Co., Senior Notes		0.550	%		5/15/23		1,230,000		1,203,353

See Notes to Schedule of Investments.

Western Asset Short-Term Bond Fund 2022 Quarterly Report

WESTERN ASSET SHORT-TERM BOND FUND

(Percentages shown based on Fund net assets)


Schedule of Investments (unaudited) (cont’d)		March 31, 2022


SECURITY	RATE			MATURITY DATE		FACE AMOUNT		VALUE
Oil, Gas & Consumable Fuels - (continued)
Pioneer Natural Resources Co., Senior Notes		1.125	%		1/15/26	$	1,710,000	$	1,587,965
Qatar Energy, Senior Notes		1.375	%		9/12/26		1,670,000		1,561,124	^(a)
Schlumberger Holdings Corp., Senior Notes		3.900	%		5/17/28		500,000		505,818	^(a)
Shell International Finance BV, Senior Notes		2.875	%		5/10/26		2,060,000		2,066,351
Transcontinental Gas Pipe Line Co. LLC, Senior Notes		7.850	%		2/1/26		1,640,000		1,881,629
Western Midstream Operating LP, Senior Notes		4.000	%		7/1/22		560,000		560,000
Western Midstream Operating LP, Senior Notes		3.600	%		2/1/25		1,650,000		1,641,420
Western Midstream Operating LP, Senior Notes		3.950	%		6/1/25		170,000		171,241
Western Midstream Operating LP, Senior Notes (3 mo. USD LIBOR + 1.850%)		1.844	%		1/13/23		40,000		39,605	^(c)
Williams Cos. Inc., Senior Notes		4.500	%		11/15/23		1,150,000		1,174,536
Williams Cos. Inc., Senior Notes		4.300	%		3/4/24		1,000,000		1,022,823

Total Oil, Gas & Consumable Fuels									60,080,227

TOTAL ENERGY									61,653,703

FINANCIALS - 20.9%
Banks - 14.3%
Banco Santander SA, Senior Notes		3.125	%		2/23/23		400,000		403,059
Banco Santander SA, Senior Notes		3.848	%		4/12/23		200,000		202,718
Banco Santander SA, Senior Notes		2.746	%		5/28/25		3,000,000		2,926,656
Banco Santander SA, Senior Notes (4.175% to 3/24/27 then 1 year Treasury Constant Maturity Rate + 2.000%)		4.175	%		3/24/28		1,200,000		1,206,892	^(c)
Bank of America Corp., Senior Notes (1.319% to 6/19/25 then SOFR + 1.150%)		1.319	%		6/19/26		5,920,000		5,554,629	^(c)
Bank of America Corp., Senior Notes (1.486% to 5/19/23 then SOFR + 1.460%)		1.486	%		5/19/24		2,740,000		2,701,510	^(c)
Bank of America Corp., Senior Notes (3.458% to 3/15/24 then 3 mo. USD LIBOR + 0.970%)		3.458	%		3/15/25		840,000		845,435	^(c)
Bank of America Corp., Senior Notes (3.550% to 3/5/23 then 3 mo. USD LIBOR + 0.780%)		3.550	%		3/5/24		3,840,000		3,863,744	^(c)
Bank of Montreal, Senior Notes		3.300	%		2/5/24		690,000		699,640
Bank of Montreal, Senior Notes		2.500	%		6/28/24		1,490,000		1,484,013
Bank of Montreal, Senior Notes		1.850	%		5/1/25		1,260,000		1,211,841
Bank of Nova Scotia, Senior Notes		0.800	%		6/15/23		1,300,000		1,275,339
Bank of Nova Scotia, Senior Notes		1.300	%		6/11/25		1,310,000		1,235,590
Bank of Nova Scotia, Senior Notes		1.050	%		3/2/26		650,000		597,097
Barclays Bank PLC, Senior Notes		1.700	%		5/12/22		460,000		460,257
Barclays Bank PLC, Subordinated Notes		7.625	%		11/21/22		244,000		250,183
BNP Paribas SA, Senior Notes		3.500	%		3/1/23		1,610,000		1,626,866	^(a)

See Notes to Schedule of Investments.

Western Asset Short-Term Bond Fund 2022 Quarterly Report

WESTERN ASSET SHORT-TERM BOND FUND

(Percentages shown based on Fund net assets)


Schedule of Investments (unaudited) (cont’d)		March 31, 2022


SECURITY	RATE			MATURITY DATE		FACE AMOUNT		VALUE
Banks - (continued)
BNP Paribas SA, Senior Notes		3.375	%		1/9/25	$	1,150,000	$	1,144,942	^(a)
BNP Paribas SA, Senior Notes (2.219% to 6/9/25 then SOFR + 2.074%)		2.219	%		6/9/26		770,000		732,812	^(a)(c)
BNP Paribas SA, Senior Notes (4.705% to 1/10/24 then 3 mo. USD LIBOR + 2.235%)		4.705	%		1/10/25		780,000		796,769	^(a)(c)
BPCE SA, Senior Notes		3.000	%		5/22/22		500,000		501,012	^(a)
Canadian Imperial Bank of Commerce, Senior Notes		0.950	%		6/23/23		3,070,000		3,013,845
Citigroup Inc., Junior Subordinated Notes (5.950% to 5/15/25 then 3 mo. USD LIBOR + 3.905%)		5.950	%		5/15/25		540,000		551,097	^(c)(d)
Citigroup Inc., Senior Notes (1.678% to 5/15/23 then SOFR + 1.667%)		1.678	%		5/15/24		5,320,000		5,279,258	^(c)
Citigroup Inc., Senior Notes (3.106% to 4/8/25 then SOFR + 2.842%)		3.106	%		4/8/26		3,090,000		3,065,937	^(c)
Citigroup Inc., Subordinated Notes		4.400	%		6/10/25		2,260,000		2,327,451
Cooperatieve Rabobank UA, Senior Notes (1.339% to 6/24/25 then 1 year Treasury Constant Maturity Rate + 1.000%)		1.339	%		6/24/26		1,970,000		1,840,786	^(a)(c)
Cooperatieve Rabobank UA, Senior Notes (3.649% to 4/6/27 then 1 year Treasury Constant Maturity Rate + 1.220%)		3.649	%		4/6/28		510,000		508,850	^(a)(c)(e)
Credit Agricole SA, Senior Notes (1.247% to 1/26/26 then SOFR + 0.892%)		1.247	%		1/26/27		2,030,000		1,849,187	^(a)(c)
Danske Bank A/S, Senior Notes		5.375	%		1/12/24		1,220,000		1,258,415	^(a)
Danske Bank A/S, Senior Notes		1.226	%		6/22/24		280,000		267,011	^(a)
Danske Bank A/S, Senior Notes (3.773% to 3/28/24 then 1 year Treasury Constant Maturity Rate + 1.450%)		3.773	%		3/28/25		1,990,000		1,995,136	^(a)(c)(e)
Fifth Third Bancorp, Senior Notes		3.650	%		1/25/24		230,000		232,927
HSBC Holdings PLC, Senior Notes (0.976% to 5/24/24 then SOFR + 0.708%)		0.976	%		5/24/25		2,420,000		2,299,250	^(c)
HSBC Holdings PLC, Senior Notes (3.803% to 3/11/24 then 3 mo. USD LIBOR + 1.211%)		3.803	%		3/11/25		1,160,000		1,166,040	^(c)
Intesa Sanpaolo SpA, Senior Notes		3.125	%		7/14/22		1,730,000		1,732,828	^(a)
Intesa Sanpaolo SpA, Senior Notes		3.250	%		9/23/24		430,000		426,110	^(a)
JPMorgan Chase & Co., Senior Notes (0.697% to 3/16/23 then SOFR + 0.580%)		0.697	%		3/16/24		3,700,000		3,631,479	^(c)
JPMorgan Chase & Co., Senior Notes (2.083% to 4/22/25 then SOFR + 1.850%)		2.083	%		4/22/26		7,930,000		7,658,332	^(c)

See Notes to Schedule of Investments.

Western Asset Short-Term Bond Fund 2022 Quarterly Report

WESTERN ASSET SHORT-TERM BOND FUND

(Percentages shown based on Fund net assets)


Schedule of Investments (unaudited) (cont’d)		March 31, 2022


SECURITY	RATE			MATURITY DATE		FACE AMOUNT		VALUE
Banks - (continued)
JPMorgan Chase & Co., Senior Notes (3.220% to 3/1/24 then 3 mo. USD LIBOR + 1.155%)		3.220	%		3/1/25	$	920,000	$	923,680	^(c)
JPMorgan Chase & Co., Senior Notes (4.023% to 12/5/23 then 3 mo. USD LIBOR + 1.000%)		4.023	%		12/5/24		730,000		741,998	^(c)
KeyBank NA, Senior Notes (0.423% to 1/3/23 then SOFR + 0.340%)		0.423	%		1/3/24		1,410,000		1,389,813	^(c)
Lloyds Banking Group PLC, Senior Notes		4.050	%		8/16/23		690,000		702,540
Lloyds Banking Group PLC, Senior Notes		3.900	%		3/12/24		370,000		375,843
Lloyds Banking Group PLC, Senior Notes (3.870% to 7/9/24 then 1 year Treasury Constant Maturity Rate + 3.500%)		3.870	%		7/9/25		2,320,000		2,345,788	^(c)
Mitsubishi UFJ Financial Group Inc., Senior Notes		1.412	%		7/17/25		640,000		600,278
Mitsubishi UFJ Financial Group Inc., Senior Notes (0.848% to 9/15/23 then 1 year Treasury Constant Maturity Rate + 0.680%)		0.848	%		9/15/24		820,000		795,131	^(c)
Mizuho Financial Group Inc., Senior Notes (0.849% to 9/8/23 then SOFR + 0.872%)		0.849	%		9/8/24		1,160,000		1,125,042	^(c)
NatWest Group PLC, Senior Notes (3.498% to 5/15/22 then 3 mo. USD LIBOR + 1.480%)		3.498	%		5/15/23		910,000		911,319	^(c)
NatWest Group PLC, Senior Notes (4.269% to 3/22/24 then 3 mo. USD LIBOR + 1.762%)		4.269	%		3/22/25		1,770,000		1,791,388	^(c)
Nordea Bank Abp, Senior Notes		1.000	%		6/9/23		290,000		284,247	^(a)
Nordea Bank Abp, Senior Notes		0.625	%		5/24/24		1,050,000		1,000,650	^(a)
PNC Financial Services Group Inc., Senior Notes		3.500	%		1/23/24		900,000		913,049
Royal Bank of Canada, Senior Notes		1.600	%		4/17/23		710,000		706,827
Royal Bank of Canada, Senior Notes		1.150	%		6/10/25		1,060,000		1,001,538
Royal Bank of Canada, Senior Notes (SOFR + 0.360%)		0.512	%		7/29/24		1,200,000		1,192,882	^(c)
Sumitomo Mitsui Financial Group Inc., Senior Notes		0.508	%		1/12/24		510,000		490,734
Sumitomo Mitsui Financial Group Inc., Senior Notes (3 mo. USD LIBOR + 0.800%)		1.041	%		10/16/23		1,290,000		1,296,445	^(c)
Toronto-Dominion Bank, Senior Notes		0.300	%		6/2/23		2,590,000		2,531,141
Toronto-Dominion Bank, Senior Notes		0.750	%		6/12/23		1,150,000		1,129,545
US Bancorp, Senior Notes		3.375	%		2/5/24		1,790,000		1,815,330
US Bancorp, Senior Notes		1.450	%		5/12/25		930,000		889,931
Wells Fargo & Co., Senior Notes		3.750	%		1/24/24		3,770,000		3,840,262

See Notes to Schedule of Investments.

