# EDGAR Filing Document

**Accession Number:** 0000719269
**File Stem:** 0001410368-25-028916
**Filing Date:** 2025-11
**Character Count:** 634517
**Document Hash:** c463477d9c6ebf31ad28511321829ed5
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-25-028916.hdr.sgml**: 20251124

**ACCESSION NUMBER**: 0001410368-25-028916

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 4

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251124

**DATE AS OF CHANGE**: 20251124

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** MFS VARIABLE INSURANCE TRUST II
- **CENTRAL INDEX KEY:** 0000719269

**ORGANIZATION NAME:**
- **EIN:** 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:** 251509802

**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 |  |

## Nport-Ex

WTS-Q3

![](img9ca6e4061.gif)

**Quarterly Report**

September 30, 2025

MFS<sup>®</sup> Global Tactical <br>

Allocation Portfolio

![](img5310ab152.gif)

MFS<sup>®</sup> Variable Insurance Trust II

------

**Portfolio of Investments**

9/30/25 (unaudited)

The Portfolio of Investments is a complete list of all securities owned by your fund. It is categorized by broad-based asset classes.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Bonds – 60.8%  | Bonds – 60.8%  | Bonds – 60.8%  |
| Aerospace & Defense – 0.2% | Aerospace & Defense – 0.2% | Aerospace & Defense – 0.2% |
| Boeing Co., 6.388%, 5/01/2031  | $88000 | &nbsp;&nbsp;&nbsp; $95842 |
| Boeing Co., 5.805%, 5/01/2050  | 314000 | &nbsp;&nbsp;&nbsp; 313706 |
| Huntington Ingalls Industries, Inc., 4.2%, 5/01/2030  | 148000 | &nbsp;&nbsp;&nbsp; 145944 |
| Huntington Ingalls Industries, Inc., 5.749%, 1/15/2035  | 191000 | &nbsp;&nbsp;&nbsp; 200359 |
|  |  | &nbsp;&nbsp;&nbsp; $755851 |
| Asset-Backed & Securitized – 3.8% | Asset-Backed & Securitized – 3.8% | Asset-Backed & Securitized – 3.8% |
| AA Bond Co. Ltd., 6.85%, 7/31/2031  | 150000 | &nbsp;&nbsp;&nbsp; $211478 |
| Angel Oak Mortgage Trust, 2024-12, "A1", 5.653%, 10/25/2069 (n) | $581423 | &nbsp;&nbsp;&nbsp; 586580 |
| Angel Oak Mortgage Trust, 2024-13, "A1", 5.464%, 12/26/2069 (n) | 194804 | &nbsp;&nbsp;&nbsp; 196098 |
| Angel Oak Mortgage Trust, 2024-9, "A1", 5.138%, 9/25/2069 (n) | 510239 | &nbsp;&nbsp;&nbsp; 510076 |
| Angel Oak Mortgage Trust, 2025-1, "A2", 5.844%, 1/25/2070 (n) | 248466 | &nbsp;&nbsp;&nbsp; 250556 |
| AREIT 2022-CRE6 Trust, "B", FLR, 6.236% (SOFR - 30 day + 1.85%), 1/20/2037 (n) | 289000 | &nbsp;&nbsp;&nbsp; 287569 |
| AREIT 2022-CRE6 Trust, "C", FLR, 6.536% (SOFR - 30 day + 2.15%), 1/20/2037 (n) | 119000 | &nbsp;&nbsp;&nbsp; 117513 |
| AREIT 2022-CRE6 Trust, "D", FLR, 7.236% (SOFR - 30 day + 2.85%), 1/20/2037 (n) | 100000 | &nbsp;&nbsp;&nbsp; 97750 |
| Bain Capital Credit CLO Ltd., 2021-7A, "BR", FLR, 5.831% (SOFR - 3mo. + 1.5%), 1/22/2035 (n) | 633790 | &nbsp;&nbsp;&nbsp; 632343 |
| BBCMS Mortgage Trust, 2020-C7, "XA", 1.705%, 4/15/2053 (i) | 952169 | &nbsp;&nbsp;&nbsp; 43726 |
| BBCMS Mortgage Trust, 2021-C10, "XA", 1.329%, 7/15/2054 (i) | 2692951 | &nbsp;&nbsp;&nbsp; 136744 |
| BBCMS Mortgage Trust, 2021-C9, "XA", 1.694%, 2/15/2054 (i) | 6448117 | &nbsp;&nbsp;&nbsp; 416941 |
| Benchmark 2021-B24 Mortgage Trust, "XA", 1.249%, 3/15/2054 (i) | 2006586 | &nbsp;&nbsp;&nbsp; 80385 |
| Benchmark 2021-B26 Mortgage Trust, "XA", 0.956%, 6/15/2054 (i) | 5404035 | &nbsp;&nbsp;&nbsp; 181679 |
| Benchmark 2021-B27 Mortgage Trust, "XA", 1.349%, 7/15/2054 (i) | 6551702 | &nbsp;&nbsp;&nbsp; 329302 |
| Benchmark 2021-B28 Mortgage Trust, "XA", 1.351%, 8/15/2054 (i) | 5130427 | &nbsp;&nbsp;&nbsp; 261631 |
| BMP Commercial Mortgage Trust, 2024-MF23, "C", FLR, 5.991% (SOFR - 1mo. + 1.8413%), 6/15/2041 (n) | 235440 | &nbsp;&nbsp;&nbsp; 235955 |
| BSPRT 2021-FL7 Issuer Ltd., "B", FLR, 6.314% ((SOFR - 1mo. + 0.11448%) + 2.05%), 12/15/2038 (n) | 177500 | &nbsp;&nbsp;&nbsp; 177434 |
| BSPRT 2021-FL7 Issuer Ltd., "C", FLR, 6.564% ((SOFR - 1mo. + 0.11448%) + 2.3%), 12/15/2038 (n) | 161000 | &nbsp;&nbsp;&nbsp; 160010 |
| Business Jet Securities LLC, 2024-1A, "A", 6.197%, 5/15/2039 (n) | 219651 | &nbsp;&nbsp;&nbsp; 225041 |
| BX Trust, 2024-PURE, "A", FLR, 4.661% (CORRA + 1.9%), 11/15/2041 (n) | 438374 | &nbsp;&nbsp;&nbsp; 317920 |
| CF Hippolyta Issuer LLC, 2020-1, "A1", 1.69%, 7/15/2060 (n) | $196333 | &nbsp;&nbsp;&nbsp; 168639 |
| Chesapeake Funding II LLC, 2023-1A, "A1", 5.65%, 5/15/2035 (n) | 96856 | &nbsp;&nbsp;&nbsp; 97451 |
