0000940400-26-014631.txt : 20260424 0000940400-26-014631.hdr.sgml : 20260424 20260424095014 ACCESSION NUMBER: 0000940400-26-014631 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20260227 FILED AS OF DATE: 20260424 DATE AS OF CHANGE: 20260424 PERIOD START: 20260228 FILER: COMPANY DATA: COMPANY CONFORMED NAME: LEGG MASON PARTNERS INSTITUTIONAL TRUST CENTRAL INDEX KEY: 0000889512 ORGANIZATION NAME: EIN: 000000000 STATE OF INCORPORATION: MD FISCAL YEAR END: 0831 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-06740 FILM NUMBER: 26890887 BUSINESS ADDRESS: STREET 1: LEGG MASON & CO., LLC STREET 2: 620 EIGHTH AVENUE CITY: NEW YORK STATE: NY ZIP: 10018 BUSINESS PHONE: 1-877-721-1926 MAIL ADDRESS: STREET 1: LEGG MASON & CO., LLC STREET 2: 620 EIGHTH AVENUE CITY: NEW YORK STATE: NY ZIP: 10018 FORMER COMPANY: FORMER CONFORMED NAME: CITIFUNDS INSTITUTIONAL TRUST DATE OF NAME CHANGE: 19981030 0000889512 S000069099 WESTERN ASSET SMASh SERIES CORE COMPLETION FUND C000220869 SMASh SERIES CORE COMPLETION FUND WAADX NPORT-P 1 primary_doc.xml NPORT-P false 0000889512 XXXXXXXX S000069099 C000220869 Legg Mason Partners Institutional Trust 811-06740 0000889512 54930003LJE4ZPPMRV82 One Madison Avenue 17th Floor New York 10010 1-877-656-3863 Western Asset SMASh Series Core Completion Fund S000069099 549300HUUQMD5AMJIL20 2026-02-28 2026-02-27 N 174688620.40 67246254.77 107442365.63 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 66344210.99000000 0.00000000 7406674.35000000 USD N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 100030000.00000000 NC USD 354195.98000000 0.329661375122 N/A DIR CORP US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Call Purchased GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US 2028-09-29 0.00000000 USD 0.00000000 USD 0.00000000 USD 100030000.00000000 USD 2.90000000 USD 2026-09-25 XXXX -57717.56000000 N N N CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 000000000 -60.00000000 NC USD -18750.00000000 -0.01745121665 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Call Written CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long THE SECURED OVERNIGHT FINANCING RATE THE SECURED OVERNIGHT FINANCING RATE 2027-03-17 0.00000000 USD 2500.00000000 97.50000000 USD 2026-12-11 XXXX 2874.00000000 N N N Enterprise Products Operating LLC 5493004LGN656HWLDA30 293791AP4 50000.00000000 PA USD 57003.06000000 0.053054546654 Long DBT CORP US N 2 2034-10-15 Fixed 6.65000000 N N N N N N Aon North America Inc. N/A 03740MAD2 50000.00000000 PA USD 52183.98000000 0.048569276834 Long DBT CORP US N 2 2034-03-01 Fixed 5.45000000 N N N N N N EMPOWER CLO 2024-1 LTD N/A 29244RAA3 1000000.00000000 PA USD 1003767.50000000 0.934238085800 Long ABS-CBDO CORP KY N 2 2037-04-27 Floating 5.26802000 N N N N N N EQT Corporation 4NT01YGM4X7ZX86ISY52 26884LAG4 240000.00000000 PA USD 262912.17000000 0.244700652725 Long DBT CORP US N 2 2030-02-01 Fixed 7.00000000 N N N N N N T-Mobile USA, Inc. 549300V2JRLO5DIFGE82 87264ABS3 770000.00000000 PA USD 741197.68000000 0.689856069022 Long DBT CORP US N 2 2029-02-15 Fixed 2.62500000 N N N N N N Bristol-Myers Squibb Company HLYYNH7UQUORYSJQCN42 110122EG9 50000.00000000 PA USD 52307.93000000 0.048684641010 Long DBT CORP US N 2 2031-02-22 Fixed 5.10000000 N N N N N N Cooperatieve Rabobank U.A. DG3RU1DBUFHT4ZF9WN62 74977RDP6 250000.00000000 PA USD 240265.45000000 0.223622635811 Long DBT CORP NL N 2 2033-04-06 Fixed 3.75800000 N N N N N N B.A.T. Capital Corporation 2138005GYEXN7XRHFA84 05526DCD5 10000.00000000 PA USD 10445.31000000 0.009721779615 Long DBT CORP US N 2 2055-08-15 Fixed 6.25000000 N N N N N N Navient Student Loan Trust 2014-4 N/A 63939DAC9 2135701.30000000 PA USD 2117054.28000000 1.970409221340 Long ABS-O CORP US N 2 2049-05-27 Floating 4.38169000 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC 549300TPZNMN50BJ3745 161175BL7 10000.00000000 PA USD 8343.84000000 0.007765875175 Long DBT CORP US N 2 2047-05-01 Fixed 5.37500000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 108.00000000 NC USD 49781.25000000 0.046332980205 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Call Purchased CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long United States Treasury Notes T 3.625 08/31/30 2026-06-30 0.00000000 USD N/A 109.75000000 USD 2026-03-06 XXXX 20086.54000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38381ETV0 4242927.85000000 PA USD 189346.60000000 0.176230855389 Long ABS-O USGA US N 2 2061-02-16 Variable 0.63964000 N N N N N N The Charles Schwab Corporation 549300VSGCJ7E698NM85 808513CG8 150000.00000000 PA USD 151210.58000000 0.140736458205 Long DBT CORP US N 2 2026-08-24 Fixed 5.87500000 N N N N N N T-Mobile USA, Inc. 549300V2JRLO5DIFGE82 87264ADF9 60000.00000000 PA USD 62022.36000000 0.057726167546 Long DBT CORP US N 2 2034-04-15 Fixed 5.15000000 N N N N N N Eli Lilly & Co. FRDRIPF3EKNDJ2CQJL29 532457CR7 30000.00000000 PA USD 30472.10000000 0.028361345006 Long DBT CORP US N 2 2034-08-14 Fixed 4.60000000 N N N N N N Las Vegas Sands Corp 549300DUOO1KXOHPM605 517834AK3 50000.00000000 PA USD 52334.56000000 0.048709426391 Long DBT CORP US N 2 2029-08-15 Fixed 6.00000000 N N N N N N Oracle Corp. 1Z4GXXU7ZHVWFCD8TV52 68389XBX2 90000.00000000 PA USD 56344.69000000 0.052441780920 