Western Asset Short-Term Bond Fund 2022 Quarterly Report

WESTERN ASSET SHORT-TERM BOND FUND

(Percentages shown based on Fund net assets)


Schedule of Investments (unaudited) (cont’d)		March 31, 2022


SECURITY	RATE			MATURITY DATE		FACE AMOUNT		VALUE
Banks - (continued)
Wells Fargo & Co., Senior Notes (1.654% to 6/2/23 then SOFR + 1.600%)		1.654	%		6/2/24	$	3,140,000	$	3,103,537	^(c)
Wells Fargo & Co., Senior Notes (2.188% to 4/30/25 then SOFR + 2.000%)		2.188	%		4/30/26		5,830,000		5,627,785	^(c)

Total Banks									106,351,666

Capital Markets - 4.8%
Bank of New York Mellon Corp., Senior Notes		2.100	%		10/24/24		2,490,000		2,457,597
Bank of New York Mellon Corp., Senior Notes		1.600	%		4/24/25		440,000		424,472
Charles Schwab Corp., Senior Notes		0.750	%		3/18/24		1,970,000		1,905,821
Credit Suisse AG, Senior Notes		1.000	%		5/5/23		940,000		926,279
Credit Suisse AG, Senior Notes		0.520	%		8/9/23		250,000		243,346
Credit Suisse AG, Senior Notes		3.625	%		9/9/24		360,000		364,331
Credit Suisse AG, Senior Notes		2.950	%		4/9/25		880,000		871,007
Credit Suisse Group AG, Senior Notes (2.193% to 6/5/25 then SOFR + 2.044%)		2.193	%		6/5/26		630,000		592,295	^(a)(c)
Credit Suisse Group AG, Senior Notes (2.593% to 9/11/24 then SOFR + 1.560%)		2.593	%		9/11/25		1,490,000		1,440,508	^(a)(c)
Goldman Sachs Group Inc., Senior Notes		3.200	%		2/23/23		370,000		373,442
Goldman Sachs Group Inc., Senior Notes		3.625	%		2/20/24		6,190,000		6,271,381
Goldman Sachs Group Inc., Senior Notes		3.500	%		4/1/25		1,010,000		1,018,149
Goldman Sachs Group Inc., Senior Notes (2.905% to 7/24/22 then 3 mo. USD LIBOR + 0.990%)		2.905	%		7/24/23		1,020,000		1,021,286	^(c)
Goldman Sachs Group Inc., Senior Notes (3.272% to 9/29/24 then 3 mo. USD LIBOR + 1.201%)		3.272	%		9/29/25		2,920,000		2,927,203	^(c)
Morgan Stanley, Senior Notes		3.700	%		10/23/24		1,390,000		1,415,793
Morgan Stanley, Senior Notes (0.529% to 1/25/23 then SOFR + 0.455%)		0.529	%		1/25/24		5,550,000		5,461,910	^(c)
Morgan Stanley, Senior Notes (2.188% to 4/28/25 then SOFR + 1.990%)		2.188	%		4/28/26		4,380,000		4,235,348	^(c)
UBS AG, Senior Notes		0.375	%		6/1/23		1,790,000		1,753,773	^(a)
UBS AG, Senior Notes		0.700	%		8/9/24		1,000,000		948,737	^(a)
UBS Group AG, Senior Notes		4.125	%		9/24/25		940,000		958,361	^(a)

Total Capital Markets									35,611,039

See Notes to Schedule of Investments.

Western Asset Short-Term Bond Fund 2022 Quarterly Report

WESTERN ASSET SHORT-TERM BOND FUND

(Percentages shown based on Fund net assets)


Schedule of Investments (unaudited) (cont’d)		March 31, 2022


SECURITY	RATE			MATURITY DATE		FACE AMOUNT		VALUE
Consumer Finance - 0.6%
American Express Co., Senior Notes		3.400	%		2/22/24	$	920,000	$	932,907
American Express Co., Senior Notes		2.500	%		7/30/24		460,000		458,070
Caterpillar Financial Services Corp., Senior Notes		0.450	%		5/17/24		2,960,000		2,833,433

Total Consumer Finance									4,224,410

Diversified Financial Services - 0.8%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Senior Notes		4.875	%		1/16/24		840,000		851,716
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Senior Notes		1.650	%		10/29/24		2,260,000		2,136,255
International Lease Finance Corp., Senior Notes		5.875	%		8/15/22		470,000		475,840
National Securities Clearing Corp., Senior Notes		1.200	%		4/23/23		1,050,000		1,041,192	^(a)
National Securities Clearing Corp., Senior Notes		0.750	%		12/7/25		1,020,000		940,621	^(a)
USAA Capital Corp., Senior Notes		0.500	%		5/1/24		340,000		326,384	^(a)

Total Diversified Financial Services									5,772,008

Insurance - 0.4%
American International Group Inc., Senior Notes		2.500	%		6/30/25		90,000		88,099
Great-West Lifeco US Finance 2020 LP, Senior Notes		0.904	%		8/12/25		1,630,000		1,509,482	^(a)
MassMutual Global Funding II, Senior Secured Notes		0.850	%		6/9/23		460,000		452,039	^(a)
Metropolitan Life Global Funding I, Secured Notes		0.900	%		6/8/23		320,000		314,512	^(a)
New York Life Global Funding, Senior Secured Notes		0.950	%		6/24/25		940,000		878,635	^(a)
Principal Life Global Funding II, Secured Notes		1.250	%		6/23/25		60,000		56,331	^(a)

Total Insurance									3,299,098

TOTAL FINANCIALS									155,258,221

HEALTH CARE - 4.4%
Biotechnology - 1.1%
AbbVie Inc., Senior Notes		2.300	%		11/21/22		2,040,000		2,047,539
AbbVie Inc., Senior Notes		3.750	%		11/14/23		2,930,000		2,987,571
AbbVie Inc., Senior Notes		2.600	%		11/21/24		1,970,000		1,958,191
Gilead Sciences Inc., Senior Notes		0.750	%		9/29/23		590,000		576,480
Gilead Sciences Inc., Senior Notes		3.700	%		4/1/24		690,000		702,621

Total Biotechnology									8,272,402

Health Care Equipment & Supplies - 0.1%
Becton Dickinson and Co., Senior Notes		3.363	%		6/6/24		580,000		585,221
Becton Dickinson and Co., Senior Notes (3 mo. USD LIBOR + 1.030%)		1.613	%		6/6/22		282,000		282,219	^(c)

Total Health Care Equipment & Supplies									867,440

See Notes to Schedule of Investments.

Western Asset Short-Term Bond Fund 2022 Quarterly Report

WESTERN ASSET SHORT-TERM BOND FUND

(Percentages shown based on Fund net assets)


Schedule of Investments (unaudited) (cont’d)		March 31, 2022


SECURITY	RATE			MATURITY DATE		FACE AMOUNT		VALUE
Health Care Providers & Services - 2.3%
Aetna Inc., Senior Notes		2.750	%		11/15/22	$	1,110,000	$	1,114,747
Anthem Inc., Senior Notes		3.300	%		1/15/23		930,000		937,304
Centene Corp., Senior Notes		4.250	%		12/15/27		360,000		361,721
Cigna Corp., Senior Notes		3.750	%		7/15/23		2,364,000		2,399,186
Cigna Corp., Senior Notes		4.125	%		11/15/25		1,410,000		1,454,462
CVS Health Corp., Senior Notes		2.625	%		8/15/24		3,630,000		3,620,902
CVS Health Corp., Senior Notes		3.000	%		8/15/26		1,190,000		1,181,996
Humana Inc., Senior Notes		0.650	%		8/3/23		3,020,000		2,947,628
Humana Inc., Senior Notes		4.500	%		4/1/25		370,000		383,558
UnitedHealth Group Inc., Senior Notes		2.375	%		10/15/22		20,000		20,099
UnitedHealth Group Inc., Senior Notes		3.500	%		6/15/23		50,000		50,671
UnitedHealth Group Inc., Senior Notes		0.550	%		5/15/24		1,450,000		1,390,087
UnitedHealth Group Inc., Senior Notes		2.375	%		8/15/24		460,000		458,117
UnitedHealth Group Inc., Senior Notes		3.750	%		7/15/25		420,000		432,306
UnitedHealth Group Inc., Senior Notes		1.250	%		1/15/26		350,000		329,490

Total Health Care Providers & Services									17,082,274

Pharmaceuticals - 0.9%
Astrazeneca Finance LLC, Senior Notes		0.700	%		5/28/24		3,420,000		3,287,818
Bristol-Myers Squibb Co., Senior Notes		2.900	%		7/26/24		301,000		303,390
Eli Lilly & Co., Senior Notes		2.350	%		5/15/22		320,000		320,505
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes		2.800	%		7/21/23		1,560,000		1,540,656
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes		4.750	%		5/9/27		1,000,000		961,200

Total Pharmaceuticals									6,413,569

TOTAL HEALTH CARE									32,635,685

INDUSTRIALS - 3.8%
Aerospace & Defense - 1.3%
Avolon Holdings Funding Ltd., Senior Notes		4.250	%		4/15/26		1,350,000		1,333,203	^(a)
Boeing Co., Senior Notes		1.433	%		2/4/24		2,970,000		2,874,359
Boeing Co., Senior Notes		4.875	%		5/1/25		1,730,000		1,786,439
Boeing Co., Senior Notes		2.196	%		2/4/26		1,640,000		1,552,314
General Dynamics Corp., Senior Notes		3.250	%		4/1/25		1,340,000		1,355,342
L3Harris Technologies Inc., Senior Notes		3.850	%		6/15/23		810,000		821,854

Total Aerospace & Defense									9,723,511

Airlines - 0.8%
Delta Air Lines Inc., Senior Notes		7.375	%		1/15/26		880,000		956,648
Delta Air Lines Inc., Senior Secured Notes		7.000	%		5/1/25		1,000,000		1,071,934	^(a)
Southwest Airlines Co., Senior Notes		4.750	%		5/4/23		1,210,000		1,235,928

See Notes to Schedule of Investments.

Western Asset Short-Term Bond Fund 2022 Quarterly Report

WESTERN ASSET SHORT-TERM BOND FUND

(Percentages shown based on Fund net assets)


Schedule of Investments (unaudited) (cont’d)		March 31, 2022


SECURITY	RATE			MATURITY DATE		FACE AMOUNT		VALUE
Airlines - (continued)
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd.,
Senior Secured Notes		8.000	%		9/20/25	$	538,000	$	573,906	^(a)
United Airlines Inc., Senior Secured Notes		4.375	%		4/15/26		800,000		788,000	^(a)
United Airlines Inc., Senior Secured Notes		4.625	%		4/15/29		1,410,000		1,342,637	^(a)

Total Airlines									5,969,053

Building Products - 0.0%††
Carrier Global Corp., Senior Notes		2.242	%		2/15/25		62,000		60,420

Commercial Services & Supplies - 0.1%
Republic Services Inc., Senior Notes		2.500	%		8/15/24		460,000		455,493

Electrical Equipment - 0.0%††
Vertiv Group Corp., Senior Secured Notes		4.125	%		11/15/28		100,000		91,380	^(a)

Industrial Conglomerates - 0.3%
3M Co., Senior Notes		3.250	%		2/14/24		2,150,000		2,179,055

Machinery - 0.3%
John Deere Capital Corp., Senior Notes		0.450	%		6/7/24		2,070,000		1,973,038

Road & Rail - 0.3%
Canadian Pacific Railway Co., Senior Notes		1.750	%		12/2/26		1,340,000		1,264,353
Union Pacific Corp., Senior Notes		4.163	%		7/15/22		770,000		770,595
XPO Logistics Inc., Senior Notes		6.250	%		5/1/25		50,000		51,740	^(a)

Total Road & Rail									2,086,688

Trading Companies & Distributors - 0.7%
Air Lease Corp., Senior Notes		0.700	%		2/15/24		1,160,000		1,108,908
Air Lease Corp., Senior Notes		1.875	%		8/15/26		3,030,000		2,795,587
United Rentals North America Inc., Senior Notes		5.500	%		5/15/27		1,350,000		1,397,871

Total Trading Companies & Distributors									5,302,366

TOTAL INDUSTRIALS									27,841,004

INFORMATION TECHNOLOGY - 1.5%
Communications Equipment - 0.0%††
CommScope Inc., Senior Secured Notes		4.750	%		9/1/29		10,000		9,224	^(a)

IT Services - 0.3%
International Business Machines Corp., Senior Notes		3.000	%		5/15/24		910,000		916,460
PayPal Holdings Inc., Senior Notes		1.350	%		6/1/23		980,000		977,506
Visa Inc., Senior Notes		3.150	%		12/14/25		520,000		526,358

Total IT Services									2,420,324

Semiconductors & Semiconductor Equipment - 0.8%
Broadcom Corp./Broadcom Cayman Finance Ltd.,
Senior Notes		3.625	%		1/15/24		790,000		799,675
Broadcom Inc., Senior Notes		4.700	%		4/15/25		360,000		373,897

See Notes to Schedule of Investments.

