# EDGAR Filing Document

**Accession Number:** 0000719269
**File Stem:** 0001752724-23-037822
**Filing Date:** 2023-2
**Character Count:** 436119
**Document Hash:** 5f8656d4ebaaddd7827381da3ddaaa62
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-037822.hdr.sgml**: 20230224

**ACCESSION NUMBER**: 0001752724-23-037822

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230224

**DATE AS OF CHANGE**: 20230224

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** MFS VARIABLE INSURANCE TRUST II
- **CENTRAL INDEX KEY:** 0000719269
- **IRS NUMBER:** 046540044
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-03732
- **FILM NUMBER:** 23663368

**BUSINESS ADDRESS:**
- **STREET 1:** 111 HUNTINGTON AVENUE
- **STREET 2:** 21ST FLOOR
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02199
- **BUSINESS PHONE:** 16179545839

**MAIL ADDRESS:**
- **STREET 1:** 111 HUNTINGTON AVENUE
- **STREET 2:** 21ST FLOOR
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02199

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MFS SUN LIFE SERIES TRUST
- **DATE OF NAME CHANGE:** 19920703

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** COMPASS SERIES TRUST
- **DATE OF NAME CHANGE:** 19850325

## Series and Classes Contracts Data

### MFS Global Tactical Allocation Portfolio (Series ID: S000002661)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000007291 | Initial Class |  |
| C000007292 | Service Class |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** MFS VARIABLE INSURANCE TRUST II

- **b. Investment Company Act file number:** 811-03732

- **c. CIK number of Registrant:** 0000719269

- **d. LEI of Registrant:** LQOFLJQP174GQBC84T87

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

  - **Street Address 1:** 111 HUNTINGTON AVENUE

  - **City:** BOSTON

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02199

  - **Telephone number:** 617-954-5000

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

- **a. Name of Series:** MFS Global Tactical Allocation Portfolio

- **b. EDGAR series identifier (if any):** S000002661

- **c. LEI of Series:** LQZ5VNZ5VYP9RGH88M14

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

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

- **b. Date as of which information is reported:** 2022-12-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $424781473.80

**Total Liabilities:** $13966460.30

**Net Assets:** $410815013.50

**Cash Not Reported:** $10378191.57

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -109.49000000 | **1-Year:** -4507.06000000 | **5-Year:** -26232.81000000 | **10-Year:** -43869.10000000 | **30-Year:** -15472.21000000

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

- **3-Month:** 118.97000000 | **1-Year:** -1615.20000000 | **5-Year:** -9434.68000000 | **10-Year:** -2859.39000000 | **30-Year:** -1458.15000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000007291 | 3.08%                | 6.13%                | -1.29%               |
| Class ID C000007292 | 3.06%                | 6.18%                | -1.32%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-6766226.02             | $16595559.17                               |
| Month 2  | $-1263455.21             | $28158787.81                               |
| Month 3  | $-735813.14              | $-5726242.66                               |