| Colt Funding LLC, 2024-1, "A1", 5.835%, 2/25/2069 (n) | 194994 | &nbsp;&nbsp;&nbsp; 196526 |
| Colt Funding LLC, 2024-6, "A1", 5.39%, 11/25/2069 (n) | 161696 | &nbsp;&nbsp;&nbsp; 162570 |
| Commercial Mortgage Pass-Through Certificates, 2021-BN32, "XA", 0.868%, 4/15/2054 (i) | 1226479 | &nbsp;&nbsp;&nbsp; 36309 |
| Commercial Mortgage Pass-Through Certificates, 2021-BN34, "XA", 1.066%, 6/15/2063 (i) | 2935695 | &nbsp;&nbsp;&nbsp; 112791 |
| Commercial Mortgage Pass-Through Certificates, 2021-BN35, "XA", 1.132%, 6/15/2064 (i) | 2895991 | &nbsp;&nbsp;&nbsp; 122979 |
| Commercial Mortgage Pass-Through Certificates, 2022-BNK41, "AS", 3.915%, 4/15/2065  | 592000 | &nbsp;&nbsp;&nbsp; 549175 |
| ELM Trust, 2024-ELM, "B10", 6.195%, 6/10/2039 (n) | 334396 | &nbsp;&nbsp;&nbsp; 337426 |
| ELM Trust, 2024-ELM, "C10", 6.395%, 6/10/2039 (n) | 100000 | &nbsp;&nbsp;&nbsp; 100822 |
| Empire District Bondco LLC, 4.943%, 1/01/2033  | 296371 | &nbsp;&nbsp;&nbsp; 300062 |
| Enterprise Fleet Financing 2024-3 LLC, "A2", 5.31%, 4/20/2027 (n) | 86136 | &nbsp;&nbsp;&nbsp; 86594 |
| Enterprise Fleet Financing 2025-1 LLC, "A2", 4.65%, 10/20/2027 (n) | 66000 | &nbsp;&nbsp;&nbsp; 66298 |
| EQT Trust, 2024-EXTR, "B", 5.654%, 7/05/2041 (n) | 169941 | &nbsp;&nbsp;&nbsp; 173386 |
| EQT Trust, 2024-EXTR, "C", 6.046%, 7/05/2041 (n) | 100000 | &nbsp;&nbsp;&nbsp; 102180 |
| Fortress CBO Investments Ltd., 2022-FL3, "AS", FLR, 6.632% (SOFR - 30 day + 2.25%), 2/23/2039 (n) | 184349 | &nbsp;&nbsp;&nbsp; 184143 |
| MF1 2021-FL5 Ltd., "C", FLR, 5.957% ((SOFR - 1mo. + 0.11448%) + 1.7%), 7/15/2036 (n) | 200000 | &nbsp;&nbsp;&nbsp; 200003 |
| MF1 2021-FL6 Ltd., "B", FLR, 5.9% ((SOFR - 1mo. + 0.11448%) + 1.65%), 7/16/2036 (n) | 600000 | &nbsp;&nbsp;&nbsp; 598503 |
| MF1 2022-FL8 Ltd., "A", FLR, 5.483% (SOFR - 1mo. + 1.35%), 2/19/2037 (n) | 179692 | &nbsp;&nbsp;&nbsp; 179691 |
| MF1 2022-FL8 Ltd., "B", FLR, 6.083% (SOFR - 30 day + 1.95%), 2/19/2037 (n) | 281312 | &nbsp;&nbsp;&nbsp; 278005 |
| Morgan Stanley Capital I Trust, 2021-L5, "XA", 1.385%, 5/15/2054 (i) | 2210243 | &nbsp;&nbsp;&nbsp; 100066 |
| Morgan Stanley Capital I Trust, 2021-L6, "XA", 1.255%, 6/15/2054 (i) | 4500601 | &nbsp;&nbsp;&nbsp; 177231 |
| New Residential Mortgage Loan Trust, 2024-NQM3, "A-1", 0%, 5/25/2065 (n) | 162754 | &nbsp;&nbsp;&nbsp; 164355 |
| OBX Trust, 2024-NQM1, "A1", 5.928%, 11/25/2063 (n) | 237616 | &nbsp;&nbsp;&nbsp; 239550 |
| OBX Trust, 2024-NQM2, "A1", 5.878%, 12/25/2063 (n) | 413662 | &nbsp;&nbsp;&nbsp; 417033 |
| OBX Trust, 2024-NQM3, "A1", 6.129%, 12/25/2063 (n) | 91554 | &nbsp;&nbsp;&nbsp; 92641 |
| Starwood Commercial Mortgage, 2021-FL2, "B", FLR, 6.05% ((SOFR - 1mo. + 0.11448%) + 1.8%), 4/18/2038 (n) | 534500 | &nbsp;&nbsp;&nbsp; 530879 |
| TCW Gem Ltd., 2020-1A, "BR3", FLR, 5.925% (SOFR - 3mo. + 1.6%), 4/20/2034 (n) | 780000 | &nbsp;&nbsp;&nbsp; 775762 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Bonds – continued  | Bonds – continued  | Bonds – continued  |
| Asset-Backed & Securitized – continued | Asset-Backed & Securitized – continued | Asset-Backed & Securitized – continued |
| TPG Real Estate Finance, 2021-FL4, "AS", FLR, 5.657% ((SOFR - 1mo. + 0.11448%) + 1.4%), 3/15/2038 (n) | $350000 | &nbsp;&nbsp;&nbsp; $349221 |
| Verus Securitization Trust, 2014-1, "A1", 5.712%, 1/25/2069 (n) | 208165 | &nbsp;&nbsp;&nbsp; 209520 |
| Volvo Financial Equipment LLC, 2024-1A, "A2", 4.56%, 5/17/2027 (n) | 158655 | &nbsp;&nbsp;&nbsp; 158899 |
| Wells Fargo Commercial Mortgage Trust, 2021-C60, "XA", 1.616%, 8/15/2054 (i) | 4800485 | &nbsp;&nbsp;&nbsp; 301028 |
|  |  | &nbsp;&nbsp;&nbsp; $13026469 |
| Automotive – 0.4% | Automotive – 0.4% | Automotive – 0.4% |
| Ford Motor Credit Co. LLC, 6.95%, 6/10/2026  | $228000 | &nbsp;&nbsp;&nbsp; $230964 |
| Ford Motor Credit Co. LLC, 3.778%, 9/16/2029  | 200000 | &nbsp;&nbsp;&nbsp; 234268 |
| Forvia SE, 5.375%, 3/15/2031  | 200000 | &nbsp;&nbsp;&nbsp; 239212 |
| Hyundai Capital America, 5.25%, 1/08/2027 (n) | $154000 | &nbsp;&nbsp;&nbsp; 155648 |
| Hyundai Capital America, 6.375%, 4/08/2030 (n) | 157000 | &nbsp;&nbsp;&nbsp; 167705 |
| Hyundai Capital America, 4.5%, 9/18/2030 (n) | 82000 | &nbsp;&nbsp;&nbsp; 81610 |
| Volkswagen Bank GmbH, 3.5%, 6/19/2031  | 200000 | &nbsp;&nbsp;&nbsp; 234998 |
|  |  | &nbsp;&nbsp;&nbsp; $1344405 |
| Broadcasting – 0.3% | Broadcasting – 0.3% | Broadcasting – 0.3% |