Western Asset Short-Term Bond Fund 2022 Quarterly Report

WESTERN ASSET SHORT-TERM BOND FUND

(Percentages shown based on Fund net assets)


Schedule of Investments (unaudited) (cont’d)		March 31, 2022


SECURITY	RATE			MATURITY DATE		FACE AMOUNT		VALUE
Semiconductors & Semiconductor Equipment - (continued)
Broadcom Inc., Senior Notes		3.150	%		11/15/25	$	230,000	$	228,430
Intel Corp., Senior Notes		3.700	%		7/29/25		1,310,000		1,342,624
Microchip Technology Inc., Senior Secured Notes		4.333	%		6/1/23		1,040,000		1,056,965
Microchip Technology Inc., Senior Secured Notes		0.983	%		9/1/24		200,000		189,526	^(a)
NXP BV/NXP Funding LLC/NXP USA Inc., Senior Notes		2.700	%		5/1/25		46,000		44,635	^(a)
Texas Instruments Inc., Senior Notes		1.375	%		3/12/25		540,000		519,986
TSMC Arizona Corp., Senior Notes		1.750	%		10/25/26		1,150,000		1,078,951

Total Semiconductors & Semiconductor Equipment									5,634,689

Software - 0.1%
Oracle Corp., Senior Notes		2.400	%		9/15/23		1,050,000		1,046,548

Technology Hardware, Storage & Peripherals - 0.3%
Apple Inc., Senior Notes		1.125	%		5/11/25		2,350,000		2,245,585

TOTAL INFORMATION TECHNOLOGY									11,356,370

MATERIALS - 0.8%
Chemicals - 0.0%††
Orbia Advance Corp. SAB de CV, Senior Notes		1.875	%		5/11/26		320,000		300,326	^(a)

Metals & Mining - 0.6%
Glencore Finance Canada Ltd., Senior Notes		4.250	%		10/25/22		560,000		564,575	^(a)
Glencore Funding LLC, Senior Notes		3.000	%		10/27/22		190,000		190,767	^(a)
Glencore Funding LLC, Senior Notes		4.125	%		5/30/23		980,000		997,405	^(a)
Glencore Funding LLC, Senior Notes		4.125	%		3/12/24		1,540,000		1,561,860	^(a)
Vale Overseas Ltd., Senior Notes		6.875	%		11/21/36		751,000		907,336

Total Metals & Mining									4,221,943

Paper & Forest Products - 0.2%
Suzano Austria GmbH, Senior Notes		5.750	%		7/14/26		1,190,000		1,278,209	^(a)

TOTAL MATERIALS									5,800,478

REAL ESTATE - 0.1%
Equity Real Estate Investment Trusts (REITs) - 0.1%
CTR Partnership LP/CareTrust Capital Corp., Senior Notes		3.875	%		6/30/28		390,000		368,164	^(a)
MPT Operating Partnership LP/MPT Finance Corp., Senior Notes		5.000	%		10/15/27		60,000		61,080

TOTAL REAL ESTATE									429,244

See Notes to Schedule of Investments.

Western Asset Short-Term Bond Fund 2022 Quarterly Report

WESTERN ASSET SHORT-TERM BOND FUND

(Percentages shown based on Fund net assets)


Schedule of Investments (unaudited) (cont’d)		March 31, 2022


SECURITY	RATE			MATURITY DATE		FACE AMOUNT		VALUE
UTILITIES - 0.4%
Electric Utilities - 0.4%
FirstEnergy Corp., Senior Notes		3.350	%		7/15/22	$	1,106,000	$	1,107,355
Pacific Gas and Electric Co., First Mortgage Bonds		1.750	%		6/16/22		690,000		689,289
Southern California Edison Co., Secured Bonds		0.975	%		8/1/24		1,170,000		1,116,562

TOTAL UTILITIES									2,913,206

TOTAL CORPORATE BONDS & NOTES (Cost - $388,175,541)									374,620,817

COLLATERALIZED MORTGAGE OBLIGATIONS ^(f)- 13.9%
Alternative Loan Trust, 2005-56 4A1 (1 mo. USD LIBOR + 0.620%)		1.077	%		11/25/35		71,003		67,386	^(c)
AOA Mortgage Trust, 2021-1177 A (1 mo. USD LIBOR + 0.874%)		1.271	%		10/15/38		1,650,000		1,609,034	^(a)(c)
AREIT Trust, 2021-CRE5 A (1 mo. USD LIBOR + 1.080%)		1.477	%		7/17/26		990,000		985,369	^(a)(c)
AREIT Trust, 2022-CRE6 A (30 Day Average SOFR + 1.250%)		1.300	%		11/17/24		1,320,000		1,305,508	^(a)(c)
Banc of America Mortgage Trust, 2002-J B1		3.391	%		9/25/32		38,851		38,667	^(c)
Banc of America Mortgage Trust, 2003-C B1		2.542	%		4/25/33		65,970		18,616	^(c)
BANK, 2017-BNK9 ASB		3.470	%		11/15/54		1,280,000		1,283,914
BANK, 2022-BNK39 XA, IO		0.427	%		2/15/55		60,848,279		2,107,444	^(c)
Bear Stearns ALT-A Trust, 2007-1 1A1 (1 mo. USD LIBOR + 0.320%)		0.777	%		1/25/47		89,254		83,988	^(c)
Benchmark Mortgage Trust, 2021-B31 A5		2.669	%		12/15/54		1,320,000		1,249,308
BPR Trust, 2021-TY C (1 mo. USD LIBOR + 1.700%)		2.097	%		9/15/38		990,000		969,882	^(a)(c)
BX Commercial Mortgage Trust, 2020-FOX F (1 mo. USD LIBOR + 4.250%)		4.647	%		11/15/32		555,549		552,928	^(a)(c)
BX Commercial Mortgage Trust, 2021-ACNT A (1 mo. USD LIBOR + 0.850%)		1.247	%		11/15/38		1,980,000		1,955,874	^(a)(c)
BX Commercial Mortgage Trust, 2021-CIP A (1 mo. USD LIBOR + 0.921%)		1.318	%		12/15/38		1,320,000		1,300,348	^(a)(c)
BX Commercial Mortgage Trust, 2021-VOLT A (1 mo. USD LIBOR + 0.700%)		1.097	%		9/15/36		1,000,000		975,617	^(a)(c)
BX Commercial Mortgage Trust, 2021-XL2 A (1 mo. USD LIBOR + 0.689%)		1.086	%		10/15/38		1,610,340		1,578,032	^(a)(c)
BX Commercial Mortgage Trust, 2021-XL2 J (1 mo. USD LIBOR + 3.890%)		4.287	%		10/15/38		966,204		931,974	^(a)(c)
BX Commercial Mortgage Trust, 2022-AHP A (1 mo. Term SOFR + 0.990%)		1.291	%		1/17/39		1,270,000		1,255,230	^(a)(c)
BX Mortgage Trust, 2021-PAC A (1 mo. USD LIBOR + 0.689%)		1.086	%		10/15/36		330,000		323,933	^(a)(c)
BX Trust, 2019-OC11 A		3.202	%		12/9/41		680,000		657,891	^(a)

See Notes to Schedule of Investments.

Western Asset Short-Term Bond Fund 2022 Quarterly Report

WESTERN ASSET SHORT-TERM BOND FUND

(Percentages shown based on Fund net assets)


Schedule of Investments (unaudited) (cont’d)		March 31, 2022


SECURITY	RATE			MATURITY DATE		FACE AMOUNT		VALUE
COLLATERALIZED MORTGAGE OBLIGATIONS ^(f)- (continued)
BX Trust, 2021-ARIA A (1 mo. USD LIBOR + 0.899%)		1.296	%		10/15/36	$	1,650,000	$	1,620,197	^(a)(c)
BX Trust, 2021-ARIA D (1 mo. USD LIBOR + 1.895%)		2.292	%		10/15/36		930,000		911,231	^(a)(c)
BX Trust, 2021-ARIA G (1 mo. USD LIBOR + 3.142%)		3.539	%		10/15/36		990,000		956,539	^(a)(c)
BX Trust, 2021-BXMF A (1 mo. USD LIBOR + 0.636%)		1.033	%		10/15/26		1,640,000		1,592,986	^(a)(c)
BX Trust, 2022-LBA6 A (1 mo. Term SOFR + 1.000%)		1.301	%		1/15/39		1,290,000		1,269,468	^(a)(c)
CD Mortgage Trust, 2016-CD2 A4		3.526	%		11/10/49		960,000		964,824	^(c)
CFK Trust, 2020-MF2 F		3.458	%		3/15/39		1,270,000		1,107,267	^(a)(c)
Chase Mortgage Finance Trust, 2007-A1 2A3		2.462	%		2/25/37		7,185		7,108	^(c)
Chevy Chase Funding LLC Mortgage-Backed Certificates, 2004-3A A2 (1 mo. USD LIBOR + 0.300%)		0.757	%		8/25/35		1,640		1,611	^(a)(c)
Chevy Chase Funding LLC Mortgage-Backed Certificates, 2004-4A A2 (1 mo. USD LIBOR + 0.580%)		1.037	%		10/25/35		12,691		12,597	^(a)(c)
Chevy Chase Funding LLC Mortgage-Backed Certificates, 2005-1A A2 (1 mo. USD LIBOR + 0.200%)		0.657	%		1/25/36		3,500		3,286	^(a)(c)
Citigroup Commercial Mortgage Trust, 2013-375P A		3.251	%		5/10/35		330,000		330,250	^(a)
Citigroup Commercial Mortgage Trust, 2017-B1 A4		3.458	%		8/15/50		930,000		931,833
Citigroup Mortgage Loan Trust, 2007-AR4 2A1A		2.425	%		3/25/37		20,759		20,661	^(c)
COLT Mortgage Loan Trust, 2022-2 A1, Step bond (2.994% to 2/25/26 then 3.994%)		2.994	%		2/25/67		313,857		307,123	^(a)
Countrywide Home Loans Reperforming REMIC Trust, 2006-R2 AF1 (1 mo. USD LIBOR + 0.420%)		0.877	%		7/25/36		101,813		97,464	^(a)(c)
CSMC Trust, 2014-11R 15A2		2.810	%		1/27/36		681,462		679,407	^(a)(c)
CSMC Trust, 2019-UVIL A		3.160	%		12/15/41		1,730,000		1,677,715	^(a)
CSMC Trust, 2020-RPL4 A1		2.000	%		1/25/60		355,644		343,812	^(a)(c)
CSMC Trust, 2020-TMIC A (1 mo. USD LIBOR + 3.000%)		3.397	%		12/15/35		1,350,000		1,346,256	^(a)(c)
CSMC Trust, 2021-2R 1A1 (1 mo. USD LIBOR + 1.750%)		1.991	%		7/25/47		323,107		328,335	^(a)(c)
DSLA Mortgage Loan Trust, 2005-AR1 2A1A (1 mo. USD LIBOR + 0.500%)		0.949	%		2/19/45		15,453		15,278	^(c)
Ellington Financial Mortgage Trust, 2021-2 A1		0.931	%		6/25/66		548,798		515,597	^(a)(c)

See Notes to Schedule of Investments.

Western Asset Short-Term Bond Fund 2022 Quarterly Report

WESTERN ASSET SHORT-TERM BOND FUND

(Percentages shown based on Fund net assets)


Schedule of Investments (unaudited) (cont’d)		March 31, 2022


SECURITY	RATE			MATURITY DATE		FACE AMOUNT		VALUE
COLLATERALIZED MORTGAGE OBLIGATIONS ^(f) - (continued)
Ellington Financial Mortgage Trust, 2022-1 A1		2.206	%		1/25/67	$	1,258,025	$	1,195,813	^(a)(c)
ELP Commercial Mortgage Trust, 2021-ELP A (1 mo. USD LIBOR + 0.701%)		1.098	%		11/15/38		2,310,000		2,267,842	^(a)(c)
Extended Stay America Trust, 2021-ESH A (1 mo. USD LIBOR + 1.080%)		1.477	%		7/15/38		1,411,314		1,396,384	^(a)(c)
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 2525 AM		4.500	%		4/15/32		72,477		75,729
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 3877 FA, PAC-1 (1 mo. USD LIBOR + 0.350%)		0.747	%		11/15/40		23,664		23,691	^(c)
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2020-DNA1 B1 (1 mo. USD LIBOR + 2.300%)		2.757	%		1/25/50		230,000		220,149	^(a)(c)
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2020-DNA2 M2 (1 mo. USD LIBOR + 1.850%)		2.307	%		2/25/50		226,886		226,496	^(a)(c)
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2020-DNA6 M2 (30 Day Average SOFR + 2.000%)		2.099	%		12/25/50		1,310,000		1,294,645	^(a)(c)
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2021-DNA1 M2 (30 Day Average SOFR + 1.800%)		1.899	%		1/25/51		230,000		225,541	^(a)(c)
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust, 2018-1 M		4.750	%		5/25/57		710,000		695,373	^(a)(c)
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust, 2019-1 M		4.750	%		7/25/58		1,040,000		1,004,766	^(a)(c)
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust, 2020-2 M		4.250	%		11/25/59		950,000		904,234	^(a)(c)
Federal National Mortgage Association (FNMA) - CAS, 2014-C04 1M2 (1 mo. USD LIBOR + 4.900%)		5.357	%		11/25/24		155,213		159,954	^(a)(c)
Federal National Mortgage Association (FNMA) - CAS, 2017-C03 1M2 (1 mo. USD LIBOR + 3.000%)		3.457	%		10/25/29		1,033,521		1,056,214	^(a)(c)
Federal National Mortgage Association (FNMA) - CAS, 2017-C07 1B1 (1 mo. USD LIBOR + 4.000%)		4.457	%		5/25/30		370,000		377,413	^(a)(c)

See Notes to Schedule of Investments.