### Schedule of Portfolio Investments

| Name                                              | Title                                                                                                                    | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |    Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| CROWN CASTLE INC                                  | Crown Castle Inc                                                                                                         | CUSIP: 22822VAC5<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |     275000 | PA      | $261479.63    | 0.06%             | 2026-06-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Honeywell International Inc                       | Honeywell International Inc                                                                                              | CUSIP: 438516106<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | EC               | CORP              | US        |       3557 | NS      | $762265.10    | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| CAIXABANK SA                                      | CaixaBank SA                                                                                                             | CUSIP: 000000000<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |     200000 | PA      | $150130.54    | 0.04%             | 2028-09-14      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| BUNDESREPUB. DEUTSCHLAND                          | Bundesrepublik Deutschland Bundesanleihe                                                                                 | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |    1130000 | PA      | $1127596.51   | 0.27%             | 2032-08-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                  | French Republic Government Bond OAT                                                                                      | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    1612000 | PA      | $1305769.23   | 0.32%             | 2032-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch International                       | PURCHASED EUR / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DFE              |  | N/A       |          1 | NC      | $6427.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EVERGY INC                                        | Evergy Inc                                                                                                               | CUSIP: 30034WAB2<br>LEI: 549300PGTHDQY6PSUI61 | Long             | DBT              | CORP              | US        |     527000 | PA      | $455084.95    | 0.11%             | 2029-09-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Orient Overseas International Ltd                 | Orient Overseas International Ltd                                                                                        | CUSIP: 000000000<br>LEI: 529900DQ426GJO276W95 | Long             | EC               | CORP              | BM        |       4500 | NS      | $81289.36     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| P3 GROUP SARL                                     | P3 Group Sarl                                                                                                            | CUSIP: 000000000<br>LEI: 529900GR62MT0O5VW110 | Long             | DBT              | CORP              | LU        |     610000 | PA      | $542813.63    | 0.13%             | 2026-01-26      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                           | BPCE SA                                                                                                                  | CUSIP: 05578QAD5<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     584000 | PA      | $560941.70    | 0.14%             | 2025-03-15      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                                           | CUSIP: 6174468P7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     675000 | PA      | $589277.38    | 0.14%             | 2031-04-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Acres PLC                                         | ACRES Commercial Realty 2021-FL2 Ltd                                                                                     | CUSIP: 00500JAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     370000 | PA      | $347623.77    | 0.08%             | 2037-01-15      | Floating      | 6.08%                 | Yes           |                  2 | On Loan: No      |
| BROADCOM INC                                      | Broadcom Inc                                                                                                             | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      12000 | PA      | $8619.45      | 0.00%             | 2036-11-15      | Fixed         | 3.19%                 | Yes           |                  2 | On Loan: No      |
| CPI PROPERTY GROUP SA                             | CPI Property Group SA                                                                                                    | CUSIP: 000000000<br>LEI: 222100CO2ZOTEPGJO223 | Long             | DBT              | CORP              | LU        |     510000 | PA      | $273374.07    | 0.07%             | 2028-04-28      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| HOSPITAL SPECIAL SURGERY                          | NY Society for Relief of Ruptured & Crippled Maintaining Hosp Special Surgery                                            | CUSIP: 44107HAF9<br>LEI: 549300U0XV0GGBTV6I72 | Long             | DBT              | CORP              | US        |     650000 | PA      | $399367.62    | 0.10%             | 2050-10-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| SES SA                                            | SES SA                                                                                                                   | CUSIP: 000000000<br>LEI: 5493008JPA4HYMH1HX51 | Long             | DBT              | CORP              | LU        |     320000 | PA      | $310887.31    | 0.08%             | 2029-01-14      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK AUST                            | Commonwealth Bank of Australia                                                                                           | CUSIP: 202712BN4<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |     735000 | PA      | $566303.54    | 0.14%             | 2031-03-11      | Fixed         | 2.69%                 | Yes           |                  2 | On Loan: No      |
| Equitable Holdings Inc                            | Equitable Holdings Inc                                                                                                   | CUSIP: 29452E101<br>LEI: 549300FIBAKMNHPZ4009 | Long             | EC               | CORP              | US        |      24135 | NS      | $692674.50    | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD CAD                                                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-2231.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF PHILIPPINES                           | Philippine Government International Bond                                                                                 | CUSIP: 718286CR6<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |     325000 | PA      | $295037.02    | 0.07%             | 2032-09-29      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| Brown Brothers Harriman & Co.                     | PURCHASED NZD / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 5493006KMX1VFTPYPW14 | N/A              | DFE              |  | NZ        |          1 | NC      | $-150447.03   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                          | CUSIP: 3138EMUX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     253650 | PA      | $250198.09    | 0.06%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Minnesota Housing Finance Agency                  | MINNESOTA ST HSG FIN AGY                                                                                                 | CUSIP: 60416TSV1<br>LEI: 549300R89XDTQBK4GE22 | Long             | DBT              | MUN               | US        |     455000 | PA      | $433065.41    | 0.11%             | 2047-01-01      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| KFW                                               | Kreditanstalt fuer Wiederaufbau                                                                                          | CUSIP: 000000000<br>LEI: 549300GDPG70E3MBBU98 | Long             | DBT              | CORP              | DE        |    1547000 | PA      | $1267661.31   | 0.31%             | 2037-03-31      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                          | CUSIP: 3140KXZR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     124538 | PA      | $105530.84    | 0.03%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| L3Harris Technologies Inc                         | L3Harris Technologies Inc                                                                                                | CUSIP: 502431109<br>LEI: 549300UTE50ZMDBG8A20 | Long             | EC               | CORP              | US        |       3251 | NS      | $676890.71    | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED GBP / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | GB        |          1 | NC      | $13003.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERIPRISE FINANCIAL INC                          | Ameriprise Financial Inc                                                                                                 | CUSIP: 03076CAL0<br>LEI: 6ZLKQF7QB6JAEKQS5388 | Long             | DBT              | CORP              | US        |     240000 | PA      | $232417.98    | 0.06%             | 2032-05-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Plains GP Holdings LP                             | Plains GP Holdings LP                                                                                                    | CUSIP: 72651A207<br>LEI: 549300O56BSKRD8FAM12 | Long             | EC               | CORP              | US        |       9205 | NS      | $114510.20    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED THB / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TH        |          1 | NC      | $11447.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                    | Morgan Stanley                                                                                                           | CUSIP: 61761J3R8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     555000 | PA      | $517688.37    | 0.13%             | 2026-07-27      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                          | Constellation Brands Inc                                                                                                 | CUSIP: 21036PBH0<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |     478000 | PA      | $379720.64    | 0.09%             | 2031-08-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| EXPORT-IMPORT BK INDIA                            | Export-Import Bank of India                                                                                              | CUSIP: 30216KAC6<br>LEI: 335800OFZ8YEIVN1QI11 | Long             | DBT              | NUSS              | IN        |     600000 | PA      | $555960.00    | 0.14%             | 2028-02-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                            | Verizon Communications Inc                                                                                               | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     876000 | PA      | $720386.10    | 0.18%             | 2031-03-21      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| PFP III                                           | PFP 2021-7 Ltd                                                                                                           | CUSIP: 69290LAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     612469 | PA      | $576675.50    | 0.14%             | 2038-04-14      | Floating      | 5.47%                 | Yes           |                  2 | On Loan: No      |
| Accenture PLC                                     | Accenture PLC                                                                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | IE        |       2892 | NS      | $771701.28    | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| OSLO KOMMUNE                                      | City of Oslo Norway                                                                                                      | CUSIP: 000000000<br>LEI: 5967007LIEEXZXGVU850 | Long             | DBT              | NUSS              | NO        |    7000000 | PA      | $644796.26    | 0.16%             | 2029-05-18      | Fixed         | 2.17%                 | No            |                  2 | On Loan: No      |
| ASX Clear (Futures)                               | AUST 10Y BOND FUT MAR23                                                                                                  | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |        371 | NC      | $-1690590.71  | -0.41%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                       | CUSIP: 36179WNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     288094 | PA      | $250069.09    | 0.06%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CNH INDUSTRIAL CAP LLC                            | CNH Industrial Capital LLC                                                                                               | CUSIP: 12592BAL8<br>LEI: 549300PNSJ5B81UMVO28 | Long             | DBT              | CORP              | US        |     611000 | PA      | $554050.65    | 0.13%             | 2026-01-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                         | CUSIP: 3133A0A53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     504668 | PA      | $462882.54    | 0.11%             | 2049-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BXMT Ltd                                          | BXMT 2021-FL4 Ltd                                                                                                        | CUSIP: 05609GAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1797000 | PA      | $1657950.48   | 0.40%             | 2038-05-15      | Floating      | 5.87%                 | Yes           |                  2 | On Loan: No      |
| American Electric Power Co Inc                    | American Electric Power Co Inc                                                                                           | CUSIP: 025537101<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | EC               | CORP              | US        |       2403 | NS      | $228164.85    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd   | Arbor Realty Commercial Real Estate Notes 2019-FL2 Ltd                                                                   | CUSIP: 03880VAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     600000 | PA      | $590618.40    | 0.14%             | 2034-09-15      | Floating      | 5.90%                 | Yes           |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD EUR                                                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-29037.26    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust       | MF1 2022-FL8 Ltd                                                                                                         | CUSIP: 55284JAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     281312 | PA      | $265823.38    | 0.06%             | 2037-02-19      | Floating      | 5.78%                 | Yes           |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD KRW                                                                                                 | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-34003.36    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BELGIUM KINGDOM                                   | Kingdom of Belgium Government Bond                                                                                       | CUSIP: 000000000<br>LEI: 549300SZ25JZFHRHWD76 | Long             | DBT              | NUSS              | BE        |    2981000 | PA      | $1945660.87   | 0.47%             | 2040-06-22      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                           | CarMax Auto Owner Trust 2022-2                                                                                           | CUSIP: 14317HAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     355000 | PA      | $341592.68    | 0.08%             | 2027-09-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD NZD                                                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-77109.81    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Vistra Corp                                       | Vistra Corp                                                                                                              | CUSIP: 92840M102<br>LEI: 549300KP43CPCUJOOG15 | Long             | EC               | CORP              | US        |       5088 | NS      | $118041.60    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                            | PURCHASED USD / SOLD EUR                                                                                                 | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $-52313.35    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Brown Brothers Harriman & Co.                     | PURCHASED CNH / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 5493006KMX1VFTPYPW14 | N/A              | DFE              |  | CN        |          1 | NC      | $17102.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                | Credit Agricole SA                                                                                                       | CUSIP: 000000000<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |     200000 | PA      | $205479.20    | 0.05%             | 2034-11-28      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                                | PURCHASED USD / SOLD CAD                                                                                                 | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $852.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Visa Inc                                          | Visa Inc                                                                                                                 | CUSIP: 92826CAJ1<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | DBT              | CORP              | US        |     372000 | PA      | $304669.03    | 0.07%             | 2047-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd   | Arbor Realty Commercial Real Estate Notes 2021-FL2 Ltd                                                                   | CUSIP: 03881EAG2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     426500 | PA      | $395681.54    | 0.10%             | 2036-05-15      | Floating      | 6.27%                 | Yes           |                  2 | On Loan: No      |
| Volvo AB                                          | Volvo AB                                                                                                                 | CUSIP: 000000000<br>LEI: 549300HGV012CNC8JD22 | Long             | EC               | CORP              | SE        |      23532 | NS      | $426085.89    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| BANQUE OUEST AFRICAINE D                          | Banque Ouest Africaine de Developpement                                                                                  | CUSIP: 000000000<br>LEI: 529900LIZJABE4JJS826 | Long             | DBT              | NUSS              | N/A       |     680000 | PA      | $546511.57    | 0.13%             | 2033-01-22      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2021-B24 Mortgage Trust                                                                                        | CUSIP: 08163CBE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2024817 | PA      | $123360.15    | 0.03%             | 2054-03-15      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| ENEL SPA                                          | Enel SpA                                                                                                                 | CUSIP: 000000000<br>LEI: WOCMU6HCI0OJWNPRZS33 | Long             | DBT              | CORP              | IT        |     385000 | PA      | $293521.46    | 0.07%             | 2030-06-08      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| INDOFOOD CBP SUKSES MAKM                          | Indofood CBP Sukses Makmur Tbk PT                                                                                        | CUSIP: 000000000<br>LEI: 254900YKZW9GRKZZN285 | Long             | DBT              | CORP              | ID        |     950000 | PA      | $781604.54    | 0.19%             | 2031-06-09      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                            | Marriott International Inc/MD                                                                                            | CUSIP: 571903BG7<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |     499000 | PA      | $404081.55    | 0.10%             | 2031-04-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                  | Deutsche Bank AG                                                                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     300000 | PA      | $284122.69    | 0.07%             | 2032-06-24      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                       | CUSIP: 36179W7K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     147995 | PA      | $131779.44    | 0.03%             | 2052-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Union Pacific Corp                                | Union Pacific Corp                                                                                                       | CUSIP: 907818108<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | EC               | CORP              | US        |       3938 | NS      | $815441.66    | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                          | CUSIP: 3138ELAF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1010845 | PA      | $935952.54    | 0.23%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                  | Deutsche Bank AG                                                                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     200000 | PA      | $221253.77    | 0.05%             | 2027-12-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Johnson & Johnson                                 | Johnson & Johnson                                                                                                        | CUSIP: 478160104<br>LEI: 549300G0CFPGEF6X2043 | Long             | EC               | CORP              | US        |      21040 | NS      | $3716716.00   | 0.90%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe - Financial Products Division  | LONG GILT FUTURE MAR23                                                                                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         59 | NC      | $-350221.30   | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| Mercado Mexicano De Derivados                     | MEX BOLSA IDX FUT MAR23                                                                                                  | CUSIP: 000000000<br>LEI: 5493003M56ZNEEL5EQ10 | N/A              | DE               |  | MX        |       -386 | NC      | $478594.17    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                            | PURCHASED EUR / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | N/A       |          1 | NC      | $3134.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                                | PURCHASED USD / SOLD EUR                                                                                                 | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-43904.05    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Hess Corp                                         | Hess Corp                                                                                                                | CUSIP: 42809H107<br>LEI: UASVRYNXNK17ULIGK870 | Long             | EC               | CORP              | US        |       8872 | NS      | $1258227.04   | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                            | PURCHASED USD / SOLD MXN                                                                                                 | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $4948.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED HUF / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | HU        |          1 | NC      | $26230.53     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                                                              | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1050000 | PA      | $814704.12    | 0.20%             | 2032-07-21      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| CROATIA                                           | Croatia Government International Bond                                                                                    | CUSIP: 000000000<br>LEI: 74780000O00QGQ7CER13 | Long             | DBT              | NUSS              | HR        |     621000 | PA      | $609790.33    | 0.15%             | 2032-04-22      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| GALP ENERGIA SGPS SA                              | Galp Energia SGPS SA                                                                                                     | CUSIP: 000000000<br>LEI: 2138003319Y7NM75FG53 | Long             | DBT              | CORP              | PT        |     400000 | PA      | $392924.33    | 0.10%             | 2026-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED EUR / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | N/A       |          1 | NC      | $66717.78     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED USD / SOLD EUR                                                                                                 | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $-12416.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                                | PURCHASED USD / SOLD GBP                                                                                                 | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-111007.85   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Philip Morris International Inc                   | Philip Morris International Inc                                                                                          | CUSIP: 718172109<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | EC               | CORP              | US        |      13937 | NS      | $1410563.77   | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| QBE INSURANCE GROUP LTD                           | QBE Insurance Group Ltd                                                                                                  | CUSIP: 000000000<br>LEI: 549300D2FBW76FPUSG65 | Long             | DBT              | CORP              | AU        |     408000 | PA      | $373260.89    | 0.09%             | 2038-09-13      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD TWD                                                                                                 | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-20418.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                          | Charter Communications Operating LLC / Charter Communications Operating Capital                                          | CUSIP: 161175AZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     262000 | PA      | $255393.77    | 0.06%             | 2035-10-23      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                     | Carnival Corp                                                                                                            | CUSIP: 000000000<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |     190000 | PA      | $163318.48    | 0.04%             | 2026-03-01      | Fixed         | 7.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                          | CUSIP: 31410LDU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     123259 | PA      | $122190.22    | 0.03%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                          | CUSIP: 31415QRS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1200 | PA      | $1197.05      | 0.00%             | 2023-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | PURCHASED EUR / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | N/A       |          1 | NC      | $31012.28     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Brown Brothers Harriman & Co.                     | PURCHASED USD / SOLD JPY                                                                                                 | CUSIP: 000000000<br>LEI: 5493006KMX1VFTPYPW14 | N/A              | DFE              |  | US        |          1 | NC      | $-55908.87    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| TRANSURBAN FINANCE CO                             | Transurban Finance Co Pty Ltd                                                                                            | CUSIP: 000000000<br>LEI: 54930081LPJMUMEA6E57 | Long             | DBT              | CORP              | AU        |     350000 | PA      | $317589.52    | 0.08%             | 2029-05-16      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                       | CUSIP: 36179NF78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     448426 | PA      | $422492.14    | 0.10%             | 2043-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                          | CUSIP: 3140KG3Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43157 | PA      | $37386.08     | 0.01%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Euronext N.V.                                     | CAC40 10 EURO FUT JAN23                                                                                                  | CUSIP: 000000000<br>LEI: 724500QJ4QSZ3H9QU415 | N/A              | DE               |  | FR        |        205 | NC      | $-427933.06   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| Nasdaq Stockholm AB                               | OMXS30 IND FUTURE JAN23                                                                                                  | CUSIP: 000000000<br>LEI: 549300KBQIVNEJEZVL96 | N/A              | DE               |  | SE        |        159 | NC      | $-126509.39   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED USD / SOLD EUR                                                                                                 | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $-14450.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                          | PURCHASED USD / SOLD GBP                                                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-1827.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| British American Tobacco PLC                      | British American Tobacco PLC                                                                                             | CUSIP: 000000000<br>LEI: 213800FKA5MF17RJKT63 | Long             | EC               | CORP              | GB        |      24687 | NS      | $979375.20    | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| JBS USA/FOOD/FINANCE                              | JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc                                                                   | CUSIP: 46590XAF3<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |     341000 | PA      | $282226.81    | 0.07%             | 2029-02-02      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD NZD                                                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-1143445.43  | -0.28%            |  |  |  | No            |                  2 | On Loan: No      |
| Northern Trust Corp                               | Northern Trust Corp                                                                                                      | CUSIP: 665859104<br>LEI: 549300GLF98S992BC502 | Long             | EC               | CORP              | US        |       7270 | NS      | $643322.30    | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| BROADCOM INC                                      | Broadcom Inc                                                                                                             | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     174000 | PA      | $127936.34    | 0.03%             | 2035-11-15      | Fixed         | 3.14%                 | Yes           |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division  | FTSE 100 IDX FUT MAR23                                                                                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | GB        |        205 | NC      | $-31363.49    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| RAYTHEON TECH CORP                                | Raytheon Technologies Corp                                                                                               | CUSIP: 75513ECL3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     745000 | PA      | $482584.16    | 0.12%             | 2051-09-01      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED EUR / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | N/A       |          1 | NC      | $3798.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group Inc                | Mitsubishi UFJ Financial Group Inc                                                                                       | CUSIP: 000000000<br>LEI: 353800V2V8PUY9TK3E06 | Long             | EC               | CORP              | JP        |     163500 | NS      | $1102975.78   | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS Trust 2021-C10                                                                                                     | CUSIP: 05551VBK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2922163 | PA      | $211535.70    | 0.05%             | 2054-07-15      | Variable      | 1.30%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                  | BAT Capital Corp                                                                                                         | CUSIP: 000000000<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     500000 | PA      | $552097.29    | 0.13%             | 2025-08-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| NATL GRID ELECT TRANS                             | National Grid Electricity Transmission PLC                                                                               | CUSIP: 000000000<br>LEI: 5XJXCCYG4SDKFJ5WLB02 | Long             | DBT              | CORP              | GB        |     470000 | PA      | $343163.80    | 0.08%             | 2040-04-17      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                           | Hyundai Capital America                                                                                                  | CUSIP: 44891ABX4<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     400000 | PA      | $325819.47    | 0.08%             | 2028-06-15      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| WP Carey Inc                                      | WP Carey Inc                                                                                                             | CUSIP: 92936U109<br>LEI: 54930042CRNE713E3Q67 | Long             | EC               | CORP              | US        |       3206 | NS      | $250548.90    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| FS Rialto Issuer Ltd                              | FS RIALTO                                                                                                                | CUSIP: 30319YAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     701500 | PA      | $668650.16    | 0.16%             | 2038-05-16      | Floating      | 5.88%                 | Yes           |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                                | PURCHASED GBP / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | GB        |          1 | NC      | $5573.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED CNH / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | CN        |          1 | NC      | $15944.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED THB / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TH        |          1 | NC      | $36651.30     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD EUR                                                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-4898.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                    | Microsoft Corp                                                                                                           | CUSIP: 594918CC6<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |     523000 | PA      | $344159.61    | 0.08%             | 2050-06-01      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| General Mills Inc                                 | General Mills Inc                                                                                                        | CUSIP: 370334104<br>LEI: 2TGYMUGI08PO8X8L6150 | Long             | EC               | CORP              | US        |      18070 | NS      | $1515169.50   | 0.37%             |  |  |  | No            |                  1 | On Loan: No      |
| Tesco PLC                                         | Tesco PLC                                                                                                                | CUSIP: 000000000<br>LEI: 2138002P5RNKC5W2JZ46 | Long             | EC               | CORP              | GB        |     487900 | NS      | $1322436.42   | 0.32%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                                                                     | CUSIP: 06051GJT7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1648000 | PA      | $1319032.98   | 0.32%             | 2032-04-22      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                             | Time Warner Cable LLC                                                                                                    | CUSIP: 88732JBD9<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |     388000 | PA      | $284056.57    | 0.07%             | 2042-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                                | PURCHASED EUR / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | N/A       |          1 | NC      | $79011.72     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF GUATEMALA                             | Guatemala Government Bond                                                                                                | CUSIP: 000000000<br>LEI: 529900QKDFFU9UWW5315 | Long             | DBT              | NUSS              | GT        |     227000 | PA      | $186867.28    | 0.05%             | 2033-10-07      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Enel SpA                                          | Enel SpA                                                                                                                 | CUSIP: 29265WAA6<br>LEI: WOCMU6HCI0OJWNPRZS33 | Long             | DBT              | CORP              | IT        |     638000 | PA      | $638528.56    | 0.16%             | 2073-09-24      | Fixed         | 8.75%                 | Yes           |                  2 | On Loan: No      |