| Arqiva Broadcast Finance PLC, 8.625%, 7/01/2030  | 236000 | &nbsp;&nbsp;&nbsp; $331598 |
| Prosus N.V., 4.343%, 7/15/2035  | 201000 | &nbsp;&nbsp;&nbsp; 237686 |
| WMG Acquisition Corp., 3.75%, 12/01/2029 (n) | $145000 | &nbsp;&nbsp;&nbsp; 138292 |
| WMG Acquisition Corp., 3.875%, 7/15/2030 (n) | 194000 | &nbsp;&nbsp;&nbsp; 183981 |
|  |  | &nbsp;&nbsp;&nbsp; $891557 |
| Brokerage & Asset Managers – 0.6% | Brokerage & Asset Managers – 0.6% | Brokerage & Asset Managers – 0.6% |
| Citadel Securities Global Holdings LLC, 5.5%, 6/18/2030 (n) | $250000 | &nbsp;&nbsp;&nbsp; $256590 |
| Jane Street Group/JSG Finance, Inc., 6.125%, 11/01/2032 (n) | 324000 | &nbsp;&nbsp;&nbsp; 328393 |
| Low Income Investment Fund, 3.386%, 7/01/2026  | 150000 | &nbsp;&nbsp;&nbsp; 147708 |
| Low Income Investment Fund, 3.711%, 7/01/2029  | 400000 | &nbsp;&nbsp;&nbsp; 384964 |
| LPL Holdings, Inc., 4%, 3/15/2029 (n) | 412000 | &nbsp;&nbsp;&nbsp; 402910 |
| LPL Holdings, Inc., 5.75%, 6/15/2035  | 78000 | &nbsp;&nbsp;&nbsp; 79984 |
| Osaic Holdings, Inc., 6.75%, 8/01/2032 (n) | 43000 | &nbsp;&nbsp;&nbsp; 44412 |
| The Carlyle Group, Inc., 5.05%, 9/19/2035  | 551000 | &nbsp;&nbsp;&nbsp; 549073 |
|  |  | &nbsp;&nbsp;&nbsp; $2194034 |
| Building – 0.2% | Building – 0.2% | Building – 0.2% |
| Ferguson Enterprises, Inc., 5%, 10/03/2034  | $317000 | &nbsp;&nbsp;&nbsp; $319173 |
| JH North America Holdings, Inc., 5.875%, 1/31/2031 (n) | 180000 | &nbsp;&nbsp;&nbsp; 182757 |
| JH North America Holdings, Inc., 6.125%, 7/31/2032 (n) | 180000 | &nbsp;&nbsp;&nbsp; 184369 |
| Vulcan Materials Co., 5.7%, 12/01/2054  | 142000 | &nbsp;&nbsp;&nbsp; 145210 |
|  |  | &nbsp;&nbsp;&nbsp; $831509 |
| Business Services – 0.5% | Business Services – 0.5% | Business Services – 0.5% |
| Accenture Capital, Inc., 4.25%, 10/04/2031  | $206000 | &nbsp;&nbsp;&nbsp; $205692 |
| Accenture Capital, Inc., 4.5%, 10/04/2034  | 123000 | &nbsp;&nbsp;&nbsp; 121306 |
| ams OSRAM AG, 10.5%, 3/30/2029  | 140000 | &nbsp;&nbsp;&nbsp; 175122 |
| Fiserv Funding ULC, 3.5%, 6/15/2032  | 240000 | &nbsp;&nbsp;&nbsp; 281073 |
| Fiserv, Inc., 4.4%, 7/01/2049  | $356000 | &nbsp;&nbsp;&nbsp; 293522 |
| Iron Mountain, Inc., 4.75%, 1/15/2034  | 100000 | &nbsp;&nbsp;&nbsp; 117664 |
| Mastercard, Inc., 3.85%, 3/26/2050  | $102000 | &nbsp;&nbsp;&nbsp; 81734 |
| Paychex, Inc., 5.1%, 4/15/2030  | 98000 | &nbsp;&nbsp;&nbsp; 100845 |
| Paychex, Inc., 5.35%, 4/15/2032  | 215000 | &nbsp;&nbsp;&nbsp; 223093 |
| Visa, Inc., 3.875%, 5/15/2044  | 130000 | &nbsp;&nbsp;&nbsp; 152969 |
|  |  | &nbsp;&nbsp;&nbsp; $1753020 |
| Cable TV – 0.2% | Cable TV – 0.2% | Cable TV – 0.2% |
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 6.1%, 6/01/2029  | $76000 | &nbsp;&nbsp;&nbsp; $79754 |
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 6.65%, 2/01/2034  | 77000 | &nbsp;&nbsp;&nbsp; 82282 |
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 5.85%, 12/01/2035  | 175000 | &nbsp;&nbsp;&nbsp; 176671 |
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 6.484%, 10/23/2045  | 239000 | &nbsp;&nbsp;&nbsp; 236110 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Bonds – continued  | Bonds – continued  | Bonds – continued  |
| Cable TV – continued | Cable TV – continued | Cable TV – continued |
| Videotron Ltd., 3.625%, 6/15/2029 (n) | $288000 | &nbsp;&nbsp;&nbsp; $279207 |
|  |  | &nbsp;&nbsp;&nbsp; $854024 |
| Chemicals – 0.2% | Chemicals – 0.2% | Chemicals – 0.2% |
| Arkema S.A., 3.5%, 9/09/2033  | 200000 | &nbsp;&nbsp;&nbsp; $233908 |
| Givaudan S.A., 2.875%, 9/09/2029  | 100000 | &nbsp;&nbsp;&nbsp; 117920 |
| Maxam Prill S.à r.l., 6%, 7/15/2030  | 333000 | &nbsp;&nbsp;&nbsp; 396908 |
|  |  | &nbsp;&nbsp;&nbsp; $748736 |
| Computer Software – 0.2% | Computer Software – 0.2% | Computer Software – 0.2% |
| Microsoft Corp., 2.525%, 6/01/2050  | $378000 | &nbsp;&nbsp;&nbsp; $239301 |
| Oracle Corp., 4.8%, 9/26/2032  | 144000 | &nbsp;&nbsp;&nbsp; 144173 |
| Oracle Corp., 4%, 7/15/2046  | 228000 | &nbsp;&nbsp;&nbsp; 177606 |
| Sage Group PLC, 2.875%, 2/08/2034  | 191000 | &nbsp;&nbsp;&nbsp; 213651 |
|  |  | &nbsp;&nbsp;&nbsp; $774731 |
| Conglomerates – 0.2% | Conglomerates – 0.2% | Conglomerates – 0.2% |
| Assa Abloy AB, 3.371%, 9/09/2032  | 120000 | &nbsp;&nbsp;&nbsp; $142199 |
| Regal Rexnord Corp., 6.05%, 4/15/2028  | $268000 | &nbsp;&nbsp;&nbsp; 277228 |
| Regal Rexnord Corp., 6.3%, 2/15/2030  | 112000 | &nbsp;&nbsp;&nbsp; 118753 |