Western Asset Short-Term Bond Fund 2022 Quarterly Report

WESTERN ASSET SHORT-TERM BOND FUND

(Percentages shown based on Fund net assets)


Schedule of Investments (unaudited) (cont’d)		March 31, 2022


SECURITY	RATE			MATURITY DATE		FACE AMOUNT		VALUE
COLLATERALIZED MORTGAGE OBLIGATIONS ^(f) - (continued)
Federal National Mortgage Association (FNMA) - CAS, 2018-C01 1M2 (1 mo. USD LIBOR + 2.250%)		2.707	%		7/25/30	$	703,290	$	709,249	^(a)(c)
Federal National Mortgage Association (FNMA) - CAS, 2018-C05 1B1 (1 mo. USD LIBOR + 4.250%)		4.707	%		1/25/31		190,000		191,005	^(a)(c)
Federal National Mortgage Association (FNMA) - CAS, 2019-R07 1M2 (1 mo. USD LIBOR + 2.100%)		2.557	%		10/25/39		137,116		137,172	^(a)(c)
Federal National Mortgage Association (FNMA) - CAS, 2020-R01 1M2 (1 mo. USD LIBOR + 2.050%)		2.507	%		1/25/40		181,556		181,486	^(a)(c)
Federal National Mortgage Association (FNMA) ACES, 2019-M19 A2		2.560	%		9/25/29		194,284		191,756
Federal National Mortgage Association (FNMA) ACES, 2019-M28 AV		2.232	%		2/25/27		48,159		47,158
Flagstar Mortgage Trust, 2018-2 A4		3.500	%		4/25/48		28,218		28,229	^(a)(c)
Freddie Mac Structured Pass-Through Certificates, T-51 1A		6.500	%		9/25/43		42,719		49,398	^(c)
Government National Mortgage Association (GNMA), 2010-H02 FA (1 mo. USD LIBOR + 0.680%)		0.911	%		2/20/60		33,368		33,396	^(c)
Government National Mortgage Association (GNMA), 2010-H03 FA (1 mo. USD LIBOR + 0.550%)		0.781	%		3/20/60		289,815		289,446	^(c)
Government National Mortgage Association (GNMA), 2010-H10 FB (1 mo. USD LIBOR + 1.000%)		1.231	%		5/20/60		388,644		391,596	^(c)
Government National Mortgage Association (GNMA), 2010-H20 AF (1 mo. USD LIBOR + 0.330%)		0.436	%		10/20/60		750,922		746,926	^(c)
Government National Mortgage Association (GNMA), 2010-H26 LF (1 mo. USD LIBOR + 0.350%)		0.456	%		8/20/58		655,615		652,631	^(c)
Government National Mortgage Association (GNMA), 2011-H01 AF (1 mo. USD LIBOR + 0.450%)		0.556	%		11/20/60		894,024		891,165	^(c)
Government National Mortgage Association (GNMA), 2011-H03 FA (1 mo. USD LIBOR + 0.500%)		0.606	%		1/20/61		78,646		78,466	^(c)

See Notes to Schedule of Investments.

Western Asset Short-Term Bond Fund 2022 Quarterly Report

WESTERN ASSET SHORT-TERM BOND FUND

(Percentages shown based on Fund net assets)


Schedule of Investments (unaudited) (cont’d)		March 31, 2022


SECURITY	RATE			MATURITY DATE		FACE AMOUNT		VALUE
COLLATERALIZED MORTGAGE OBLIGATIONS ^(f) - (continued)
Government National Mortgage Association (GNMA), 2011-H05 FB (1 mo. USD LIBOR + 0.500%)		0.606	%		12/20/60	$	108,043	$	107,789	^(c)
Government National Mortgage Association (GNMA), 2011-H06 FA (1 mo. USD LIBOR + 0.450%)		0.556	%		2/20/61		148,833		148,350	^(c)
Government National Mortgage Association (GNMA), 2011-H07 FA (1 mo. USD LIBOR + 0.500%)		0.606	%		2/20/61		99,542		99,326	^(c)
Government National Mortgage Association (GNMA), 2011-H19 FA (1 mo. USD LIBOR + 0.470%)		0.576	%		8/20/61		387,223		386,188	^(c)
Government National Mortgage Association (GNMA), 2012-H21 FA (1 mo. USD LIBOR + 0.500%)		0.606	%		7/20/62		2,475,494		2,469,435	^(c)
Government National Mortgage Association (GNMA), 2012-H23 SA (1 mo. USD LIBOR + 0.530%)		0.636	%		10/20/62		105,614		106,358	^(c)
Government National Mortgage Association (GNMA), 2012-H23 WA (1 mo. USD LIBOR + 0.520%)		0.626	%		10/20/62		106,708		106,515	^(c)
Government National Mortgage Association (GNMA), 2013-H02 FD (1 mo. USD LIBOR + 0.340%)		0.446	%		12/20/62		1,184,898		1,179,511	^(c)
Government National Mortgage Association (GNMA), 2013-H08 BF (1 mo. USD LIBOR + 0.400%)		0.506	%		3/20/63		388,682		386,925	^(c)
Government National Mortgage Association (GNMA), 2013-H14 FC (1 mo. USD LIBOR + 0.470%)		0.576	%		6/20/63		116,257		115,957	^(c)
Government National Mortgage Association (GNMA), 2013-H14 FD (1 mo. USD LIBOR + 0.470%)		0.576	%		6/20/63		44,330		44,207	^(c)
Government National Mortgage Association (GNMA), 2013-H14 FG (1 mo. USD LIBOR + 0.470%)		0.576	%		5/20/63		44,091		43,971	^(c)
Government National Mortgage Association (GNMA), 2021-H03 FA (30 Day Average SOFR + 0.380%)		0.430	%		4/20/70		2,614,378		2,605,423	^(c)
Government National Mortgage Association (GNMA), 2021-H16 FG (30 Day Average SOFR + 0.300%)		0.350	%		9/20/71		2,907,356		2,885,285	^(c)

See Notes to Schedule of Investments.

Western Asset Short-Term Bond Fund 2022 Quarterly Report

WESTERN ASSET SHORT-TERM BOND FUND

(Percentages shown based on Fund net assets)


Schedule of Investments (unaudited) (cont’d)		March 31, 2022


SECURITY	RATE			MATURITY DATE		FACE AMOUNT		VALUE
COLLATERALIZED MORTGAGE OBLIGATIONS ^(f) - (continued)
GS Mortgage Securities Corp. Trust, 2021-IP A (1 mo. USD LIBOR + 0.950%)		1.347	%		10/15/36	$	990,000	$	972,611	^(a)(c)
Hawaii Hotel Trust, 2019-MAUI F (1 mo. USD LIBOR + 2.750%)		3.147	%		5/15/38		1,000,000		976,051	^(a)(c)
Hilton USA Trust, 2016-HHV D		4.194	%		11/5/38		690,000		667,712	^(a)(c)
Impac CMB Trust, 2007-A A (1 mo. USD LIBOR + 0.500%)		0.957	%		5/25/37		47,666		47,185	^(a)(c)
IMPAC Secured Assets Corp., 2006-3 A7 (1 mo. USD LIBOR + 0.540%)		0.997	%		11/25/36		753,859		627,082	^(c)
IndyMac INDX Mortgage Loan Trust, 2004-AR14 2A1A (1 mo. USD LIBOR + 0.720%)		1.177	%		1/25/35		47,730		41,587	^(c)
JPMDB Commercial Mortgage Securities Trust, 2017-C7 A5		3.409	%		10/15/50		893,000		895,693
JPMorgan Chase Commercial Mortgage Securities Trust, 2012-HSBC A		3.093	%		7/5/32		1,386,517		1,386,640	^(a)
JPMorgan Chase Commercial Mortgage Securities Trust, 2020-NNN GFL (1 mo. USD LIBOR + 3.000%)		3.431	%		1/16/37		585,813		565,874	^(a)(c)
JPMorgan Chase Commercial Mortgage Securities Trust, 2020-NNN GFX		4.688	%		1/16/37		1,350,000		1,241,716	^(a)(c)
JPMorgan Chase Commercial Mortgage Securities Trust, 2021-NYAH F (1 mo. USD LIBOR + 2.190%)		2.587	%		6/15/38		1,320,000		1,275,808	^(a)(c)
JPMorgan Resecuritization Trust Series, 2009-10 7A2		6.054	%		2/26/37		1,660,373		955,691	^(a)(c)
Legacy Mortgage Asset Trust, 2020-RPL1 A1		3.000	%		9/25/59		1,108,281		1,095,804	^(a)(c)
Luminent Mortgage Trust, 2006-7 2A2 (1 mo. USD LIBOR + 0.220%)		0.677	%		12/25/36		19,208		20,812	^(c)
MASTR Reperforming Loan Trust, 2005-1 1A3		7.000	%		8/25/34		8,754		7,918	^(a)
MBRT, 2019-MBR H1 (1 mo. USD LIBOR + 4.250%)		4.647	%		11/15/36		625,000		612,490	^(a)(c)
Med Trust, 2021-MDLN E (1 mo. USD LIBOR + 3.150%)		3.547	%		11/15/38		980,000		958,908	^(a)(c)
Merrill Lynch Mortgage Investors Trust, 2003-A2 2M1		1.967	%		3/25/33		55,231		47,288	^(c)
Merrill Lynch Mortgage Investors Trust, 2004-A1 2A1		2.294	%		2/25/34		7,613		7,721	^(c)
Merrill Lynch Mortgage Investors Trust, 2004-A1 2A2		2.294	%		2/25/34		324,110		328,731	^(c)
Morgan Stanley Bank of America Merrill Lynch Trust, 2016-C32 ASB		3.514	%		12/15/49		244,710		245,752

See Notes to Schedule of Investments.

Western Asset Short-Term Bond Fund 2022 Quarterly Report

WESTERN ASSET SHORT-TERM BOND FUND

(Percentages shown based on Fund net assets)


Schedule of Investments (unaudited) (cont’d)		March 31, 2022


SECURITY	RATE			MATURITY DATE		FACE AMOUNT		VALUE
COLLATERALIZED MORTGAGE OBLIGATIONS ^(f) - (continued)
Morgan Stanley Capital I Trust, 2017-ASHF A (1 mo. USD LIBOR + 0.850%)		1.247	%		11/15/34	$	309,551	$	306,699	^(a)(c)
Morgan Stanley Capital I Trust, 2018-H4 XA, IO		0.835	%		12/15/51		24,287,691		1,047,834	^(c)
Morgan Stanley Capital I Trust, 2019-BPR A (1 mo. USD LIBOR + 1.400%)		1.797	%		5/15/36		670,000		661,855	^(a)(c)
Morgan Stanley Capital I Inc., 2021-ILP A (1 mo. USD LIBOR + 0.778%)		1.175	%		11/15/23		1,654,529		1,630,216	^(a)(c)
MRCD Mortgage Trust, 2019-PARK A		2.718	%		12/15/36		970,000		939,530	^(a)
New Residential Mortgage Loan Trust, 2017-2A B2		4.750	%		3/25/57		352,581		359,476	^(a)(c)
New Residential Mortgage Loan Trust, 2017-4A A1		4.000	%		5/25/57		162,947		163,341	^(a)(c)
New Residential Mortgage Loan Trust, 2019-6A A1B		3.500	%		9/25/59		627,504		623,269	^(a)(c)
New Residential Mortgage Loan Trust, 2022- NQM2 A1		3.079	%		3/27/62		1,373,477		1,359,532	^(a)(c)
OBX Trust, 2022-NQM1 A1		2.305	%		11/25/61		1,220,191		1,183,441	^(a)(c)
OPG Trust, 2021-PORT A (1 mo. USD LIBOR + 0.484%)		0.881	%		10/15/36		1,320,000		1,274,976	^(a)(c)
Radnor RE Ltd., 2021-1 M1C (30 Day Average SOFR + 2.700%)		2.799	%		12/27/33		1,320,000		1,245,208	^(a)(c)
RAMP Trust, 2004-SL4 A5		7.500	%		7/25/32		4,213		2,296
Ready Capital Mortgage Financing LLC, 2021- FL7 A (1 mo. USD LIBOR + 1.200%)		1.657	%		11/25/36		1,649,770		1,636,539	^(a)(c)
Residential Accredit Loans Inc., 2007-QS7 1A7 (1 mo. USD LIBOR + 0.550%)		1.007	%		5/25/37		542,220		428,292	^(c)
Sequoia Mortgage Trust, 2003-2 A2 (6 mo. USD LIBOR + 0.680%)		0.904	%		6/20/33		103,083		101,115	^(c)
SFO Commercial Mortgage Trust, 2021-555 D (1 mo. USD LIBOR + 2.400%)		2.797	%		5/15/38		920,000		896,025	^(a)(c)
SG Residential Mortgage Trust, 2022-1 A1		3.166	%		3/27/62		1,466,671		1,441,288	^(a)(c)
Silverstone Master Issuer PLC, 2018-1A 1A (3 mo. USD LIBOR + 0.390%)		0.645	%		1/21/70		134,400		134,407	^(a)(c)
SMR Mortgage Trust, 2022-IND F (1 mo. Term SOFR + 6.000%)		6.301	%		2/15/39		1,543,345		1,530,689	^(a)(c)
SMRT, 2022-MINI A (1 mo. Term SOFR + 1.000%)		1.302	%		1/15/24		1,290,000		1,274,963	^(a)(c)
SREIT Trust, 2021-MFP A (1 mo. USD LIBOR + 0.731%)		1.127	%		11/15/38		1,650,000		1,617,960	^(a)(c)
SREIT Trust, 2021-MFP2 A (1 mo. USD LIBOR + 0.822%)		1.219	%		11/15/36		1,450,000		1,424,610	^(a)(c)

See Notes to Schedule of Investments.