| Apple Inc                                         | Apple Inc                                                                                                                | CUSIP: 037833BW9<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |     536000 | PA      | $531726.08    | 0.13%             | 2036-02-23      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LOGICOR FINANCING SARL                            | Logicor Financing Sarl                                                                                                   | CUSIP: 000000000<br>LEI: 254900IS16Q1A2TQFN22 | Long             | DBT              | CORP              | LU        |     480000 | PA      | $373505.00    | 0.09%             | 2030-01-17      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD AUD                                                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-32216.89    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD EUR                                                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-1252.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                               | United Kingdom Gilt                                                                                                      | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    1530000 | PA      | $999019.54    | 0.24%             | 2051-07-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| SAMHALLSBYGGNADSBOLAGET                           | Samhallsbyggnadsbolaget i Norden AB                                                                                      | CUSIP: 000000000<br>LEI: 549300HX9MRFY47AH564 | Long             | DBT              | CORP              | SE        |     670000 | PA      | $611069.73    | 0.15%             | 2025-01-14      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN INTL FIN NV                            | Volkswagen International Finance NV                                                                                      | CUSIP: 000000000<br>LEI: 5299004PWNHKYTR23649 | Long             | DBT              | CORP              | NL        |     500000 | PA      | $435523.08    | 0.11%             | 2031-03-28      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| ENERGEAN ISRAEL FINANCE                           | Energean Israel Finance Ltd                                                                                              | CUSIP: 000000000<br>LEI: 98450044QACBL3F8EB03 | Long             | DBT              | CORP              | IL        |     325000 | PA      | $299942.50    | 0.07%             | 2026-03-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| RTE RESEAU DE TRANSPORT                           | RTE Reseau de Transport d'Electricite SADIR                                                                              | CUSIP: 000000000<br>LEI: 969500JRJW0K2ET1UP76 | Long             | DBT              | CORP              | FR        |     200000 | PA      | $153880.97    | 0.04%             | 2034-01-12      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                          | CUSIP: 31418QPN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     344453 | PA      | $348806.58    | 0.08%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED AUD / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | AU        |          1 | NC      | $42064.78     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Seagate Technology Holdings PLC                   | Seagate Technology Holdings PLC                                                                                          | CUSIP: 000000000<br>LEI: 635400RUXIFEZSRU8X70 | Long             | EC               | CORP              | IE        |       2265 | NS      | $119161.65    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                            | PURCHASED EUR / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | N/A       |          1 | NC      | $8816.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED USD / SOLD GBP                                                                                                 | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $-10412.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EURONET WORLDWIDE INC                             | Euronet Worldwide Inc                                                                                                    | CUSIP: 000000000<br>LEI: YG3575C4DSHJPA5KET68 | Long             | DBT              | CORP              | US        |     480000 | PA      | $454228.54    | 0.11%             | 2026-05-22      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                                | PURCHASED USD / SOLD EUR                                                                                                 | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-8437.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TELEFONAKTIEBOLAGET LM E                          | Telefonaktiebolaget LM Ericsson                                                                                          | CUSIP: 000000000<br>LEI: 549300W9JLPW15XIFM52 | Long             | DBT              | CORP              | SE        |     640000 | PA      | $584781.25    | 0.14%             | 2027-02-08      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| Brown Brothers Harriman & Co.                     | PURCHASED USD / SOLD NZD                                                                                                 | CUSIP: 000000000<br>LEI: 5493006KMX1VFTPYPW14 | N/A              | DFE              |  | US        |          1 | NC      | $-42108.48    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COMCAST CORP                                      | Comcast Corp                                                                                                             | CUSIP: 20030NDH1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     685000 | PA      | $564936.48    | 0.14%             | 2040-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                            | Verizon Communications Inc                                                                                               | CUSIP: 92343VGH1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     291000 | PA      | $252552.56    | 0.06%             | 2028-03-22      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                      | Broadcom Inc                                                                                                             | CUSIP: 11135FBV2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     130000 | PA      | $113407.48    | 0.03%             | 2037-05-15      | Fixed         | 4.93%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF CYPRUS                                | Cyprus Government International Bond                                                                                     | CUSIP: 000000000<br>LEI: 213800IOEYYAHPDLUL60 | Long             | DBT              | NUSS              | CY        |     879000 | PA      | $840697.76    | 0.20%             | 2026-02-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| DICK'S SPORTING GOODS                             | Dick's Sporting Goods Inc                                                                                                | CUSIP: 253393AF9<br>LEI: 529900SSBV5I4LWSK313 | Long             | DBT              | CORP              | US        |     852000 | PA      | $664976.34    | 0.16%             | 2032-01-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Amadeus IT Group SA                               | Amadeus IT Group SA                                                                                                      | CUSIP: 000000000<br>LEI: 9598004A3FTY3TEHHN09 | Long             | EC               | CORP              | ES        |      12386 | NS      | $638746.61    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| BROADCOM INC                                      | Broadcom Inc                                                                                                             | CUSIP: 11135FAQ4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      97000 | PA      | $86926.76     | 0.02%             | 2030-11-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                       | CUSIP: 36179XLD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     199504 | PA      | $177843.31    | 0.04%             | 2052-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| INTL FLAVOR & FRAGRANCES                          | International Flavors & Fragrances Inc                                                                                   | CUSIP: 459506AP6<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |     399000 | PA      | $334868.06    | 0.08%             | 2027-10-15      | Fixed         | 1.83%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                          | CUSIP: 31417YRW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38900 | PA      | $39392.18     | 0.01%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                          | CUSIP: 3138ERZ60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     459055 | PA      | $455074.82    | 0.11%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Thermo Fisher Scientific Inc                      | Thermo Fisher Scientific Inc                                                                                             | CUSIP: 883556102<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | EC               | CORP              | US        |        689 | NS      | $379425.41    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC Bank USA N.A.                                | PURCHASED USD / SOLD EUR                                                                                                 | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-22020.08    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                                | PURCHASED PLN / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | PL        |          1 | NC      | $67739.48     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                               | United Kingdom Gilt                                                                                                      | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    1179000 | PA      | $903585.47    | 0.22%             | 2041-10-22      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Everest Re Group Ltd                              | Everest Re Group Ltd                                                                                                     | CUSIP: 000000000<br>LEI: 549300N24XF2VV0B3570 | Long             | EC               | CORP              | BM        |        713 | NS      | $236195.51    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD DKK                                                                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-13848.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                      | Barclays PLC                                                                                                             | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     350000 | PA      | $436418.90    | 0.11%             | 2032-11-14      | Fixed         | 8.41%                 | No            |                  2 | On Loan: No      |
| PERNOD RICARD SA                                  | Pernod Ricard SA                                                                                                         | CUSIP: 000000000<br>LEI: 52990097YFPX9J0H5D87 | Long             | DBT              | CORP              | FR        |     100000 | PA      | $106296.49    | 0.03%             | 2032-11-02      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Massachusetts Educational Financing Authority     | MASSACHUSETTS ST EDUCTNL FING AUTH                                                                                       | CUSIP: 57563RSU4<br>LEI: 5493007K5OP7V6CL0Y88 | Long             | DBT              | MUN               | US        |     685000 | PA      | $659408.67    | 0.16%             | 2038-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                                | PURCHASED NZD / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | NZ        |          1 | NC      | $9264.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HCA INC                                           | HCA Inc                                                                                                                  | CUSIP: 404119BY4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     195000 | PA      | $174482.85    | 0.04%             | 2039-06-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Masco Corp                                        | Masco Corp                                                                                                               | CUSIP: 574599106<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | EC               | CORP              | US        |      21771 | NS      | $1016052.57   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                          | CUSIP: 3140KHW31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35872 | PA      | $31074.78     | 0.01%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | BNP Paribas SA                                                                                                           | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | EC               | CORP              | FR        |      40031 | NS      | $2278057.16   | 0.55%             |  |  |  | No            |                  2 | On Loan: No      |
| Italian Derivatives Market                        | FTSE/MIB IDX FUT MAR23                                                                                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | IT        |        111 | NC      | $-385962.01   | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| Citibank N.A.                                     | PURCHASED USD / SOLD NOK                                                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $8842.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD EUR                                                                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-33728.14    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                          | CUSIP: 3140QQYH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     125000 | PA      | $126925.73    | 0.03%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GALAXY PIPELINE ASSETS                            | Galaxy Pipeline Assets Bidco Ltd                                                                                         | CUSIP: 36321PAD2<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | JE        |     506714 | PA      | $430510.28    | 0.10%             | 2034-03-31      | Fixed         | 2.16%                 | Yes           |                  2 | On Loan: No      |
| JAPAN (20 YEAR ISSUE)                             | Japan Government Twenty Year Bond                                                                                        | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  229000000 | PA      | $1938333.89   | 0.47%             | 2033-06-20      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                         | Prosus NV                                                                                                                | CUSIP: 74365PAE8<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |     360000 | PA      | $217500.43    | 0.05%             | 2051-02-08      | Fixed         | 3.83%                 | Yes           |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                                | PURCHASED NZD / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | NZ        |          1 | NC      | $133248.55    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                             | CUSIP: 3137FXZ50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6720825 | PA      | $134106.67    | 0.03%             | 2031-01-25      | Variable      | 0.33%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | Long: SM11110   CDS EUR R F  1.00000 SM11110_FEE CORPORATE / Short: SM11110   CDS EUR P V 03MEVENT SM11110_PRO CORPORATE | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              |  | LA        |     640000 | OU      | $-11909.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Quebecor Inc                                      | Quebecor Inc                                                                                                             | CUSIP: 748193208<br>LEI: N/A                  | Long             | EC               | CORP              | CA        |      17946 | NS      | $400272.67    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED CAD / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | CA        |          1 | NC      | $18011.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CORPORATE OFFICE PROP LP                          | Corporate Office Properties LP                                                                                           | CUSIP: 22003BAN6<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |     237000 | PA      | $181755.32    | 0.04%             | 2029-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd   | Arbor Realty Commercial Real Estate Notes 2022-FL1 Ltd                                                                   | CUSIP: 03880XAG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     765000 | PA      | $712894.86    | 0.17%             | 2037-01-15      | Floating      | 6.11%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | PURCHASED JPY / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | JP        |          1 | NC      | $20528.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                          | PURCHASED USD / SOLD CNY                                                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-501490.56   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                                | PURCHASED USD / SOLD EUR                                                                                                 | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-4921.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Grupo KUO SAB De CV                               | Grupo KUO SAB De CV                                                                                                      | CUSIP: 40052CAC0<br>LEI: 549300WIYIAVCFZI6Z04 | Long             | DBT              | CORP              | MX        |     706000 | PA      | $660110.00    | 0.16%             | 2027-07-07      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | PURCHASED USD / SOLD AUD                                                                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |          1 | NC      | $-3156.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2022-B37 Mortgage Trust                                                                                        | CUSIP: 08161QAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     105000 | PA      | $104908.50    | 0.03%             | 2055-11-15      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | PURCHASED GBP / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | GB        |          1 | NC      | $760.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLICA ORIENT URUGUAY                          | Uruguay Government International Bond                                                                                    | CUSIP: 917288BK7<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |    1309000 | PA      | $1300204.16   | 0.32%             | 2031-01-23      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| NATIONAL BANK GREECE SA                           | National Bank of Greece SA                                                                                               | CUSIP: 000000000<br>LEI: 5UMCZOEYKCVFAW8ZLO05 | Long             | DBT              | CORP              | GR        |     320000 | PA      | $345112.92    | 0.08%             | 2027-11-22      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Polaris Inc                                       | Polaris Inc                                                                                                              | CUSIP: 731068102<br>LEI: 549300QJSN8UVWN1EI78 | Long             | EC               | CORP              | US        |       1632 | NS      | $164832.00    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Chubb Ltd                                         | Chubb Ltd                                                                                                                | CUSIP: 000000000<br>LEI: E0JAN6VLUDI1HITHT809 | Long             | EC               | CORP              | CH        |       6914 | NS      | $1525228.40   | 0.37%             |  |  |  | No            |                  1 | On Loan: No      |
| BOSTON SCIENTIFIC CORP                            | Boston Scientific Corp                                                                                                   | CUSIP: 000000000<br>LEI: Y6ZDD9FP4P8JSSJMW954 | Long             | DBT              | CORP              | US        |     380000 | PA      | $349858.69    | 0.09%             | 2027-12-01      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| BANCO DE SABADELL SA                              | Banco de Sabadell SA                                                                                                     | CUSIP: 000000000<br>LEI: SI5RG2M0WQQLZCXKRM20 | Long             | DBT              | CORP              | ES        |     200000 | PA      | $166364.98    | 0.04%             | 2027-05-19      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BRUCE POWER LP                                    | Bruce Power LP                                                                                                           | CUSIP: 116705AK0<br>LEI: 549300R8DACS3G0K8262 | Long             | DBT              | CORP              | CA        |     915000 | PA      | $599379.06    | 0.15%             | 2028-12-21      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                             | China Government Bond                                                                                                    | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |   73910000 | PA      | $10793218.06  | 2.63%             | 2026-03-11      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                                | PURCHASED USD / SOLD GBP                                                                                                 | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $44820.51     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Omnicom Group Inc                                 | Omnicom Group Inc                                                                                                        | CUSIP: 681919106<br>LEI: HKUPACFHSSASQK8HLS17 | Long             | EC               | CORP              | US        |       8828 | NS      | $720099.96    | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                            | Mitsubishi UFJ Financial Group Inc                                                                                       | CUSIP: 606822CB8<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |     735000 | PA      | $572680.47    | 0.14%             | 2032-10-13      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| HAMMERSON IRELAND                                 | Hammerson Ireland Finance DAC                                                                                            | CUSIP: 000000000<br>LEI: 63540093EUHUMTGSHN61 | Long             | DBT              | CORP              | IE        |     337000 | PA      | $279486.62    | 0.07%             | 2027-06-03      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| BONOS Y OBLIG DEL ESTADO                          | Spain Government Bond                                                                                                    | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    1449000 | PA      | $807927.24    | 0.20%             | 2050-10-31      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Samsung Electronics Co Ltd                        | Samsung Electronics Co Ltd                                                                                               | CUSIP: 000000000<br>LEI: 9884007ER46L6N7EI764 | Long             | EC               | CORP              | KR        |      28193 | NS      | $1243257.38   | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED NZD / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | NZ        |          1 | NC      | $593873.36    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                                           | CUSIP: 000000000<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     195000 | PA      | $236016.85    | 0.06%             | 2033-11-18      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| BIM Birlesik Magazalar AS                         | BIM Birlesik Magazalar AS                                                                                                | CUSIP: 000000000<br>LEI: 7890001GCDJQD8DJKE29 | Long             | EC               | CORP              | TR        |      51156 | NS      | $374460.63    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| VULCAN MATERIALS CO                               | Vulcan Materials Co                                                                                                      | CUSIP: 929160AZ2<br>LEI: 549300Q8LSNHAVWBNI21 | Long             | DBT              | CORP              | US        |     453000 | PA      | $399018.50    | 0.10%             | 2030-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED EUR / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | N/A       |          1 | NC      | $9829.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                                | PURCHASED EUR / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | N/A       |          1 | NC      | $89273.97     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                                | PURCHASED EUR / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | N/A       |          1 | NC      | $30440.71     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                             | CUSIP: 3137FVNL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1615349 | PA      | $130583.36    | 0.03%             | 2030-06-25      | Variable      | 1.34%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS Mortgage Trust 2021-C9                                                                                             | CUSIP: 05493EAZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6648561 | PA      | $601680.14    | 0.15%             | 2054-02-15      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| Iberdrola SA                                      | Iberdrola SA                                                                                                             | CUSIP: 000000000<br>LEI: 5QK37QC7NWOJ8D7WVQ45 | Long             | EC               | CORP              | ES        |      75987 | NS      | $889048.88    | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| General Dynamics Corp                             | General Dynamics Corp                                                                                                    | CUSIP: 369550108<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | EC               | CORP              | US        |       5963 | NS      | $1479479.93   | 0.36%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                          | CUSIP: 31418ECP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     776888 | PA      | $632549.33    | 0.15%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US ULTRA BOND CBT MAR23                                                                                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         32 | NC      | $-60241.13    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| DBS Group Holdings Ltd                            | DBS Group Holdings Ltd                                                                                                   | CUSIP: 000000000<br>LEI: 5493007FKT78NKPM5V55 | Long             | EC               | CORP              | SG        |      57900 | NS      | $1466304.32   | 0.36%             |  |  |  | No            |                  1 | On Loan: No      |
| Merrill Lynch International                       | PURCHASED USD / SOLD TWD                                                                                                 | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DFE              |  | US        |          1 | NC      | $3267.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AA BOND CO LTD                                    | AA Bond Co Ltd                                                                                                           | CUSIP: 000000000<br>LEI: 2138002EPF6QVRZBMC58 | Long             | DBT              | CORP              | JE        |     560000 | PA      | $503646.87    | 0.12%             | 2028-07-31      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| AMERICAN TRANSMISSION SY                          | American Transmission Systems Inc                                                                                        | CUSIP: 030288AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     104000 | PA      | $85348.81     | 0.02%             | 2032-01-15      | Fixed         | 2.65%                 | Yes           |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD EUR                                                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-2722.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ALPHA SERV & HLDGS                                | Alpha Services and Holdings SA                                                                                           | CUSIP: 000000000<br>LEI: 5299009N55YRQC69CN08 | Long             | DBT              | CORP              | GR        |     590000 | PA      | $511497.08    | 0.12%             | 2030-02-13      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Vale SA                                           | Vale SA                                                                                                                  | CUSIP: 000000000<br>LEI: 254900SMTWBX7RU2SR20 | Long             | EC               | CORP              | BR        |      35700 | NS      | $600978.46    | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| Comcast Corp                                      | Comcast Corp                                                                                                             | CUSIP: 20030N101<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | EC               | CORP              | US        |      52798 | NS      | $1846346.06   | 0.45%             |  |  |  | No            |                  1 | On Loan: No      |
| OOREDOO INTL FINANCE                              | Ooredoo International Finance Ltd                                                                                        | CUSIP: 000000000<br>LEI: 549300BHXCDJ03WU7N77 | Long             | DBT              | CORP              | BM        |     470000 | PA      | $403429.20    | 0.10%             | 2031-04-08      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Fujitsu Ltd                                       | Fujitsu Ltd                                                                                                              | CUSIP: 000000000<br>LEI: 3538000246DHJLRTUZ24 | Long             | EC               | CORP              | JP        |       6900 | NS      | $913753.55    | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTUM (ZURICH INS)                             | Argentum Netherlands BV for Zurich Insurance Co Ltd                                                                      | CUSIP: 000000000<br>LEI: 50ZCTKCMUDIABGHX3R52 | Long             | DBT              | CORP              | NL        |     360000 | PA      | $324648.00    | 0.08%             | 2048-06-01      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                              | Targa Resources Corp                                                                                                     | CUSIP: 87612GAB7<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |     341000 | PA      | $269766.81    | 0.07%             | 2052-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| PPG Industries Inc                                | PPG Industries Inc                                                                                                       | CUSIP: 693506107<br>LEI: 549300BKPEP01R3V6C59 | Long             | EC               | CORP              | US        |       9159 | NS      | $1151652.66   | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| MOL HUNGARIAN OIL & GAS                           | MOL Hungarian Oil & Gas PLC                                                                                              | CUSIP: 000000000<br>LEI: 213800R83KX5FQFGXS67 | Long             | DBT              | CORP              | HU        |     280000 | PA      | $246439.40    | 0.06%             | 2027-10-08      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Amdocs Ltd                                        | Amdocs Ltd                                                                                                               | CUSIP: 000000000<br>LEI: 549300HQV672RJ7RQV66 | Long             | EC               | CORP              | GG        |       7713 | NS      | $701111.70    | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| REPUBLIC OF CYPRUS                                | Cyprus Government International Bond                                                                                     | CUSIP: 000000000<br>LEI: 213800IOEYYAHPDLUL60 | Long             | DBT              | NUSS              | CY        |     808000 | PA      | $644679.15    | 0.16%             | 2032-01-20      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                          | PURCHASED THB / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | TH        |          1 | NC      | $76222.92     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF CYPRUS                                | Cyprus Government International Bond                                                                                     | CUSIP: 000000000<br>LEI: 213800IOEYYAHPDLUL60 | Long             | DBT              | NUSS              | CY        |    1061000 | PA      | $889344.35    | 0.22%             | 2030-01-21      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED EUR / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | N/A       |          1 | NC      | $25717.71     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JERSEY CENTRAL PWR & LT                           | Jersey Central Power & Light Co                                                                                          | CUSIP: 476556DD4<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |     427000 | PA      | $344817.70    | 0.08%             | 2032-03-01      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| Singapore Exchange Derivatives Clearing Limited   | SGX NIFTY 50 JAN23                                                                                                       | CUSIP: 000000000<br>LEI: 549300ZLWT3FK3F0FW61 | N/A              | DE               |  | SG        |         93 | NC      | $13379.33     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust       | MF1 2022-FL8 Ltd                                                                                                         | CUSIP: 55284JAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $239713.25    | 0.06%             | 2037-02-19      | Floating      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                                               | CUSIP: 21H052611<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     250000 | PA      | $251397.90    | 0.06%             | 2053-01-23      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Akzo Nobel NV                                     | Akzo Nobel NV                                                                                                            | CUSIP: 000000000<br>LEI: 724500XYIJUGXAA5QD70 | Long             | EC               | CORP              | NL        |       6921 | NS      | $463480.82    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Orange SA                                         | Orange SA                                                                                                                | CUSIP: 000000000<br>LEI: 969500MCOONR8990S771 | Long             | EC               | CORP              | FR        |      15767 | NS      | $156777.52    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd   | Arbor Realty Commercial Real Estate Notes 2021-FL1 Ltd                                                                   | CUSIP: 03881CAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     214500 | PA      | $197889.55    | 0.05%             | 2035-12-15      | Floating      | 5.77%                 | Yes           |                  2 | On Loan: No      |
| GEA Group AG                                      | GEA Group AG                                                                                                             | CUSIP: 000000000<br>LEI: 549300PHUU0ZZWO8EO07 | Long             | EC               | CORP              | DE        |       3988 | NS      | $163073.99    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Brown Brothers Harriman & Co.                     | PURCHASED USD / SOLD EUR                                                                                                 | CUSIP: 000000000<br>LEI: 5493006KMX1VFTPYPW14 | N/A              | DFE              |  | US        |          1 | NC      | $-5649.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Exelon Corp                                       | Exelon Corp                                                                                                              | CUSIP: 30161N101<br>LEI: 3SOUA6IRML7435B56G12 | Long             | EC               | CORP              | US        |       9146 | NS      | $395381.58    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| The Montreal Exchange / Bourse De Montreal        | CAN 10YR BOND FUT MAR23                                                                                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |       -238 | NC      | $561876.26    | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| PROVINCE OF ALBERTA                               | Province of Alberta Canada                                                                                               | CUSIP: 013051DB0<br>LEI: LQPXMHHNJKIPJYE53543 | Long             | DBT              | NUSS              | CA        |     665000 | PA      | $500149.74    | 0.12%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Lear Corp                                         | Lear Corp                                                                                                                | CUSIP: 521865204<br>LEI: 549300UPNBTXA1SYTQ33 | Long             | EC               | CORP              | US        |       5381 | NS      | $667351.62    | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                            | PURCHASED CAD / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | CA        |          1 | NC      | $-3574.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED NZD / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | NZ        |          1 | NC      | $523615.58    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| Hitachi Ltd                                       | Hitachi Ltd                                                                                                              | CUSIP: 000000000<br>LEI: 549300T6IPOCDWLKC615 | Long             | EC               | CORP              | JP        |      25700 | NS      | $1293348.50   | 0.31%             |  |  |  | No            |                  2 | On Loan: No      |
| TRITON CONTAINER                                  | Triton Container International Ltd                                                                                       | CUSIP: 89680YAC9<br>LEI: 549300O4LZFLCX53XZ54 | Long             | DBT              | CORP              | BM        |     440000 | PA      | $342522.68    | 0.08%             | 2031-06-15      | Fixed         | 3.15%                 | Yes           |                  2 | On Loan: No      |
| BROADCOM INC                                      | Broadcom Inc                                                                                                             | CUSIP: 11135FBL4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     240000 | PA      | $191455.80    | 0.05%             | 2034-04-15      | Fixed         | 3.47%                 | Yes           |                  2 | On Loan: No      |
| Axalta Coating Systems Ltd                        | Axalta Coating Systems Ltd                                                                                               | CUSIP: 000000000<br>LEI: 529900AGLPA40GV6H619 | Long             | EC               | CORP              | BM        |      16631 | NS      | $423591.57    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                          | CUSIP: 31417VPC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48342 | PA      | $48821.35     | 0.01%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD CZK                                                                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-252115.01   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Medtronic PLC                                     | Medtronic PLC                                                                                                            | CUSIP: 000000000<br>LEI: 549300GX3ZBSQWUXY261 | Long             | EC               | CORP              | IE        |      12891 | NS      | $1001888.52   | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD EUR                                                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-9651.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Truist Financial Corp                             | Truist Financial Corp                                                                                                    | CUSIP: 89832Q109<br>LEI: 549300DRQQI75D2JP341 | Long             | EC               | CORP              | US        |      26519 | NS      | $1141112.57   | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED JPY / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | JP        |          1 | NC      | $88932.04     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 10YR ULTRA FUT MAR23                                                                                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -115 | NC      | $134893.73    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank N.A.                          | PURCHASED USD / SOLD IDR                                                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-12681.39    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Reckitt Benckiser Group PLC                       | Reckitt Benckiser Group PLC                                                                                              | CUSIP: 000000000<br>LEI: 5493003JFSMOJG48V108 | Long             | EC               | CORP              | GB        |      12795 | NS      | $890058.44    | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD ILS                                                                                                 | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $14696.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Texas Instruments Inc                             | Texas Instruments Inc                                                                                                    | CUSIP: 882508104<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | EC               | CORP              | US        |      11560 | NS      | $1909943.20   | 0.46%             |  |  |  | No            |                  1 | On Loan: No      |
| EURO STABILITY MECHANISM                          | European Stability Mechanism                                                                                             | CUSIP: 000000000<br>LEI: 222100W4EEAQ77386N50 | Long             | DBT              | NUSS              | N/A       |    4260000 | PA      | $3491679.93   | 0.85%             | 2031-10-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| LXP INDUSTRIAL TRUST                              | LXP Industrial Trust                                                                                                     | CUSIP: 529043AE1<br>LEI: 549300S4MH2ICXDBFV43 | Long             | DBT              | CORP              | US        |     466000 | PA      | $371192.82    | 0.09%             | 2030-09-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust             | Wells Fargo Commercial Mortgage Trust 2021-C60                                                                           | CUSIP: 95003DBP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4959625 | PA      | $437428.55    | 0.11%             | 2054-08-15      | Variable      | 1.55%                 | No            |                  2 | On Loan: No      |