Long DBT CORP US N 2 2050-04-01 Fixed 3.60000000 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 20 N/A 83207QAC3 1350000.00000000 PA USD 1413364.82000000 1.315463236231 Long ABS-O CORP US N 2 2053-07-15 Fixed 5.86000000 N N N N N N Bristol-Myers Squibb Company HLYYNH7UQUORYSJQCN42 110122EH7 110000.00000000 PA USD 115168.81000000 0.107191245580 Long DBT CORP US N 2 2034-02-22 Fixed 5.20000000 N N N N N N Peru (Republic Of) 254900STKLK2DBJJZ530 715638DW9 1580000.00000000 PA USD 1030752.50000000 0.959353876802 Long DBT NUSS PE N 2 2072-01-15 Fixed 3.60000000 N N N N N N Broadcom Inc 549300WV6GIDOZJTV909 11135FCM1 170000.00000000 PA USD 175760.84000000 0.163586159862 Long DBT CORP US N 2 2035-07-15 Fixed 5.20000000 N N N N N N CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 000000000 -128.00000000 NC USD -17600.00000000 -0.01638087536 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Put Written CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short THE SECURED OVERNIGHT FINANCING RATE THE SECURED OVERNIGHT FINANCING RATE 2027-03-17 0.00000000 USD 2500.00000000 96.50000000 USD 2026-12-11 XXXX 20531.20000000 N N N United States Treasury Bonds 254900HROIFWPRGM1V77 912810UC0 2350000.00000000 PA USD 2202390.63000000 2.049834455045 Long DBT UST US N 2 2054-08-15 Fixed 4.25000000 N N N N N N WarnerMedia Holdings Inc. 549300DXR29GD4N0A520 55903VBQ5 12000.00000000 PA USD 11040.00000000 0.010275276363 Long DBT CORP US N 2 2032-03-15 Fixed 4.27900000 N N N N N N Bank of Nova Scotia L3I9ZG2KFGXZ61BMYR72 06417XAG6 210000.00000000 PA USD 206694.78000000 0.192377353931 Long DBT CORP CA N 2 2037-05-04 Fixed 4.58800000 N N N N N N Glencore Funding LLC 213800STG1QDNBY87K49 378272CA4 120000.00000000 PA USD 126838.82000000 0.118052892130 Long DBT CORP US N 2 2035-04-01 Fixed 5.67300000 N N N N N N Meta Platforms Inc BQ4BKCS1HXDV9HN80Z93 30303MAD4 50000.00000000 PA USD 50516.85000000 0.047017626337 Long DBT CORP US N 2 2035-11-15 Fixed 4.87500000 N N N N N N Kenvue Inc. 5493008HSF8L4M2LIJ82 49177JAK8 30000.00000000 PA USD 30998.41000000 0.028851198331 Long DBT CORP US N 2 2033-03-22 Fixed 4.90000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 01F042632 12200000.00000000 PA USD 12066831.75000000 11.23098107459 Long ABS-MBS USGSE US N 2 2056-03-15 Fixed 4.50000000 N N N N N N Meta Platforms Inc BQ4BKCS1HXDV9HN80Z93 30303MAC6 190000.00000000 PA USD 193241.02000000 0.179855514970 Long DBT CORP US N 2 2032-11-15 Fixed 4.60000000 N N N N N N The Charles Schwab Corporation 549300VSGCJ7E698NM85 808513CH6 30000.00000000 PA USD 32797.75000000 0.030525900847 Long DBT CORP US N 2 2034-08-24 Fixed 6.13600000 N N N N N N Freddie Mac Stacr Remic Trust N/A 35564UCS4 1200000.00000000 PA USD 1206659.52000000 1.123076091004 Long ABS-O USGSE US N 2 2046-02-25 Floating 4.95786000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -300.00000000 NC USD -322940.72000000 -0.30057111839 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Short United States Treasury Notes T 4 01/31/33 2026-06-18 -33820809.28000000 USD -322940.72000000 N N N Georgia Power Company D981X4Z4RWS7PDMJUZ03 373334LB5 60000.00000000 PA USD 62352.60000000 0.058033532335 Long DBT CORP US N 2 2035-03-15 Fixed 5.20000000 N N N N N N Suzano Austria GmbH 254900287ZNSGVP1R341 86964WAK8 840000.00000000 PA USD 761646.40000000 0.708888337979 Long DBT CORP AT N 2 2032-01-15 Fixed 3.12500000 N N N N N N Columbia Pipelines Operating Co. LLC N/A 19828TAC0 10000.00000000 PA USD 10912.96000000 0.010157036226 Long DBT CORP US N 2 2053-11-15 Fixed 6.54400000 N N N N N N Elevance Health Inc. 8MYN82XMYQH89CTMTH67 036752AT0 200000.00000000 PA USD 196457.17000000 0.182848887259 Long DBT CORP US N 2 2032-05-15 Fixed 4.10000000 N N N N N N United States Treasury Bonds 254900HROIFWPRGM1V77 912810UN6 170000.00000000 PA USD 176879.69000000 0.164627508862 Long DBT UST US N 2 2045-08-15 Fixed 4.87500000 N N N N N N Ecopetrol S.A. 254900IDGKCJICKBPA66 279158AJ8 1400000.00000000 PA USD 1054865.73000000 0.981796820848 Long DBT CORP CO N 2 2045-05-28 Fixed 5.87500000 N N N N N N U.S. Bancorp. N1GZ7BBF3NP8GI976H15 91159HJM3 80000.00000000 PA USD 83208.54000000 0.077444813795 Long DBT CORP US N 2 2029-06-12 Fixed 5.77500000 N N N N N N Mars Inc. 54930073HKEO6GZBSS03 571676AZ8 250000.00000000 PA USD 259031.24000000 0.241088548712 Long DBT CORP US N 2 2032-03-01 Fixed 5.00000000 N N N N N N Eli Lilly & Co. FRDRIPF3EKNDJ2CQJL29 532457CL0 120000.00000000 PA USD 122815.95000000 0.114308680081 Long DBT CORP US N 2 2034-02-09 Fixed 4.70000000 N N N N N N Oracle Corp. 1Z4GXXU7ZHVWFCD8TV52 68389XEC5 30000.00000000 PA USD 28759.36000000 0.026767243844 Long DBT CORP US N 2 2066-02-04 Fixed 6.85000000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 126.00000000 NC USD 49218.75000000 0.045809443706 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Call Purchased CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long United States Treasury Notes T 3.625 08/31/30 2026-06-30 0.00000000 USD N/A 109.75000000 USD 2026-02-27 XXXX 34578.85000000 N N N MEGlobal BV 549300WBVLU2FILR7W19 29441WAD7 1510000.00000000 PA USD 1454794.40000000 1.354023053634 Long DBT CORP NL N 2 2028-04-28 Fixed 2.62500000 N N N N N N Verizon Communications Inc. 