Western Asset Short-Term Bond Fund 2022 Quarterly Report

WESTERN ASSET SHORT-TERM BOND FUND

(Percentages shown based on Fund net assets)


Schedule of Investments (unaudited) (cont’d)		March 31, 2022


SECURITY	RATE			MATURITY DATE		FACE AMOUNT		VALUE
COLLATERALIZED MORTGAGE OBLIGATIONS ^(f) - (continued)
SREIT Trust, 2021-PALM A (1 mo. USD LIBOR + 0.590%)		0.987	%		10/15/34	$	1,650,000	$	1,601,508	^(a)(c)
Structured Adjustable Rate Mortgage Loan Trust, 2004-2 4A1		2.706	%		3/25/34		62,041		61,524	^(c)
Structured Adjustable Rate Mortgage Loan Trust, 2005-4 1A1		2.698	%		3/25/35		88,701		80,296	^(c)
Structured Adjustable Rate Mortgage Loan Trust, 2005-12 3A1		2.337	%		6/25/35		11,829		10,958	^(c)
Structured Asset Securities Corp., 2005-RF3 2A		3.360	%		6/25/35		129,258		121,365	^(a)(c)
Structured Asset Securities Corp. Mortgage Pass-Through Certificate Series, 2002-3 B2		6.500	%		3/25/32		263,166		300,281	^(c)
STWD Trust, 2021-FLWR E (1 mo. USD LIBOR + 1.924%)		2.321	%		7/15/36		2,200,000		2,112,388	^(a)(c)
Tharaldson Hotel Portfolio Trust, 2018-THL D (1 mo. USD LIBOR + 2.300%)		2.590	%		11/11/34		793,879		776,504	^(a)(c)
Thornburg Mortgage Securities Trust, 2004-2 A4 (1 mo. USD LIBOR + 0.680%)		1.137	%		6/25/44		313,703		304,813	^(c)
UBS Commercial Mortgage Trust, 2017-C4 A4		3.563	%		10/15/50		1,330,000		1,324,563
VNDO Mortgage Trust, 2012-6AVE A		2.996	%		11/15/30		807,000		810,284	^(a)
Wachovia Mortgage Loan Trust LLC, 2005-A 1A1		2.177	%		8/20/35		4,141		4,163	^(c)
WaMu Mortgage Pass-Through Certificates Trust, 2003-AR5 A7		2.585	%		6/25/33		17,211		17,299	^(c)
WaMu Mortgage Pass-Through Certificates Trust, 2005-AR4 A5		2.867	%		4/25/35		11,570		11,523	^(c)
WaMu Mortgage Pass-Through Certificates Trust, 2005-AR19 A1B2 (1 mo. USD LIBOR + 0.820%)		1.277	%		12/25/45		24,470		24,154	^(c)
WaMu Mortgage Pass-Through Certificates Trust, 2006-AR13 2A (Cost of Funds for the 11th District of San Francisco + 1.500%)		1.723	%		10/25/46		408,216		395,624	^(c)

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost - $105,170,266)									102,940,233

ASSET-BACKED SECURITIES - 13.3%
ABFC Trust, 2002-WF2 A2 (1 mo. USD LIBOR + 1.125%)		1.582	%		5/25/32		24,207		23,940	^(c)
ABFC Trust, 2003-OPT1 A3 (1 mo. USD LIBOR + 0.680%)		1.137	%		4/25/33		514,742		494,020	^(c)
ABFC Trust, 2004-OPT2 M1 (1 mo. USD LIBOR + 0.825%)		1.282	%		8/25/33		8,639		8,632	^(c)
ABPCI Direct Lending Fund CLO X LP, 2020-10A A1A (3 mo. USD LIBOR + 1.950%)		2.204	%		1/20/32		980,000		981,466	^(a)(c)

See Notes to Schedule of Investments.

Western Asset Short-Term Bond Fund 2022 Quarterly Report

WESTERN ASSET SHORT-TERM BOND FUND

(Percentages shown based on Fund net assets)


Schedule of Investments (unaudited) (cont’d)		March 31, 2022


SECURITY	RATE			MATURITY DATE		FACE AMOUNT		VALUE
ASSET-BACKED SECURITIES - (continued)
Allegro CLO II-S Ltd., 2014-1RA A1 (3 mo. USD LIBOR + 1.080%)		1.335	%		10/21/28	$	1,134,902	$	1,134,849	^(a)(c)
Allegro CLO XI Ltd., 2019-2A A1A (3 mo. USD LIBOR + 1.390%)		1.638	%		1/19/33		250,000		249,054	^(a)(c)
AMMC CLO 23 Ltd., 2020-23A A1R (3 mo. USD LIBOR + 1.040%)		1.281	%		10/17/31		2,840,000		2,818,825	^(a)(c)
Arbor Realty Commercial Real Estate Notes Ltd., 2021-FL3 A (1 mo. USD LIBOR + 1.070%)		1.467	%		8/15/34		1,320,000		1,316,336	^(a)(c)
Avery Point VI CLO Ltd., 2015-6A AR2 (3 mo. USD LIBOR + 0.900%)		1.215	%		8/5/27		192,995		192,075	^(a)(c)
Avis Budget Rental Car Funding AESOP LLC, 2020-2A A		2.020	%		2/20/27		940,000		892,461	^(a)
Avis Budget Rental Car Funding AESOP LLC, 2021-1A A		1.380	%		8/20/27		1,230,000		1,142,264	^(a)
Avis Budget Rental Car Funding AESOP LLC, 2021-1A C		2.130	%		8/20/27		980,000		894,779	^(a)
Ballyrock CLO Ltd., 2019-2A A1BR (3 mo. USD LIBOR + 1.200%)		1.680	%		11/20/30		490,000		490,239	^(a)(c)
BCRED MML CLO LLC, 2021-1A A (3 mo. USD LIBOR + 1.480%)		1.810	%		1/15/35		1,050,000		1,049,291	^(a)(c)
BDS Ltd., 2021-FL10 D (1 mo. USD LIBOR + 2.850%)		3.318	%		12/16/36		1,320,000		1,305,734	^(a)(c)
Black Diamond CLO Ltd., 2017-1A A1AR (3 mo. USD LIBOR + 1.050%)		1.309	%		4/24/29		876,156		876,304	^(a)(c)
Blackrock DLF VIII-L CLO Trust, 2021-1A A (3 mo. USD LIBOR + 1.350%)		1.591	%		4/17/32		217,861		217,962	^(a)(c)
BlueMountain CLO XXII Ltd., 2018-22A A1 (3 mo. USD LIBOR + 1.080%)		1.319	%		7/15/31		320,000		318,278	^(a)(c)
Bravo Mortgage Asset Trust, 2006-1A M1 (1 mo. USD LIBOR + 0.600%)		1.057	%		7/25/36		750,000		709,105	^(a)(c)
Carlyle Global Market Strategies CLO Ltd., 2014-1A A1R2 (3 mo. USD LIBOR + 0.970%)		1.211	%		4/17/31		667,969		661,831	^(a)(c)
Carlyle Global Market Strategies CLO Ltd., 2014-3RA A1A (3 mo. USD LIBOR + 1.050%)		1.318	%		7/27/31		376,897		373,806	^(a)(c)
Carlyle US CLO Ltd., 2017-2A A1R (3 mo. USD LIBOR + 1.050%)		1.304	%		7/20/31		1,250,000		1,240,148	^(a)(c)
CBAM Ltd., 2017-1A A1 (3 mo. USD LIBOR + 1.250%)		1.504	%		7/20/30		350,000		349,991	^(a)(c)
CCG Receivables Trust, 2021-2 A2		0.540	%		3/14/29		2,310,000		2,250,120	^(a)
Cedar Funding V CLO Ltd., 2016-5A AFRR		1.937	%		7/17/31		1,700,000		1,658,864	^(a)

See Notes to Schedule of Investments.

Western Asset Short-Term Bond Fund 2022 Quarterly Report

WESTERN ASSET SHORT-TERM BOND FUND

(Percentages shown based on Fund net assets)


Schedule of Investments (unaudited) (cont’d)		March 31, 2022


SECURITY	RATE			MATURITY DATE		FACE AMOUNT		VALUE
ASSET-BACKED SECURITIES - (continued)
Cerberus Loan Funding XXVII LP, 2019-2A A1 (3 mo. USD LIBOR + 1.800%)		2.041	%		1/15/32	$	470,000	$	468,405	^(a)(c)
Cerberus Loan Funding XXVIII LP, 2020-1A A (3 mo. USD LIBOR + 1.850%)		2.091	%		10/15/31		580,000		580,118	^(a)(c)
CIFC Funding Ltd., 2021-4A A (3 mo. USD LIBOR + 1.050%)		1.291	%		7/15/33		840,000		832,712	^(a)(c)
Countrywide Asset-Backed Certificates Trust, 2002-S3 M1		4.800	%		5/25/32		2,013		1,805	^(c)
CWABS Revolving Home Equity Loan Trust Series, 2004-B 2A (1 mo. USD LIBOR + 0.220%)		0.617	%		2/15/29		608,128		578,900	^(c)
DB Master Finance LLC, 2021-1A A23		2.791	%		11/20/51		1,316,700		1,183,910	^(a)
Dryden 75 CLO Ltd., 2019-75A AR2 (3 mo. USD LIBOR + 1.040%)		1.281	%		4/15/34		250,000		241,633	^(a)(c)
Fortress Credit Bsl X Ltd., 2021-1A A (3 mo. USD LIBOR + 1.470%)		1.724	%		4/20/33		1,990,000		1,990,629	^(a)(c)
Foundation Finance Trust, 2021-1A A		1.270	%		5/15/41		562,574		531,866	^(a)
Galaxy XXVI CLO Ltd., 2018-26A A (3 mo. USD LIBOR + 1.200%)		1.680	%		11/22/31		450,000		448,410	^(a)(c)
GCI Funding I LLC, 2021-1 A		2.380	%		6/18/46		640,013		597,196	^(a)
GoldenTree Loan Management US CLO 10 Ltd., 2021-10A A (3 mo. USD LIBOR + 1.100%)		1.354	%		7/20/34		2,590,000		2,555,935	^(a)(c)
GoldenTree Loan Opportunities IX Ltd., 2014-9A AR2 (3 mo. USD LIBOR + 1.110%)		1.409	%		10/29/29		326,163		325,195	^(a)(c)
Golub Capital Partners CLO 25M Ltd., 2015-25A AR (3 mo. USD LIBOR + 1.380%)		1.695	%		5/5/30		1,550,000		1,544,790	^(a)(c)
Golub Capital Partners CLO 36M Ltd., 2018-36A B (3 mo. USD LIBOR + 1.650%)		1.965	%		2/5/31		1,270,000		1,256,816	^(a)(c)
Golub Capital Partners CLO 47M Ltd., 2020-47A A1 (3 mo. USD LIBOR + 1.680%)		1.995	%		5/5/32		1,080,000		1,076,211	^(a)(c)
Golub Capital Partners CLO 54M LP, 2021-54A A (3 mo. USD LIBOR + 1.530%)		1.845	%		8/5/33		1,980,000		1,976,516	^(a)(c)
GoodLeap Sustainable Home Solutions Trust, 2021-4GS A		1.930	%		7/20/48		676,159		613,917	^(a)
Great Lakes Kcap F3c Senior LLC, 2017-1A A (3 mo. USD LIBOR + 1.900%)		2.828	%		12/20/29		1,792,571		1,795,254	^(a)(c)
Greenwood Park CLO Ltd., 2018-1A A2 (3 mo. USD LIBOR + 1.010%)		1.251	%		4/15/31		500,000		492,853	^(a)(c)
Greystone CRE Notes Ltd., 2021-FL3 A (1 mo. USD LIBOR + 1.020%)		1.417	%		7/15/39		1,030,000		1,016,375	^(a)(c)
Greywolf CLO VI Ltd., 2018-1A A2 (3 mo. USD LIBOR + 1.630%)		1.897	%		4/26/31		650,000		644,398	^(a)(c)

See Notes to Schedule of Investments.