| Thales SA                                         | Thales SA                                                                                                                | CUSIP: 000000000<br>LEI: 529900FNDVTQJOVVPZ19 | Long             | EC               | CORP              | FR        |       1083 | NS      | $138446.84    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Vulcan Materials Co                               | Vulcan Materials Co                                                                                                      | CUSIP: 929160109<br>LEI: 549300Q8LSNHAVWBNI21 | Long             | EC               | CORP              | US        |       3498 | NS      | $612534.78    | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                          | CUSIP: 31419JSM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     367922 | PA      | $353338.61    | 0.09%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                                | PURCHASED EUR / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | N/A       |          1 | NC      | $3004.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Alphabet Inc                                      | Alphabet Inc                                                                                                             | CUSIP: 02079K305<br>LEI: 5493006MHB84DD0ZWV18 | Long             | EC               | CORP              | US        |      11901 | NS      | $1050025.23   | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| UBISOFT ENTERTAINMENT SA                          | Ubisoft Entertainment SA                                                                                                 | CUSIP: 000000000<br>LEI: 969500I7C8V1LBIMSM05 | Long             | DBT              | CORP              | FR        |     400000 | PA      | $328606.59    | 0.08%             | 2027-11-24      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| REGENCY CENTERS LP                                | Regency Centers LP                                                                                                       | CUSIP: 75884RBA0<br>LEI: 5493008PTR2GAOYBXW28 | Long             | DBT              | CORP              | US        |     165000 | PA      | $143934.05    | 0.04%             | 2030-06-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| STELLANTIS NV                                     | Stellantis NV                                                                                                            | CUSIP: 000000000<br>LEI: 549300LKT9PW7ZIBDF31 | Long             | DBT              | CORP              | NL        |     390000 | PA      | $353713.46    | 0.09%             | 2032-04-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE SA                          | Electricite de France SA                                                                                                 | CUSIP: 000000000<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |     600000 | PA      | $524361.82    | 0.13%             | 2026-12-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                         | CUSIP: 3133B9LB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     143468 | PA      | $121649.76    | 0.03%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD CAD                                                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-5239.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Bill                                                                                              | CUSIP: 912796XY0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1350000 | PA      | $1313587.14   | 0.32%             | 2023-08-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                                | PURCHASED USD / SOLD EUR                                                                                                 | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-11418.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CORPORATE OFFICE PROP LP                          | Corporate Office Properties LP                                                                                           | CUSIP: 22003BAL0<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |     356000 | PA      | $312113.26    | 0.08%             | 2026-03-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                                | PURCHASED EUR / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | N/A       |          1 | NC      | $4847.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2022-BNK41                                                                                                          | CUSIP: 06540MBQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     592000 | PA      | $504869.91    | 0.12%             | 2065-04-15      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| Henkel AG & Co KGaA                               | Henkel AG & Co KGaA                                                                                                      | CUSIP: 000000000<br>LEI: 549300VZCL1HTH4O4Y49 | Long             | EP               | CORP              | DE        |      18037 | NS      | $1255386.49   | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| Brown Brothers Harriman & Co.                     | PURCHASED USD / SOLD EUR                                                                                                 | CUSIP: 000000000<br>LEI: 5493006KMX1VFTPYPW14 | N/A              | DFE              |  | US        |          1 | NC      | $-219584.27   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| TELUS CORP                                        | TELUS Corp                                                                                                               | CUSIP: 87971MBV4<br>LEI: L2TEUTQ8OSHMJWVLCE40 | Long             | DBT              | CORP              | CA        |    1000000 | PA      | $614106.35    | 0.15%             | 2031-11-13      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Kubota Corp                                       | Kubota Corp                                                                                                              | CUSIP: 000000000<br>LEI: 549300CSY4INHEHQQT13 | Long             | EC               | CORP              | JP        |      41400 | NS      | $570298.89    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS Mortgage Trust 2022-C18                                                                                            | CUSIP: 054975AJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     265075 | PA      | $276802.61    | 0.07%             | 2055-12-15      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| Phillips Edison & Co Inc                          | Phillips Edison & Co Inc                                                                                                 | CUSIP: 71844V201<br>LEI: 549300JPN4YHYPXTJQ85 | Long             | EC               | CORP              | US        |       3337 | NS      | $106250.08    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                          | Warnermedia Holdings Inc                                                                                                 | CUSIP: 55903VAL7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |     725000 | PA      | $597229.44    | 0.15%             | 2032-03-15      | Fixed         | 4.28%                 | Yes           |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                                | PURCHASED EUR / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | N/A       |          1 | NC      | $460825.75    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED GBP / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | GB        |          1 | NC      | $-4291.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Telkom Indonesia Persero Tbk PT                   | Telkom Indonesia Persero Tbk PT                                                                                          | CUSIP: 000000000<br>LEI: 529900M5SQZAOKV1PC81 | Long             | EC               | CORP              | ID        |     694800 | NS      | $167367.91    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Merrill Lynch International                       | CS100060 MFS                                                                                                             | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DCR              |  | LU        |    3430000 | NC      | $45906.72     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ALCON FINANCE BV                                  | Alcon Finance BV                                                                                                         | CUSIP: 000000000<br>LEI: 529900TPAPL2QKAZIO76 | Long             | DBT              | CORP              | NL        |     270000 | PA      | $264591.36    | 0.06%             | 2028-05-31      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Roche Holding AG                                  | Roche Holding AG                                                                                                         | CUSIP: 000000000<br>LEI: 549300U41AUUVOAAOB37 | Long             | EC               | CORP              | CH        |      10662 | NS      | $3349711.78   | 0.82%             |  |  |  | No            |                  1 | On Loan: No      |
| UNICREDIT SPA                                     | UniCredit SpA                                                                                                            | CUSIP: 904678AU3<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |     590000 | PA      | $522459.24    | 0.13%             | 2026-09-22      | Fixed         | 2.57%                 | Yes           |                  2 | On Loan: No      |
| NatWest Markets PLC                               | PURCHASED EUR / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: RR3QWICWWIPCS8A4S074 | N/A              | DFE              |  | N/A       |          1 | NC      | $7738.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Boston Scientific Corp                            | Boston Scientific Corp                                                                                                   | CUSIP: 101137107<br>LEI: Y6ZDD9FP4P8JSSJMW954 | Long             | EC               | CORP              | US        |      21266 | NS      | $983977.82    | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                         | CUSIP: 3132DWDJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     265462 | PA      | $224886.62    | 0.05%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                             | CUSIP: 3137FEZU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     400000 | PA      | $389858.64    | 0.09%             | 2028-04-25      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD EUR                                                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-2092.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 10YR NOTE (CBT)MAR23                                                                                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -316 | NC      | $258774.48    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| ICELAND BONDCO PLC                                | Iceland Bondco PLC                                                                                                       | CUSIP: 000000000<br>LEI: 2138002DRBYIA8QXHO36 | Long             | DBT              | CORP              | GB        |     710000 | PA      | $613723.52    | 0.15%             | 2028-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Archer-Daniels-Midland Co                         | Archer-Daniels-Midland Co                                                                                                | CUSIP: 039483102<br>LEI: 549300LO13MQ9HYSTR83 | Long             | EC               | CORP              | US        |       5647 | NS      | $524323.95    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| RAC BOND CO PLC                                   | RAC Bond Co PLC                                                                                                          | CUSIP: 000000000<br>LEI: 2138008FCM2SUNLC7B21 | Long             | DBT              | CORP              | GB        |     310000 | PA      | $339302.30    | 0.08%             | 2026-05-06      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| GROUPE ACM                                        | Groupe des Assurances du Credit Mutuel SADIR                                                                             | CUSIP: 000000000<br>LEI: 96950090CGKLVXEKWF10 | Long             | DBT              | CORP              | FR        |     400000 | PA      | $307426.24    | 0.07%             | 2042-04-21      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                          | Rogers Communications Inc                                                                                                | CUSIP: 775109BP5<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |     316000 | PA      | $214009.40    | 0.05%             | 2049-11-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                          | Anheuser-Busch InBev Worldwide Inc                                                                                       | CUSIP: 03523TBV9<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |     314000 | PA      | $310419.72    | 0.08%             | 2049-01-23      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY OF PENNSYLVAN                          | Trustees of the University of Pennsylvania/The                                                                           | CUSIP: 91481CAD2<br>LEI: 549300FG60YK9HZ7DS75 | Long             | DBT              | CORP              | US        |     409000 | PA      | $255636.46    | 0.06%             | 2050-10-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                          | Avolon Holdings Funding Ltd                                                                                              | CUSIP: 05401AAG6<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     266000 | PA      | $242364.71    | 0.06%             | 2026-05-01      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| J M Smucker Co/The                                | J M Smucker Co/The                                                                                                       | CUSIP: 832696405<br>LEI: 5493000WDH6A0LHDJD55 | Long             | EC               | CORP              | US        |       4600 | NS      | $728916.00    | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| NXP Semiconductors NV                             | NXP Semiconductors NV                                                                                                    | CUSIP: 000000000<br>LEI: 724500M9BY5293JDF951 | Long             | EC               | CORP              | NL        |       5964 | NS      | $942490.92    | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                          | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                                                | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     209000 | PA      | $163388.00    | 0.04%             | 2032-01-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED SGD / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | SG        |          1 | NC      | $451127.72    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| Biogen Inc                                        | Biogen Inc                                                                                                               | CUSIP: 09062X103<br>LEI: W8J5WZB5IY3K0NDQT671 | Long             | EC               | CORP              | US        |        467 | NS      | $129321.64    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| CAIXABANK SA                                      | CaixaBank SA                                                                                                             | CUSIP: 000000000<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |     200000 | PA      | $218384.97    | 0.05%             | 2030-11-14      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Fiserv Inc                                        | Fiserv Inc                                                                                                               | CUSIP: 337738108<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | EC               | CORP              | US        |       7342 | NS      | $742055.94    | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| Edison International                              | Edison International                                                                                                     | CUSIP: 281020107<br>LEI: 549300I7ROF15MAEVP56 | Long             | EC               | CORP              | US        |       8644 | NS      | $549931.28    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD EUR                                                                                                 | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-13151.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                             | CUSIP: 3137H3EZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1902494 | PA      | $111695.42    | 0.03%             | 2031-09-25      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD EUR                                                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-438.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNICAJA BANCO SA                                  | Unicaja Banco SA                                                                                                         | CUSIP: 000000000<br>LEI: 5493007SJLLCTM6J6M37 | Long             | DBT              | CORP              | ES        |     500000 | PA      | $469387.82    | 0.11%             | 2026-12-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | S+P500 EMINI FUT MAR23                                                                                                   | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |        -43 | NC      | $293515.42    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC Bank USA N.A.                                | PURCHASED JPY / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | JP        |          1 | NC      | $1745558.27   | 0.42%             |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                             | Toronto-Dominion Bank/The                                                                                                | CUSIP: 89115A2C5<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |     801000 | PA      | $774286.93    | 0.19%             | 2027-06-08      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| Chemours Co/The                                   | Chemours Co/The                                                                                                          | CUSIP: 163851108<br>LEI: 549300M1BOLNXL8DOV14 | Long             | EC               | CORP              | US        |       4368 | NS      | $133748.16    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank N.A.                          | PURCHASED AUD / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |          1 | NC      | $-41496.58    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NatWest Group PLC                                 | NatWest Group PLC                                                                                                        | CUSIP: 000000000<br>LEI: 2138005O9XJIJN4JPN90 | Long             | EC               | CORP              | GB        |     398620 | NS      | $1278029.80   | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                          | CUSIP: 3140QKNN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     246755 | PA      | $209185.20    | 0.05%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                         | Prosus NV                                                                                                                | CUSIP: 74365PAA6<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |     440000 | PA      | $365836.48    | 0.09%             | 2030-01-21      | Fixed         | 3.68%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                          | CUSIP: 31410KGB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33906 | PA      | $35061.61     | 0.01%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                    | CUSIP: 3128MJM64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     143933 | PA      | $142845.96    | 0.03%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                          | Rogers Communications Inc                                                                                                | CUSIP: 775109CC3<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |     413000 | PA      | $356399.80    | 0.09%             | 2032-03-15      | Fixed         | 3.80%                 | Yes           |                  2 | On Loan: No      |
| The Montreal Exchange / Bourse De Montreal        | CAN 5YR BOND FUT MAR23                                                                                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |        -14 | NC      | $5860.57      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EPR PROPERTIES                                    | EPR Properties                                                                                                           | CUSIP: 26884UAG4<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |     405000 | PA      | $293422.99    | 0.07%             | 2031-11-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Albertsons Cos Inc                                | Albertsons Cos Inc                                                                                                       | CUSIP: 013091103<br>LEI: 549300YKWOC0AOR16R51 | Long             | EC               | CORP              | US        |      12628 | NS      | $261904.72    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| ALCON FINANCE CORP                                | Alcon Finance Corp                                                                                                       | CUSIP: 01400EAC7<br>LEI: 549300CUZUI9VU7XNK42 | Long             | DBT              | CORP              | US        |     626000 | PA      | $475126.83    | 0.12%             | 2049-09-23      | Fixed         | 3.80%                 | Yes           |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                                | PURCHASED USD / SOLD EUR                                                                                                 | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-12579.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RECKITT BENCKISER TSY                             | Reckitt Benckiser Treasury Services PLC                                                                                  | CUSIP: 75625QAE9<br>LEI: 213800LAXWIUOOBZ3908 | Long             | DBT              | CORP              | GB        |     425000 | PA      | $394281.72    | 0.10%             | 2027-06-26      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD GBP                                                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-841171.72   | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| NESTE OYJ                                         | Neste Oyj                                                                                                                | CUSIP: 000000000<br>LEI: 5493009GY1X8GQ66AM14 | Long             | DBT              | CORP              | FI        |     400000 | PA      | $362642.60    | 0.09%             | 2028-03-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | PURCHASED EUR / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | N/A       |          1 | NC      | $4735.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank N.A.                                     | PURCHASED USD / SOLD CAD                                                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-1839.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                          | CUSIP: 3138EPUM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     171313 | PA      | $169827.74    | 0.04%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                               | NatWest Markets PLC                                                                                                      | CUSIP: 000000000<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |     172000 | PA      | $212690.83    | 0.05%             | 2027-11-08      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                                | PURCHASED USD / SOLD CAD                                                                                                 | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-3011.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED SEK / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | SE        |          1 | NC      | $59402.94     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                          | Avolon Holdings Funding Ltd                                                                                              | CUSIP: 05401AAP6<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     335000 | PA      | $268915.79    | 0.07%             | 2028-02-21      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED EUR / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | N/A       |          1 | NC      | $16998.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Microsoft Corp                                    | Microsoft Corp                                                                                                           | CUSIP: 594918104<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | EC               | CORP              | US        |       7681 | NS      | $1842057.42   | 0.45%             |  |  |  | No            |                  1 | On Loan: No      |
| Suncor Energy Inc                                 | Suncor Energy Inc                                                                                                        | CUSIP: 867224107<br>LEI: 549300W70ZOQDVLCHY06 | Long             | EC               | CORP              | CA        |      25001 | NS      | $793052.40    | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD GBP                                                                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-3357.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SARENS FINANCE CO NV                              | Sarens Finance Co NV                                                                                                     | CUSIP: 000000000<br>LEI: 549300B68EWZ6IHPCL79 | Long             | DBT              | CORP              | BE        |     570000 | PA      | $461888.25    | 0.11%             | 2027-02-21      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Business Jet Securities, LLC                      | Business Jet Securities 2021-1 LLC                                                                                       | CUSIP: 12327BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     177605 | PA      | $155946.37    | 0.04%             | 2036-04-15      | Fixed         | 2.16%                 | Yes           |                  2 | On Loan: No      |
| KOREA TREASURY BOND                               | Korea Treasury Bond                                                                                                      | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        | 2483000000 | PA      | $1829846.53   | 0.45%             | 2027-06-10      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                          | Sabine Pass Liquefaction LLC                                                                                             | CUSIP: 785592AS5<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |     356000 | PA      | $349066.53    | 0.08%             | 2027-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Starwood Commercial Mortgage Trust                | STWD 2021-FL2 Ltd                                                                                                        | CUSIP: 78486BAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     700000 | PA      | $662107.81    | 0.16%             | 2038-04-18      | Floating      | 5.78%                 | Yes           |                  2 | On Loan: No      |
| AVIVA PLC                                         | Aviva PLC                                                                                                                | CUSIP: 000000000<br>LEI: YF0Y5B0IB8SM0ZFG9G81 | Long             | DBT              | CORP              | GB        |     475000 | PA      | $439364.26    | 0.11%             | 2055-06-03      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Gerdau SA                                         | Gerdau SA                                                                                                                | CUSIP: 000000000<br>LEI: 254900YDV6SEQQPZVG24 | Long             | EP               | CORP              | BR        |      69500 | NS      | $386612.06    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                          | CUSIP: 3140XDYN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68547 | PA      | $58532.21     | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Becton Dickinson and Co                           | Becton Dickinson and Co                                                                                                  | CUSIP: 075887109<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | EC               | CORP              | US        |       3569 | NS      | $907596.70    | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| CADILLAC FAIRVIEW PRP TR                          | Ontario Teachers' Cadillac Fairview Properties Trust                                                                     | CUSIP: 68327LAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     517000 | PA      | $394102.81    | 0.10%             | 2031-10-15      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                          | CUSIP: 3138A2AX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     241272 | PA      | $228579.20    | 0.06%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                    | CUSIP: 31297CWY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10900 | PA      | $11161.94     | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PFP III                                           | PFP 2021-8 Ltd                                                                                                           | CUSIP: 69357XAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     238000 | PA      | $214451.80    | 0.05%             | 2037-08-09      | Floating      | 5.83%                 | Yes           |                  2 | On Loan: No      |
| Regal Rexnord Corp                                | Regal Rexnord Corp                                                                                                       | CUSIP: 758750103<br>LEI: QH78R09VCJGQKPBPYU33 | Long             | EC               | CORP              | US        |       7153 | NS      | $858216.94    | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                            | PURCHASED USD / SOLD GBP                                                                                                 | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $-12038.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                          | CUSIP: 3140L1Y58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     209772 | PA      | $172166.77    | 0.04%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HELLENIC REPUBLIC                                 | Hellenic Republic Government Bond                                                                                        | CUSIP: 000000000<br>LEI: 2138003EKTMKZ5598902 | Long             | DBT              | NUSS              | GR        |    1004000 | PA      | $950664.31    | 0.23%             | 2026-02-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                              | Enel Finance International NV                                                                                            | CUSIP: 29278GAP3<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |     830000 | PA      | $603913.61    | 0.15%             | 2031-07-12      | Fixed         | 2.25%                 | Yes           |                  2 | On Loan: No      |
| AIA GROUP LTD                                     | AIA Group Ltd                                                                                                            | CUSIP: 000000000<br>LEI: ZP5ILWVSYE4LJGMMVD57 | Long             | DBT              | CORP              | HK        |     850000 | PA      | $704465.27    | 0.17%             | 2033-09-09      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Euronext Eqf, Equities And Indices Derivatives    | AMSTERDAM IDX FUT JAN23                                                                                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | NL        |        -93 | NC      | $642619.83    | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| Huntington Ingalls Industries Inc                 | Huntington Ingalls Industries Inc                                                                                        | CUSIP: 446413106<br>LEI: 5TZLZ6WJTBVJ0QWBG121 | Long             | EC               | CORP              | US        |       1103 | NS      | $254440.04    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| WP CAREY INC                                      | WP Carey Inc                                                                                                             | CUSIP: 92936UAG4<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |     681000 | PA      | $542600.16    | 0.13%             | 2031-02-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                          | PURCHASED MXN / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | MX        |          1 | NC      | $10545.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Willis Towers Watson PLC                          | Willis Towers Watson PLC                                                                                                 | CUSIP: 000000000<br>LEI: 549300WHC56FF48KL350 | Long             | EC               | CORP              | IE        |       5017 | NS      | $1227057.86   | 0.30%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                             | CUSIP: 3137FWHX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1436842 | PA      | $140634.93    | 0.03%             | 2030-08-25      | Variable      | 1.60%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                                   | AREIT 2022-CRE6 Trust                                                                                                    | CUSIP: 04002VAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |     100000 | PA      | $92382.20     | 0.02%             | 2037-01-16      | Floating      | 6.68%                 | Yes           |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BTP FUTURE MAR23                                                                                                    | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        -53 | NC      | $450245.29    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Johnson Controls International plc                | Johnson Controls International plc                                                                                       | CUSIP: 000000000<br>LEI: 549300XQ6S1GYKGBL205 | Long             | EC               | CORP              | IE        |      20418 | NS      | $1306752.00   | 0.32%             |  |  |  | No            |                  1 | On Loan: No      |
| Merrill Lynch International                       | PURCHASED SGD / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DFE              |  | SG        |          1 | NC      | $75070.47     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                    | CUSIP: 3128M4V42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6191 | PA      | $6426.34      | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| South African Futures Exchange                    | FTSE/JSE TOP 40 MAR23                                                                                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | ZA        |       -156 | NC      | $190843.72    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs International                       | PURCHASED SGD / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | SG        |          1 | NC      | $14027.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NatWest Markets PLC                               | PURCHASED USD / SOLD JPY                                                                                                 | CUSIP: 000000000<br>LEI: RR3QWICWWIPCS8A4S074 | N/A              | DFE              |  | US        |          1 | NC      | $-77584.51    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Osaka Exchange                                    | TOPIX INDX FUTR MAR23                                                                                                    | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DE               |  | JP        |         47 | NC      | $-213962.96   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                              | Glencore Funding LLC                                                                                                     | CUSIP: 378272BE7<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     590000 | PA      | $482811.83    | 0.12%             | 2031-04-27      | Fixed         | 2.85%                 | Yes           |                  2 | On Loan: No      |
| Brown Brothers Harriman & Co.                     | PURCHASED JPY / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 5493006KMX1VFTPYPW14 | N/A              | DFE              |  | JP        |          1 | NC      | $10195.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                          | CUSIP: 3140MPWE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1989406 | PA      | $1684885.64   | 0.41%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                       | PURCHASED COP / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | CO        |          1 | NC      | $4561.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                          | CUSIP: 31403DBY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      92265 | PA      | $94223.74     | 0.02%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                       | CUSIP: 36179XFJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      74497 | PA      | $73836.61     | 0.02%             | 2052-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Cigna Corp                                        | Cigna Corp                                                                                                               | CUSIP: 125523100<br>LEI: 549300VIWYMSIGT1U456 | Long             | EC               | CORP              | US        |       5598 | NS      | $1854841.32   | 0.45%             |  |  |  | No            |                  1 | On Loan: No      |
| Cie Financiere Richemont SA                       | Cie Financiere Richemont SA                                                                                              | CUSIP: 000000000<br>LEI: 549300YIPGJ6UX2QPS51 | Long             | EC               | CORP              | CH        |       9803 | NS      | $1268563.48   | 0.31%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                    | CUSIP: 3128M9BH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     131105 | PA      | $133113.44    | 0.03%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                     | PURCHASED EUR / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | N/A       |          1 | NC      | $10581.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                         | CUSIP: 3133BQTE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     249975 | PA      | $253787.55    | 0.06%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                           | Mexican Bonos                                                                                                            | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   51100000 | PA      | $2471649.30   | 0.60%             | 2027-06-03      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Brown Brothers Harriman & Co.                     | PURCHASED NOK / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 5493006KMX1VFTPYPW14 | N/A              | DFE              |  | NO        |          1 | NC      | $9563.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BP CAPITAL MARKETS PLC                            | BP Capital Markets PLC                                                                                                   | CUSIP: 000000000<br>LEI: 549300CRVT18MXX0AG93 | Long             | DBT              | CORP              | GB        |     290000 | PA      | $266179.75    | 0.06%             | 2029-03-22      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch International                       | PURCHASED EUR / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DFE              |  | N/A       |          1 | NC      | $200869.08    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED EUR / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | N/A       |          1 | NC      | $5.80         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                          | CUSIP: 3140L1Y41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     341013 | PA      | $280199.05    | 0.07%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Brown Brothers Harriman & Co.                     | PURCHASED ILS / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 5493006KMX1VFTPYPW14 | N/A              | DFE              |  | IL        |          1 | NC      | $-355.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                          | CUSIP: 3140QNDE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     274182 | PA      | $240784.48    | 0.06%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | PURCHASED USD / SOLD GBP                                                                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |          1 | NC      | $-82405.34    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                          | CUSIP: 31416BW87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     533744 | PA      | $526658.19    | 0.13%             | 2034-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | PURCHASED USD / SOLD CHF                                                                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |          1 | NC      | $9437.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK 2021-BN35                                    | BANK 2021-BNK35                                                                                                          | CUSIP: 06540CBL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2937807 | PA      | $174895.88    | 0.04%             | 2064-06-15      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                          | PURCHASED USD / SOLD EUR                                                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-7185.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-SCHATZ FUT MAR23                                                                                                    | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -166 | NC      | $205766.81    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| BPCE SA                                           | BPCE SA                                                                                                                  | CUSIP: 05583JAJ1<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     550000 | PA      | $411178.33    | 0.10%             | 2032-01-20      | Fixed         | 2.28%                 | Yes           |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                              | Targa Resources Corp                                                                                                     | CUSIP: 87612GAA9<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |      56000 | PA      | $48180.35     | 0.01%             | 2033-02-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD SGD                                                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-11280.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SAMHALLSBYGGNADS                                  | Samhallsbyggnadsbolaget i Norden AB                                                                                      | CUSIP: 000000000<br>LEI: 549300HX9MRFY47AH564 | Long             | DBT              | CORP              | SE        |    1360000 | PA      | $545638.08    | 0.13%             | 2026-10-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| AON CORP/AON GLOBAL HOLD                          | Aon Corp / Aon Global Holdings PLC                                                                                       | CUSIP: 03740LAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     420000 | PA      | $342807.39    | 0.08%             | 2031-12-02      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Massachusetts Educational Financing Authority     | MASSACHUSETTS ST EDUCTNL FING AUTH                                                                                       | CUSIP: 57563RRZ4<br>LEI: 5493007K5OP7V6CL0Y88 | Long             | DBT              | MUN               | US        |     695000 | PA      | $627064.93    | 0.15%             | 2037-07-01      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD EUR                                                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-13467.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                          | CUSIP: 3140QEAV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58307 | PA      | $50137.90     | 0.01%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch International                       | CS100064 MFS                                                                                                             | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DCR              |  | US        |    3440000 | NC      | $46040.56     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                                                                      | CUSIP: 46647PBN5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    1629000 | PA      | $1067296.38   | 0.26%             | 2051-04-22      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| China Petroleum & Chemical Corp                   | China Petroleum & Chemical Corp                                                                                          | CUSIP: 000000000<br>LEI: 529900A2OB24EZ5B3J19 | Long             | EC               | CORP              | CN        |    1574000 | NS      | $760235.48    | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| Petroleo Brasileiro SA                            | Petroleo Brasileiro SA                                                                                                   | CUSIP: 71654V101<br>LEI: 5493000J801JZRCMFE49 | Long             | EC               | CORP              | BR        |      21218 | NS      | $197115.22    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Citibank N.A.                                     | PURCHASED USD / SOLD AUD                                                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-26545.33    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                          | CUSIP: 31410KJU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      86430 | PA      | $89671.97     | 0.02%             | 2038-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                             | Indonesia Government International Bond                                                                                  | CUSIP: 455780DJ2<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |     440000 | PA      | $396668.52    | 0.10%             | 2032-03-31      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| JAPAN (30 YEAR ISSUE)                             | Japan Government Thirty Year Bond                                                                                        | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  843850000 | PA      | $6852005.42   | 1.67%             | 2044-06-20      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| Exchange traded                                   | S+P 500 INDEX                                                                                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |         64 | NC      | $356480.00    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                             | China Government Bond                                                                                                    | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |   16920000 | PA      | $2484639.95   | 0.60%             | 2029-11-21      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2021-B26 Mortgage Trust                                                                                        | CUSIP: 08163EBE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5580124 | PA      | $273857.41    | 0.07%             | 2054-06-15      | Variable      | 0.89%                 | No            |                  2 | On Loan: No      |