2S72QS2UO2OESLG6Y829 92343VGN8 130000.00000000 PA USD 116120.85000000 0.108077339249 Long DBT CORP US N 2 2032-03-15 Fixed 2.35500000 N N N N N N Las Vegas Sands Corp 549300DUOO1KXOHPM605 517834AM9 160000.00000000 PA USD 163949.24000000 0.152592731031 Long DBT CORP US N 2 2028-06-15 Fixed 5.62500000 N N N N N N Royal Caribbean Cruises Ltd. K2NEH8QNVW44JIWK7Z55 78017TAD5 20000.00000000 PA USD 20040.02000000 0.018651878970 Long DBT CORP LR N 2 2038-02-27 Fixed 5.25000000 N N N N N N United States Treasury Notes 254900HROIFWPRGM1V77 91282CMZ1 30000.00000000 PA USD 30464.06000000 0.028353861925 Long DBT UST US N 2 2030-04-30 Fixed 3.87500000 N N N N N N Florida Power & Light Co. A89MY1K3YLIGJMYWVX50 341081GY7 70000.00000000 PA USD 72086.36000000 0.067093049913 Long DBT CORP US N 2 2055-03-15 Fixed 5.70000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 01F040636 7100000.00000000 PA USD 6901538.74000000 6.423479881080 Long ABS-MBS USGSE US N 2 2056-03-01 Fixed 4.00000000 N N N N N N MTN COML MTG TR 2022-LPFL N/A 62475WAA3 2100000.00000000 PA USD 2100740.67000000 1.955225629743 Long ABS-O CORP US N 2 2039-03-15 Floating 5.05690000 N N N N N N PNC Financial Services Group Inc. CFGNEKW0P8842LEUIA51 693475BR5 120000.00000000 PA USD 124394.37000000 0.115777765382 Long DBT CORP US N 2 2029-06-12 Fixed 5.58200000 N N N N N N Micron Technology Inc. B3DXGBC8GAIYWI2Z0172 595112CH4 100000.00000000 PA USD 108667.43000000 0.101140206065 Long DBT CORP US N 2 2035-11-01 Fixed 6.05000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 41.00000000 NC USD 13397.83000000 0.012469783145 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Long United States Treasury Notes T 3.875 03/15/28 2026-06-30 8566813.12000000 USD 13397.83000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H022630 9300000.00000000 PA USD 8208367.40000000 7.639786551486 Long ABS-MBS USGA US N 2 2056-03-15 Fixed 2.50000000 N N N N N N Amrize Finance US LLC 529900FB2F1WKLFNGY62 43475RAR7 20000.00000000 PA USD 20582.56000000 0.019156838067 Long DBT CORP US N 2 2030-04-07 Fixed 4.95000000 N N N N N N Royal Caribbean Cruises Ltd. K2NEH8QNVW44JIWK7Z55 78017TAC7 40000.00000000 PA USD 40288.63000000 0.037497899235 Long DBT CORP LR N 2 2033-05-15 Fixed 4.75000000 N N N N N N Oracle Corp. 1Z4GXXU7ZHVWFCD8TV52 68389XEB7 20000.00000000 PA USD 19407.44000000 0.018063116803 Long DBT CORP US N 2 2056-02-04 Fixed 6.70000000 N N N N N N U.S. Bancorp. N1GZ7BBF3NP8GI976H15 91159HJN1 30000.00000000 PA USD 32231.48000000 0.029998855489 Long DBT CORP US N 2 2034-06-12 Fixed 5.83600000 N N N N N N Chile (Republic Of) 549300FLZTJM5YJF8D34 168863DQ8 340000.00000000 PA USD 220864.00000000 0.205565094090 Long DBT NUSS CL N 2 2061-01-22 Fixed 3.10000000 N N N N N N USQ RAIL IV LLC/LP N/A 90356RAA9 1740262.73000000 PA USD 1786866.27000000 1.663092821460 Long ABS-O CORP US N 2 2055-03-28 Fixed 5.48000000 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC 549300TPZNMN50BJ3745 161175CR3 630000.00000000 PA USD 670293.26000000 0.623863087963 Long DBT CORP US N 2 2034-06-01 Fixed 6.55000000 N N N N N N Intel Corporation KNX4USFCNGPY45LOCE31 458140CF5 20000.00000000 PA USD 20649.45000000 0.019219094701 Long DBT CORP US N 2 2030-02-10 Fixed 5.12500000 N N N N N N Oglethorpe Power Corp. 3EERXCUSWMS9GV5D9M98 677050AY2 60000.00000000 PA USD 60528.84000000 0.056336101355 Long DBT CORP US N 2 2055-02-01 Fixed 5.90000000 N N N N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 5280000.00000000 NC USD 18695.94000000 0.017400901302 N/A DIR CORP US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Call Purchased GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US 2028-09-29 0.00000000 USD 0.00000000 USD 0.00000000 USD 5280000.00000000 USD 2.90000000 USD 2026-09-25 XXXX 791.94000000 N N N Rogers Communications Inc. 5493000M6Z4XFIP6PF03 775109DF5 50000.00000000 PA USD 51113.48000000 0.047572928704 Long DBT CORP CA N 2 2034-02-15 Fixed 5.30000000 N N N N N N Eli Lilly & Co. FRDRIPF3EKNDJ2CQJL29 532457CN6 30000.00000000 PA USD 27976.05000000 0.026038192509 Long DBT CORP US N 2 2064-02-09 Fixed 5.10000000 N N N N N N Goldman Sachs Group, Inc. 784F5XWPLTWKTBV3E584 38145GAR1 670000.00000000 PA USD 674283.70000000 0.627577116388 Long DBT CORP US N 2 2032-01-21 Fixed 4.51600000 N N N N N N Elevance Health Inc. 8MYN82XMYQH89CTMTH67 036752AU7 130000.00000000 PA USD 109166.45000000 0.101604659726 Long DBT CORP US N 2 2052-05-15 Fixed 4.55000000 N N N N N N Oracle Corp. 1Z4GXXU7ZHVWFCD8TV52 68389XEA9 10000.00000000 PA USD 9749.84000000 0.009074483740 Long DBT CORP US N 2 2046-02-04 Fixed 6.55000000 N N N N N N JPMorgan Chase & Co. 8I5DZWZKVSZI1NUHU748 46647PFC5 120000.00000000 PA USD 124845.11000000 0.116197283322 Long DBT CORP US N 2 2036-07-23 Fixed 5.57600000 N N N N N N Freeport-McMoRan Inc. 549300IRDTHJQ1PVET45 35671DBJ3 170000.00000000 PA USD 177954.65000000 0.165628008054 Long DBT CORP US N 2 2034-11-14 Fixed 5.40000000 N N N N N N B.A.T. Capital Corporation 2138005GYEXN7XRHFA84 054989AD0 10000.00000000 PA USD 11471.77000000 0.010677138326 Long DBT CORP US N 2 2053-08-02 Fixed 7.08100000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 05581KAG6 250000.00000000 PA USD 268314.94000000 0.249729181246 Long DBT CORP FR N 2 2034-12-05 Fixed 5.89400000 