Western Asset Short-Term Bond Fund 2022 Quarterly Report

WESTERN ASSET SHORT-TERM BOND FUND

(Percentages shown based on Fund net assets)


Schedule of Investments (unaudited) (cont’d)		March 31, 2022


SECURITY	RATE			MATURITY DATE		FACE AMOUNT		VALUE
ASSET-BACKED SECURITIES - (continued)
Grippen Park CLO Ltd., 2017-1A A (3 mo. USD LIBOR + 1.260%)		1.514	%		1/20/30	$	1,320,000	$	1,315,607	^(a)(c)
Grippen Park CLO Ltd., 2017-1A C (3 mo. USD LIBOR + 2.300%)		2.554	%		1/20/30		750,000		733,904	^(a)(c)
HalseyPoint CLO I Ltd., 2019-1A A1A1 (3 mo. USD LIBOR + 1.350%)		1.604	%		1/20/33		1,360,000		1,357,076	^(a)(c)
HalseyPoint CLO 3 Ltd., 2020-3A A1A (3 mo. USD LIBOR + 1.450%)		1.749	%		11/30/32		370,000		367,534	^(a)(c)
Hertz Vehicle Financing LLC, 2021-1A A		1.210	%		12/26/25		1,250,000		1,185,206	^(a)
HGI CRE CLO Ltd., 2021-FL2 A (1 mo. USD LIBOR + 1.000%)		1.431	%		9/17/36		1,320,000		1,298,791	^(a)(c)
Hildene Community Funding CDO Ltd., 2015-1A ARR		2.600	%		11/1/35		1,410,000		1,360,650	^(a)
Home Equity Asset Trust, 2005-6 M5 (1 mo. USD LIBOR + 0.945%)		1.402	%		12/25/35		380,000		372,017	^(c)
JPMorgan Mortgage Acquisition Trust, 2007- CH2 MV2 (1 mo. USD LIBOR + 0.300%)		0.757	%		1/25/37		420,000		409,417	^(c)
KKR Financial CLO 21 Ltd., 2021 A (3 mo. USD LIBOR + 1.000%)		1.241	%		4/15/31		460,000		456,816	^(a)(c)
LCM Loan Income Fund I Income Note Issuer Ltd., 27A A1 (3 mo. USD LIBOR + 1.080%)		1.321	%		7/16/31		690,000		686,479	^(a)(c)
LCM XVIII LP, 19A AR (3 mo. USD LIBOR + 1.240%)		1.481	%		7/15/27		95,348		95,043	^(a)(c)
Legacy Mortgage Asset Trust, 2019-GS5 A1, Step bond		3.200	%		5/25/59		249,527		249,617	^(a)
Magnetite XIV-R Ltd., 2015-14RA A2 (3 mo. USD LIBOR + 1.120%)		1.359	%		10/18/31		730,000		723,290	^(a)(c)
MASTR Specialized Loan Trust, 2006-3 A (1 mo. USD LIBOR + 0.260%)		0.717	%		6/25/46		46,389		44,879	^(a)(c)
Mercury Financial Credit Card Master Trust, 2021-1A B		2.330	%		3/20/26		920,000		894,891	^(a)
MF1 Ltd., 2021-FL7 A (1 mo. USD LIBOR + 1.080%)		1.511	%		10/16/36		1,060,000		1,046,209	^(a)(c)
Midocean Credit CLO VIII, 2018-8A A1R (3 mo. USD LIBOR + 1.050%)		1.530	%		2/20/31		1,300,000		1,289,049	^(a)(c)
Midocean Credit CLO IX, 2018-9A B (3 mo. USD LIBOR + 1.750%)		2.004	%		7/20/31		1,750,000		1,736,875	^(a)(c)
Myers Park CLO Ltd., 2018-1A B1 (3 mo. USD LIBOR + 1.600%)		1.854	%		10/20/30		250,000		248,853	^(a)(c)
Navient Student Loan Trust, 2016-6A A3 (1 mo. USD LIBOR + 1.300%)		1.757	%		3/25/66		1,940,000		1,986,089	^(a)(c)

See Notes to Schedule of Investments.

Western Asset Short-Term Bond Fund 2022 Quarterly Report

WESTERN ASSET SHORT-TERM BOND FUND

(Percentages shown based on Fund net assets)


Schedule of Investments (unaudited) (cont’d)		March 31, 2022


SECURITY	RATE			MATURITY DATE		FACE AMOUNT		VALUE
ASSET-BACKED SECURITIES - (continued)
Navient Student Loan Trust, 2021-1A A1B (1 mo. USD LIBOR + 0.600%)		1.057	%		12/26/69	$	865,868	$	860,027	^(a)(c)
Nelnet Student Loan Trust, 2014-6A A (1 mo. USD LIBOR + 0.650%)		1.107	%		11/25/52		330,459		324,696	^(a)(c)
Nelnet Student Loan Trust, 2021-A A2 (1 mo. USD LIBOR + 1.030%)		1.479	%		4/20/62		1,310,000		1,294,574	^(a)(c)
Nelnet Student Loan Trust, 2021-A APT1		1.360	%		4/20/62		776,086		727,919	^(a)
Neuberger Berman Loan Advisers CLO 24 Ltd., 2017-24A AR (3 mo. USD LIBOR + 1.020%)		1.268	%		4/19/30		500,000		497,063	^(a)(c)
Neuberger Berman Loan Advisers CLO 29 Ltd., 2018-29A A1 (3 mo. USD LIBOR + 1.130%)		1.378	%		10/19/31		250,000		248,922	^(a)(c)
Neuberger Berman Loan Advisers CLO 40 Ltd., 2021-40A A (3 mo. USD LIBOR + 1.060%)		1.301	%		4/16/33		600,000		595,343	^(a)(c)
NextGear Floorplan Master Owner Trust, 2020-1A A2		1.550	%		2/15/25		1,320,000		1,311,855	^(a)
Ocean Trails CLO VII, 2019-7A AR (3 mo. USD LIBOR + 1.010%)		1.251	%		4/17/30		1,550,000		1,539,060	^(a)(c)
Ocean Trails CLO X, 2020-10A AR (3 mo. USD LIBOR + 1.220%)		1.461	%		10/15/34		330,000		327,502	^(a)(c)
OCP CLO Ltd., 2014-5A A1R (3 mo. USD LIBOR + 1.080%)		1.347	%		4/26/31		970,000		965,314	^(a)(c)
Octagon Investment Partners 35 Ltd., 2018-1A A1A (3 mo. USD LIBOR + 1.060%)		1.314	%		1/20/31		1,150,000		1,144,733	^(a)(c)
Octagon Investment Partners 47 Ltd., 2020-1A AR (3 mo. USD LIBOR + 1.160%)		1.414	%		7/20/34		750,000		742,254	^(a)(c)
Octagon Investment Partners XXI Ltd., 2014-1A AAR3 (3 mo. USD LIBOR + 1.000%)		1.395	%		2/14/31		260,000		257,391	^(a)(c)
OHA Loan Funding Ltd., 2013-2A AR (3 mo. USD LIBOR + 1.040%)		1.504	%		5/23/31		240,000		237,937	^(a)(c)
Option One Mortgage Loan Trust, 2007-FXD1 1A1, Step bond		5.866	%		1/25/37		486,997		447,900
Option One Mortgage Loan Trust, 2007-FXD1 2A1, Step bond		5.866	%		1/25/37		431,294		398,593
Owl Rock CLO I Ltd., 2019-1A A (3 mo. USD LIBOR + 1.800%)		2.280	%		5/20/31		720,000		717,548	^(a)(c)
OZLM XII Ltd., 2015-12A A1R (3 mo. USD LIBOR + 1.050%)		1.349	%		4/30/27		148,465		148,670	^(a)(c)
Palmer Square CLO Ltd., 2019-1A A1R (3 mo. USD LIBOR + 1.150%)		1.545	%		11/14/34		770,000		760,803	^(a)(c)
Parliament Funding II ltd, 2020-1A AR (3 mo. USD LIBOR + 1.250%)		1.490	%		10/20/31		1,950,000		1,941,989	^(a)(c)

See Notes to Schedule of Investments.

Western Asset Short-Term Bond Fund 2022 Quarterly Report

WESTERN ASSET SHORT-TERM BOND FUND

(Percentages shown based on Fund net assets)


Schedule of Investments (unaudited) (cont’d)		March 31, 2022


SECURITY	RATE			MATURITY DATE		FACE AMOUNT		VALUE
ASSET-BACKED SECURITIES - (continued)
Recette CLO Ltd., 2015-1A ARR (3 mo. USD LIBOR + 1.080%)		1.334	%		4/20/34	$	350,000	$	345,456	^(a)(c)
Saranac CLO III Ltd., 2014-3A BR (3 mo. USD LIBOR + 1.850%)		2.784	%		6/22/30		690,000		687,803	^(a)(c)
Saxon Asset Securities Trust, 2003-3 M1 (1 mo. USD LIBOR + 0.975%)		1.432	%		12/25/33		20,212		19,939	^(c)
Saxon Asset Securities Trust, 2006-3 A4 (1 mo. USD LIBOR + 0.240%)		0.697	%		10/25/46		1,420,000		1,283,335	^(c)
SLM Private Credit Student Loan Trust, 2005-A A4 (3 mo. USD LIBOR + 0.310%)		1.136	%		12/15/38		1,282,835		1,256,567	^(c)
SLM Private Credit Student Loan Trust, 2006-A A5 (3 mo. USD LIBOR + 0.290%)		1.116	%		6/15/39		889,188		856,107	^(c)
SLM Student Loan Trust, 2003-4 A5A (3 mo. USD LIBOR + 0.750%)		1.576	%		3/15/33		44,330		44,473	^(a)(c)
SLM Student Loan Trust, 2003-10A A4 (3 mo. USD LIBOR + 0.670%)		1.496	%		12/17/68		920,000		907,982	^(a)(c)
SLM Student Loan Trust, 2005-8 A5 (3 mo. USD LIBOR + 0.170%)		0.428	%		1/25/40		1,556,138		1,494,201	^(c)
SMB Private Education Loan Trust, 2016-C A2A		2.340	%		9/15/34		759,712		749,543	^(a)
SMB Private Education Loan Trust, 2021-A A2B		1.590	%		1/15/53		610,000		568,425	^(a)
SMB Private Education Loan Trust, 2021-A C		2.990	%		1/15/53		970,000		905,721	^(a)
Sonic Capital LLC, 2020-1A A2I		3.845	%		1/20/50		88,575		86,835	^(a)
Stonepeak ABS, 2021-1A A		2.675	%		2/28/33		1,525,639		1,437,876	^(a)
Structured Asset Securities Corp., 2004-SC1 A		7.951	%		12/25/29		6,239		5,792	^(a)(c)
Structured Asset Securities Corp. Mortgage Loan Trust, 2006-GEL4 M1 (1 mo. USD LIBOR + 0.570%)		1.027	%		10/25/36		399,645		395,592	^(a)(c)
Structured Asset Securities Corp. Trust, 2005- SC1 1A2		6.702	%		5/25/31		529,611		483,867	^(a)(c)
STWD Ltd., 2022-FL3 A (30 Day Average SOFR + 1.350%)		1.400	%		11/15/38		990,000		980,823	^(a)(c)
Symphony CLO XVIII Ltd., 2016-18A BR (3 mo. USD LIBOR + 1.600%)		1.859	%		7/23/33		1,040,000		1,034,318	^(a)(c)
TCI-Flatiron CLO Ltd., 2016-1A AR3 (3 mo. Term SOFR + 1.100%)		1.270	%		1/17/32		1,200,000		1,189,542	^(a)(c)
Towd Point Mortgage Trust, 2015-2 1B3		3.306	%		11/25/60		900,000		855,305	^(a)(c)
Towd Point Mortgage Trust, 2019-4 B1B		3.500	%		10/25/59		910,000		822,953	^(a)(c)
TRP LLC, 2021-1 A		2.070	%		6/19/51		918,572		849,267	^(a)
Voya CLO Ltd., 2018-3A A1A (3 mo. USD LIBOR + 1.150%)		1.391	%		10/15/31		350,000		348,682	^(a)(c)

See Notes to Schedule of Investments.