| Westinghouse Air Brake Technologies Corp., 5.611%, 3/11/2034  | 124000 | &nbsp;&nbsp;&nbsp; 130278 |
|  |  | &nbsp;&nbsp;&nbsp; $668458 |
| Consumer Products – 0.1% | Consumer Products – 0.1% | Consumer Products – 0.1% |
| Dometic Group AB, 5%, 9/11/2030  | 100000 | &nbsp;&nbsp;&nbsp; $117837 |
| L'Oréal S.A., 5%, 5/20/2035 (n) | $200000 | &nbsp;&nbsp;&nbsp; 205904 |
|  |  | &nbsp;&nbsp;&nbsp; $323741 |
| Consumer Services – 0.2% | Consumer Services – 0.2% | Consumer Services – 0.2% |
| Eurofins Scientific SE, 3.875%, 2/05/2033  | 100000 | &nbsp;&nbsp;&nbsp; $117685 |
| Pluxee N.V., 3.75%, 9/04/2032  | 200000 | &nbsp;&nbsp;&nbsp; 235046 |
| Service Corp. International, 5.75%, 10/15/2032  | $183000 | &nbsp;&nbsp;&nbsp; 185393 |
|  |  | &nbsp;&nbsp;&nbsp; $538124 |
| Electronics – 0.2% | Electronics – 0.2% | Electronics – 0.2% |
| Broadcom, Inc., 4.55%, 2/15/2032  | $262000 | &nbsp;&nbsp;&nbsp; $263820 |
| Broadcom, Inc., 5.2%, 7/15/2035  | 159000 | &nbsp;&nbsp;&nbsp; 163866 |
| Intel Corp., 5.7%, 2/10/2053  | 195000 | &nbsp;&nbsp;&nbsp; 188579 |
|  |  | &nbsp;&nbsp;&nbsp; $616265 |
| Emerging Market Quasi-Sovereign – 1.0% | Emerging Market Quasi-Sovereign – 1.0% | Emerging Market Quasi-Sovereign – 1.0% |
| Bank Gospodarstwa Krajowego (Republic of Poland), 6.25%, 10/31/2028 (n) | $253000 | &nbsp;&nbsp;&nbsp; $268515 |
| Bank Gospodarstwa Krajowego (Republic of Poland), 5.375%, 5/22/2033 (n) | 208000 | &nbsp;&nbsp;&nbsp; 214668 |
| CEZ A.S. (Czech Republic), 4.125%, 4/30/2033  | 238000 | &nbsp;&nbsp;&nbsp; 283780 |
| Chile Electricity Lux MPC II S.à r.l., 5.58%, 10/20/2035 (n) | $218961 | &nbsp;&nbsp;&nbsp; 226138 |
| Czech Republic, 3.75%, 7/28/2030  | 133000 | &nbsp;&nbsp;&nbsp; 160085 |
| Development Bank of Kazakhstan JSC, 5.625%, 4/07/2030 (n) | $554000 | &nbsp;&nbsp;&nbsp; 573955 |
| Magyar Export-Import Bank PLC (Republic of Hungary), 6.125%, 12/04/2027 (n) | 208000 | &nbsp;&nbsp;&nbsp; 215078 |
| PT Perusahaan Listrik Negara (Republic of Indonesia), 4%, 6/30/2050 (n) | 333000 | &nbsp;&nbsp;&nbsp; 246384 |
| Qatar Petroleum, 3.125%, 7/12/2041  | 236000 | &nbsp;&nbsp;&nbsp; 181687 |
| Republic of Hungary, 4.375%, 6/27/2030  | 437000 | &nbsp;&nbsp;&nbsp; 530407 |
| Saudi Arabian Oil Co., 5.75%, 7/17/2054 (n) | $317000 | &nbsp;&nbsp;&nbsp; 315256 |
| Saudi Arabian Oil Co., 6.375%, 6/02/2055  | 203000 | &nbsp;&nbsp;&nbsp; 216393 |
|  |  | &nbsp;&nbsp;&nbsp; $3432346 |
| Emerging Market Sovereign – 11.5% | Emerging Market Sovereign – 11.5% | Emerging Market Sovereign – 11.5% |
| Eagle Funding LuxCo. S.à r.l. (United Mexican States), 5.5%, 8/17/2030 (n) | $345000 | &nbsp;&nbsp;&nbsp; $350023 |
| Federative Republic of Brazil, 10%, 1/01/2035  | 12341000 | &nbsp;&nbsp;&nbsp; 1897395 |
| Hellenic Republic (Republic of Greece), 3.375%, 6/15/2034  | 2385000 | &nbsp;&nbsp;&nbsp; 2824938 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Bonds – continued  | Bonds – continued  | Bonds – continued  |
| Emerging Market Sovereign – continued | Emerging Market Sovereign – continued | Emerging Market Sovereign – continued |
| Hellenic Republic (Republic of Greece), 3.625%, 6/15/2035 (n) | 2609000 | &nbsp;&nbsp;&nbsp; $3122982 |
| Hellenic Republic (Republic of Greece), 4.125%, 6/15/2054  | 482000 | &nbsp;&nbsp;&nbsp; 552196 |
| Kingdom of Saudi Arabia, 5.125%, 1/13/2028 (n) | $249000 | &nbsp;&nbsp;&nbsp; 254292 |
| Oriental Republic of Uruguay, 8.25%, 5/21/2031  | 35193000 | &nbsp;&nbsp;&nbsp; 890750 |
| Oriental Republic of Uruguay, 9.75%, 7/20/2033  | 22117000 | &nbsp;&nbsp;&nbsp; 607503 |
| People's Republic of China, 3.13%, 11/21/2029  | 16970000 | &nbsp;&nbsp;&nbsp; 2538862 |
| People's Republic of China, 1.43%, 1/25/2030  | 24800000 | &nbsp;&nbsp;&nbsp; 3456659 |
| People's Republic of China, 2.88%, 2/25/2033  | 28910000 | &nbsp;&nbsp;&nbsp; 4374867 |
| People's Republic of China, 2.27%, 5/25/2034  | 4700000 | &nbsp;&nbsp;&nbsp; 682227 |
| Republic of Albania, 4.75%, 2/14/2035 (n) | 423000 | &nbsp;&nbsp;&nbsp; 499896 |
| Republic of Costa Rica, 7.158%, 3/12/2045  | $600000 | &nbsp;&nbsp;&nbsp; 644283 |
| Republic of Cote d'Ivoire, 8.25%, 1/30/2037 (n) | 200000 | &nbsp;&nbsp;&nbsp; 208572 |
| Republic of Hungary, 4%, 7/25/2029  | 879000 | &nbsp;&nbsp;&nbsp; 1062087 |
| Republic of Indonesia, 6.5%, 7/15/2030  | 8350000000 | &nbsp;&nbsp;&nbsp; 521618 |
| Republic of Indonesia, 5.875%, 3/15/2031  | 8400000000 | &nbsp;&nbsp;&nbsp; 513435 |