N N N N N N T-Mobile USA, Inc. 549300V2JRLO5DIFGE82 87264ABF1 160000.00000000 PA USD 158799.92000000 0.147800096422 Long DBT CORP US N 2 2030-04-15 Fixed 3.87500000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -26.00000000 NC USD -40625.00000000 -0.03781096940 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Call Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long United States Treasury Notes T 4 01/31/33 2026-06-18 0.00000000 USD N/A 112.25000000 USD 2026-02-27 XXXX -18732.48000000 N N N Comision Federal de Electricidad 4469000001BFPONMPF32 200447AQ3 1510000.00000000 PA USD 1528875.00000000 1.422972205642 Long DBT CORP MX N 2 2034-01-28 Fixed 6.04500000 N N N N N N Boeing Co. RVHJWBXLJ1RFUBSY1F30 097023CY9 190000.00000000 PA USD 196825.25000000 0.183191470930 Long DBT CORP US N 2 2030-05-01 Fixed 5.15000000 N N N N N N RTX Corp. I07WOS4YJ0N7YRFE7309 75513ECP4 10000.00000000 PA USD 6655.90000000 0.006194856154 Long DBT CORP US N 2 2052-03-15 Fixed 3.03000000 N N N N N N Eli Lilly & Co. FRDRIPF3EKNDJ2CQJL29 532457CM8 20000.00000000 PA USD 18802.33000000 0.017499921832 Long DBT CORP US N 2 2054-02-09 Fixed 5.00000000 N N N N N N Corporacion Nacional del Cobre de Chile 549300UVMBCBCIPSUI70 21987BBQ0 930000.00000000 PA USD 953482.50000000 0.887436249573 Long DBT CORP CL N 2 2037-01-30 Fixed 5.52900000 N N N N N N CI Financial Corp 549300M9W7JJQSVCEM78 125491AT7 140000.00000000 PA USD 149573.61000000 0.139212878572 Long DBT CORP CA N 2 2029-05-30 Fixed 7.50000000 N N N N N N OAKTREE CLO 2024-25 LTD 254900NTZ5OVNC5X7789 67402PAA5 2560000.00000000 PA USD 2569604.10000000 2.391611618873 Long ABS-CBDO CORP KY N 2 2037-04-20 Floating 5.21763000 N N N N N N Las Vegas Sands Corp 549300DUOO1KXOHPM605 517834AN7 30000.00000000 PA USD 31513.30000000 0.029330422701 Long DBT CORP US N 2 2030-06-14 Fixed 6.00000000 N N N N N N AASET 2024-1 TRUST N/A 00255JAB6 1814784.43000000 PA USD 1873633.53000000 1.743849848254 Long ABS-O CORP US N 2 2049-05-16 Fixed 6.26100000 N N N N N N Enterprise Products Operating LLC 5493004LGN656HWLDA30 29379VCH4 160000.00000000 PA USD 158463.55000000 0.147487026249 Long DBT CORP US N 2 2055-02-16 Fixed 5.55000000 N N N N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 -23410000.00000000 NC USD -337310.32000000 -0.31394535853 N/A DIR CORP US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Call Written GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US 2036-09-29 0.00000000 USD 0.00000000 USD 0.00000000 USD -23410000.00000000 USD 3.45000000 USD 2026-09-25 XXXX 59726.79000000 N N N Micron Technology Inc. B3DXGBC8GAIYWI2Z0172 595112BZ5 30000.00000000 PA USD 32319.05000000 0.030080359651 Long DBT CORP US N 2 2033-02-09 Fixed 5.87500000 N N N N N N HALSEYPOINT CLO 3 LTD 549300RT6H1EOIYTDV62 40638UAS8 320000.00000000 PA USD 320979.36000000 0.298745618749 Long ABS-CBDO CORP KY N 2 2037-07-30 Floating 5.14684000 N N N N N N United States Treasury Notes 254900HROIFWPRGM1V77 91282CGK1 1566547.20000000 PA USD 1540595.83000000 1.433881151970 Long DBT UST US N 2 2033-01-15 Fixed 1.12500000 N N N N N N AIMCO CLO 22 LTD / LLC N/A 00901UAA1 2390000.00000000 PA USD 2393107.00000000 2.227340198596 Long ABS-CBDO CORP JE N 2 2037-04-20 Floating 5.16763000 N N N N N N Solventum Corp. 254900I70403OSGY4M28 83444MAP6 35000.00000000 PA USD 36300.47000000 0.033785992878 Long DBT CORP US N 2 2029-03-01 Fixed 5.40000000 N N N N N N CARVAL CLO XI-C LTD /LLC 254900BDRF474L9PWM54 14688RAA8 620000.00000000 PA USD 621667.99000000 0.578606014819 Long ABS-CBDO CORP KY N 2 2037-10-20 Floating 5.05763000 N N N N N N Vibrant CLO Ltd 5493000EZ05NPI8BXY34 92559EAN1 250000.00000000 PA USD 250576.10000000 0.233219083115 Long ABS-CBDO CORP KY N 2 2035-01-20 Floating 4.86763000 N N N N N N Alphabet Inc. 5493006MHB84DD0ZWV18 02079KBJ5 50000.00000000 PA USD 50055.15000000 0.046587907578 Long DBT CORP US N 2 2029-02-15 Fixed 3.70000000 N N N N N N Cheniere Energy Partners Lp 5493005UEC8AZ34LDV29 16411QAW1 50000.00000000 PA USD 51909.57000000 0.048313874788 Long DBT CORP US N 2 2035-10-30 Fixed 5.55000000 N N N N N N Meta Platforms Inc BQ4BKCS1HXDV9HN80Z93 30303M8X3 70000.00000000 PA USD 69198.36000000 0.064405097183 Long DBT CORP US N 2 2045-11-15 Fixed 5.50000000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 239.00000000 NC USD 170364.55000000 0.158563662481 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long United States Treasury Notes T 4 11/15/35 2026-06-18 27729152.27000000 USD 170364.55000000 N N N AT&T Inc 549300Z40J86GGSTL398 00206RKH4 50000.00000000 PA USD 44667.90000000 0.041573824010 Long DBT CORP US N 2 2032-02-01 Fixed 2.25000000 N N N N N N United States Treasury Bonds 254900HROIFWPRGM1V77 912810UK2 50000.00000000 PA USD 50900.39000000 0.047374599117 Long DBT UST US N 2 2055-05-15 Fixed 4.75000000 N N N N N N DEEPHAVEN RESIDENTIAL MTG TR 2022-1 N/A 24382JAA4 916430.03000000 PA USD 870180.28000000 0.809904244845 Long ABS-O CORP US N 2 2067-01-25 Variable 2.20500000 N N N N N N Solventum Corp. 254900I70403OSGY4M28 83444MAQ4 90000.00000000 PA USD 94426.63000000 0.087885844141 Long DBT CORP US N 2 2031-03-13 Fixed 5.45000000 N N N N N N Alphabet Inc. 5493006MHB84DD0ZWV18 02079KAZ0 20000.00000000 PA USD 20098.74000000 0.018706531527 Long DBT