| KB Financial Group Inc                            | KB Financial Group Inc                                                                                                   | CUSIP: 000000000<br>LEI: 529900TKE4MXG3Q6GW86 | Long             | EC               | CORP              | KR        |       3286 | NS      | $125160.37    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| THERMO FISHER SC FNCE I                           | Thermo Fisher Scientific Finance I BV                                                                                    | CUSIP: 000000000<br>LEI: 549300SM0PJC1F3RPL91 | Long             | DBT              | CORP              | NL        |     360000 | PA      | $241899.32    | 0.06%             | 2051-10-18      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BRITISH COLUMBIA PROV OF                          | Province of British Columbia Canada                                                                                      | CUSIP: 110709GJ5<br>LEI: 54930058TO7MEKUHWL16 | Long             | DBT              | NUSS              | CA        |     300000 | PA      | $174806.50    | 0.04%             | 2050-06-18      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| GRAND CITY PROPERTIES SA                          | Grand City Properties SA                                                                                                 | CUSIP: 000000000<br>LEI: 5299002QLUYKK2WBMB18 | Long             | DBT              | CORP              | LU        |     600000 | PA      | $275533.70    | 0.07%             | 2023-07-24      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                    | Home Depot Inc/The                                                                                                       | CUSIP: 437076BD3<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |     453000 | PA      | $433138.53    | 0.11%             | 2044-02-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                                | PURCHASED USD / SOLD EUR                                                                                                 | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-507.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                       | CUSIP: 36179WR26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     250439 | PA      | $217030.17    | 0.05%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD EUR                                                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-6848.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                       | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      65260 | PA      | $56681.87     | 0.01%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JAPAN (30 YEAR ISSUE)                             | Japan Government Thirty Year Bond                                                                                        | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  147100000 | PA      | $1312949.32   | 0.32%             | 2040-03-20      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES                           | Royal Caribbean Cruises Ltd                                                                                              | CUSIP: 780153BH4<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |     322000 | PA      | $260287.94    | 0.06%             | 2026-07-01      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Techtronic Industries Co Ltd                      | Techtronic Industries Co Ltd                                                                                             | CUSIP: 000000000<br>LEI: 549300HZW2SBE758OK89 | Long             | EC               | CORP              | HK        |      15500 | NS      | $172962.48    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Magna International Inc                           | Magna International Inc                                                                                                  | CUSIP: 559222401<br>LEI: 95RWVLFZX6VGDZNNTN43 | Long             | EC               | CORP              | CA        |       8693 | NS      | $488323.18    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Stanley Black & Decker Inc                        | Stanley Black & Decker Inc                                                                                               | CUSIP: 854502101<br>LEI: 549300DJ09SMTO561131 | Long             | EC               | CORP              | US        |       7056 | NS      | $530046.72    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| ALPEK SA DE CV                                    | Alpek SAB de CV                                                                                                          | CUSIP: 020564AE0<br>LEI: 549300PWKJTP62D4IQ66 | Long             | DBT              | CORP              | MX        |     219000 | PA      | $182482.05    | 0.04%             | 2031-02-25      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| LoanCore 2021-CRE5 Issuer, Ltd                    | LoanCore 2021-CRE5 Issuer Ltd                                                                                            | CUSIP: 53947XAG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     367000 | PA      | $343667.57    | 0.08%             | 2036-07-15      | Floating      | 6.32%                 | Yes           |                  2 | On Loan: No      |
| Citibank N.A.                                     | PURCHASED USD / SOLD BRL                                                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-19364.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: BM11305   IRS USD R V 12MSOFR SM11305_FLO CCPOIS / Short: BM11305   IRS USD P F  3.25000 SM11305_FIX CCPOIS        | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   13000000 | OU      | $-149707.74   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD EUR                                                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-310420.15   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| PACCAR Inc                                        | PACCAR Inc                                                                                                               | CUSIP: 693718108<br>LEI: KDTEY8BWE486IKZ3CC07 | Long             | EC               | CORP              | US        |       1726 | NS      | $170822.22    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank N.A.                          | PURCHASED USD / SOLD GBP                                                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-106252.48   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED AUD / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | AU        |          1 | NC      | $189944.36    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| GLENCORE CAP FIN DAC                              | Glencore Capital Finance DAC                                                                                             | CUSIP: 000000000<br>LEI: 213800HCUCI1HC7X6Q34 | Long             | DBT              | CORP              | IE        |     610000 | PA      | $537397.76    | 0.13%             | 2028-03-10      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                          | CUSIP: 31413RFX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19561 | PA      | $19865.69     | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Nestle SA                                         | Nestle SA                                                                                                                | CUSIP: 000000000<br>LEI: KY37LUS27QQX7BB93L28 | Long             | EC               | CORP              | CH        |       8116 | NS      | $937280.18    | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank N.A.                                     | PURCHASED USD / SOLD KRW                                                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-7154.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                                | PURCHASED USD / SOLD EUR                                                                                                 | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-28903.13    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                       | PURCHASED CLP / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | CL        |          1 | NC      | $12287.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                          | Virginia Electric and Power Co                                                                                           | CUSIP: 927804FX7<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |     330000 | PA      | $311861.81    | 0.08%             | 2027-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Singapore Exchange Derivatives Clearing Limited   | MSCI SING IX ETS JAN23                                                                                                   | CUSIP: 000000000<br>LEI: 549300ZLWT3FK3F0FW61 | N/A              | DE               |  | SG        |       -638 | NC      | $1365.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LOGICOR FINANCING SARL                            | Logicor Financing Sarl                                                                                                   | CUSIP: 000000000<br>LEI: 254900IS16Q1A2TQFN22 | Long             | DBT              | CORP              | LU        |     200000 | PA      | $138532.90    | 0.03%             | 2031-01-14      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                             | CUSIP: 3137FUZZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1747943 | PA      | $172204.02    | 0.04%             | 2030-05-25      | Variable      | 1.67%                 | No            |                  2 | On Loan: No      |
| Wolters Kluwer NV                                 | Wolters Kluwer NV                                                                                                        | CUSIP: 000000000<br>LEI: 724500TEM53I0U077B74 | Long             | EC               | CORP              | NL        |       8788 | NS      | $919639.09    | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| Brunswick Corp/DE                                 | Brunswick Corp/DE                                                                                                        | CUSIP: 117043109<br>LEI: YM4O38W15AX4YLLQKU27 | Long             | EC               | CORP              | US        |       2432 | NS      | $175298.56    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC Bank USA N.A.                                | PURCHASED EUR / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | N/A       |          1 | NC      | $16439.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                                | PURCHASED JPY / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | JP        |          1 | NC      | $14792.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TPG Real Estate Finance                           | TRTX 2021-FL4 Issuer Ltd                                                                                                 | CUSIP: 87276WAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     325500 | PA      | $314553.76    | 0.08%             | 2038-03-15      | Floating      | 5.53%                 | Yes           |                  2 | On Loan: No      |
| Oklahoma Development Finance Authority            | OKLAHOMA ST DEV FIN AUTH HLTHSYS REVENUE                                                                                 | CUSIP: 67884XCP0<br>LEI: 549300PXGPHUWC32DJ91 | Long             | DBT              | MUN               | US        |     275000 | PA      | $220645.65    | 0.05%             | 2028-08-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Samsung Fire & Marine Insurance Co Ltd            | Samsung Fire & Marine Insurance Co Ltd                                                                                   | CUSIP: 000000000<br>LEI: 988400JMBDK47EW0Z936 | Long             | EC               | CORP              | KR        |       2670 | NS      | $423279.78    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                             | CUSIP: 3137FYUL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8140507 | PA      | $261986.76    | 0.06%             | 2031-03-25      | Variable      | 0.52%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2021-B28 Mortgage Trust                                                                                        | CUSIP: 08163GAZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5280192 | PA      | $372119.92    | 0.09%             | 2054-08-15      | Variable      | 1.28%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD EUR                                                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-29222.92    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                          | Avolon Holdings Funding Ltd                                                                                              | CUSIP: 05401AAL5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     263000 | PA      | $238422.98    | 0.06%             | 2026-04-15      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| UNICREDIT SPA                                     | UniCredit SpA                                                                                                            | CUSIP: 000000000<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |     480000 | PA      | $440252.75    | 0.11%             | 2028-01-18      | Fixed         | 0.93%                 | No            |                  2 | On Loan: No      |
| EFSF                                              | European Financial Stability Facility                                                                                    | CUSIP: 000000000<br>LEI: 222100OW6UHQXNHKN143 | Long             | DBT              | NUSS              | LU        |     369000 | PA      | $400125.27    | 0.10%             | 2037-04-03      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Brown Brothers Harriman & Co.                     | PURCHASED USD / SOLD SGD                                                                                                 | CUSIP: 000000000<br>LEI: 5493006KMX1VFTPYPW14 | N/A              | DFE              |  | US        |          1 | NC      | $-108321.36   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CESKE DRAHY                                       | Ceske Drahy AS                                                                                                           | CUSIP: 000000000<br>LEI: 31570010000000034336 | Long             | DBT              | CORP              | CZ        |     600000 | PA      | $638584.35    | 0.16%             | 2027-10-12      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| INTL BK RECON & DEVELOP                           | International Bank for Reconstruction & Development                                                                      | CUSIP: 000000000<br>LEI: ZTMSNXROF84AHWJNKQ93 | Long             | DBT              | NUSS              | N/A       |     465000 | PA      | $317662.06    | 0.08%             | 2025-06-24      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                                | PURCHASED EUR / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | N/A       |          1 | NC      | $14116.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fortress CBO Investments Ltd                      | FORT CRE 2022-FL3 Issuer LLC                                                                                             | CUSIP: 34706CAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     269500 | PA      | $257918.78    | 0.06%             | 2039-02-23      | Floating      | 6.16%                 | Yes           |                  2 | On Loan: No      |
| Secom Co Ltd                                      | Secom Co Ltd                                                                                                             | CUSIP: 000000000<br>LEI: 529900TYCL9N3E9PGE47 | Long             | EC               | CORP              | JP        |      10200 | NS      | $581863.11    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED EUR / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | N/A       |          1 | NC      | $52766.03     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RELX PLC                                          | RELX PLC                                                                                                                 | CUSIP: 000000000<br>LEI: 549300WSX3VBUFFJOO66 | Long             | EC               | CORP              | GB        |      16536 | NS      | $457392.62    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| BXMT Ltd                                          | BXMT 2021-FL4 Ltd                                                                                                        | CUSIP: 05609GAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     900000 | PA      | $858629.61    | 0.21%             | 2038-05-15      | Floating      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs International                       | PURCHASED AUD / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | AU        |          1 | NC      | $31460.21     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Brown Brothers Harriman & Co.                     | PURCHASED JPY / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 5493006KMX1VFTPYPW14 | N/A              | DFE              |  | JP        |          1 | NC      | $16465.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                                | PURCHASED USD / SOLD EUR                                                                                                 | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-15395.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                                | PURCHASED USD / SOLD EUR                                                                                                 | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-7490.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                          | CUSIP: 3140F5DA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     103573 | PA      | $96385.97     | 0.02%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch International                       | CS100062 MFS                                                                                                             | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DCR              |  | US        |    3440000 | NC      | $46040.56     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED SEK / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | SE        |          1 | NC      | $6443.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Lenovo Group Ltd                                  | Lenovo Group Ltd                                                                                                         | CUSIP: 000000000<br>LEI: 254900VUZRGD5U73RE46 | Long             | EC               | CORP              | HK        |     288000 | NS      | $236511.67    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Iowa Student Loan Liquidity Corp                  | IOWA ST STUDENT LOAN LIQUIDITY CORP                                                                                      | CUSIP: 462590NG1<br>LEI: 549300FO1LWVSZKGJK70 | Long             | DBT              | MUN               | US        |     475000 | PA      | $425963.99    | 0.10%             | 2039-12-01      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                                | PURCHASED USD / SOLD GBP                                                                                                 | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-2526.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ELO SACA                                          | ELO SACA                                                                                                                 | CUSIP: 000000000<br>LEI: 969500ASEC557H5A4F22 | Long             | DBT              | CORP              | FR        |     500000 | PA      | $503485.92    | 0.12%             | 2028-12-08      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BANK OF CYPRUS PCL                                | Bank of Cyprus Pcl                                                                                                       | CUSIP: 000000000<br>LEI: PQ0RAP85KK9Z75ONZW93 | Long             | DBT              | CORP              | CY        |     670000 | PA      | $587301.69    | 0.14%             | 2027-06-24      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Massachusetts Housing Finance Agency              | MASSACHUSETTS ST HSG FIN AGY HSG REVENUE                                                                                 | CUSIP: 57587GTN5<br>LEI: 549300NLJBK1VP6K2K81 | Long             | DBT              | MUN               | US        |     515000 | PA      | $513647.25    | 0.13%             | 2052-12-01      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                       | PURCHASED USD / SOLD EUR                                                                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-1667799.40  | -0.41%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                         | CUSIP: 3132DM5N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     860805 | PA      | $728770.09    | 0.18%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Nomura Research Institute Ltd                     | Nomura Research Institute Ltd                                                                                            | CUSIP: 000000000<br>LEI: 5299005F1HCVF4M4QN79 | Long             | EC               | CORP              | JP        |      12700 | NS      | $301436.30    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                         | CUSIP: 3133B72Y3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33667 | PA      | $27411.32     | 0.01%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BSPRT Issuer, Ltd.                                | BSPRT 2021-FL7 Issuer Ltd                                                                                                | CUSIP: 05602CAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     161000 | PA      | $148309.98    | 0.04%             | 2038-12-15      | Floating      | 6.62%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                          | PURCHASED JPY / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | JP        |          1 | NC      | $96752.04     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT                               | Canadian Government Bond                                                                                                 | CUSIP: 135087M84<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    4644000 | PA      | $3135248.77   | 0.76%             | 2027-03-01      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Texas Roadhouse Inc                               | Texas Roadhouse Inc                                                                                                      | CUSIP: 882681109<br>LEI: 5299002Y1CNRPDGXTQ75 | Long             | EC               | CORP              | US        |       1939 | NS      | $176352.05    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Brown Brothers Harriman & Co.                     | PURCHASED JPY / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 5493006KMX1VFTPYPW14 | N/A              | DFE              |  | JP        |          1 | NC      | $8036.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Nutrien Ltd                                       | Nutrien Ltd                                                                                                              | CUSIP: 67077M108<br>LEI: 5493002QQ7GD21OWF963 | Long             | EC               | CORP              | CA        |       1587 | NS      | $115860.38    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | PURCHASED GBP / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | GB        |          1 | NC      | $305634.83    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                    | CUSIP: 3128M6VZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      85967 | PA      | $87733.54     | 0.02%             | 2038-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | PURCHASED USD / SOLD JPY                                                                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |          1 | NC      | $-47154.54    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                         | CUSIP: 3132DWFB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     250119 | PA      | $211852.92    | 0.05%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CANADIAN PACIFIC RAILWAY                          | Canadian Pacific Railway Co                                                                                              | CUSIP: 13645RBF0<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |     487000 | PA      | $403338.46    | 0.10%             | 2031-12-02      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD SGD                                                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-14536.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank N.A.                                     | PURCHASED USD / SOLD KRW                                                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-6736.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                          | CUSIP: 31411UZX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21633 | PA      | $22432.21     | 0.01%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                                | PURCHASED EUR / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | N/A       |          1 | NC      | $21344.47     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                                | PURCHASED USD / SOLD GBP                                                                                                 | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-306.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | PURCHASED CHF / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | CH        |          1 | NC      | $233.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                          | CUSIP: 31418PTW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5432 | PA      | $5422.00      | 0.00%             | 2025-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bacardi Ltd                                       | Bacardi Ltd                                                                                                              | CUSIP: 067316AG4<br>LEI: 549300R32WTQNHNN5055 | Long             | DBT              | CORP              | BM        |     335000 | PA      | $302661.37    | 0.07%             | 2038-05-15      | Fixed         | 5.15%                 | Yes           |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                                | PURCHASED USD / SOLD EUR                                                                                                 | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-13537.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD EUR                                                                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-11560.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                                | PURCHASED USD / SOLD GBP                                                                                                 | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-3350.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank N.A.                                     | PURCHASED USD / SOLD KRW                                                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-778914.72   | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| Cracker Barrel Old Country Store Inc              | Cracker Barrel Old Country Store Inc                                                                                     | CUSIP: 22410J106<br>LEI: 8P4PHQIUWPIECBFBW745 | Long             | EC               | CORP              | US        |       1280 | NS      | $121267.20    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                          | CUSIP: 3140QMZC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70370 | PA      | $59987.80     | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                                                                      | CUSIP: 46647PBX3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     730000 | PA      | $558394.61    | 0.14%             | 2032-02-04      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| ALLIANZ SE                                        | Allianz SE                                                                                                               | CUSIP: 018820AA8<br>LEI: 529900K9B0N5BT694847 | Long             | DBT              | CORP              | DE        |     400000 | PA      | $335070.97    | 0.08%             | 2025-11-17      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US LONG BOND(CBT) MAR23                                                                                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         53 | NC      | $-62304.42    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| AT&T Inc                                          | AT&T Inc                                                                                                                 | CUSIP: 00206R102<br>LEI: 549300Z40J86GGSTL398 | Long             | EC               | CORP              | US        |      12910 | NS      | $237673.10    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| State of Qatar                                    | Qatar Government International Bond                                                                                      | CUSIP: 74727PBA8<br>LEI: 52990074F6OJOAXK4P65 | Long             | DBT              | NUSS              | QA        |     462000 | PA      | $454025.88    | 0.11%             | 2029-03-14      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Pernod Ricard SA                                  | Pernod Ricard SA                                                                                                         | CUSIP: 000000000<br>LEI: 52990097YFPX9J0H5D87 | Long             | EC               | CORP              | FR        |       3073 | NS      | $604444.02    | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                             | CUSIP: 3137H2NA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1499257 | PA      | $94922.91     | 0.02%             | 2031-07-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| ICON PLC                                          | ICON PLC                                                                                                                 | CUSIP: 000000000<br>LEI: 6354008SRQGEMC4XFI67 | Long             | EC               | CORP              | IE        |       2442 | NS      | $474358.50    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| SOCIETE GENERALE                                  | Societe Generale SA                                                                                                      | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |     300000 | PA      | $308800.70    | 0.08%             | 2030-12-06      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS                          | Discovery Communications LLC                                                                                             | CUSIP: 25470DBF5<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |     458000 | PA      | $396886.78    | 0.10%             | 2029-05-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                              | Bank of America Corp                                                                                                     | CUSIP: 060505104<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | EC               | CORP              | US        |      42840 | NS      | $1418860.80   | 0.35%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                         | CUSIP: 3133BEW58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     417322 | PA      | $366429.35    | 0.09%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED GBP / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | GB        |          1 | NC      | $317.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Enel Americas SA                                  | Enel Americas SA                                                                                                         | CUSIP: 29274FAF1<br>LEI: 549300LKH11TFCJLZK20 | Long             | DBT              | CORP              | CL        |    1891000 | PA      | $1799040.67   | 0.44%             | 2026-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust       | MF1 Multifamily Housing Mortgage Loan Trust                                                                              | CUSIP: 55282XAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     677000 | PA      | $652764.08    | 0.16%             | 2036-07-15      | Floating      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                                | PURCHASED USD / SOLD NZD                                                                                                 | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $220.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ISLANDSBANKI                                      | Islandsbanki HF                                                                                                          | CUSIP: 000000000<br>LEI: 549300PZMFIQR79Q0T97 | Long             | DBT              | CORP              | IS        |     430000 | PA      | $396111.83    | 0.10%             | 2025-03-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Engie Energia Chile SA                            | Engie Energia Chile SA                                                                                                   | CUSIP: 268270AD7<br>LEI: 5493000FIKCC3ZDWTO77 | Long             | DBT              | CORP              | CL        |    1180000 | PA      | $1156400.00   | 0.28%             | 2025-01-29      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| NatWest Markets PLC                               | PURCHASED USD / SOLD SEK                                                                                                 | CUSIP: 000000000<br>LEI: RR3QWICWWIPCS8A4S074 | N/A              | DFE              |  | US        |          1 | NC      | $159307.30    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                             | CUSIP: 3137F84L4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1823916 | PA      | $123936.92    | 0.03%             | 2030-11-25      | Variable      | 1.08%                 | No            |                  2 | On Loan: No      |