| Republic of Korea, 1.875%, 6/10/2029  | 3260190000 | &nbsp;&nbsp;&nbsp; 2257213 |
| Republic of Korea, 1.375%, 6/10/2030  | 5075400000 | &nbsp;&nbsp;&nbsp; 3394230 |
| Republic of Paraguay, 6%, 2/09/2036 (n) | $200000 | &nbsp;&nbsp;&nbsp; 211880 |
| Republic of Peru, 5.375%, 2/08/2035  | 810000 | &nbsp;&nbsp;&nbsp; 824985 |
| Republic of Peru, 6.85%, 8/12/2035  | 6262000 | &nbsp;&nbsp;&nbsp; 1903417 |
| Republic of Poland, 3.625%, 1/11/2034  | 500000 | &nbsp;&nbsp;&nbsp; 599155 |
| Republic of Romania, 6%, 5/25/2034  | $532000 | &nbsp;&nbsp;&nbsp; 528341 |
| Republic of Serbia, 6.5%, 9/26/2033 (n) | 255000 | &nbsp;&nbsp;&nbsp; 276629 |
| Republic of Serbia, 6%, 6/12/2034 (n) | 450000 | &nbsp;&nbsp;&nbsp; 468945 |
| Republic of South Africa, 8.875%, 2/28/2035  | 29166000 | &nbsp;&nbsp;&nbsp; 1656522 |
| State of Kuwait, 4.016%, 10/09/2028 (n)(w) | $456000 | &nbsp;&nbsp;&nbsp; 456000 |
| United Mexican States, 5.85%, 7/02/2032  | 495000 | &nbsp;&nbsp;&nbsp; 511038 |
| United Mexican States, 7.5%, 5/26/2033  | 16000000 | &nbsp;&nbsp;&nbsp; 824808 |
| United Mexican States, 6.625%, 1/29/2038  | $200000 | &nbsp;&nbsp;&nbsp; 210202 |
|  |  | &nbsp;&nbsp;&nbsp; $39125950 |
| Energy - Independent – 0.0% | Energy - Independent – 0.0% | Energy - Independent – 0.0% |
| Occidental Petroleum Corp., 6.45%, 9/15/2036  | $150000 | &nbsp;&nbsp;&nbsp; $159400 |
| Energy - Integrated – 0.3% | Energy - Integrated – 0.3% | Energy - Integrated – 0.3% |
| BP Capital Markets B.V., 0.933%, 12/04/2040  | 180000 | &nbsp;&nbsp;&nbsp; $134253 |
| BP Capital Markets PLC, 6%, 2/19/2173  | 190000 | &nbsp;&nbsp;&nbsp; 259803 |
| Exxon Mobil Corp., 1.408%, 6/26/2039  | 250000 | &nbsp;&nbsp;&nbsp; 213887 |
| TotalEnergies Capital International S.A., 3.647%, 7/01/2035  | 300000 | &nbsp;&nbsp;&nbsp; 354021 |
|  |  | &nbsp;&nbsp;&nbsp; $961964 |
| Entertainment – 0.2% | Entertainment – 0.2% | Entertainment – 0.2% |
| Carnival Corp., 5.75%, 1/15/2030  | 130000 | &nbsp;&nbsp;&nbsp; $164595 |
| Royal Caribbean Cruises Ltd., 6%, 2/01/2033 (n) | $285000 | &nbsp;&nbsp;&nbsp; 292262 |
| Royal Caribbean Cruises Ltd., 5.375%, 1/15/2036 (w) | 93000 | &nbsp;&nbsp;&nbsp; 93543 |
|  |  | &nbsp;&nbsp;&nbsp; $550400 |
| Financial Institutions – 0.5% | Financial Institutions – 0.5% | Financial Institutions – 0.5% |
| Avolon Holdings Funding Ltd., 4.95%, 10/15/2032 (n) | $166000 | &nbsp;&nbsp;&nbsp; $163996 |
| Fastighets AB Balder, 4%, 2/19/2032  | 280000 | &nbsp;&nbsp;&nbsp; 329747 |
| Heimstaden Bostad AB, 8.375%, 1/29/2030  | 280000 | &nbsp;&nbsp;&nbsp; 341843 |
| Macquarie AirFinance Holdings Ltd., 5.15%, 3/17/2030 (n) | $64000 | &nbsp;&nbsp;&nbsp; 64895 |
| Macquarie AirFinance Holdings Ltd., 6.5%, 3/26/2031 (n) | 166000 | &nbsp;&nbsp;&nbsp; 177820 |
| Rocket Cos., Inc., 6.125%, 8/01/2030 (n) | 98000 | &nbsp;&nbsp;&nbsp; 100579 |
| Rocket Cos., Inc., 6.375%, 8/01/2033 (n) | 98000 | &nbsp;&nbsp;&nbsp; 101147 |
| Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031 (n) | 138000 | &nbsp;&nbsp;&nbsp; 128870 |
| Shurgard Luxembourg S.à r.l., 4%, 5/27/2035  | 200000 | &nbsp;&nbsp;&nbsp; 236074 |
|  |  | &nbsp;&nbsp;&nbsp; $1644971 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Bonds – continued  | Bonds – continued  | Bonds – continued  |
| Food & Beverages – 0.9% | Food & Beverages – 0.9% | Food & Beverages – 0.9% |
| Anheuser-Busch InBev S.A., 4.125%, 5/19/2045  | 100000 | &nbsp;&nbsp;&nbsp; $115850 |
| Anheuser-Busch InBev Worldwide, Inc., 4.375%, 4/15/2038  | $180000 | &nbsp;&nbsp;&nbsp; 170655 |
| Anheuser-Busch InBev Worldwide, Inc., 5.55%, 1/23/2049  | 160000 | &nbsp;&nbsp;&nbsp; 161771 |
| Bacardi Ltd., 5.15%, 5/15/2038 (n) | 335000 | &nbsp;&nbsp;&nbsp; 316443 |
| Flowers Foods, Inc., 5.75%, 3/15/2035  | 170000 | &nbsp;&nbsp;&nbsp; 173154 |
| Flowers Foods, Inc., 6.2%, 3/15/2055  | 79000 | &nbsp;&nbsp;&nbsp; 78323 |
| Heineken N.V., 3.505%, 5/03/2034 (w) | 340000 | &nbsp;&nbsp;&nbsp; 401190 |
| JBS USA Holding S.à r.l./JBS USA Food Co./JBS USA Foods Group Holdings, Inc., 5.5%, 1/15/2036 (n) | $329000 | &nbsp;&nbsp;&nbsp; 335978 |
| JBS USA Lux S.A./JBS USA Food Co./JBS USA Finance, Inc., 6.5%, 12/01/2052  | 194000 | &nbsp;&nbsp;&nbsp; 204425 |
| Kraft Heinz Foods Co., 4.375%, 6/01/2046  | 241000 | &nbsp;&nbsp;&nbsp; 200557 |
| Mars, Inc., 4.8%, 3/01/2030 (n) | 168000 | &nbsp;&nbsp;&nbsp; 171155 |