CORP US N 2 2045-11-15 Fixed 5.35000000 N N N N N N B.A.T. Capital Corporation 2138005GYEXN7XRHFA84 05526DBZ7 110000.00000000 PA USD 119468.39000000 0.111193000358 Long DBT CORP US N 2 2034-02-20 Fixed 6.00000000 N N N N N N Philip Morris International Inc. HL3H1H2BGXWVG3BSWR90 718172DJ5 60000.00000000 PA USD 62867.56000000 0.058512821856 Long DBT CORP US N 2 2034-02-13 Fixed 5.25000000 N N N N N N Huntington Ingalls Industries, Inc. 5TZLZ6WJTBVJ0QWBG121 446413BB1 30000.00000000 PA USD 32103.32000000 0.029879572933 Long DBT CORP US N 2 2035-01-15 Fixed 5.74900000 N N N N N N Oneok Inc. 2T3D6M0JSY48PSZI1Q41 682680BK8 10000.00000000 PA USD 10609.95000000 0.009875015258 Long DBT CORP US N 2 2030-11-01 Fixed 5.80000000 N N N N N N CSMC 2020-RPL4 N/A 126405AA7 679690.80000000 PA USD 625561.31000000 0.582229650596 Long ABS-O CORP US N 2 2060-01-25 Variable 2.00000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 799.00000000 NC USD 440050.62000000 0.409568997685 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Long THE SECURED OVERNIGHT FINANCING RATE THE SECURED OVERNIGHT FINANCING RATE 2026-03-18 191944168.13000000 USD 440050.62000000 N N N INTERCONTINENTAL EXCHANGE, INC. 5493000F4ZO33MV32P92 000000000 1.00000000 NC USD -1445865.94000000 -1.34571305417 N/A DCR CORP US N 2 INTERCONTINENTAL EXCHANGE, INC. 5493000F4ZO33MV32P92 IHS MARKIT LTD CDX.NA.IG.45.V1 Y Default Event 2030-12-20 0.00000000 USD -1427545.95000000 USD -67663000.00000000 USD -18319.99000000 N N N Meta Platforms Inc BQ4BKCS1HXDV9HN80Z93 30303M8Y1 90000.00000000 PA USD 87744.41000000 0.081666491132 Long DBT CORP US N 2 2065-11-15 Fixed 5.75000000 N N N N N N Ford Motor Company 20S05OYHG0MQM4VUIC57 345370DB3 60000.00000000 PA USD 62826.26000000 0.058474382643 Long DBT CORP US N 2 2032-08-19 Fixed 6.10000000 N N N N N N United States Treasury Bonds 254900HROIFWPRGM1V77 912810TX6 3370000.00000000 PA USD 3158124.43000000 2.939366060568 Long DBT UST US N 2 2054-02-15 Fixed 4.25000000 N N N N N N Alphabet Inc. 5493006MHB84DD0ZWV18 02079KBK2 20000.00000000 PA USD 20136.07000000 0.018741275736 Long DBT CORP US N 2 2031-02-15 Fixed 4.10000000 N N N N N N Alphabet Inc. 5493006MHB84DD0ZWV18 02079KAY3 70000.00000000 PA USD 70905.92000000 0.065994377156 Long DBT CORP US N 2 2035-11-15 Fixed 4.70000000 N N N N N N CSMC 2022-NQM1 TRUST N/A 126416AA4 879160.67000000 PA USD 821613.54000000 0.764701647420 Long ABS-O CORP US N 2 2066-11-25 Variable 3.26500000 N N N N N N Lockheed Martin Corporation DPRBOZP0K5RM2YE8UU08 539830CE7 30000.00000000 PA USD 28241.38000000 0.026285143513 Long DBT CORP US N 2 2064-02-15 Fixed 5.20000000 N N N N N N Alphabet Inc. 5493006MHB84DD0ZWV18 02079KBL0 20000.00000000 PA USD 20182.17000000 0.018784182460 Long DBT CORP US N 2 2033-02-15 Fixed 4.40000000 N N N N N N Oneok Inc. 2T3D6M0JSY48PSZI1Q41 682680BJ1 140000.00000000 PA USD 145705.47000000 0.135612678616 Long DBT CORP US N 2 2028-11-01 Fixed 5.65000000 N N N N N N Israel (State Of) 213800T8ZHTFZIBYPE21 46513JXN6 1330000.00000000 PA USD 915455.69000000 0.852043497583 Long DBT NUSS IL N 2 2050-01-15 Fixed 3.37500000 N N N N N N CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 000000000 -106.00000000 NC USD -17225.00000000 -0.01603185102 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Call Written CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long THE SECURED OVERNIGHT FINANCING RATE THE SECURED OVERNIGHT FINANCING RATE 2026-12-16 0.00000000 USD 2500.00000000 97.50000000 USD 2026-09-11 XXXX 35552.40000000 N N N United States Treasury Notes 254900HROIFWPRGM1V77 91282CNJ6 4790000.00000000 PA USD 4881028.73000000 4.542927458251 Long DBT UST US N 2 2032-06-30 Fixed 4.00000000 N N N N N N Petroleos del Peru - Petroperu SA 549300ZMGDLC9JT2OR80 716564AB5 1270000.00000000 PA USD 810367.95000000 0.754235021956 Long DBT CORP PE N 2 2047-06-19 Fixed 5.62500000 N N N N N N Philip Morris International Inc. HL3H1H2BGXWVG3BSWR90 718172DH9 10000.00000000 PA USD 10435.56000000 0.009712704982 Long DBT CORP US N 2 2031-02-13 Fixed 5.12500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H020634 5500000.00000000 PA USD 4661203.97000000 4.338329617621 Long ABS-MBS USGA US N 2 2056-03-15 Fixed 2.00000000 N N N N N N JSC National Company KazMunayGas 2138001H1M69RFJCSH88 48667QAP0 440000.00000000 PA USD 424377.31000000 0.394981353502 Long DBT CORP KZ N 2 2047-04-19 Fixed 5.75000000 N N N N N N Alphabet Inc. 5493006MHB84DD0ZWV18 02079KBM8 30000.00000000 PA USD 30504.52000000 0.028391519323 Long DBT CORP US N 2 2036-02-15 Fixed 4.80000000 N N N N N N Viper Energy Partners LLC 54930010ZZ02MRGRI973 92764MAB0 50000.00000000 PA USD 51898.75000000 0.048303804272 Long DBT CORP US N 2 2035-08-01 Fixed 5.70000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 01F022634 4500000.00000000 PA USD 3899720.34000000 3.629592774817 Long ABS-MBS USGSE US N 2 2056-03-15 Fixed 2.50000000 N N N N N N Peru (Republic Of) 254900STKLK2DBJJZ530 715638FC1 860000.00000000 PA USD 889068.00000000 0.827483641845 Long DBT NUSS PE N 2 2036-03-30 Fixed 5.50000000 N N N N N N Amrize Finance US LLC 529900FB2F1WKLFNGY62 43475RAT3 30000.00000000 PA USD 31383.65000000 0.029209753355 Long DBT CORP US N 2 2035-04-07 Fixed 5.40000000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC USD -134904.45000000 -0.12555982848 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2030-11-21 0.00000000 USD -21282.60000000 USD -26610000.00000000 USD -113621.85000000 N N N JACK IN THE BOX INC 5493002OJW26P0SUUP68 466365AD5 1840000.00000000 PA USD 1795535.30000000 1.671161361229 Long ABS-O CORP US N 2 2052-02-25 Fixed 3.44500000 N N N N N N Nyt Mortgage Trust N/A 62954PAG5 1250000.00000000 PA USD 1230639.13000000 1.145394670699 Long ABS-O CORP US N 2 2035-12-17 Floating 5.35700000 N N N N N N Eagle Funding Luxco S.a.r.l. 894500VDP08MVIZ6OA60 26951TAA8 1170000.00000000 PA USD 1191808.80000000 1.109254057290 Long DBT CORP LU N 2 2030-08-17 Fixed 5.50000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD -166329.55000000 -0.15480816065 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2027-12-15 0.00000000 USD -8114.37000000 USD -100796000.00000000 USD -158215.18000000 N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD -130844.63000000 -0.12178122589 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2032-08-31 59131.52000000 USD 0.00000000 USD -25689000.00000000 USD -189976.15000000 N N N RTX Corp. I07WOS4YJ0N7YRFE7309 913017BT5 130000.00000000 PA USD 119865.06000000 0.111562193644 Long DBT CORP US N 2 2042-06-01 Fixed 4.50000000 N N N N N N T-Mobile USA, Inc. 549300V2JRLO5DIFGE82 87264ADU6 120000.00000000 PA USD 121295.85000000 0.112893875045 Long DBT CORP US N 2 2055-11-15 Fixed 5.87500000 N N N N N N Philip Morris International Inc. HL3H1H2BGXWVG3BSWR90 718172DG1 30000.00000000 PA USD 30843.51000000 0.028707028013 Long DBT CORP US N 2 2029-02-13 Fixed 4.87500000 N N N N N N Meta Platforms Inc BQ4BKCS1HXDV9HN80Z93 30303MAE2 50000.00000000 PA USD 48979.86000000 0.045587101245 Long DBT CORP US N 2 2055-11-15 Fixed 5.62500000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140FXTS1 213153.71000000 PA USD 180398.95000000 0.167902995193 Long ABS-MBS USGSE US N 2 2061-09-01 Fixed 2.50000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 252.00000000 NC USD -96604.20000000 -0.08991257725 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Long THE SECURED OVERNIGHT FINANCING RATE THE SECURED OVERNIGHT FINANCING RATE 2026-06-17 60801829.20000000 USD -96604.20000000 N N N Oneok Inc. 2T3D6M0JSY48PSZI1Q41 682680BH5 90000.00000000 PA USD 90818.54000000 0.084527680926 Long DBT CORP US N 2 2026-11-01 Fixed 5.55000000 N N N N N N BIRCH GROVE CLO 8 LTD 254900WH1INTG23INE62 09077TAA3 1000000.00000000 PA USD 1003745.70000000 0.934217795852 Long ABS-CBDO CORP JE N 2 2037-04-20 Variable 5.29763000 N N N N N N Alphabet Inc. 5493006MHB84DD0ZWV18 02079KAL1 30000.00000000 PA USD 30207.88000000 0.028115427115 Long DBT CORP US N 2 2035-05-15 Fixed 4.50000000 N N N N N N Bank 2018-Bnk10 549300GL0Y86051URC66 065404BB0 1045000.00000000 PA USD 1038589.76000000 0.966648261986 Long ABS-O CORP US N 2 2061-02-17 Fixed 3.68800000 N N N N N N COLUMBIA CENT CLO 33 LTD 2549000A46LJJ7H78351 19737PAA2 2700000.00000000 PA USD 2707851.06000000 2.520282426882 Long ABS-CBDO CORP JE N 2 2037-04-20 Floating 5.26763000 N N N N N N Oracle Corp. 1Z4GXXU7ZHVWFCD8TV52 68389XDZ5 60000.00000000 PA USD 60056.13000000 0.055896135242 Long DBT CORP US N 2 2036-02-04 Fixed 5.70000000 N N N N N N Alphabet Inc. 5493006MHB84DD0ZWV18 02079KBN6 60000.00000000 PA USD 61134.42000000 0.056899733770 Long DBT CORP US N 2 2046-02-15 Fixed 5.50000000 N N N N N N PARALLEL 2015-1 LTD 549300IVH7GEF68EFD31 69915NAJ7 1530000.00000000 PA USD 1532876.55000000 1.426696574495 Long ABS-CBDO CORP KY N 2 2036-07-21 Variable 5.05763000 N N N N N N Connecticut Avenue Securities Trust 2022-R04 N/A 20753YCK6 340000.00000000 PA USD 347477.14000000 0.323407938723 Long ABS-O USGSE US N 2 2042-03-25 Floating 6.76721000 N N N N N N Ocean Trails CLO XII Ltd / LLC 549300RF4JV7XJ3EV147 67515DAS7 640000.00000000 PA USD 641759.87000000 0.597306161528 Long ABS-CBDO CORP JE N 2 2035-07-20 Floating 4.99763000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -155.00000000 NC USD -130385.40000000 -0.12135380604 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Short United States Treasury Bonds T 4.75 11/15/43 2026-06-18 -18232270.85000000 USD -130385.40000000 N N N Honeywell International Inc. ISRPG12PN4EIEOEMW547 438516CS3 70000.00000000 PA USD 72238.73000000 0.067234865480 Long DBT CORP US N 2 2035-03-01 Fixed 5.00000000 N N N N N N BX COMMERCIAL MORTGAGE TRUST 2022-L N/A 05610HAA1 595177.07000000 PA USD 595413.77000000 0.554170383822 Long ABS-O CORP US N 2 2039-02-15 Floating 4.67255000 N N N N N N AbbVie Inc. FR5LCKFTG8054YNNRU85 00287YDT3 40000.00000000 PA USD 41653.53000000 0.038768254734 Long DBT CORP US N 2 2031-03-15 Fixed 4.95000000 N N N N N N United States Treasury Notes 254900HROIFWPRGM1V77 91282CNT4 40000.00000000 PA USD 41000.00000000 0.038159993741 Long DBT UST US N 2 2035-08-15 Fixed 4.25000000 N N N N N N Comcast Corporation 51M0QTTNCGUN7KFCFZ59 20030NEF4 310000.00000000 PA USD 285815.39000000 0.266017402282 Long DBT CORP US N 2 2053-05-15 Fixed 5.35000000 N N N N N N Alphabet Inc. 5493006MHB84DD0ZWV18 02079KAM9 40000.00000000 PA USD 38963.43000000 0.036264493779 Long DBT CORP US N 2 2055-05-15 Fixed 5.25000000 N N N N N N GE Vernova Inc. 254900DP080RU6OK2553 36828AAC5 10000.00000000 PA USD 