Western Asset Short-Term Bond Fund 2022 Quarterly Report

WESTERN ASSET SHORT-TERM BOND FUND

(Percentages shown based on Fund net assets)


Schedule of Investments (unaudited) (cont’d)		March 31, 2022


SECURITY	RATE			MATURITY DATE		FACE AMOUNT		VALUE
ASSET-BACKED SECURITIES - (continued)
Voya CLO Ltd., 2018-4A A1AR (3 mo. USD LIBOR + 1.040%)		1.281	%		1/15/32	$	820,000	$	813,074	^(a)(c)
Wells Fargo Home Equity Asset-Backed Securities Trust, 2006-1 M5 (1 mo. USD LIBOR + 0.555%)		1.012	%		5/25/36		1,340,000		1,232,317	^(c)
Whitebox CLO I Ltd., 2019-1A ANAR (3 mo. USD LIBOR + 1.130%)		1.389	%		7/24/32		1,350,000		1,342,140	^(a)(c)
Whitebox CLO II Ltd., 2020-2A A1R (3 mo. USD LIBOR + 1.220%)		1.479	%		10/24/34		610,000		601,744	^(a)(c)
Whitebox CLO III Ltd., 2021-3A A1 (3 mo. USD LIBOR + 1.220%)		1.341	%		10/15/34		660,000		654,362	^(a)(c)
ZAIS CLO 13 Ltd., 2019-13A A1A (3 mo. USD LIBOR + 1.490%)		1.731	%		7/15/32		300,000		300,439	^(a)(c)

TOTAL ASSET-BACKED SECURITIES (Cost - $99,922,206)									98,307,083

U.S. GOVERNMENT & AGENCY OBLIGATIONS - 8.8%
U.S. Government Agencies - 0.1%
Federal National Mortgage Association (FNMA), Notes		0.375	%		8/25/25		1,010,000		940,248

U.S. Government Obligations - 8.7%
U.S. Treasury Notes		0.125	%		8/31/22		1,350,000		1,345,545
U.S. Treasury Notes		0.125	%		5/31/23		38,340,000		37,564,963
U.S. Treasury Notes		0.250	%		6/15/24		22,250,000		21,225,283
U.S. Treasury Notes		0.250	%		6/30/25		20,000		18,584
U.S. Treasury Notes		0.250	%		7/31/25		4,545,000		4,214,334

Total U.S. Government Obligations									64,368,709

TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS (Cost - $67,328,721)									65,308,957

MORTGAGE-BACKED SECURITIES - 2.5%
FHLMC - 1.2%
Federal Home Loan Mortgage Corp. (FHLMC)		3.500	%		4/1/33		85,970		88,693
Federal Home Loan Mortgage Corp. (FHLMC)		3.000	%		6/1/35-11/1/35		4,005,991		3,998,574
Federal Home Loan Mortgage Corp. (FHLMC) (12 mo. USD LIBOR + 1.495%)		1.745	%		6/1/43		121,611		125,328	^(c)
Federal Home Loan Mortgage Corp. (FHLMC) (30 Day Average SOFR + 2.181%)		1.781	%		8/1/51		4,886,445		4,714,131	^(c)
Federal Home Loan Mortgage Corp. (FHLMC) Gold		8.000	%		2/1/31		20,579		21,012

See Notes to Schedule of Investments.

Western Asset Short-Term Bond Fund 2022 Quarterly Report

WESTERN ASSET SHORT-TERM BOND FUND

(Percentages shown based on Fund net assets)


Schedule of Investments (unaudited) (cont’d)		March 31, 2022


SECURITY	RATE			MATURITY DATE		FACE AMOUNT		VALUE
FHLMC - (continued)
Federal Home Loan Mortgage Corp. (FHLMC) Gold		7.000	%		4/1/32	$	31,418	$	34,253
Federal Home Loan Mortgage Corp. (FHLMC) Gold		3.000	%		2/1/38-4/1/38		67,252		66,989

Total FHLMC									9,048,980

FNMA - 1.1%
Federal National Mortgage Association (FNMA)		7.000	%		2/1/27-8/1/32		75,417		78,860
Federal National Mortgage Association (FNMA)		6.000	%		11/1/27		31		33
Federal National Mortgage Association (FNMA)		3.000	%		2/1/36-3/1/40		3,559,674		3,546,225
Federal National Mortgage Association (FNMA)		2.500	%		10/1/40-9/1/51		440,119		425,954
Federal National Mortgage Association (FNMA)		2.000	%		7/1/51-11/1/51		391,404		365,103
Federal National Mortgage Association (FNMA)		4.000	%		2/1/56-6/1/57		417,861		438,338
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity Rate + 2.375%)		2.448	%		9/1/37		377,776		399,586	^(c)
Federal National Mortgage Association (FNMA) (30 Day Average SOFR + 2.120%)		1.929	%		11/1/51		2,810,564		2,730,890	^(c)

Total FNMA									7,984,989

GNMA - 0.2%
Government National Mortgage Association (GNMA)		6.000	%		11/15/28		4,789		5,115
Government National Mortgage Association (GNMA)		6.500	%		8/15/34		73,203		79,780
Government National Mortgage Association (GNMA)		7.000	%		3/15/36		21,690		24,038
Government National Mortgage Association (GNMA)		3.000	%		9/15/42-11/15/42		210,071		209,295
Government National Mortgage Association (GNMA)		3.500	%		6/15/48-5/15/50		203,214		208,552
Government National Mortgage Association (GNMA) II		3.500	%		6/20/44-10/20/49		117,648		119,403
Government National Mortgage Association (GNMA) II		4.000	%		2/20/48-4/20/48		15,616		16,127
Government National Mortgage Association (GNMA) II		4.500	%		8/20/48-1/20/49		266,094		276,623

See Notes to Schedule of Investments.

Western Asset Short-Term Bond Fund 2022 Quarterly Report

WESTERN ASSET SHORT-TERM BOND FUND

(Percentages shown based on Fund net assets)


Schedule of Investments (unaudited) (cont’d)		March 31, 2022


SECURITY	RATE			MATURITY DATE		FACE AMOUNT		VALUE
GNMA - (continued)
Government National Mortgage Association (GNMA) II		2.500	%		12/20/50	$	157,354	$	151,590
Government National Mortgage Association (GNMA) II (1 mo. USD LIBOR + 1.104%)		1.206	%		7/20/60		22,179		22,301	^(c)
Government National Mortgage Association (GNMA) II (1 mo. USD LIBOR + 2.053%)		2.154	%		8/20/60		368,453		380,222	^(c)
Government National Mortgage Association (GNMA) II (1 year Treasury Constant Maturity Rate + 1.238%)		1.532	%		7/20/60		50,467		51,096	^(c)
Government National Mortgage Association (GNMA) II (1 year Treasury Constant Maturity Rate + 1.440%)		1.730	%		2/20/60		279,595		283,828	^(c)

Total GNMA									1,827,970

TOTAL MORTGAGE-BACKED SECURITIES (Cost - $19,690,566)									18,861,939

SENIOR LOANS - 1.6%
COMMUNICATION SERVICES - 0.4%
Media - 0.4%
Applovin Corp., Initial Term Loan		—			8/15/25		748,067		745,322	^(g)
Charter Communications Operating LLC, Term Loan B1		—			4/30/25		500,000		498,673	^(g)
Charter Communications Operating LLC, Term Loan B2		—			2/1/27		498,721		495,225	^(g)
Nexstar Broadcasting Inc., Term Loan B4 (1 mo. USD LIBOR + 2.500%)		2.731	%		9/18/26		750,000		748,057	^(c)(h)(i)
Virgin Media Bristol LLC, Term Loan Facility N (1 mo. USD LIBOR + 2.500%)		2.897	%		1/31/28		750,000		742,031	^(c)(h)(i)

TOTAL COMMUNICATION SERVICES									3,229,308

CONSUMER DISCRETIONARY - 0.5%
Auto Components - 0.1%
Clarios Global LP, First Lien Amendment No. 1
Dollar Term Loan (1 mo. USD LIBOR + 3.250%)		3.707	%		4/30/26		750,000		741,750	^(c)(h)(i)

Diversified Consumer Services - 0.1%
Prime Security Services Borrower LLC, 2021 Refinancing Term Loan B1		—			9/23/26		498,741		495,833	^(g)

Hotels, Restaurants & Leisure - 0.2%
Caesars Resort Collection LLC, Term Loan B (1 mo. USD LIBOR + 2.750%)		3.207	%		12/23/24		498,698		496,758	^(c)(h)(i)

See Notes to Schedule of Investments.

Western Asset Short-Term Bond Fund 2022 Quarterly Report

WESTERN ASSET SHORT-TERM BOND FUND

(Percentages shown based on Fund net assets)


Schedule of Investments (unaudited) (cont’d)		March 31, 2022


SECURITY	RATE			MATURITY DATE		FACE AMOUNT		VALUE
Hotels, Restaurants & Leisure - (continued)
Four Seasons Hotels Ltd., Restated Term Loan		—			11/30/23	$	500,000	$	499,140	^(g)
Scientific Games International Inc., Initial Term Loan B5		—			8/14/24		498,701		497,457	^(g)

Total Hotels, Restaurants & Leisure									1,493,355

Specialty Retail - 0.1%
Rent-A-Center Inc., Term Loan B2 (1 mo. USD LIBOR + 3.250%)		3.813	%		2/17/28		748,111		734,903	^(c)(h)(i)

TOTAL CONSUMER DISCRETIONARY									3,465,841

ENERGY - 0.1%
Oil, Gas & Consumable Fuels - 0.1%
Pilot Travel Centers LLC, Initial Term Loan B (1 mo. USD LIBOR + 2.000%)		2.457	%		8/4/28		750,000		740,936	^(c)(h)(i)

FINANCIALS - 0.3%
Diversified Financial Services - 0.3%
Hudson River Trading LLC, Term Loan (1 mo. Term SOFR + 3.000%)		3.427	%		3/20/28		750,000		739,766	^(c)(h)(i)
Setanta Aircraft Leasing DAC, Term Loan		—			11/5/28		750,000		740,003	^(g)
VFH Parent LLC, Initial Term Loan (the greater of 1 mo. Term SOFR or 0.500% + 3.000%)		3.500	%		1/13/29		500,000		496,043	^(c)(h)(i)

Total Diversified Financial Services									1,975,812

Insurance - 0.0%††
Asurion LLC, New Term Loan B9		—			7/31/27		498,740		489,389	^(g)

TOTAL FINANCIALS									2,465,201

INDUSTRIALS - 0.3%
Commercial Services & Supplies - 0.1%
APi Group DE Inc., Initial Term Loan (1 mo. USD LIBOR + 2.500%)		2.957	%		10/1/26		750,000		742,657	^(c)(h)(i)

Road & Rail - 0.2%
Genesee & Wyoming Inc., Initial Term Loan (3 mo. USD LIBOR + 2.000%)		3.006	%		12/30/26		750,000		742,853	^(c)(h)(i)
XPO Logistics Inc., Refinancing Term Loan (1 mo. USD LIBOR + 1.750%)		1.992	%		2/24/25		750,000		744,296	^(c)(h)(i)

Total Road & Rail									1,487,149

TOTAL INDUSTRIALS									2,229,806

TOTAL SENIOR LOANS (Cost - $12,255,173)									12,131,092

SOVEREIGN BONDS - 0.9%
Kuwait - 0.1%
Kuwait International Government Bond, Senior Notes		3.500	%		3/20/27		730,000		761,091	^(a)

See Notes to Schedule of Investments.