| Mars, Inc., 5.2%, 3/01/2035 (n) | 387000 | &nbsp;&nbsp;&nbsp; 395567 |
| Mars, Inc., 5.7%, 5/01/2055 (n) | 259000 | &nbsp;&nbsp;&nbsp; 262353 |
|  |  | &nbsp;&nbsp;&nbsp; $2987421 |
| Forest & Paper Products – 0.3% | Forest & Paper Products – 0.3% | Forest & Paper Products – 0.3% |
| Graphic Packaging International LLC, 1.512%, 4/15/2026 (n) | $359000 | &nbsp;&nbsp;&nbsp; $353148 |
| Smurfit Kappa Treasury Co., 7.5%, 11/20/2025  | 243000 | &nbsp;&nbsp;&nbsp; 243598 |
| Stora Enso Oyj, 7.25%, 4/15/2036 (n) | 309000 | &nbsp;&nbsp;&nbsp; 341377 |
|  |  | &nbsp;&nbsp;&nbsp; $938123 |
| Gaming & Lodging – 0.4% | Gaming & Lodging – 0.4% | Gaming & Lodging – 0.4% |
| Flutter Treasury DAC, 6.375%, 4/29/2029 (n) | $349000 | &nbsp;&nbsp;&nbsp; $360384 |
| Flutter Treasury DAC, 5.875%, 6/04/2031 (n) | 200000 | &nbsp;&nbsp;&nbsp; 203004 |
| Flutter Treasury DAC, 6.125%, 6/04/2031  | 220000 | &nbsp;&nbsp;&nbsp; 298187 |
| IHG Finance LLC, 3.375%, 9/10/2030  | 100000 | &nbsp;&nbsp;&nbsp; 117636 |
| Marriott International, Inc., 2.85%, 4/15/2031  | $175000 | &nbsp;&nbsp;&nbsp; 161041 |
| Sands China Ltd., 4.375%, 6/18/2030  | 226000 | &nbsp;&nbsp;&nbsp; 222229 |
|  |  | &nbsp;&nbsp;&nbsp; $1362481 |
| Industrial – 0.3% | Industrial – 0.3% | Industrial – 0.3% |
| Booz Allen Hamilton, Inc., 5.95%, 4/15/2035  | $213000 | &nbsp;&nbsp;&nbsp; $222054 |
| Prysmian S.p.A., 5.25% to 8/21/2030, FLR (EUR ICE Swap Rate - 5yr. + 3.012%) to 8/21/2035, FLR (EUR ICE Swap Rate - <br> 5yr. + 3.262%) to 8/21/2050, FLR (EUR ICE Swap Rate - 5yr. + 4.012%) to 8/21/2173 <br>| 200000 | &nbsp;&nbsp;&nbsp; 244940 |
| Trustees of the University of Pennsylvania, 2.396%, 10/01/2050  | $409000 | &nbsp;&nbsp;&nbsp; 244266 |
| WSP Global, Inc., 5.548%, 11/22/2030  | 304000 | &nbsp;&nbsp;&nbsp; 235980 |
|  |  | &nbsp;&nbsp;&nbsp; $947240 |
| Insurance – 0.7% | Insurance – 0.7% | Insurance – 0.7% |
| Allianz SE, 3.2% to 4/30/2028, FLR (CMT - 5yr. + 2.165%) to 4/30/2171 (n) | $400000 | &nbsp;&nbsp;&nbsp; $375557 |
| Aviva PLC, 4.625%, 8/28/2056  | 166000 | &nbsp;&nbsp;&nbsp; 198670 |
| Corebridge Financial, Inc., 4.35%, 4/05/2042  | $166000 | &nbsp;&nbsp;&nbsp; 143295 |
| Corebridge Global Funding, 4.9%, 8/21/2032 (n) | 280000 | &nbsp;&nbsp;&nbsp; 281247 |
| Legal and General Group PLC, 4.375%, 9/04/2055  | 160000 | &nbsp;&nbsp;&nbsp; 188546 |
| MetLife, Inc., 5.3%, 12/15/2034  | $284000 | &nbsp;&nbsp;&nbsp; 295397 |
| Nippon Life Insurance Co., 4.114% to 1/23/2035, FLR (EUR ICE Swap Rate - 5yr. + 2.6%) to 1/23/2055  | 110000 | &nbsp;&nbsp;&nbsp; 129993 |
| Northwestern Mutual Life Insurance Co., 6.17%, 5/29/2055 (n) | $412000 | &nbsp;&nbsp;&nbsp; 443210 |
| Sammons Financial Group, Inc., 6.875%, 4/15/2034 (n) | 235000 | &nbsp;&nbsp;&nbsp; 258761 |
|  |  | &nbsp;&nbsp;&nbsp; $2314676 |
| Insurance - Health – 0.3% | Insurance - Health – 0.3% | Insurance - Health – 0.3% |
| Elevance Health, Inc., 5.375%, 6/15/2034  | $154000 | &nbsp;&nbsp;&nbsp; $158804 |
| Humana, Inc., 5.375%, 4/15/2031  | 125000 | &nbsp;&nbsp;&nbsp; 128576 |
| Humana, Inc., 5.55%, 5/01/2035  | 341000 | &nbsp;&nbsp;&nbsp; 347397 |
| UnitedHealth Group, Inc., 5.15%, 7/15/2034  | 332000 | &nbsp;&nbsp;&nbsp; 340750 |
|  |  | &nbsp;&nbsp;&nbsp; $975527 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Bonds – continued  | Bonds – continued  | Bonds – continued  |
| Insurance - Property & Casualty – 0.6% | Insurance - Property & Casualty – 0.6% | Insurance - Property & Casualty – 0.6% |
| American International Group, Inc., 5.125%, 3/27/2033  | $247000 | &nbsp;&nbsp;&nbsp; $254095 |
| Arthur J. Gallagher & Co., 6.5%, 2/15/2034  | 75000 | &nbsp;&nbsp;&nbsp; 83159 |
| Arthur J. Gallagher & Co., 5.75%, 3/02/2053  | 161000 | &nbsp;&nbsp;&nbsp; 160292 |
| Fairfax Financial Holdings Ltd., 4.25%, 12/06/2027  | 456000 | &nbsp;&nbsp;&nbsp; 334108 |
| Fairfax Financial Holdings Ltd., 5.75%, 5/20/2035 (n) | $282000 | &nbsp;&nbsp;&nbsp; 292361 |
| Fairfax Financial Holdings Ltd., 6.35%, 3/22/2054  | 242000 | &nbsp;&nbsp;&nbsp; 255761 |
| Liberty Mutual Group, Inc., 3.875%, 9/26/2035  | 290000 | &nbsp;&nbsp;&nbsp; 338074 |
| Marsh & McLennan Cos., Inc., 5.4%, 3/15/2055  | $221000 | &nbsp;&nbsp;&nbsp; 216673 |
|  |  | &nbsp;&nbsp;&nbsp; $1934523 |
| International Market Quasi-Sovereign – 0.6% | International Market Quasi-Sovereign – 0.6% | International Market Quasi-Sovereign – 0.6% |