9928.57000000 0.009240833391 Long DBT CORP US N 2 2056-02-04 Fixed 5.50000000 N N N N N N BX Trust 2018-Bilt N/A 05609RAA2 2084216.91000000 PA USD 2083836.12000000 1.939492031640 Long ABS-O CORP US N 2 2026-10-15 Floating 4.41041000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 01F020638 9000000.00000000 PA USD 7458323.13000000 6.941696681999 Long ABS-MBS USGSE US N 2 2056-03-01 Fixed 2.00000000 N N N N N N AbbVie Inc. FR5LCKFTG8054YNNRU85 00287YDU0 20000.00000000 PA USD 20770.50000000 0.019331759756 Long DBT CORP US N 2 2034-03-15 Fixed 5.05000000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 104.00000000 NC USD 84500.00000000 0.078646816369 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Call Purchased CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long United States Treasury Notes T 4 01/31/33 2026-06-18 0.00000000 USD N/A 113.00000000 USD 2026-02-27 XXXX 43695.08000000 N N N Morgan Stanley Capital I Trust 2011-C2 N/A 61691DAA5 10500000.00000000 PA USD 9816423.75000000 9.136455338115 Long ABS-O CORP US N 2 2040-07-12 Variable 4.27600000 N N N N N N Oracle Corp. 1Z4GXXU7ZHVWFCD8TV52 68389XDY8 10000.00000000 PA USD 10036.73000000 0.009341501316 Long DBT CORP US N 2 2033-05-04 Fixed 5.35000000 N N N N N N RTX Corp. I07WOS4YJ0N7YRFE7309 75513ECV1 60000.00000000 PA USD 65134.04000000 0.060622306310 Long DBT CORP US N 2 2031-03-15 Fixed 6.00000000 N N N N N N WASTE CONNECTIONS INC 549300HDLRTPBQU69P29 94106BAG6 70000.00000000 PA USD 72394.12000000 0.067379491856 Long DBT CORP CA N 2 2034-03-01 Fixed 5.00000000 N N N N N N Oncor Electric Delivery Company LLC 549300SP2X2BS1KERD24 68233JDA9 40000.00000000 PA USD 41129.57000000 0.038280588628 Long DBT CORP US N 2 2055-04-01 Fixed 5.80000000 N N N N N N Comcast Corporation 51M0QTTNCGUN7KFCFZ59 20030NCC3 190000.00000000 PA USD 146523.72000000 0.136374249711 Long DBT CORP US N 2 2047-11-01 Fixed 3.96900000 N N N N N N Boeing Co. RVHJWBXLJ1RFUBSY1F30 097023DT9 40000.00000000 PA USD 45903.62000000 0.042723947607 Long DBT CORP US N 2 2054-05-01 Fixed 6.85800000 N N N N N N Mars Inc. 54930073HKEO6GZBSS03 571676BA2 60000.00000000 PA USD 62149.51000000 0.057844510064 Long DBT CORP US N 2 2035-03-01 Fixed 5.20000000 N N N N N N Altria Group, Inc. XSGZFLO9YTNO9VCQV219 02209SBR3 220000.00000000 PA USD 250865.86000000 0.233488771890 Long DBT CORP US N 2 2033-11-01 Fixed 6.87500000 N N N N N N Gulfstream Natural Gas System LLC N/A 402740AG9 130000.00000000 PA USD 135475.06000000 0.126090913212 Long DBT CORP US N 2 2035-07-23 Fixed 5.60000000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 75.00000000 NC USD 98437.50000000 0.091618887412 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Call Purchased CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long United States Treasury Notes T 4 01/31/33 2026-06-18 0.00000000 USD N/A 112.50000000 USD 2026-02-27 XXXX 73698.37000000 N N N Alphabet Inc. 5493006MHB84DD0ZWV18 02079KBP1 50000.00000000 PA USD 51199.85000000 0.047653315989 Long DBT CORP US N 2 2056-02-15 Fixed 5.65000000 N N N N N N Air Lease Corporation 5493004NW4M4P8TMMK63 00914AAU6 90000.00000000 PA USD 91906.74000000 0.085540503004 Long DBT CORP US N 2 2028-02-01 Fixed 5.30000000 N N N N N N Truist Financial Corp. 549300DRQQI75D2JP341 89788MAN2 70000.00000000 PA USD 70352.31000000 0.065479114860 Long DBT CORP US N 2 2027-06-08 Fixed 6.04700000 N N N N N N Alphabet Inc. 5493006MHB84DD0ZWV18 02079KAN7 40000.00000000 PA USD 37969.62000000 0.035339523452 Long DBT CORP US N 2 2065-05-15 Fixed 5.30000000 N N N N N N NRG Energy, Inc. 5E2UPK5SW04M13XY7I38 629377DB5 50000.00000000 PA USD 50562.00000000 0.047059648867 Long DBT CORP US N 2 2035-10-15 Fixed 5.40700000 N N N N N N TRINITAS CLO XXXII LTD 254900KN2E57M5580B74 89642NAA4 1320000.00000000 PA USD 1323879.22000000 1.232176164623 Long ABS-CBDO CORP KY N 2 2038-07-23 Floating 5.00102000 N N N N N N Prosus NV 635400Z5LQ5F9OLVT688 74365PAD0 1610000.00000000 PA USD 1149570.99000000 1.069941994723 Long DBT CORP NL N 2 2050-08-03 Fixed 4.02700000 N N N N N N United States Treasury Notes 254900HROIFWPRGM1V77 91282CPJ4 20000.00000000 PA USD 20075.00000000 0.018684435959 Long DBT UST US N 2 2035-11-15 Fixed 4.00000000 N N N N N N Solventum Corp. 254900I70403OSGY4M28 83444MAR2 120000.00000000 PA USD 125514.96000000 0.116820733854 Long DBT CORP US N 2 2034-03-23 Fixed 5.60000000 N N N N N N Meta Platforms Inc BQ4BKCS1HXDV9HN80Z93 30303M8U9 70000.00000000 PA USD 71107.47000000 0.066181966101 Long DBT CORP US N 2 2034-08-15 Fixed 4.75000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 666.00000000 NC USD 297556.82000000 0.276945521680 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Long United States Treasury Notes T 3.625 08/31/30 2026-06-30 73056102.76000000 USD 297556.82000000 N N N Oracle Corp. 1Z4GXXU7ZHVWFCD8TV52 68389XDX0 10000.00000000 PA USD 9982.43000000 0.009290962593 Long DBT CORP US N 2 2031-02-04 Fixed 4.95000000 N N N N N N JGWPT XXXIX LLC 2017-2 N/A 46620VAB0 218678.98000000 PA USD 202244.16000000 0.188235021459 Long ABS-O CORP US N 2 2074-09-17 Fixed 5.09000000 N N N N N N Royal Caribbean Group K2NEH8QNVW44JIWK7Z55 780153BV3 80000.00000000 PA USD 82891.50000000 0.077149734663 Long DBT CORP LR N 2 2033-02-01 Fixed 6.00000000 N N