Western Asset Short-Term Bond Fund 2022 Quarterly Report

WESTERN ASSET SHORT-TERM BOND FUND

(Percentages shown based on Fund net assets)


Schedule of Investments (unaudited) (cont’d)		March 31, 2022


SECURITY	RATE			MATURITY DATE		FACE AMOUNT		VALUE
Qatar - 0.2%
Qatar Government International Bond, Senior Notes		3.875	%		4/23/23	$	990,000	$	1,008,576	^(b)

Saudi Arabia - 0.2%
Saudi Government International Bond, Senior Notes		4.500	%		4/17/30		1,420,000		1,557,747	^(a)

Supranational - 0.1%
Asian Development Bank, Senior Notes		1.500	%		1/20/27		830,000		791,008

United Arab Emirates - 0.3%
Abu Dhabi Government International Bond, Senior Notes		2.500	%		10/11/22		830,000		834,500	^(a)
Abu Dhabi Government International Bond, Senior Notes		0.750	%		9/2/23		540,000		528,892	^(a)
Abu Dhabi Government International Bond, Senior Notes		2.125	%		9/30/24		1,040,000		1,027,913	^(a)

Total United Arab Emirates									2,391,305

TOTAL SOVEREIGN BONDS (Cost - $6,477,074)									6,509,727

CONVERTIBLE BONDS & NOTES - 0.0%††
HEALTH CARE - 0.0%††
Pharmaceuticals - 0.0%††
Dermira Inc., Senior Notes (Cost - $180,225)		3.000	%		5/15/22		180,000		181,575


	EXPIRATION DATE			CONTRACTS		NOTIONAL AMOUNT
PURCHASED OPTIONS - 0.0%††
EXCHANGE-TRADED PURCHASED OPTIONS - 0.0%††
U.S. Treasury 5-Year Notes Futures, Call @ $114.50		4/22/22			162		162,000		111,375
U.S. Treasury 5-Year Notes Futures, Call @ $115.00		4/22/22			128		128,000		55,000

TOTAL PURCHASED OPTIONS (Cost - $163,455)									166,375

TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost - $699,363,227)									679,027,798


	RATE					SHARES
SHORT-TERM INVESTMENTS - 7.9%
Western Asset Premier Institutional Government Reserves, Premium Shares (Cost - $58,286,173)		0.195	%				58,286,173		58,286,173	^(j)

TOTAL INVESTMENTS - 99.4% (Cost - $757,649,400)									737,313,971
Other Assets in Excess of Liabilities - 0.6%									4,698,733

TOTAL NET ASSETS - 100.0%								$	742,012,704

See Notes to Schedule of Investments.

Western Asset Short-Term Bond Fund 2022 Quarterly Report

WESTERN ASSET SHORT-TERM BOND FUND


Schedule of Investments (unaudited) (cont’d)		March 31, 2022

††	Represents less than 0.1%.

(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 Trustees.

(b)

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

(c)

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.

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

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

(f)

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.

(g)	All or a portion of this loan is unfunded as of March 31, 2022. The interest rate for fully unfunded term loans is to be determined.

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

(i)	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.

(j)

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 March 31, 2022, the total market value of investments in Affiliated Companies was $58,286,173 and the cost was $58,286,173 (Note 2).

Abbreviation(s) used in this schedule:


ACES		— Alternative Credit Enhancement Securities
CAS		— Connecticut Avenue Securities
CDO		— Collateralized Debt Obligation
CLO		— Collateralized Loan Obligation
IO		— Interest Only
LIBOR		— London Interbank Offered Rate
PAC		— Planned Amortization Class
REMIC		— Real Estate Mortgage Investment Conduit
SOFR		— Secured Overnight Financing Rate
USD		— United States Dollar

See Notes to Schedule of Investments.

Western Asset Short-Term Bond Fund 2022 Quarterly Report

WESTERN ASSET SHORT-TERM BOND FUND


Schedule of Investments (unaudited) (cont’d)		March 31, 2022

SCHEDULE OF WRITTEN OPTIONS

EXCHANGE-TRADED WRITTEN OPTIONS


SECURITY	EXPIRATION DATE		STRIKE PRICE		CONTRACTS		NOTIONAL AMOUNT		VALUE
U.S. Treasury 5-Year Notes Futures, Call		4/22/22	$	115.75		155	$	155,000	$	(29,063	)
U.S. Treasury 5-Year Notes Futures, Call		4/22/22		116.50		189		189,000		(16,242	)
U.S. Treasury 5-Year Notes Futures, Call		4/22/22		118.25		34		34,000		(797	)
U.S. Treasury 5-Year Notes Futures, Call		4/22/22		118.50		17		17,000		(398	)
U.S. Treasury 10-Year Notes Futures, Call		4/22/22		124.00		96		96,000		(37,500	)

TOTAL EXCHANGE-TRADED WRITTEN OPTIONS (Premiums received - $216,830)									$	(84,000	)

At March 31, 2022, the Fund had the following open futures contracts:


	Number of Contracts		Expiration Date		Notional Amount		Market Value		Unrealized Appreciation (Depreciation)
Contracts to Buy:
3-Month SOFR		143		6/22	$	35,283,025	$	35,272,737	$	(10,288	)
3-Month SOFR		1		12/23		246,889		243,075		(3,814	)
90-Day Eurodollar		357		12/22		87,568,669		86,875,950		(692,719	)
90-Day Eurodollar		102		6/23		25,306,914		24,701,850		(605,064	)
90-Day Eurodollar		154		12/23		37,727,988		37,333,450		(394,538	)
U.S. Treasury 2-Year Notes		623		6/22		133,898,422		132,027,329		(1,871,093	)

										(3,577,516	)

Contracts to Sell:
90-Day Eurodollar		62		6/22		15,316,642		15,262,850		53,792
U.S. Treasury 5-Year Notes		14		6/22		1,602,366		1,605,625		(3,259	)
U.S. Treasury 10-Year Notes		269		6/22		34,046,496		33,053,375		993,121
U.S. Treasury Long-Term Bonds		22		6/22		3,412,156		3,301,375		110,781
U.S. Treasury Ultra Long-Term Bonds		6		6/22		1,121,752		1,062,750		59,002

										1,213,437

Net unrealized depreciation on open futures contracts									$	(2,364,079	)

Abbreviation(s) used in this table:


SOFR		— Secured Overnight Financing Rate

See Notes to Schedule of Investments.

Western Asset Short-Term Bond Fund 2022 Quarterly Report

WESTERN ASSET SHORT-TERM BOND FUND


Schedule of Investments (unaudited) (cont’d)		March 31, 2022

At March 31, 2022, the Fund had the following open swap contracts:


CENTRALLY CLEARED INTEREST RATE SWAPS
	NOTIONAL AMOUNT		TERMINATION DATE		PAYMENTS MADE BY THE FUND†		PAYMENTS RECEIVED BY THE FUND†		UPFRONT PREMIUMS PAID (RECEIVED)			UNREALIZED APPRECIATION (DEPRECIATION)
	$	8,310,000		11/18/23		3.970%*		CPURNSA*	$	(30,651	)	$	258,165
		44,336,000		6/4/24		3-Month LIBOR quarterly		0.820% semi-annually		—			(963,566	)
		8,310,000		11/18/26		CPURNSA*		3.370%*		82,185			(307,118	)
		9,440,000		11/20/26		1.520% annually		Daily SOFR Compound annually		(16,138	)		221,361
		7,370,000		3/4/27		Daily SOFR Compound annually		1.550% annually		(11,263	)		(213,552	)
		1,387,000		2/15/28		1.250% semi-annually		3-Month LIBOR quarterly		(28,927	)		119,834
		4,999,000		2/15/28		1.350% semi-annually		3-Month LIBOR quarterly		7,487			292,778
		4,288,000		8/15/28		1.130% annually		Daily SOFR Compound annually		33,524			229,705
		122,000		8/15/28		1.220% annually		Daily SOFR Compound annually		(179	)		7,013

Total	$	88,562,000							$	36,038		$	(355,380	)


CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION¹
REFERENCE ENTITY	NOTIONAL AMOUNT²		TERMINATION DATE		PERIODIC PAYMENTS RECEIVED BY THE FUND†		MARKET VALUE³		UPFRONT PREMIUMS PAID (RECEIVED)		UNREALIZED APPRECIATION
Markit CDX.NA.IG.38 Index	$	10,562,000		6/20/27		1.000% quarterly	$	166,964	$	145,607	$	21,357

See Notes to Schedule of Investments.

Western Asset Short-Term Bond Fund 2022 Quarterly Report

WESTERN ASSET SHORT-TERM BOND FUND


Schedule of Investments (unaudited) (cont’d)		March 31, 2022

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

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

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

†	Percentage shown is an annual percentage rate.

*	One time payment made at termination date.


Abbreviation(s) used in this table:

CPURNSA		— U.S. CPI Urban Consumers NSA Index
LIBOR		— London Interbank Offered Rate
SOFR		— Secured Overnight Financing Rate

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

See Notes to Schedule of Investments.

Western Asset Short-Term Bond Fund 2022 Quarterly Report

Notes to Schedule of Investments (unaudited)

1. Organization and significant accounting policies

Western Asset Short-Term Bond Fund (the “Fund”) is a separate diversified investment series of Legg Mason Partners Income Trust (the “Trust”). The Trust, a Maryland statutory trust, is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.

The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S. generally accepted accounting principles (“GAAP”).

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

The Board of Trustees is responsible for the valuation process and has delegated the supervision of the daily valuation process to the Global Fund Valuation Committee (the “Valuation Committee”). The Valuation Committee, pursuant to the policies adopted by the Board of Trustees, is responsible for making fair value determinations, evaluating the effectiveness of the Fund’s pricing policies, and reporting to the Board of Trustees. When determining the reliability of third party pricing information for investments owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of pricing vendors, monitors the daily change in prices and reviews transactions among market participants.

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 Trustees, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such back testing monthly and fair valuation occurrences are reported to the Board of Trustees quarterly.

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

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

•

Level 1 – quoted prices in active markets for identical investments

•

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

•

Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

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

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

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


ASSETS
DESCRIPTION	QUOTED PRICES (LEVEL 1)		OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTAL
Long-Term Investments†:
Corporate Bonds & Notes		—	$	374,620,817		—	$	374,620,817
Collateralized Mortgage
Obligations		—		102,940,233		—		102,940,233
Asset-Backed Securities		—		98,307,083		—		98,307,083
U.S. Government & Agency
Obligations		—		65,308,957		—		65,308,957
Mortgage-Backed Securities		—		18,861,939		—		18,861,939
Senior Loans		—		12,131,092		—		12,131,092
Sovereign Bonds		—		6,509,727		—		6,509,727
Convertible Bonds & Notes		—		181,575		—		181,575
Purchased Options	$	166,375		—		—		166,375

Total Long-Term Investments		166,375		678,861,423		—		679,027,798

Short-Term Investments†		58,286,173		—		—		58,286,173

Total Investments	$	58,452,548	$	678,861,423		—	$	737,313,971

Other Financial Instruments:
Futures Contracts††	$	1,216,696		—		—	$	1,216,696
Centrally Cleared Interest Rate Swaps††		—	$	1,128,856		—		1,128,856
Centrally Cleared Credit Default Swaps on Credit Indices - Sell Protection††		—		21,357		—		21,357

Total Other Financial Instruments	$	1,216,696	$	1,150,213		—	$	2,366,909

Total	$	59,669,244	$	680,011,636		—	$	739,680,880


LIABILITIES
DESCRIPTION	QUOTED PRICES (LEVEL 1)		OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTAL
Other Financial Instruments:
Written Options	$	84,000		—		—	$	84,000
Futures Contracts††		3,580,775		—		—		3,580,775
Centrally Cleared Interest Rate Swaps††		—	$	1,484,236		—		1,484,236

Total	$	3,664,775	$	1,484,236		—	$	5,149,011

†	See Schedule of Investments for additional detailed categorizations.

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

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 March 31, 2022. The following transactions were effected in such company for the period ended March 31, 2022.


	Affiliate Value at December 31, 2021		Purchased				Sold
	Affiliate Value at December 31, 2021		Cost		Shares		Cost		Shares
Western Asset Premier Institutional Government Reserves, Premium Shares	$	3,720,381	$	139,378,969		139,378,969	$	84,813,177		84,813,177


(cont’d)	Realized Gain (Loss)		Dividend Income		Net Increase (Decrease) in Unrealized Appreciation (Depreciation)		Affiliate Value at March 31, 2022
Western Asset Premier Institutional Government Reserves, Premium Shares		—	$	4,709		—	$	58,286,173

Serious News for Serious Traders! Try StreetInsider.com Premium Free!

Create E-mail Alert Related Categories

SEC Filings

Sign up for StreetInsider Free!

Receive full access to all new and archived articles, unlimited portfolio tracking, e-mail alerts, custom newswires and RSS feeds - and more!

Form NPORT-P LEGG MASON PARTNERS INCO For: Mar 31

You May Also Be Interested In

Create E-mail Alert Related Categories

Sign up for StreetInsider Free!

Free News Feed