| Hong Kong Futures Exchange Ltd.                   | HANG SENG IDX FUT JAN23                                                                                                  | CUSIP: 000000000<br>LEI: 213800YTVSXYQN17BW16 | N/A              | DE               |  | HK        |         23 | NC      | $-1404.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Stellantis NV                                     | Stellantis NV                                                                                                            | CUSIP: 000000000<br>LEI: 549300LKT9PW7ZIBDF31 | Long             | EC               | CORP              | NL        |      17095 | NS      | $242722.37    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| JAPAN (20 YEAR ISSUE)                             | Japan Government Twenty Year Bond                                                                                        | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  223250000 | PA      | $1882706.51   | 0.46%             | 2032-03-20      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| B3 S.A. - Brasil, Bolsa, Balcao                   | MINI BOVESPA FUT FEB23                                                                                                   | CUSIP: 000000000<br>LEI: 4GTK5S46E6H318LMDS44 | N/A              | DE               |  | BR        |       3172 | NC      | $380329.31    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Citibank N.A.                                     | PURCHASED USD / SOLD NZD                                                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-6409.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                                | PURCHASED NZD / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | NZ        |          1 | NC      | $90321.40     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                       | CUSIP: 36179WXK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23503 | PA      | $20928.39     | 0.01%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                         | CUSIP: 3133KPF52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      48337 | PA      | $45654.40     | 0.01%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Japan Tobacco Inc                                 | Japan Tobacco Inc                                                                                                        | CUSIP: 000000000<br>LEI: 353800Z0ENYBQO0XRJ31 | Long             | EC               | CORP              | JP        |      20800 | NS      | $420577.50    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                            | Philip Morris International Inc                                                                                          | CUSIP: 718172CV9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     241000 | PA      | $242760.12    | 0.06%             | 2027-11-17      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                | Energy Transfer LP                                                                                                       | CUSIP: 29273VAP5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     258000 | PA      | $255917.94    | 0.06%             | 2028-02-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                                         | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     109000 | PA      | $78778.05     | 0.02%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                          | Corebridge Financial Inc                                                                                                 | CUSIP: 21871XAJ8<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |     297000 | PA      | $243643.69    | 0.06%             | 2042-04-05      | Fixed         | 4.35%                 | Yes           |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD EUR                                                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-24205.40    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                          | PURCHASED BRL / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | BR        |          1 | NC      | $13550.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HELLENIC REPUBLIC                                 | Hellenic Republic Government Bond                                                                                        | CUSIP: 000000000<br>LEI: 2138003EKTMKZ5598902 | Long             | DBT              | NUSS              | GR        |    2021000 | PA      | $1702248.25   | 0.41%             | 2032-06-18      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| Intel Corp                                        | Intel Corp                                                                                                               | CUSIP: 458140100<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | EC               | CORP              | US        |      18316 | NS      | $484091.88    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| CREDIT SUISSE AG LONDON                           | Credit Suisse AG/London                                                                                                  | CUSIP: 000000000<br>LEI: ANGGYXNX0JLX3X63JN86 | Long             | DBT              | CORP              | CH        |     420000 | PA      | $426547.36    | 0.10%             | 2024-05-31      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                              | Bank of America Corp                                                                                                     | CUSIP: 06051GFX2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     579000 | PA      | $552564.01    | 0.13%             | 2026-04-19      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust       | MF1 2021-FL6 Ltd                                                                                                         | CUSIP: 55283TAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $938131.40    | 0.23%             | 2036-07-16      | Floating      | 5.98%                 | Yes           |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD EUR                                                                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-2849.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Hellenic Telecommunications Organization SA       | Hellenic Telecommunications Organization SA                                                                              | CUSIP: 000000000<br>LEI: ELPUFM0XZRZO4LFXW404 | Long             | EC               | CORP              | GR        |      21301 | NS      | $332676.00    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| EASYJET FINCO BV                                  | easyJet FinCo BV                                                                                                         | CUSIP: 000000000<br>LEI: 2138005GUMKABRAKJU30 | Long             | DBT              | CORP              | NL        |     560000 | PA      | $481449.65    | 0.12%             | 2028-03-03      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                             | Mexico Government International Bond                                                                                     | CUSIP: 91087BAN0<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     534000 | PA      | $337236.84    | 0.08%             | 2061-05-24      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| HOLCIM STERLING FINANCE                           | Holcim Sterling Finance Netherlands BV                                                                                   | CUSIP: 000000000<br>LEI: 529900KU5LFL22MEGK07 | Long             | DBT              | CORP              | NL        |     470000 | PA      | $387944.16    | 0.09%             | 2034-04-04      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                          | CUSIP: 3140KE2N7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32585 | PA      | $28083.89     | 0.01%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                                                         | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    1682000 | PA      | $1416913.07   | 0.34%             | 2033-03-02      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Rio Tinto PLC                                     | Rio Tinto PLC                                                                                                            | CUSIP: 000000000<br>LEI: 213800YOEO5OQ72G2R82 | Long             | EC               | CORP              | GB        |      27223 | NS      | $1908194.19   | 0.46%             |  |  |  | No            |                  1 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED EUR / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | N/A       |          1 | NC      | $938.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BOBL FUTURE MAR23                                                                                                   | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -185 | NC      | $712947.51    | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| Yum China Holdings Inc                            | Yum China Holdings Inc                                                                                                   | CUSIP: 98850P109<br>LEI: 529900DO9BYZ7VA3K502 | Long             | EC               | CORP              | US        |      11681 | NS      | $638366.65    | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                          | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                                                | CUSIP: 00774MAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    1173000 | PA      | $1060380.77   | 0.26%             | 2027-07-21      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch International                       | PURCHASED USD / SOLD TWD                                                                                                 | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DFE              |  | US        |          1 | NC      | $-64635.08    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| ABN AMRO Bank NV                                  | ABN AMRO Bank NV                                                                                                         | CUSIP: 000000000<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | EC               | CORP              | NL        |      30142 | NS      | $417031.44    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED EUR / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | N/A       |          1 | NC      | $67926.34     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MDGH GMTN RSC LTD                                 | MDGH GMTN RSC Ltd                                                                                                        | CUSIP: 000000000<br>LEI: 213800WRY6FRL9IXLT77 | Long             | DBT              | CORP              | AE        |     398000 | PA      | $379970.60    | 0.09%             | 2024-11-07      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PG&E Corp                                         | PG&E Corp                                                                                                                | CUSIP: 69331C108<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | EC               | CORP              | US        |      11604 | NS      | $188681.04    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                                                                        | CUSIP: 404280CG2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     726000 | PA      | $660657.47    | 0.16%             | 2026-06-04      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| BOOKING HOLDINGS INC                              | Booking Holdings Inc                                                                                                     | CUSIP: 000000000<br>LEI: FXM8FAOHMYDIPD38UZ17 | Long             | DBT              | CORP              | US        |     153000 | PA      | $166479.48    | 0.04%             | 2034-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Organon & Co                                      | Organon & Co                                                                                                             | CUSIP: 68622V106<br>LEI: 549300AMCKY57OK2CO56 | Long             | EC               | CORP              | US        |      31087 | NS      | $868259.91    | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED CAD / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | CA        |          1 | NC      | $1539.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                                        | CUSIP: 3620AXZK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31766 | PA      | $32517.43     | 0.01%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                                   | AREIT 2022-CRE6 Trust                                                                                                    | CUSIP: 04002VAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |     289000 | PA      | $265498.81    | 0.06%             | 2037-01-16      | Floating      | 5.68%                 | Yes           |                  2 | On Loan: No      |
| RENK AG FRANKFURT                                 | Renk AG/Frankfurt am Main                                                                                                | CUSIP: 000000000<br>LEI: 894500DAJJ2W78HOJY11 | Long             | DBT              | CORP              | DE        |     470000 | PA      | $466660.85    | 0.11%             | 2025-07-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| VGP NV                                            | VGP NV                                                                                                                   | CUSIP: 000000000<br>LEI: 315700NENYPIXFR94T49 | Long             | DBT              | CORP              | BE        |     300000 | PA      | $209742.16    | 0.05%             | 2029-04-08      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                          | CUSIP: 31410KQ64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16496 | PA      | $17061.79     | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                          | PURCHASED CNH / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CN        |          1 | NC      | $31356.45     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Legrand SA                                        | Legrand SA                                                                                                               | CUSIP: 000000000<br>LEI: 969500XXRPGD7HCAFA90 | Long             | EC               | CORP              | FR        |       6572 | NS      | $529160.59    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| BANQUE OUEST AFRICAINE D                          | Banque Ouest Africaine de Developpement                                                                                  | CUSIP: 000000000<br>LEI: 529900LIZJABE4JJS826 | Long             | DBT              | NUSS              | N/A       |     525000 | PA      | $446040.00    | 0.11%             | 2031-10-22      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| REPUBLICA ORIENT URUGUAY                          | Uruguay Government International Bond                                                                                    | CUSIP: 917288BM3<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |  103512000 | PA      | $2235962.78   | 0.54%             | 2031-05-21      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| TENGIZCHEVROIL FIN CO IN                          | Tengizchevroil Finance Co International Ltd                                                                              | CUSIP: 88034QAA5<br>LEI: 5493001VEV2XTJIBZH31 | Long             | DBT              | CORP              | BM        |    1200000 | PA      | $1024560.00   | 0.25%             | 2026-08-15      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED CAD / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | CA        |          1 | NC      | $-10675.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LOW INCOME INVESTMENT                             | Low Income Investment Fund                                                                                               | CUSIP: 54750AAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     150000 | PA      | $141475.81    | 0.03%             | 2026-07-01      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                    | CUSIP: 31335ALX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     273807 | PA      | $271740.04    | 0.07%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| STORE CAPITAL CORP                                | STORE Capital Corp                                                                                                       | CUSIP: 862121AC4<br>LEI: 5493004EA6C9IHDZ7N66 | Long             | DBT              | CORP              | US        |     786000 | PA      | $603244.48    | 0.15%             | 2030-11-18      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| HELLENIC REPUBLIC                                 | Hellenic Republic Government Bond                                                                                        | CUSIP: 000000000<br>LEI: 2138003EKTMKZ5598902 | Long             | DBT              | NUSS              | GR        |    1734000 | PA      | $1736474.26   | 0.42%             | 2027-04-22      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                             | CUSIP: 3137FTZU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1365340 | PA      | $145464.42    | 0.04%             | 2030-04-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                                | PURCHASED USD / SOLD EUR                                                                                                 | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-39474.51    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| AIB GROUP PLC                                     | AIB Group PLC                                                                                                            | CUSIP: 000000000<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |     300000 | PA      | $328748.95    | 0.08%             | 2029-02-16      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ENBW INTL FINANCE BV                              | EnBW International Finance BV                                                                                            | CUSIP: 000000000<br>LEI: 724500CNCIO1ZTJ0X675 | Long             | DBT              | CORP              | NL        |     120000 | PA      | $127842.50    | 0.03%             | 2029-11-22      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                               | United Kingdom Gilt                                                                                                      | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   11076000 | PA      | $12062546.05  | 2.94%             | 2027-07-22      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                             | CUSIP: 3137H4BT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6201367 | PA      | $235914.88    | 0.06%             | 2031-09-25      | Variable      | 0.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                          | CUSIP: 3140QKQL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21127 | PA      | $17955.73     | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CTP NV                                            | CTP NV                                                                                                                   | CUSIP: 000000000<br>LEI: 3157000YTVO4TN65UM14 | Long             | DBT              | CORP              | NL        |     570000 | PA      | $364446.30    | 0.09%             | 2031-09-27      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                       | CUSIP: 36179W5C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      74026 | PA      | $65914.72     | 0.02%             | 2052-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD KRW                                                                                                 | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-534.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SLM Corp                                          | SLM Corp                                                                                                                 | CUSIP: 78442P106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      20474 | NS      | $339868.40    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| ENEL SPA                                          | Enel SpA                                                                                                                 | CUSIP: 000000000<br>LEI: WOCMU6HCI0OJWNPRZS33 | Long             | DBT              | CORP              | IT        |     325000 | PA      | $297451.15    | 0.07%             | 2026-12-10      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | PURCHASED EUR / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | N/A       |          1 | NC      | $212658.74    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| MFS Institutional Money Market Portfolio          | MFS Institutional Money Market Portfolio                                                                                 | CUSIP: 55291X109<br>LEI: 5L2W638H85N8T1136O07 | Long             | STIV             | RF                | US        |    4437275 | NS      | $4438606.59   | 1.08%             |  |  |  | No            |                  1 | On Loan: No      |
| HCA Inc                                           | HCA Inc                                                                                                                  | CUSIP: 404119BT5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     470000 | PA      | $464326.87    | 0.11%             | 2026-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CROATIA                                           | Croatia Government International Bond                                                                                    | CUSIP: 000000000<br>LEI: 74780000O00QGQ7CER13 | Long             | DBT              | NUSS              | HR        |     637000 | PA      | $521870.64    | 0.13%             | 2033-03-04      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| Brown Brothers Harriman & Co.                     | PURCHASED USD / SOLD GBP                                                                                                 | CUSIP: 000000000<br>LEI: 5493006KMX1VFTPYPW14 | N/A              | DFE              |  | US        |          1 | NC      | $-1904.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Group Inc/The                       | Goldman Sachs Group Inc/The                                                                                              | CUSIP: 38141G104<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | EC               | CORP              | US        |       5192 | NS      | $1782828.96   | 0.43%             |  |  |  | No            |                  1 | On Loan: No      |
| CF Hippolyta Issuer LLC                           | CF Hippolyta Issuer LLC                                                                                                  | CUSIP: 12530MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     199186 | PA      | $177791.91    | 0.04%             | 2060-07-15      | Fixed         | 1.69%                 | Yes           |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED CAD / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | CA        |          1 | NC      | $-7067.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                             | CUSIP: 3137FCLD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1303000 | PA      | $1237333.36   | 0.30%             | 2027-11-25      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                     | PURCHASED USD / SOLD CHF                                                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-347915.53   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc                            | UnitedHealth Group Inc                                                                                                   | CUSIP: 91324PCQ3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     591000 | PA      | $572965.33    | 0.14%             | 2035-07-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd   | Arbor Realty Commercial Real Estate Notes 2022-FL1 Ltd                                                                   | CUSIP: 03880XAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     794500 | PA      | $759558.76    | 0.18%             | 2037-01-15      | Floating      | 5.91%                 | Yes           |                  2 | On Loan: No      |
| Citibank N.A.                                     | PURCHASED IDR / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | ID        |          1 | NC      | $22289.13     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Brown Brothers Harriman & Co.                     | PURCHASED USD / SOLD JPY                                                                                                 | CUSIP: 000000000<br>LEI: 5493006KMX1VFTPYPW14 | N/A              | DFE              |  | US        |          1 | NC      | $-1492484.09  | -0.36%            |  |  |  | No            |                  2 | On Loan: No      |
| MDGH GMTN RSC LTD                                 | MDGH GMTN RSC Ltd                                                                                                        | CUSIP: 000000000<br>LEI: 213800WRY6FRL9IXLT77 | Long             | DBT              | CORP              | AE        |     500000 | PA      | $398153.69    | 0.10%             | 2034-03-10      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                                | PURCHASED EUR / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | N/A       |          1 | NC      | $13.49        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| APA INFRASTRUCTURE LTD                            | APA Infrastructure Ltd                                                                                                   | CUSIP: 000000000<br>LEI: 261700SS8OEHDOCOUJ33 | Long             | DBT              | CORP              | AU        |     440000 | PA      | $377942.84    | 0.09%             | 2029-03-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED EUR / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | N/A       |          1 | NC      | $26332.87     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| National Australia Bank Ltd                       | National Australia Bank Ltd                                                                                              | CUSIP: 000000000<br>LEI: F8SB4JFBSYQFRQEH3Z21 | Long             | EC               | CORP              | AU        |       8159 | NS      | $165335.01    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Fidelity National Information Services Inc        | Fidelity National Information Services Inc                                                                               | CUSIP: 31620M106<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | EC               | CORP              | US        |       7159 | NS      | $485738.15    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank N.A.                          | PURCHASED USD / SOLD EUR                                                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-6363.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Julius Baer Group Ltd                             | Julius Baer Group Ltd                                                                                                    | CUSIP: 000000000<br>LEI: 5299007MF0604ZGJER92 | Long             | EC               | CORP              | CH        |       9214 | NS      | $535572.84    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                          | PURCHASED CNY / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CN        |          1 | NC      | $-2129.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BSPRT Issuer, Ltd.                                | BSPRT 2021-FL7 Issuer Ltd                                                                                                | CUSIP: 05602CAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     177500 | PA      | $164772.90    | 0.04%             | 2038-12-15      | Floating      | 6.37%                 | Yes           |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                          | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                                                | CUSIP: 00774MAZ8<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     166000 | PA      | $117357.80    | 0.03%             | 2041-10-29      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                     | PURCHASED USD / SOLD JPY                                                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-131957.39   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                          | Sabine Pass Liquefaction LLC                                                                                             | CUSIP: 785592AX4<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |     335000 | PA      | $310517.09    | 0.08%             | 2030-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CREDIT LOGEMENT SA                                | Credit Logement SA                                                                                                       | CUSIP: 000000000<br>LEI: 969500FYPDQY3Y12Z881 | Long             | DBT              | CORP              | FR        |     400000 | PA      | $339928.52    | 0.08%             | 2034-02-15      | Fixed         | 1.08%                 | No            |                  2 | On Loan: No      |
| KOREA HYDRO & NUCLEAR PO                          | Korea Hydro & Nuclear Power Co Ltd                                                                                       | CUSIP: 50064YAQ6<br>LEI: 9884008CRY5MLCN8OQ43 | Long             | DBT              | NUSS              | KR        |     428000 | PA      | $411543.40    | 0.10%             | 2027-07-27      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust       | MF1 2021-FL6 Ltd                                                                                                         | CUSIP: 55283TAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1050000 | PA      | $989548.67    | 0.24%             | 2036-07-16      | Floating      | 5.78%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                          | CUSIP: 3140N5MY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     249999 | PA      | $250816.40    | 0.06%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Borsa Istanbul                                    | BIST 30 FUTURES FEB23                                                                                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | TR        |       4511 | NC      | $197437.25    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD GBP                                                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-37736.80    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank N.A.                                     | PURCHASED NZD / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | NZ        |          1 | NC      | $33455.25     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                          | CUSIP: 31417SBQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     136020 | PA      | $137368.07    | 0.03%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Zurich Insurance Group AG                         | Zurich Insurance Group AG                                                                                                | CUSIP: 000000000<br>LEI: 529900QVNRBND50TXP03 | Long             | EC               | CORP              | CH        |        968 | NS      | $462583.32    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| Danone SA                                         | Danone SA                                                                                                                | CUSIP: 000000000<br>LEI: 969500KMUQ2B6CBAF162 | Long             | EC               | CORP              | FR        |      16589 | NS      | $874210.91    | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                    | CUSIP: 3128PR3G2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9822 | PA      | $9595.18      | 0.00%             | 2025-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BONOS Y OBLIG DEL ESTADO                          | Spain Government Bond                                                                                                    | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    1338000 | PA      | $1229375.86   | 0.30%             | 2030-10-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                    | CUSIP: 31292K2A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      75869 | PA      | $75296.18     | 0.02%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Charles Schwab Corp/The                           | Charles Schwab Corp/The                                                                                                  | CUSIP: 808513105<br>LEI: 549300VSGCJ7E698NM85 | Long             | EC               | CORP              | US        |      23467 | NS      | $1953862.42   | 0.48%             |  |  |  | No            |                  1 | On Loan: No      |
| MetLife Inc                                       | MetLife Inc                                                                                                              | CUSIP: 59156R108<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | EC               | CORP              | US        |       9609 | NS      | $695403.33    | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| MERCEDES-BENZ CA FIN INC                          | Mercedes-Benz Finance Canada Inc                                                                                         | CUSIP: 000000000<br>LEI: 549300G6QKWRPOX3M965 | Long             | DBT              | CORP              | CA        |     280000 | PA      | $293272.76    | 0.07%             | 2027-02-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| KOREA TREASURY BOND                               | Korea Treasury Bond                                                                                                      | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        | 9635190000 | PA      | $6797366.33   | 1.65%             | 2029-06-10      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| MASTERCARD INC                                    | Mastercard Inc                                                                                                           | CUSIP: 57636QAQ7<br>LEI: AR5L2ODV9HN37376R084 | Long             | DBT              | CORP              | US        |     310000 | PA      | $258675.31    | 0.06%             | 2050-03-26      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| MARSH & MCLENNAN COS INC                          | Marsh & McLennan Cos Inc                                                                                                 | CUSIP: 571748BN1<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |     340000 | PA      | $278348.51    | 0.07%             | 2030-11-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| VONOVIA SE                                        | Vonovia SE                                                                                                               | CUSIP: 000000000<br>LEI: 5299005A2ZEP6AP7KM81 | Long             | DBT              | CORP              | DE        |     400000 | PA      | $195511.18    | 0.05%             | 2051-09-01      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp                                  | Duke Energy Corp                                                                                                         | CUSIP: 26441C204<br>LEI: I1BZKREC126H0VB1BL91 | Long             | EC               | CORP              | US        |       5197 | NS      | $535239.03    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| NatWest Markets PLC                               | PURCHASED GBP / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: RR3QWICWWIPCS8A4S074 | N/A              | DFE              |  | GB        |          1 | NC      | $50276.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| AT&T INC                                          | AT&T Inc                                                                                                                 | CUSIP: 00206RKJ0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     229000 | PA      | $154560.39    | 0.04%             | 2053-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Pfizer Inc                                        | Pfizer Inc                                                                                                               | CUSIP: 717081103<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | EC               | CORP              | US        |      21096 | NS      | $1080959.04   | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| E.ON SE                                           | E.ON SE                                                                                                                  | CUSIP: 000000000<br>LEI: Q9MAIUP40P25UFBFG033 | Long             | EC               | CORP              | DE        |     116610 | NS      | $1165117.63   | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| EP INFRASTRUCTURE AS                              | EP Infrastructure AS                                                                                                     | CUSIP: 000000000<br>LEI: 315700I4J1M1NKGWWY89 | Long             | DBT              | CORP              | CZ        |     530000 | PA      | $444887.35    | 0.11%             | 2026-07-30      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                          | CUSIP: 3140XEAU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93062 | PA      | $82179.53     | 0.02%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                      | UBS Group AG                                                                                                             | CUSIP: 000000000<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | EC               | CORP              | CH        |     107607 | NS      | $2005749.79   | 0.49%             |  |  |  | No            |                  2 | On Loan: No      |
| BELFIUS BANK SA/NV                                | Belfius Bank SA                                                                                                          | CUSIP: 000000000<br>LEI: A5GWLFH3KM7YV2SFQL84 | Long             | DBT              | CORP              | BE        |     200000 | PA      | $168167.62    | 0.04%             | 2025-04-16      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD AUD                                                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-50090.03    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                                | PURCHASED USD / SOLD GBP                                                                                                 | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-209199.85   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                       | CUSIP: 36179WVT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     376775 | PA      | $315735.23    | 0.08%             | 2052-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| XCEL ENERGY INC                                   | Xcel Energy Inc                                                                                                          | CUSIP: 98388MAD9<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |     184000 | PA      | $175726.33    | 0.04%             | 2032-06-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| AUST & NZ BANKING GROUP                           | Australia & New Zealand Banking Group Ltd                                                                                | CUSIP: 052528AM8<br>LEI: JHE42UYNWWTJB8YTTU19 | Long             | DBT              | CORP              | AU        |     528000 | PA      | $387407.59    | 0.09%             | 2035-11-25      | Fixed         | 2.57%                 | Yes           |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                                                                        | CUSIP: 000000000<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     360000 | PA      | $390926.44    | 0.10%             | 2032-11-16      | Fixed         | 6.36%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED JPY / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | JP        |          1 | NC      | $149341.74    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Experian PLC                                      | Experian PLC                                                                                                             | CUSIP: 000000000<br>LEI: 635400RXXHHYT1JTSZ26 | Long             | EC               | CORP              | JE        |      19392 | NS      | $659478.60    | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| APA INFRASTRUCTURE LTD                            | APA Infrastructure Ltd                                                                                                   | CUSIP: 000000000<br>LEI: 261700SS8OEHDOCOUJ33 | Long             | DBT              | CORP              | AU        |     470000 | PA      | $367546.68    | 0.09%             | 2036-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                     | PURCHASED USD / SOLD NOK                                                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-45104.62    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                          | CUSIP: 3138ENSU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     135944 | PA      | $134765.73    | 0.03%             | 2043-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                          | PURCHASED EUR / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | N/A       |          1 | NC      | $13192.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Brown Brothers Harriman & Co.                     | PURCHASED USD / SOLD EUR                                                                                                 | CUSIP: 000000000<br>LEI: 5493006KMX1VFTPYPW14 | N/A              | DFE              |  | US        |          1 | NC      | $-6755.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Eni SpA                                           | Eni SpA                                                                                                                  | CUSIP: 000000000<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | EC               | CORP              | IT        |     109703 | NS      | $1560195.19   | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| Citibank N.A.                                     | PURCHASED KRW / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | KR        |          1 | NC      | $78587.32     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| DH EUROPE FINANCE II                              | DH Europe Finance II Sarl                                                                                                | CUSIP: 000000000<br>LEI: 222100KDGL314CKTZ511 | Long             | DBT              | CORP              | LU        |     380000 | PA      | $346837.20    | 0.08%             | 2028-03-18      | Fixed         | 0.45%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD CAD                                                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $9749.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CORPORATE OFFICE PROP LP                          | Corporate Office Properties LP                                                                                           | CUSIP: 22003BAM8<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |     490000 | PA      | $366716.74    | 0.09%             | 2031-04-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| BRAZOS SECURITIZATN LLC                           | Brazos Securitization LLC                                                                                                | CUSIP: 106230AC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     246000 | PA      | $232108.82    | 0.06%             | 2050-09-01      | Fixed         | 5.41%                 | Yes           |                  2 | On Loan: No      |
| BOSTON SCIENTIFIC CORP                            | Boston Scientific Corp                                                                                                   | CUSIP: 101137206<br>LEI: Y6ZDD9FP4P8JSSJMW954 | Long             | EP               | CORP              | US        |       2435 | NS      | $279586.70    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| CELLNEX TELECOM SA                                | Cellnex Telecom SA                                                                                                       | CUSIP: 000000000<br>LEI: 5493008T4YG3AQUI7P67 | Long             | DBT              | CORP              | ES        |     600000 | PA      | $497309.43    | 0.12%             | 2030-10-23      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED JPY / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | JP        |          1 | NC      | $10617.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Aon PLC                                           | Aon PLC                                                                                                                  | CUSIP: 000000000<br>LEI: 635400FALWQYX5E6QC64 | Long             | EC               | CORP              | IE        |       7495 | NS      | $2249549.30   | 0.55%             |  |  |  | No            |                  1 | On Loan: No      |
| WASTE CONNECTIONS INC                             | Waste Connections Inc                                                                                                    | CUSIP: 94106BAF8<br>LEI: 549300HDLRTPBQU69P29 | Long             | DBT              | CORP              | CA        |     899000 | PA      | $834940.90    | 0.20%             | 2033-01-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Navistar Financial Dealer Note Master Trust       | Navistar Financial Dealer Note Master Owner Trust II                                                                     | CUSIP: 63938PBR9<br>LEI: 549300S28N49H5RT4J50 | Long             | ABS-O            | CORP              | US        |     236000 | PA      | $236615.91    | 0.06%             | 2027-05-25      | Floating      | 5.13%                 | Yes           |                  2 | On Loan: No      |