N N N N Alphabet Inc. 5493006MHB84DD0ZWV18 02079KBA4 20000.00000000 PA USD 19894.23000000 0.018516187616 Long DBT CORP US N 2 2055-11-15 Fixed 5.45000000 N N N N N N United States Treasury Bonds 254900HROIFWPRGM1V77 912810UG1 30000.00000000 PA USD 29925.59000000 0.027852690905 Long DBT UST US N 2 2055-02-15 Fixed 4.62500000 N N N N N N Verizon Communications Inc. 2S72QS2UO2OESLG6Y829 92343VEA8 40000.00000000 PA USD 39911.24000000 0.037146650453 Long DBT CORP US N 2 2033-08-10 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622ACCK4 147398.10000000 PA USD 149197.75000000 0.138863053810 Long ABS-MBS USGA US N 2 2053-01-20 Fixed 5.00000000 N N N N N N AbbVie Inc. FR5LCKFTG8054YNNRU85 00287YDS5 80000.00000000 PA USD 82207.21000000 0.076512844368 Long DBT CORP US N 2 2029-03-15 Fixed 4.80000000 N N N N N N Nelnet Student Loan Trust 2025-A N/A 64033XAD6 1684865.21000000 PA USD 1729827.86000000 1.610005373445 Long ABS-O CORP US N 2 2057-03-15 Fixed 5.07000000 N N N N N N Broadcom Inc 549300WV6GIDOZJTV909 11135FCY5 50000.00000000 PA USD 50142.71000000 0.046669402433 Long DBT CORP US N 2 2036-02-15 Fixed 4.80000000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -211.00000000 NC USD -399285.85000000 -0.37162793992 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short United States Treasury Bonds T 4.75 11/15/53 2026-06-18 -25256995.40000000 USD -399285.85000000 N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 01F032633 9800000.00000000 PA USD 9236645.33000000 8.596837267906 Long ABS-MBS USGSE US N 2 2056-03-01 Fixed 3.50000000 N N N N N N Royal Caribbean Group K2NEH8QNVW44JIWK7Z55 780153BW1 90000.00000000 PA USD 92794.74000000 0.086366992625 Long DBT CORP LR N 2 2031-09-30 Fixed 5.62500000 N N N N N N Solventum Corp. 254900I70403OSGY4M28 83444MAS0 30000.00000000 PA USD 29967.30000000 0.027891511718 Long DBT CORP US N 2 2054-04-30 Fixed 5.90000000 N N N N N N Peru (Republic Of) 254900STKLK2DBJJZ530 715638DT6 160000.00000000 PA USD 115332.00000000 0.107343131662 Long DBT NUSS PE N 2 2051-03-10 Fixed 3.55000000 N N N N N N EOG Resources Inc. XWTZDRYZPBUHIQBKDB46 26875PAN1 82000.00000000 PA USD 77572.36000000 0.072199043222 Long DBT CORP US N 2 2035-04-01 Fixed 3.90000000 N N N N N N B.A.T. Capital Corporation 2138005GYEXN7XRHFA84 05526DCB9 150000.00000000 PA USD 157539.71000000 0.146627179210 Long DBT CORP US N 2 2032-08-15 Fixed 5.35000000 N N N N N N Oncor Electric Delivery Company LLC 549300SP2X2BS1KERD24 68233JCZ5 40000.00000000 PA USD 41740.20000000 0.038848921238 Long DBT CORP US N 2 2035-04-01 Fixed 5.35000000 N N N N N N Elevation Clo 2016-5 Ltd 549300IH854FT1JLRT08 28623JAA4 810000.00000000 PA USD 811215.00000000 0.755023398119 Long ABS-CBDO CORP KY N 2 2038-03-29 Floating 4.90763000 N N N N N N Banco Santander SA 5493006QMFDDMYWIAM13 05964HAQ8 200000.00000000 PA USD 200098.57000000 0.186238053142 Long DBT CORP ES N 2 2028-03-24 Fixed 4.17500000 N N N N N N Glencore Funding LLC 213800STG1QDNBY87K49 378272CB2 50000.00000000 PA USD 52855.08000000 0.049193890780 Long DBT CORP US N 2 2055-04-01 Fixed 6.14100000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 157.00000000 NC USD 100578.13000000 0.093611239300 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Call Purchased CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long United States Treasury Notes T 3.625 08/31/30 2026-06-30 0.00000000 USD N/A 109.50000000 USD 2026-02-27 XXXX 69642.38000000 N N N FORTRESS CREDIT BSL XXIV LTD N/A 34990BAA4 430000.00000000 PA USD 431032.95000000 0.401175967666 Long ABS-CBDO CORP JE N 2 2038-04-20 Floating 4.93763000 N N N N N N Reliance Industries Ltd. 5493003UOETFYRONLG31 759470BD8 2430000.00000000 PA USD 1826752.50000000 1.700216194318 Long DBT CORP IN N 2 2052-01-12 Fixed 3.62500000 N N N N N N BARINGS CLO 2024-I LTD 2549005VRCK51O5LRS39 06763VAA3 1470000.00000000 PA USD 1475310.67000000 1.373118193507 Long ABS-CBDO CORP KY N 2 2037-01-21 Floating 5.29763000 N N N N N N Fox Corporation 549300DDU6FDRBIELS05 35137LAN5 60000.00000000 PA USD 65874.26000000 0.061311252422 Long DBT CORP US N 2 2033-10-13 Fixed 6.50000000 N N N N N N Columbia Pipelines Operating Co. LLC N/A 19828TAB2 120000.00000000 PA USD 130055.87000000 0.121047102078 Long DBT CORP US N 2 2033-11-15 Fixed 6.03600000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 01F030637 14500000.00000000 PA USD 13115258.56000000 12.20678498941 Long ABS-MBS USGSE US N 2 2056-03-01 Fixed 3.00000000 N N N N N N BX COMMERCIAL MORTGAGE TRUST 2025-COPT N/A 05618XAA8 2500000.00000000 PA USD 2509284.25000000 2.335470031106 Long ABS-O CORP US N 2 2042-08-15 Floating 5.40965000 N N N N N N BRAVO Residential Funding Trust 2022-NQM3 N/A 10569FAA6 1686644.33000000 PA USD 1693642.55000000 1.576326563613 Long ABS-O CORP US N 2 2061-09-25 Variable 4.62600000 N N N N N N OBX 2022-NQM1 TRUST N/A 67114VAA1 2264976.96000000 PA USD 2094956.24000000 1.949841878216 Long ABS-O CORP US N 2 2061-11-25 Variable 2.30500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H050631 2000000.00000000 PA USD 2007254.32000000 1.868214933867 Long ABS-MBS USGA US N 2 2056-03-15 Fixed 5.00000000 N N N N N N 2026-04-23 Legg Mason Partners Institutional Trust Christopher Berarducci Christopher Berarducci Principal Financial Officer