| EnBW International Finance B.V. (Federal Republic of Germany), 3.75%, 11/20/2035  | 200000 | &nbsp;&nbsp;&nbsp; $235272 |
| Landsbankinn hf. (Republic of Iceland), 3.75%, 10/08/2029  | 272000 | &nbsp;&nbsp;&nbsp; 325071 |
| Logicor Financing S.à r.l. (Grand Duchy of Luxembourg), 3.75%, 7/14/2032  | 280000 | &nbsp;&nbsp;&nbsp; 328534 |
| Ontario Teachers' Cadillac Fairview Properties, 2.5%, 10/15/2031 (n) | $317000 | &nbsp;&nbsp;&nbsp; 282713 |
| P3 Group S.à r.l. (Grand Duchy of Luxembourg), 4%, 4/19/2032  | 220000 | &nbsp;&nbsp;&nbsp; 262616 |
| P3 Group S.à r.l. (Grand Duchy of Luxembourg), 3.75%, 4/02/2033 (w) | 200000 | &nbsp;&nbsp;&nbsp; 233730 |
| Wolf Midstream Canada LP, 6.4%, 7/18/2029 (n) | 402000 | &nbsp;&nbsp;&nbsp; 300230 |
|  |  | &nbsp;&nbsp;&nbsp; $1968166 |
| International Market Sovereign – 13.2% | International Market Sovereign – 13.2% | International Market Sovereign – 13.2% |
| Commonwealth of Australia, 1.75%, 11/21/2032  | 2797000 | &nbsp;&nbsp;&nbsp; $1591500 |
| Commonwealth of Australia, 3.5%, 12/21/2034  | 1706000 | &nbsp;&nbsp;&nbsp; 1064967 |
| Commonwealth of Australia, 2.75%, 5/21/2041  | 3034000 | &nbsp;&nbsp;&nbsp; 1584938 |
| Federal Republic of Germany, 2.2%, 2/15/2034  | 100000 | &nbsp;&nbsp;&nbsp; 113952 |
| Federal Republic of Germany, 2.5%, 8/15/2054  | 460000 | &nbsp;&nbsp;&nbsp; 463642 |
| Government of Bermuda, 5%, 7/15/2032 (n) | $716000 | &nbsp;&nbsp;&nbsp; 732955 |
| Government of Canada, 2.75%, 3/01/2030  | 2971000 | &nbsp;&nbsp;&nbsp; 2140200 |
| Government of Canada, 2%, 6/01/2032  | 2095000 | &nbsp;&nbsp;&nbsp; 1421731 |
| Government of Canada, 3.25%, 12/01/2034  | 2238000 | &nbsp;&nbsp;&nbsp; 1622964 |
| Government of France, 2.7%, 2/25/2031 (n) | 1390000 | &nbsp;&nbsp;&nbsp; 1621613 |
| Government of Japan, 1.2%, 12/20/2034  | 116000000 | &nbsp;&nbsp;&nbsp; 757300 |
| Government of Japan, 2.4%, 12/20/2034  | 58750000 | &nbsp;&nbsp;&nbsp; 424322 |
| Government of Japan, 1.4%, 3/20/2035  | 231000000 | &nbsp;&nbsp;&nbsp; 1531378 |
| Government of Japan, 0.3%, 12/20/2039  | 728800000 | &nbsp;&nbsp;&nbsp; 3824198 |
| Government of Japan, 2.3%, 3/20/2040  | 145000000 | &nbsp;&nbsp;&nbsp; 997356 |
| Government of Japan, 0.4%, 3/20/2050  | 180600000 | &nbsp;&nbsp;&nbsp; 692260 |
| Government of Japan, 0.7%, 12/20/2051  | 221650000 | &nbsp;&nbsp;&nbsp; 875479 |
| Government of New Zealand, 2%, 5/15/2032  | 663000 | &nbsp;&nbsp;&nbsp; 344314 |
| Government of New Zealand, 1.75%, 5/15/2041  | 409000 | &nbsp;&nbsp;&nbsp; 159049 |
| Kingdom of Spain, 3.45%, 10/31/2034 (n) | 1255000 | &nbsp;&nbsp;&nbsp; 1508856 |
| Kingdom of Spain, 3.15%, 4/30/2035 (n) | 853000 | &nbsp;&nbsp;&nbsp; 997590 |
| Kingdom of Spain, 3.9%, 7/30/2039 (n) | 2640000 | &nbsp;&nbsp;&nbsp; 3200739 |
| Kingdom of Norway, 3.75%, 6/12/2035 (n) | 10750000 | &nbsp;&nbsp;&nbsp; 1051671 |
| Republic of Finland, 3%, 9/15/2035 (n) | 417000 | &nbsp;&nbsp;&nbsp; 486049 |
| Republic of France, 3.25%, 5/25/2055 (n) | 1335000 | &nbsp;&nbsp;&nbsp; 1284218 |
| Republic of Iceland, 5%, 11/15/2028  | 67100000 | &nbsp;&nbsp;&nbsp; 520592 |
| Republic of Iceland, 6.5%, 1/24/2031  | 84000000 | &nbsp;&nbsp;&nbsp; 677125 |
| Republic of Italy, 1.45%, 3/01/2036  | 3561000 | &nbsp;&nbsp;&nbsp; 3423778 |
| Republic of Italy, 4.15%, 10/01/2039 (n) | 1447000 | &nbsp;&nbsp;&nbsp; 1749936 |
| Republic of Italy, 4.3%, 10/01/2054 (n) | 628000 | &nbsp;&nbsp;&nbsp; 724394 |
| United Kingdom Treasury, 4%, 10/22/2031  | 2921000 | &nbsp;&nbsp;&nbsp; 3868544 |
| United Kingdom Treasury, 1.25%, 10/22/2041  | 2243000 | &nbsp;&nbsp;&nbsp; 1737999 |
| United Kingdom Treasury, 1.5%, 7/22/2047  | 929000 | &nbsp;&nbsp;&nbsp; 625580 |
| United Kingdom Treasury, 3.75%, 7/22/2052  | 1176000 | &nbsp;&nbsp;&nbsp; 1196662 |
|  |  | &nbsp;&nbsp;&nbsp; $45017851 |
| Internet – 0.0% | Internet – 0.0% | Internet – 0.0% |
| Alphabet, Inc., 4%, 5/06/2054  | 126000 | &nbsp;&nbsp;&nbsp; $144378 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Bonds – continued  | Bonds – continued  | Bonds – continued  |
| Local Authorities – 0.4% | Local Authorities – 0.4% | Local Authorities – 0.4% |
| Alliander N.V., 3.5%, 5/06/2037  | 190000 | &nbsp;&nbsp;&nbsp; $220853 |
| Province of Alberta, 1.65%, 6/01/2031  | 180000 | &nbsp;&nbsp;&nbsp; 120080 |
| Province of British Columbia, 2.95%, 6/18/2050  | 300000 | &nbsp;&nbsp;&nbsp; 166204 |
| Province of Ontario, 3.25%, 7/03/2035  | 680000 | &nbsp;&nbsp;&nbsp; 796468 |