| VIRGIN MONEY UK PLC                               | Virgin Money UK PLC                                                                                                      | CUSIP: 000000000<br>LEI: 213800ZK9VGCYYR6O495 | Long             | DBT              | CORP              | GB        |     335000 | PA      | $374647.34    | 0.09%             | 2030-12-11      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD CAD                                                                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-1584.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Tisco Financial Group PCL                         | Tisco Financial Group PCL                                                                                                | CUSIP: 000000000<br>LEI: 529900OOUQI3OWX2WU06 | Long             | EC               | CORP              | TH        |      62600 | NS      | $179386.46    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Meff Financial Derivatives                        | IBEX 35 INDX FUTR JAN23                                                                                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | ES        |         96 | NC      | $-34959.12    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2021-L6                                                                                   | CUSIP: 61692CBK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4854569 | PA      | $307424.81    | 0.07%             | 2054-06-15      | Variable      | 1.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                    | CUSIP: 3128PR3E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9232 | PA      | $9106.08      | 0.00%             | 2025-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                                | PURCHASED USD / SOLD CNH                                                                                                 | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-11804.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                          | CUSIP: 3140XGW96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24665 | PA      | $20082.85     | 0.00%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD GBP                                                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-65056.96    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Brown Brothers Harriman & Co.                     | PURCHASED CAD / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 5493006KMX1VFTPYPW14 | N/A              | DFE              |  | CA        |          1 | NC      | $-841.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK HAPOALIM                                     | Bank Hapoalim BM                                                                                                         | CUSIP: 000000000<br>LEI: B6ARUI4946ST4S7WOU88 | Long             | DBT              | CORP              | IL        |     397000 | PA      | $341610.56    | 0.08%             | 2032-01-21      | Fixed         | 3.26%                 | Yes           |                  2 | On Loan: No      |
| BECTON DICKINSON AND CO                           | Becton Dickinson and Co                                                                                                  | CUSIP: 075887CP2<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |     186000 | PA      | $174100.07    | 0.04%             | 2032-08-22      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                    | CUSIP: 3128M73V6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35501 | PA      | $36294.89     | 0.01%             | 2036-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NatWest Markets PLC                               | PURCHASED EUR / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: RR3QWICWWIPCS8A4S074 | N/A              | DFE              |  | N/A       |          1 | NC      | $7405.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ERAC USA Finance LLC                              | ERAC USA Finance LLC                                                                                                     | CUSIP: 26882PBE1<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |     494000 | PA      | $536687.72    | 0.13%             | 2037-10-15      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                | Dominican Republic International Bond                                                                                    | CUSIP: 000000000<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |     750000 | PA      | $622545.80    | 0.15%             | 2032-09-23      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                     | PURCHASED CNH / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | CN        |          1 | NC      | $29518.16     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Bayer AG                                          | Bayer AG                                                                                                                 | CUSIP: 000000000<br>LEI: 549300J4U55H3WP1XT59 | Long             | EC               | CORP              | DE        |      30486 | NS      | $1577024.67   | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                       | CUSIP: 36179W5B0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     207047 | PA      | $179376.04    | 0.04%             | 2052-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                       | CUSIP: 36179XLH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     149744 | PA      | $148417.15    | 0.04%             | 2052-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                          | CUSIP: 3138ETDL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     248316 | PA      | $246163.03    | 0.06%             | 2043-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2021-L5                                                                                   | CUSIP: 61691YAP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2258751 | PA      | $155867.13    | 0.04%             | 2054-05-15      | Variable      | 1.30%                 | No            |                  2 | On Loan: No      |
| PFP III                                           | PFP 2021-7 Ltd                                                                                                           | CUSIP: 69290LAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     239988 | PA      | $224315.84    | 0.05%             | 2038-04-14      | Floating      | 5.73%                 | Yes           |                  2 | On Loan: No      |
| BRIXMOR OPERATING PART                            | Brixmor Operating Partnership LP                                                                                         | CUSIP: 11120VAJ2<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |     445000 | PA      | $389288.21    | 0.09%             | 2030-07-01      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Sanofi                                            | Sanofi                                                                                                                   | CUSIP: 000000000<br>LEI: 549300E9PC51EN656011 | Long             | EC               | CORP              | FR        |       3459 | NS      | $334694.99    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                          | PURCHASED USD / SOLD EUR                                                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-23165.48    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LKQ Corp                                          | LKQ Corp                                                                                                                 | CUSIP: 501889208<br>LEI: DS830JTTZQN6GK0I2E41 | Long             | EC               | CORP              | US        |      20101 | NS      | $1073594.41   | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| Capgemini SE                                      | Capgemini SE                                                                                                             | CUSIP: 000000000<br>LEI: 96950077L0TN7BAROX36 | Long             | EC               | CORP              | FR        |       1657 | NS      | $277901.85    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD KRW                                                                                                 | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-59672.46    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Brown Brothers Harriman & Co.                     | PURCHASED JPY / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 5493006KMX1VFTPYPW14 | N/A              | DFE              |  | JP        |          1 | NC      | $22251.17     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                 | Credit Acceptance Auto Loan Trust 2021-3                                                                                 | CUSIP: 22535GAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     738000 | PA      | $704909.26    | 0.17%             | 2030-05-15      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                                                              | CUSIP: 38141GZN7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     503000 | PA      | $369592.19    | 0.09%             | 2043-02-24      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 2YR NOTE (CBT) MAR23                                                                                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         50 | NC      | $12627.10     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                            | PURCHASED EUR / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | N/A       |          1 | NC      | $17140.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LUKOIL PJSC                                       | LUKOIL PJSC                                                                                                              | CUSIP: 000000000<br>LEI: 549300LCJ1UJXHYBWI24 | Long             | EC               | CORP              | RU        |       1414 | NS      | $0.00         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| HSBC Bank USA N.A.                                | PURCHASED EUR / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | N/A       |          1 | NC      | $20210.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                    | Microsoft Corp                                                                                                           | CUSIP: 594918CE2<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |     455000 | PA      | $321912.82    | 0.08%             | 2052-03-17      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| Simon Property Group Inc                          | Simon Property Group Inc                                                                                                 | CUSIP: 828806109<br>LEI: 529900GQL5X8H7AO3T64 | Long             | EC               | CORP              | US        |       2408 | NS      | $282891.84    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                          | CUSIP: 3140N55Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     999999 | PA      | $1002836.82   | 0.24%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TOLEDO HOSPITAL/THE                               | Toledo Hospital/The                                                                                                      | CUSIP: 889184AG2<br>LEI: 5493009DCR7NWV6K4T34 | Long             | DBT              | CORP              | US        |     309000 | PA      | $287646.99    | 0.07%             | 2048-11-15      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                          | CUSIP: 31412MAJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8728 | PA      | $9009.54      | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                              | Enel Finance International NV                                                                                            | CUSIP: 29278GAC2<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |     543000 | PA      | $425876.44    | 0.10%             | 2047-05-25      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                                         | CUSIP: 912810SQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3001000 | PA      | $1863667.88   | 0.45%             | 2040-08-15      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| Michigan Finance Authority                        | MICHIGAN ST FIN AUTH REVENUE                                                                                             | CUSIP: 59447TXX6<br>LEI: 54930022O46HOX5J1D14 | Long             | DBT              | MUN               | US        |     480000 | PA      | $384630.05    | 0.09%             | 2040-12-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 5YR NOTE (CBT) MAR23                                                                                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -179 | NC      | $53263.58     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CORP ANDINA DE FOMENTO                            | Corp Andina de Fomento                                                                                                   | CUSIP: 219868CD6<br>LEI: UKZ46SXGNYCZK0UOZE76 | Long             | DBT              | NUSS              | N/A       |     530000 | PA      | $480292.29    | 0.12%             | 2025-09-23      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| AP Moller - Maersk A/S                            | AP Moller - Maersk A/S                                                                                                   | CUSIP: 000000000<br>LEI: 549300D2K6PKKKXVNN73 | Long             | EC               | CORP              | DK        |         44 | NS      | $98934.76     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust       | MF1 Multifamily Housing Mortgage Loan Trust                                                                              | CUSIP: 55282XAG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     200000 | PA      | $186306.40    | 0.05%             | 2036-07-15      | Floating      | 6.15%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                          | CUSIP: 31418XGC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     191366 | PA      | $191974.09    | 0.05%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                            | Anglo American Capital PLC                                                                                               | CUSIP: 000000000<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |     220000 | PA      | $231427.11    | 0.06%             | 2032-09-21      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE TELEKOM AG                               | Deutsche Telekom AG                                                                                                      | CUSIP: 000000000<br>LEI: 549300V9QSIG4WX4GJ96 | Long             | DBT              | CORP              | DE        |     540000 | PA      | $444867.46    | 0.11%             | 2034-07-05      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| LoanCore 2021-CRE5 Issuer, Ltd                    | LoanCore 2021-CRE5 Issuer Ltd                                                                                            | CUSIP: 53947XAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     865000 | PA      | $813095.24    | 0.20%             | 2036-07-15      | Floating      | 6.07%                 | Yes           |                  2 | On Loan: No      |
| Merrill Lynch International                       | CS100052 MFS                                                                                                             | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DCR              |  | US        |   24420000 | NC      | $66647.25     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                       | PURCHASED GBP / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | GB        |          1 | NC      | $245902.41    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD GBP                                                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-114083.82   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Acres PLC                                         | ACRES Commercial Realty 2021-FL2 Ltd                                                                                     | CUSIP: 00500JAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     604000 | PA      | $569795.54    | 0.14%             | 2037-01-15      | Floating      | 6.58%                 | Yes           |                  2 | On Loan: No      |
| Bank                                              | BANK 2021-BNK34                                                                                                          | CUSIP: 06541JAR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2967767 | PA      | $164638.04    | 0.04%             | 2063-06-15      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                          | PURCHASED USD / SOLD COP                                                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $440.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                             | CUSIP: 3137FTG43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1420926 | PA      | $149607.88    | 0.04%             | 2030-04-25      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                             | CUSIP: 3137FUZG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3920368 | PA      | $418440.48    | 0.10%             | 2030-05-25      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| HELLENIC REPUBLIC                                 | Hellenic Republic Government Bond                                                                                        | CUSIP: 000000000<br>LEI: 2138003EKTMKZ5598902 | Long             | DBT              | NUSS              | GR        |     600000 | PA      | $369708.42    | 0.09%             | 2052-01-24      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                                | PURCHASED GBP / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | GB        |          1 | NC      | $6729.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BONOS Y OBLIG DEL ESTADO                          | Spain Government Bond                                                                                                    | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    3801000 | PA      | $3723933.27   | 0.91%             | 2032-10-31      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| TELEFONAKTIEBOLAGET LM E                          | Telefonaktiebolaget LM Ericsson                                                                                          | CUSIP: 000000000<br>LEI: 549300W9JLPW15XIFM52 | Long             | DBT              | CORP              | SE        |     780000 | PA      | $627949.65    | 0.15%             | 2029-05-26      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Sberbank of Russia PJSC                           | Sberbank of Russia PJSC                                                                                                  | CUSIP: 000000000<br>LEI: 549300WE6TAF5EEWQS81 | Long             | EC               | CORP              | RU        |     137348 | NS      | $0.00         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED EUR / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | N/A       |          1 | NC      | $56040.88     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD CZK                                                                                                 | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-13967.39    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fortescue Metals Group Ltd                        | Fortescue Metals Group Ltd                                                                                               | CUSIP: 000000000<br>LEI: 529900VEJFORCO6I4826 | Long             | EC               | CORP              | AU        |       4848 | NS      | $67698.62     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| ENBRIDGE INC                                      | Enbridge Inc                                                                                                             | CUSIP: 29250NAT2<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |     680000 | PA      | $458070.90    | 0.11%             | 2077-09-27      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD EUR                                                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-313684.13   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | PURCHASED USD / SOLD GBP                                                                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |          1 | NC      | $-3129.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Pioneer Natural Resources Co                      | Pioneer Natural Resources Co                                                                                             | CUSIP: 723787107<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | EC               | CORP              | US        |       1032 | NS      | $235698.48    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Ingersoll Rand Inc                                | Ingersoll Rand Inc                                                                                                       | CUSIP: 45687V106<br>LEI: 5299004C02FMZCUOIR50 | Long             | EC               | CORP              | US        |      22565 | NS      | $1179021.25   | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED EUR / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | N/A       |          1 | NC      | $59491.45     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank N.A.                                     | PURCHASED JPY / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | JP        |          1 | NC      | $52901.17     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| COVESTRO AG                                       | Covestro AG                                                                                                              | CUSIP: 000000000<br>LEI: 3912005AWHKLQ1CPLV11 | Long             | DBT              | CORP              | DE        |     400000 | PA      | $429167.18    | 0.10%             | 2028-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                      | AutoZone Inc                                                                                                             | CUSIP: 053332BB7<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |     582000 | PA      | $564065.80    | 0.14%             | 2032-08-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                | VICI Properties LP                                                                                                       | CUSIP: 925650AC7<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |     831000 | PA      | $791043.31    | 0.19%             | 2030-02-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS Mortgage Trust 2020-C7                                                                                             | CUSIP: 05492VAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     990628 | PA      | $71718.38     | 0.02%             | 2053-04-15      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| CGI Inc                                           | CGI Inc                                                                                                                  | CUSIP: 12532H104<br>LEI: 549300WSRCZY73ZG3090 | Long             | EC               | CORP              | CA        |      11503 | NS      | $991517.82    | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| ARION BANKI HF                                    | Arion Banki HF                                                                                                           | CUSIP: 000000000<br>LEI: RIL4VBPDB0M7Z3KXSF19 | Long             | DBT              | CORP              | IS        |     620000 | PA      | $638346.07    | 0.16%             | 2024-12-21      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMER PIPELINE                          | Plains All American Pipeline LP / PAA Finance Corp                                                                       | CUSIP: 72650RBM3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1023000 | PA      | $887008.29    | 0.22%             | 2029-12-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| EXPORT-IMPORT BK INDIA                            | Export-Import Bank of India                                                                                              | CUSIP: 30216KAA0<br>LEI: 335800OFZ8YEIVN1QI11 | Long             | DBT              | NUSS              | IN        |     600000 | PA      | $561150.00    | 0.14%             | 2026-08-05      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Small Business Administration Participation Certs | United States Small Business Administration                                                                              | CUSIP: 83162CVK6<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |     473080 | PA      | $427966.41    | 0.10%             | 2033-03-01      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED GBP / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | GB        |          1 | NC      | $20917.46     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Diageo PLC                                        | Diageo PLC                                                                                                               | CUSIP: 000000000<br>LEI: 213800ZVIELEA55JMJ32 | Long             | EC               | CORP              | GB        |      17324 | NS      | $764450.58    | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BUXL 30Y BND MAR23                                                                                                  | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         37 | NC      | $-1031436.68  | -0.25%            |  |  |  | No            |                  1 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                          | Anheuser-Busch InBev Worldwide Inc                                                                                       | CUSIP: 035240AM2<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |     206000 | PA      | $184145.55    | 0.04%             | 2038-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | E-MINI RUSS 2000 MAR23                                                                                                   | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |       -145 | NC      | $456825.40    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                             | CUSIP: 3137H4SM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1517361 | PA      | $59903.59     | 0.01%             | 2031-12-25      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                          | CUSIP: 31418ELY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74999 | PA      | $75200.37     | 0.02%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                    | CUSIP: 01F020612<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     400000 | PA      | $325384.10    | 0.08%             | 2053-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MDGH GMTN RSC LTD                                 | MDGH GMTN RSC Ltd                                                                                                        | CUSIP: 000000000<br>LEI: 213800WRY6FRL9IXLT77 | Long             | DBT              | CORP              | AE        |     830000 | PA      | $706579.00    | 0.17%             | 2031-06-03      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                          | PURCHASED EUR / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | N/A       |          1 | NC      | $58653.71     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                          | CUSIP: 3140KFYV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33664 | PA      | $29015.08     | 0.01%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                                | PURCHASED CAD / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | CA        |          1 | NC      | $139756.01    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD EUR                                                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-1511.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                          | CUSIP: 3140KG4A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29167 | PA      | $25115.75     | 0.01%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVT OF BERMUDA                                   | Bermuda Government International Bond                                                                                    | CUSIP: 085209AJ3<br>LEI: 549300FP5PUZXX9FVJ40 | Long             | DBT              | NUSS              | BM        |     716000 | PA      | $711097.87    | 0.17%             | 2032-07-15      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                             | CUSIP: 3137F62R7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     905456 | PA      | $65192.47     | 0.02%             | 2030-09-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| Eni SpA                                           | Eni SpA                                                                                                                  | CUSIP: 26874RAJ7<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |     578000 | PA      | $534309.46    | 0.13%             | 2029-05-09      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Glencore PLC                                      | Glencore PLC                                                                                                             | CUSIP: 000000000<br>LEI: 2138002658CPO9NBH955 | Long             | EC               | CORP              | JE        |     127484 | NS      | $851368.80    | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| Northrop Grumman Corp                             | Northrop Grumman Corp                                                                                                    | CUSIP: 666807102<br>LEI: RIMU48P07456QXSO0R61 | Long             | EC               | CORP              | US        |       1050 | NS      | $572890.50    | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| Hartford Financial Services Group Inc/The         | Hartford Financial Services Group Inc/The                                                                                | CUSIP: 416515104<br>LEI: IU7C3FTM7Y3BQM112U94 | Long             | EC               | CORP              | US        |       5444 | NS      | $412818.52    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED DKK / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | DK        |          1 | NC      | $58366.22     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                                | PURCHASED USD / SOLD EUR                                                                                                 | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-12666.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| McKesson Corp                                     | McKesson Corp                                                                                                            | CUSIP: 58155Q103<br>LEI: 549300WZWOM80UCFSF54 | Long             | EC               | CORP              | US        |       2669 | NS      | $1001195.28   | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| Regions Financial Corp                            | Regions Financial Corp                                                                                                   | CUSIP: 7591EP100<br>LEI: CW05CS5KW59QTC0DG824 | Long             | EC               | CORP              | US        |      13243 | NS      | $285519.08    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD AUD                                                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-232708.59   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                          | PURCHASED USD / SOLD KRW                                                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-116275.60   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| National Retail Properties Inc                    | National Retail Properties Inc                                                                                           | CUSIP: 637417106<br>LEI: 5493008JKH5SOTI0JS97 | Long             | EC               | CORP              | US        |       5095 | NS      | $233147.20    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Citibank N.A.                                     | PURCHASED CNH / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | CN        |          1 | NC      | $13441.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                             | Mexico Government International Bond                                                                                     | CUSIP: 91087BAM2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    1246000 | PA      | $1004934.79   | 0.24%             | 2031-05-24      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| LOW INCOME INVESTMENT                             | Low Income Investment Fund                                                                                               | CUSIP: 54750AAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     400000 | PA      | $375237.86    | 0.09%             | 2029-07-01      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                       | PURCHASED KRW / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | KR        |          1 | NC      | $50960.71     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| IVORY COAST                                       | Ivory Coast Government International Bond                                                                                | CUSIP: 000000000<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |     600000 | PA      | $481119.09    | 0.12%             | 2040-10-17      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| AUSTRALIAN GOVERNMENT                             | Australia Government Bond                                                                                                | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |    4361000 | PA      | $2592219.41   | 0.63%             | 2039-06-21      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                               | Intesa Sanpaolo SpA                                                                                                      | CUSIP: 000000000<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |     690000 | PA      | $532724.70    | 0.13%             | 2036-03-11      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                          | PURCHASED USD / SOLD CAD                                                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-129928.83   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                            | Credit Suisse Group AG                                                                                                   | CUSIP: 000000000<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |     265000 | PA      | $281672.01    | 0.07%             | 2029-03-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                                | PURCHASED USD / SOLD GBP                                                                                                 | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-54015.46    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Brown Brothers Harriman & Co.                     | PURCHASED USD / SOLD SGD                                                                                                 | CUSIP: 000000000<br>LEI: 5493006KMX1VFTPYPW14 | N/A              | DFE              |  | US        |          1 | NC      | $-72694.98    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED EUR / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | N/A       |          1 | NC      | $5920.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AIRPORT AUTHORITY HK                              | Airport Authority                                                                                                        | CUSIP: 00946AAE4<br>LEI: 254900748HGC4RBR4O84 | Long             | DBT              | NUSS              | HK        |     453000 | PA      | $320326.17    | 0.08%             | 2052-01-12      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                                | PURCHASED CNH / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | CN        |          1 | NC      | $27394.89     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                                                            | CUSIP: 842400GT4<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     252000 | PA      | $184041.75    | 0.04%             | 2050-02-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Nintendo Co Ltd                                   | Nintendo Co Ltd                                                                                                          | CUSIP: 000000000<br>LEI: 353800FEEXU6I9M0ZF27 | Long             | EC               | CORP              | JP        |       4400 | NS      | $184252.66    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                                   | AREIT 2022-CRE6 Trust                                                                                                    | CUSIP: 04002VAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |     119000 | PA      | $110608.60    | 0.03%             | 2037-01-16      | Floating      | 5.98%                 | Yes           |                  2 | On Loan: No      |
| Erste Group Bank AG                               | Erste Group Bank AG                                                                                                      | CUSIP: 000000000<br>LEI: PQOH26KWDF7CG10L6792 | Long             | EC               | CORP              | AT        |       4890 | NS      | $156511.49    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Danaher Corp                                      | Danaher Corp                                                                                                             | CUSIP: 235851102<br>LEI: S4BKK9OTCEWQ3YHPFM11 | Long             | EC               | CORP              | US        |       1479 | NS      | $392556.18    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| WEA FINANCE LLC                                   | WEA Finance LLC                                                                                                          | CUSIP: 92928QAH1<br>LEI: 3CYEJKBUJZO3UW777J80 | Long             | DBT              | CORP              | US        |     470000 | PA      | $402276.84    | 0.10%             | 2027-01-15      | Fixed         | 2.88%                 | Yes           |                  2 | On Loan: No      |
| PROSUS NV                                         | Prosus NV                                                                                                                | CUSIP: 000000000<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |     380000 | PA      | $315618.84    | 0.08%             | 2030-01-19      | Fixed         | 2.09%                 | No            |                  2 | On Loan: No      |
| TPG Real Estate Finance                           | TRTX 2021-FL4 Issuer Ltd                                                                                                 | CUSIP: 87276WAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     350000 | PA      | $329602.35    | 0.08%             | 2038-03-15      | Floating      | 5.73%                 | Yes           |                  2 | On Loan: No      |
| KOREA TREASURY BOND                               | Korea Treasury Bond                                                                                                      | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        | 6590400000 | PA      | $4399836.25   | 1.07%             | 2030-06-10      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                      | UBS Group AG                                                                                                             | CUSIP: 902613AK4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     900000 | PA      | $695563.66    | 0.17%             | 2033-02-11      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD EUR                                                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-2397.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Singapore Exchange Derivatives Clearing Limited   | FTSE TAIWAN INDEX JAN23                                                                                                  | CUSIP: 000000000<br>LEI: 549300ZLWT3FK3F0FW61 | N/A              | DE               |  | SG        |         50 | NC      | $-31150.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Business Jet Securities, LLC                      | Business Jet Securities 2020-1 LLC                                                                                       | CUSIP: 12327FAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     142402 | PA      | $129704.84    | 0.03%             | 2035-11-15      | Fixed         | 2.98%                 | Yes           |                  2 | On Loan: No      |
| INFORMA PLC                                       | Informa PLC                                                                                                              | CUSIP: 000000000<br>LEI: 5493006VM2LKUPSEDU20 | Long             | DBT              | CORP              | GB        |     242000 | PA      | $264109.79    | 0.06%             | 2026-07-05      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| MACQUARIE GROUP LTD                               | Macquarie Group Ltd                                                                                                      | CUSIP: 000000000<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |     540000 | PA      | $583049.12    | 0.14%             | 2029-05-31      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| HUNGARY                                           | Hungary Government International Bond                                                                                    | CUSIP: 445545AQ9<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |     294000 | PA      | $275419.20    | 0.07%             | 2034-06-16      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| FISERV INC                                        | Fiserv Inc                                                                                                               | CUSIP: 337738AV0<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |     356000 | PA      | $288820.50    | 0.07%             | 2049-07-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| KDDI Corp                                         | KDDI Corp                                                                                                                | CUSIP: 000000000<br>LEI: 5299003FU7V4I45FU310 | Long             | EC               | CORP              | JP        |      59900 | NS      | $1810424.81   | 0.44%             |  |  |  | No            |                  2 | On Loan: No      |
| Cboe Global Markets Inc                           | Cboe Global Markets Inc                                                                                                  | CUSIP: 12503M108<br>LEI: 529900RLNSGA90UPEH54 | Long             | EC               | CORP              | US        |       6081 | NS      | $762983.07    | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| HUARONG FINANCE 2017 CO                           | Huarong Finance 2017 Co Ltd                                                                                              | CUSIP: 000000000<br>LEI: 5493006V07LYI3HE6G83 | Long             | DBT              | CORP              | VG        |     470000 | PA      | $320752.75    | 0.08%             | 2047-11-07      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Vodafone Group PLC                                | Vodafone Group PLC                                                                                                       | CUSIP: 000000000<br>LEI: 213800TB53ELEUKM7Q61 | Long             | EC               | CORP              | GB        |     213435 | NS      | $217366.37    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Merrill Lynch International                       | PURCHASED USD / SOLD KRW                                                                                                 | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DFE              |  | US        |          1 | NC      | $-418181.82   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                         | CUSIP: 3132A5GF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     273071 | PA      | $253931.20    | 0.06%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CTP NV                                            | CTP NV                                                                                                                   | CUSIP: 000000000<br>LEI: 3157000YTVO4TN65UM14 | Long             | DBT              | CORP              | NL        |     460000 | PA      | $399475.82    | 0.10%             | 2026-01-20      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| UNICAJA BANCO SA                                  | Unicaja Banco SA                                                                                                         | CUSIP: 000000000<br>LEI: 5493007SJLLCTM6J6M37 | Long             | DBT              | CORP              | ES        |     500000 | PA      | $534738.76    | 0.13%             | 2027-11-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                                | PURCHASED EUR / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | N/A       |          1 | NC      | $14534.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                 | NatWest Group PLC                                                                                                        | CUSIP: 000000000<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     300000 | PA      | $365249.21    | 0.09%             | 2033-06-06      | Fixed         | 7.42%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: SM11304   IRS USD R F  4.00000 SM11304_FIX CCPOIS / Short: SM11304   IRS USD P V 12MSOFR SM11304_FLO CCPOIS        | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   56000000 | OU      | $761808.32    | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| Capital Automotive Reit                           | CARS-DB4 LP                                                                                                              | CUSIP: 12510HAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     259939 | PA      | $242866.96    | 0.06%             | 2050-02-15      | Fixed         | 3.19%                 | Yes           |                  2 | On Loan: No      |
| Taiwan Semiconductor Manufacturing Co Ltd         | Taiwan Semiconductor Manufacturing Co Ltd                                                                                | CUSIP: 874039100<br>LEI: 549300KB6NK5SBD14S87 | Long             | EC               | CORP              | TW        |      12904 | NS      | $961218.96    | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC Bank USA N.A.                                | PURCHASED EUR / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | N/A       |          1 | NC      | $89264.61     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| PT Pertamina (Persero)                            | Pertamina Persero PT                                                                                                     | CUSIP: 69370RAD9<br>LEI: 254900NDAKGNZ2IBBL45 | Long             | DBT              | CORP              | ID        |     550000 | PA      | $503313.35    | 0.12%             | 2029-07-30      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                             | CUSIP: 3137FTFW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     809000 | PA      | $39680.96     | 0.01%             | 2027-03-25      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| Brown Brothers Harriman & Co.                     | PURCHASED USD / SOLD EUR                                                                                                 | CUSIP: 000000000<br>LEI: 5493006KMX1VFTPYPW14 | N/A              | DFE              |  | US        |          1 | NC      | $-7169.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ORANGE SA                                         | Orange SA                                                                                                                | CUSIP: 000000000<br>LEI: 969500MCOONR8990S771 | Long             | DBT              | CORP              | FR        |     500000 | PA      | $526591.57    | 0.13%             | 2031-11-16      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| NatWest Markets PLC                               | PURCHASED CHF / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: RR3QWICWWIPCS8A4S074 | N/A              | DFE              |  | CH        |          1 | NC      | $75137.28     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| ASR NEDERLAND NV                                  | ASR Nederland NV                                                                                                         | CUSIP: 000000000<br>LEI: 7245000G0HS48PZWUD53 | Long             | DBT              | CORP              | NL        |     430000 | PA      | $460431.37    | 0.11%             | 2043-12-07      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                          | PURCHASED CZK / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CZ        |          1 | NC      | $55087.52     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Kyocera Corp                                      | Kyocera Corp                                                                                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |      17900 | NS      | $893636.09    | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| Manulife Financial Corp                           | Manulife Financial Corp                                                                                                  | CUSIP: 56501R106<br>LEI: 5493007GBX87QOZACS27 | Long             | EC               | CORP              | CA        |      60451 | NS      | $1078206.54   | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED EUR / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | N/A       |          1 | NC      | $7041.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE OF QATAR                                    | Qatar Government International Bond                                                                                      | CUSIP: 000000000<br>LEI: 52990074F6OJOAXK4P65 | Long             | DBT              | NUSS              | QA        |     200000 | PA      | $182950.80    | 0.04%             | 2050-04-16      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: BM11303   IRS USD R V 12MSOFR SM11303_FLO CCPOIS / Short: BM11303   IRS USD P F  3.75000 SM11303_FIX CCPOIS        | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   29900000 | OU      | $-539256.96   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                          | CUSIP: 3140MXVL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40603 | PA      | $37160.82     | 0.01%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                         | CUSIP: 3133BAFE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      48539 | PA      | $42702.74     | 0.01%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: SM11302   IRS USD R F  4.50000 SM11302_FIX CCPOIS / Short: SM11302   IRS USD P V 12MSOFR SM11302_FLO CCPOIS        | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  140300000 | OU      | $429028.98    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Nasdaq Inc                                        | Nasdaq Inc                                                                                                               | CUSIP: 631103108<br>LEI: 549300L8X1Q78ERXFD06 | Long             | EC               | CORP              | US        |      13072 | NS      | $801967.20    | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| BOEING CO                                         | Boeing Co/The                                                                                                            | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     625000 | PA      | $579484.91    | 0.14%             | 2050-05-01      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                            | Anglo American Capital PLC                                                                                               | CUSIP: 034863AW0<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |     326000 | PA      | $323631.94    | 0.08%             | 2030-04-01      | Fixed         | 5.63%                 | Yes           |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED JPY / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | JP        |          1 | NC      | $23724.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED CAD / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | CA        |          1 | NC      | $239.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| The Montreal Exchange / Bourse De Montreal        | S+P/TSX 60 IX FUT MAR23                                                                                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | CA        |          1 | NC      | $-5946.14     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD GBP                                                                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-8836.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Small Business Administration Participation Certs | United States Small Business Administration                                                                              | CUSIP: 83162CRA3<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |      11075 | PA      | $10911.96     | 0.00%             | 2027-05-01      | Fixed         | 5.31%                 | No            |                  2 | On Loan: No      |
| Equifax Inc                                       | Equifax Inc                                                                                                              | CUSIP: 294429105<br>LEI: 5493004MCF8JDC86VS77 | Long             | EC               | CORP              | US        |       2365 | NS      | $459661.40    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED GBP / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | GB        |          1 | NC      | $-140190.24   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | DAX INDEX FUTURE MAR23                                                                                                   | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               |  | DE        |         -8 | NC      | $89505.81     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| QATAR ENERGY TRADING LLC                          | QatarEnergy Trading LLC                                                                                                  | CUSIP: 000000000<br>LEI: 254900QTESJKJ3P87J26 | Long             | DBT              | CORP              | QA        |     664000 | PA      | $549434.77    | 0.13%             | 2031-07-12      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| T-Mobile US Inc                                   | T-Mobile US Inc                                                                                                          | CUSIP: 872590104<br>LEI: 549300QHIJYOHPACPG31 | Long             | EC               | CORP              | US        |       8355 | NS      | $1169700.00   | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| Kimberly-Clark Corp                               | Kimberly-Clark Corp                                                                                                      | CUSIP: 494368103<br>LEI: MP3J6QPYPGN75NVW2S34 | Long             | EC               | CORP              | US        |       9275 | NS      | $1259081.25   | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                         | CUSIP: 3133KNEG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     138611 | PA      | $118010.80    | 0.03%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                          | Republic of South Africa Government International Bond                                                                   | CUSIP: 836205BC7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |     429000 | PA      | $386100.00    | 0.09%             | 2032-04-20      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                                | PURCHASED USD / SOLD EUR                                                                                                 | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-682140.79   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                         | CUSIP: 3132DM5P6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29944 | PA      | $25412.88     | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                          | Constellation Brands Inc                                                                                                 | CUSIP: 21036PBE7<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |     776000 | PA      | $680052.19    | 0.17%             | 2029-08-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| EURO STABILITY MECHANISM                          | European Stability Mechanism                                                                                             | CUSIP: 000000000<br>LEI: 222100W4EEAQ77386N50 | Long             | DBT              | NUSS              | N/A       |    1170000 | PA      | $1147728.11   | 0.28%             | 2027-06-23      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | PURCHASED USD / SOLD PLN                                                                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |          1 | NC      | $-21810.22    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Travelers Cos Inc/The                             | Travelers Cos Inc/The                                                                                                    | CUSIP: 89417E109<br>LEI: 549300Y650407RU8B149 | Long             | EC               | CORP              | US        |       2217 | NS      | $415665.33    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                       | CUSIP: 36179XFH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     521300 | PA      | $505781.47    | 0.12%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Extra Space Storage Inc                           | Extra Space Storage Inc                                                                                                  | CUSIP: 30225T102<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       2088 | NS      | $307311.84    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                            | PURCHASED SEK / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | SE        |          1 | NC      | $85392.66     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BOUYGUES SA                                       | Bouygues SA                                                                                                              | CUSIP: 000000000<br>LEI: 969500MOCLNQFNZN0D63 | Long             | DBT              | CORP              | FR        |     200000 | PA      | $218379.83    | 0.05%             | 2032-06-07      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                           | Hyundai Capital America                                                                                                  | CUSIP: 44891ABL0<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     574000 | PA      | $581633.56    | 0.14%             | 2030-04-08      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| Hon Hai Precision Industry Co Ltd                 | Hon Hai Precision Industry Co Ltd                                                                                        | CUSIP: 000000000<br>LEI: 30030004CM3GSZXX7O56 | Long             | EC               | CORP              | TW        |     147000 | NS      | $477796.03    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD JPY                                                                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-16835.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Brown Brothers Harriman & Co.                     | PURCHASED USD / SOLD GBP                                                                                                 | CUSIP: 000000000<br>LEI: 5493006KMX1VFTPYPW14 | N/A              | DFE              |  | US        |          1 | NC      | $-11082.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ONTARIO (PROVINCE OF)                             | Province of Ontario Canada                                                                                               | CUSIP: 68333ZAL1<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |    1463000 | PA      | $658490.47    | 0.16%             | 2051-12-02      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                          | CUSIP: 3140XGQ69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     132350 | PA      | $116796.14    | 0.03%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| QATAR ENERGY TRADING LLC                          | QatarEnergy Trading LLC                                                                                                  | CUSIP: 000000000<br>LEI: 254900QTESJKJ3P87J26 | Long             | DBT              | CORP              | QA        |     436000 | PA      | $335027.63    | 0.08%             | 2041-07-12      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Korea Exchange (Futures Market)                   | KOSPI2 INX FUT MAR23                                                                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | KR        |         29 | NC      | $-91560.42    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN (30 YEAR ISSUE)                             | Japan Government Thirty Year Bond                                                                                        | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  425450000 | PA      | $2521222.41   | 0.61%             | 2046-06-20      | Fixed         | 0.30%                 | No            |                  2 | On Loan: No      |
| EXOR NV                                           | EXOR NV                                                                                                                  | CUSIP: 000000000<br>LEI: 5493002ENHZ6NYET7405 | Long             | DBT              | CORP              | NL        |     275000 | PA      | $220421.07    | 0.05%             | 2031-01-19      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Starwood Commercial Mortgage Trust                | STWD 2021-FL2 Ltd                                                                                                        | CUSIP: 78486BAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     534500 | PA      | $500212.57    | 0.12%             | 2038-04-18      | Floating      | 6.13%                 | Yes           |                  2 | On Loan: No      |
| Canadian Pacific Railway Ltd                      | Canadian Pacific Railway Ltd                                                                                             | CUSIP: 13645T100<br>LEI: N/A                  | Long             | EC               | CORP              | CA        |      11508 | NS      | $858000.44    | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                          | CUSIP: 3138WHNH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     262735 | PA      | $243955.87    | 0.06%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                                | PURCHASED CAD / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | CA        |          1 | NC      | $23368.35     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                       | PURCHASED CZK / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | CZ        |          1 | NC      | $115158.17    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Brown Brothers Harriman & Co.                     | PURCHASED USD / SOLD EUR                                                                                                 | CUSIP: 000000000<br>LEI: 5493006KMX1VFTPYPW14 | N/A              | DFE              |  | US        |          1 | NC      | $-64824.17    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                       | PURCHASED USD / SOLD CAD                                                                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-441.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                          | PURCHASED AUD / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |          1 | NC      | $-13440.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Brown Brothers Harriman & Co.                     | PURCHASED NOK / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 5493006KMX1VFTPYPW14 | N/A              | DFE              |  | NO        |          1 | NC      | $236788.77    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| PUMA INTERNATIONAL FINAN                          | Puma International Financing SA                                                                                          | CUSIP: 000000000<br>LEI: 222100YFBPO7IDRUBR17 | Long             | DBT              | CORP              | LU        |     475000 | PA      | $413606.75    | 0.10%             | 2026-01-24      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WESTINGHOUSE AIR BRAKE                            | Westinghouse Air Brake Technologies Corp                                                                                 | CUSIP: 960386AM2<br>LEI: 06BTX5UWZD0GQ5N5Y745 | Long             | DBT              | CORP              | US        |    1170000 | PA      | $1123262.89   | 0.27%             | 2028-09-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                         | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1003601 | PA      | $817174.06    | 0.20%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Aptiv PLC                                         | Aptiv PLC                                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JE        |       8331 | NS      | $775866.03    | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                          | CUSIP: 3140XFM73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72920 | PA      | $61773.89     | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                         | CUSIP: 3133KMZB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      45470 | PA      | $38761.39     | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Merck & Co Inc                                    | Merck & Co Inc                                                                                                           | CUSIP: 58933Y105<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | EC               | CORP              | US        |      31064 | NS      | $3446550.80   | 0.84%             |  |  |  | No            |                  1 | On Loan: No      |
| Bank                                              | BANK 2021-BNK32                                                                                                          | CUSIP: 06542BBN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1238191 | PA      | $53724.25     | 0.01%             | 2054-04-15      | Variable      | 0.78%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                          | Charter Communications Operating LLC / Charter Communications Operating Capital                                          | CUSIP: 161175BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     267000 | PA      | $193828.40    | 0.05%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Colgate-Palmolive Co                              | Colgate-Palmolive Co                                                                                                     | CUSIP: 194162103<br>LEI: YMEGZFW4SBUSS5BQXF88 | Long             | EC               | CORP              | US        |      11254 | NS      | $886702.66    | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| ASX Clear (Futures)                               | SPI 200 FUTURES MAR23                                                                                                    | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DE               |  | AU        |        -67 | NC      | $190061.05    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                            | Standard Chartered PLC                                                                                                   | CUSIP: 000000000<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |     340000 | PA      | $288871.54    | 0.07%             | 2029-11-17      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                       | CUSIP: 36179XHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     323458 | PA      | $306101.98    | 0.07%             | 2052-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD EUR                                                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-3641.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                               | JPMorgan Chase & Co                                                                                                      | CUSIP: 46625H100<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | EC               | CORP              | US        |      15308 | NS      | $2052802.80   | 0.50%             |  |  |  | No            |                  1 | On Loan: No      |
| Merrill Lynch International                       | PURCHASED EUR / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DFE              |  | N/A       |          1 | NC      | $21058.55     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                  | T-Mobile USA Inc                                                                                                         | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     817000 | PA      | $740050.65    | 0.18%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                                | PURCHASED USD / SOLD EUR                                                                                                 | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-18740.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Schneider Electric SE                             | Schneider Electric SE                                                                                                    | CUSIP: 000000000<br>LEI: 969500A1YF1XUYYXS284 | Long             | EC               | CORP              | FR        |      11197 | NS      | $1574739.79   | 0.38%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | PURCHASED USD / SOLD AUD                                                                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |          1 | NC      | $-145381.86   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                          | CUSIP: 31419GP24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     121040 | PA      | $119990.59    | 0.03%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NatWest Markets PLC                               | PURCHASED NZD / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: RR3QWICWWIPCS8A4S074 | N/A              | DFE              |  | NZ        |          1 | NC      | $178543.81    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                          | CUSIP: 31418EBR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31524 | PA      | $25686.86     | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                                | PURCHASED MXN / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | MX        |          1 | NC      | $22523.37     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Brown Brothers Harriman & Co.                     | PURCHASED NZD / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: 5493006KMX1VFTPYPW14 | N/A              | DFE              |  | NZ        |          1 | NC      | $56605.43     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust       | MF1 Multifamily Housing Mortgage Loan Trust                                                                              | CUSIP: 55282XAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     847500 | PA      | $809870.83    | 0.20%             | 2036-07-15      | Floating      | 5.90%                 | Yes           |                  2 | On Loan: No      |
| THERMO FISHER SCIENTIFIC                          | Thermo Fisher Scientific Inc                                                                                             | CUSIP: 883556CK6<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |     409000 | PA      | $346382.67    | 0.08%             | 2028-10-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                  | French Republic Government Bond OAT                                                                                      | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     598000 | PA      | $334096.02    | 0.08%             | 2053-05-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Nippon Yusen KK                                   | Nippon Yusen KK                                                                                                          | CUSIP: 000000000<br>LEI: 353800YPW4XM0ZN5I149 | Long             | EC               | CORP              | JP        |       9300 | NS      | $220382.51    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                         | CUSIP: 3133A67D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      49618 | PA      | $44041.81     | 0.01%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                          | Virginia Electric and Power Co                                                                                           | CUSIP: 927804GB4<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |     581000 | PA      | $511523.76    | 0.12%             | 2029-07-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch International                       | PURCHASED AUD / SOLD USD                                                                                                 | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DFE              |  | AU        |          1 | NC      | $61122.43     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Anhui Conch Cement Co Ltd                         | Anhui Conch Cement Co Ltd                                                                                                | CUSIP: 000000000<br>LEI: 300300JVKW56SSAEQZ33 | Long             | EC               | CORP              | CN        |      66500 | NS      | $230591.89    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank N.A.                                     | PURCHASED USD / SOLD IDR                                                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-352.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NATIONWIDE BLDG SOCIETY                           | Nationwide Building Society                                                                                              | CUSIP: 000000000<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |     120000 | PA      | $145384.47    | 0.04%             | 2027-12-07      | Fixed         | 6.18%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                          | PURCHASED USD / SOLD EUR                                                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-53049.34    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| VeriSign Inc                                      | VeriSign Inc                                                                                                             | CUSIP: 92343EAL6<br>LEI: LMPL4N8ZOJRMF0KOF759 | Long             | DBT              | CORP              | US        |     121000 | PA      | $116793.45    | 0.03%             | 2027-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd   | Arbor Realty Commercial Real Estate Notes 2021-FL2 Ltd                                                                   | CUSIP: 03881EAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     143000 | PA      | $134738.03    | 0.03%             | 2036-05-15      | Floating      | 5.92%                 | Yes           |                  2 | On Loan: No      |
| FIRST ABU DHABI BANK PJS                          | First Abu Dhabi Bank PJSC                                                                                                | CUSIP: 000000000<br>LEI: 2138002Y3WMK6RZS8H90 | Long             | DBT              | CORP              | AE        |     600000 | PA      | $573120.87    | 0.14%             | 2026-02-16      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2021-B27 Mortgage Trust                                                                                        | CUSIP: 08163HAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6755480 | PA      | $476041.81    | 0.12%             | 2054-07-15      | Variable      | 1.27%                 | No            |                  2 | On Loan: No      |
| CEZ AS                                            | CEZ AS                                                                                                                   | CUSIP: 000000000<br>LEI: 529900S5R9YHJHYKKG94 | Long             | DBT              | CORP              | CZ        |     433000 | PA      | $418590.10    | 0.10%             | 2027-04-06      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Samsung Electronics Co Ltd                        | Samsung Electronics Co Ltd                                                                                               | CUSIP: 000000000<br>LEI: 9884007ER46L6N7EI764 | Long             | EP               | CORP              | KR        |       3751 | NS      | $150932.20    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                    | Microsoft Corp                                                                                                           | CUSIP: 594918CD4<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |     228000 | PA      | $144645.96    | 0.04%             | 2060-06-01      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                                | PURCHASED USD / SOLD EUR                                                                                                 | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-22701.30    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD KRW                                                                                                 | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-5996.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                          | CUSIP: 31418EB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     144337 | PA      | $117598.55    | 0.03%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED USD / SOLD GBP                                                                                                 | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $-5634.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                              | Kraft Heinz Foods Co                                                                                                     | CUSIP: 50077LBC9<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |     586000 | PA      | $559862.54    | 0.14%             | 2027-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Mercedes-Benz Group AG                            | Mercedes-Benz Group AG                                                                                                   | CUSIP: 000000000<br>LEI: 529900R27DL06UVNT076 | Long             | EC               | CORP              | DE        |       2858 | NS      | $187843.76    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Brown Brothers Harriman & Co.                     | PURCHASED USD / SOLD GBP                                                                                                 | CUSIP: 000000000<br>LEI: 5493006KMX1VFTPYPW14 | N/A              | DFE              |  | US        |          1 | NC      | $-620.42      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                          | CUSIP: 3138EQTZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     559671 | PA      | $541954.99    | 0.13%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TAPESTRY INC                                      | Tapestry Inc                                                                                                             | CUSIP: 876030AA5<br>LEI: 549300LJNVY5SW3VTN33 | Long             | DBT              | CORP              | US        |     516000 | PA      | $401605.19    | 0.10%             | 2032-03-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD NZD                                                                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-64682.17    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BUND FUTURE MAR23                                                                                                   | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        -63 | NC      | $551850.85    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Transmissora Alianca de Energia Eletrica SA       | Transmissora Alianca de Energia Eletrica SA                                                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | BR        |      15541 | NS      | $102051.51    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| HOLDING D'INFRASTRUCTURE                          | Holding d'Infrastructures de Transport SASU                                                                              | CUSIP: 000000000<br>LEI: 9695004S3RCE0Q5V8G28 | Long             | DBT              | CORP              | FR        |     600000 | PA      | $499992.83    | 0.12%             | 2031-01-18      | Fixed         | 1.48%                 | No            |                  2 | On Loan: No      |
| Kirin Holdings Co Ltd                             | Kirin Holdings Co Ltd                                                                                                    | CUSIP: 000000000<br>LEI: 353800GBVL72LLMTYM96 | Long             | EC               | CORP              | JP        |      23400 | NS      | $358559.89    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Eaton Corp PLC                                    | Eaton Corp PLC                                                                                                           | CUSIP: 000000000<br>LEI: 549300VDIGTMXUNT7H71 | Long             | EC               | CORP              | IE        |       8440 | NS      | $1324658.00   | 0.32%             |  |  |  | No            |                  1 | On Loan: No      |
| Gilead Sciences Inc                               | Gilead Sciences Inc                                                                                                      | CUSIP: 375558103<br>LEI: 549300WTZWR07K8MNV44 | Long             | EC               | CORP              | US        |       7023 | NS      | $602924.55    | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| Coca-Cola Femsa SAB de CV                         | Coca-Cola Femsa SAB de CV                                                                                                | CUSIP: 191241108<br>LEI: 5493008KEVFYPMGTXO33 | Long             | EC               | CORP              | MX        |       2732 | NS      | $185448.16    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Timken Co/The                                     | Timken Co/The                                                                                                            | CUSIP: 887389104<br>LEI: B0I35MLPFXZSE70ASS73 | Long             | EC               | CORP              | US        |       1523 | NS      | $107630.41    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Osaka Exchange                                    | JPN 10Y BOND(OSE) MAR23                                                                                                  | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              |  | JP        |         20 | NC      | $-415833.59   | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| GOVT OF BERMUDA                                   | Bermuda Government International Bond                                                                                    | CUSIP: 085209AG9<br>LEI: 549300FP5PUZXX9FVJ40 | Long             | DBT              | NUSS              | BM        |     220000 | PA      | $185578.12    | 0.05%             | 2030-08-20      | Fixed         | 2.38%                 | Yes           |                  2 | On Loan: No      |
| G CITY EUROPE LTD                                 | G City Europe Ltd                                                                                                        | CUSIP: 000000000<br>LEI: 213800OJ67K27RCO2J56 | Long             | DBT              | CORP              | JE        |     225000 | PA      | $92535.01     | 0.02%             | 2026-08-04      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| China Construction Bank Corp                      | China Construction Bank Corp                                                                                             | CUSIP: 000000000<br>LEI: 5493001KQW6DM7KEDR62 | Long             | EC               | CORP              | CN        |     575000 | NS      | $360229.07    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                            | PURCHASED USD / SOLD EUR                                                                                                 | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $-115901.80   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| ConocoPhillips                                    | ConocoPhillips                                                                                                           | CUSIP: 20825C104<br>LEI: WPTL2Z3FIYTHSP5V2253 | Long             | EC               | CORP              | US        |      15475 | NS      | $1826050.00   | 0.44%             |  |  |  | No            |                  1 | On Loan: No      |
| CAIXA GERAL DE DEPOSITOS                          | Caixa Geral de Depositos SA                                                                                              | CUSIP: 000000000<br>LEI: TO822O0VT80V06K0FH57 | Long             | DBT              | CORP              | PT        |     200000 | PA      | $216580.62    | 0.05%             | 2028-10-31      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                          | PURCHASED USD / SOLD NZD                                                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $86675.18     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                       | CUSIP: 36179XFG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     148958 | PA      | $140965.46    | 0.03%             | 2052-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Heineken NV                                       | Heineken NV                                                                                                              | CUSIP: 000000000<br>LEI: 724500K5PTPSST86UQ23 | Long             | EC               | CORP              | NL        |       5636 | NS      | $530184.73    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-17

**Name of Applicant:** MFS VARIABLE INSURANCE TRUST II

**Signature:** Kasey Phillips

**Name of Signer:** Kasey Phillips

**Title:** Assistant Treasurer