|  |  | &nbsp;&nbsp;&nbsp; $1303605 |
| Machinery & Tools – 0.1% | Machinery & Tools – 0.1% | Machinery & Tools – 0.1% |
| CNH Industrial NV, 3.875%, 9/03/2035  | 380000 | &nbsp;&nbsp;&nbsp; $445350 |
| Major Banks – 2.9% | Major Banks – 2.9% | Major Banks – 2.9% |
| Bank of America Corp., 5.202% to 4/25/2028, FLR (SOFR - 1 day + 1.63%) to 4/25/2029  | $154000 | &nbsp;&nbsp;&nbsp; $157860 |
| Bank of America Corp., 2.687% to 4/22/2031, FLR (SOFR - 1 day + 1.32%) to 4/22/2032  | 312000 | &nbsp;&nbsp;&nbsp; 284226 |
| Bank of America Corp., 5.464% to 5/09/2035, FLR (SOFR - 1 day + 1.64%) to 5/09/2036  | 205000 | &nbsp;&nbsp;&nbsp; 213722 |
| Citigroup, Inc., 4.296% to 7/23/2035, FLR (EURIBOR - 3mo. + 1.611%) to 7/23/2036  | 270000 | &nbsp;&nbsp;&nbsp; 323414 |
| Citigroup, Inc., 6.875% to 8/15/2030, FLR (CMT - 5yr. + 2.89%) to 11/15/2173  | $284000 | &nbsp;&nbsp;&nbsp; 292678 |
| Commonwealth Bank of Australia, 2.688%, 3/11/2031 (n) | 435000 | &nbsp;&nbsp;&nbsp; 393521 |
| Danske Bank A.S., 1.549%, 9/10/2027 (n) | 332000 | &nbsp;&nbsp;&nbsp; 323550 |
| Danske Bank A.S., 4.613% to 10/02/2029, FLR (CMT - 1yr. + 1.1%) to 10/02/2030 (n) | 273000 | &nbsp;&nbsp;&nbsp; 274428 |
| Deutsche Bank AG, 5.373% to 1/10/2028, FLR (SOFR - 1 day + 1.21%) to 1/10/2029  | 300000 | &nbsp;&nbsp;&nbsp; 306449 |
| Deutsche Bank AG, 4.95% to 8/04/2030, FLR (SOFR - 1 day + 1.3%) to 8/04/2031  | 308000 | &nbsp;&nbsp;&nbsp; 310913 |
| Erste Group Bank AG, 6.375%, 11/20/2173  | 200000 | &nbsp;&nbsp;&nbsp; 244203 |
| Goldman Sachs Group, Inc., 4.692% to 10/23/2029, FLR (SOFR - 1 day + 1.135%) to 10/23/2030  | $164000 | &nbsp;&nbsp;&nbsp; 166090 |
| Goldman Sachs Group, Inc., 5.016% to 10/23/2034, FLR (SOFR - 1 day + 1.42%) to 10/23/2035  | 342000 | &nbsp;&nbsp;&nbsp; 344274 |
| HSBC Holdings PLC, 5.13% to 3/03/2030, FLR (SOFR - 1 day + 1.29%) to 3/03/2031  | 234000 | &nbsp;&nbsp;&nbsp; 239649 |
| JPMorgan Chase & Co., 5.581% to 4/22/2029, FLR (SOFR - 1 day + 1.16%) to 4/22/2030  | 267000 | &nbsp;&nbsp;&nbsp; 278878 |
| JPMorgan Chase & Co., 1.953% to 2/04/2031, FLR (SOFR - 1 day + 1.065%) to 2/04/2032  | 548000 | &nbsp;&nbsp;&nbsp; 484414 |
| JPMorgan Chase & Co., 5.502% to 1/24/2035, FLR (SOFR - 1 day + 1.315%) to 1/24/2036  | 196000 | &nbsp;&nbsp;&nbsp; 205057 |
| mBank S.A., 4.034% to 9/27/2029, FLR (EURIBOR - 3mo. + 1.75%) to 9/27/2030  | 300000 | &nbsp;&nbsp;&nbsp; 359332 |
| mBank S.A., 4.778% to 9/25/2030, FLR (EUR ICE Swap Rate - 5yr. +2.5%) to 9/25/2035  | 200000 | &nbsp;&nbsp;&nbsp; 240665 |
| Mitsubishi UFJ Financial Group, Inc., 5.188%, 9/12/2036  | $261000 | &nbsp;&nbsp;&nbsp; 265205 |
| Morgan Stanley, 3.622% to 4/01/2030, FLR (SOFR - 1 day + 3.12%) to 4/01/2031  | 262000 | &nbsp;&nbsp;&nbsp; 254219 |
| Morgan Stanley, 5.424% to 7/21/2033, FLR (SOFR - 1 day + 1.88%) to 7/21/2034  | 306000 | &nbsp;&nbsp;&nbsp; 318822 |
| Nationwide Building Society, 4.351%, 9/30/2030 (n) | 267000 | &nbsp;&nbsp;&nbsp; 265999 |
| Nationwide Building Society, 7.875%, 12/10/2173  | 200000 | &nbsp;&nbsp;&nbsp; 278609 |
| NatWest Group PLC, 3.632%, 9/03/2034  | 340000 | &nbsp;&nbsp;&nbsp; 398341 |
| PNC Financial Services Group, Inc., 5.676% to 1/22/2034, FLR (SOFR - 1 day + 1.902%) to 1/22/2035  | $281000 | &nbsp;&nbsp;&nbsp; 296324 |
| PNC Financial Services Group, Inc., 5.575% to 1/29/2035, FLR (SOFR - 1 day + 1.394%) to 1/29/2036  | 121000 | &nbsp;&nbsp;&nbsp; 126252 |
| UBS Group AG, 2.746% to 2/11/2032, FLR (CMT - 1yr. + 1.1%) to 2/11/2033 (n) | 448000 | &nbsp;&nbsp;&nbsp; 399509 |
| UBS Group AG, 4.375% to 2/10/2031, FLR (CMT - 1yr. + 3.313%) to 8/10/2170 (n) | 365000 | &nbsp;&nbsp;&nbsp; 331996 |
| UBS Group AG, 7% to 8/05/2035, FLR (USD SOFR ICE Swap Rate - 5yr. + 3.296%) to 8/05/2172 (n) | 200000 | &nbsp;&nbsp;&nbsp; 203886 |
| Unicaja Banco S.A., 3.5% to 6/30/2030, FLR (EUR ICE Swap Rate - 1yr. + 1.35%) to 6/30/2031  | 300000 | &nbsp;&nbsp;&nbsp; 354554 |
| Unicaja Banco S.A., 4.875% to 5/18/2027, FLR (EUR Swap Rate - 5yr. + 5.02%) to 2/18/2174  | 200000 | &nbsp;&nbsp;&nbsp; 236148 |
| UniCredit S.p.A., 3.725%, 6/10/2035  | 300000 | &nbsp;&nbsp;&nbsp; 353853 |
| Wells Fargo & Co., 5.244% to 1/24/2030, FLR (SOFR - 1 day + 1.11%) to 1/24/2031  | $228000 | &nbsp;&nbsp;&nbsp; 235891 |
| Wells Fargo & Co., 3.35% to 3/02/2032, FLR (SOFR - 1 day + 1.5%) to 3/02/2033  | 260000 | &nbsp;&nbsp;&nbsp; 242027 |
|  |  | &nbsp;&nbsp;&nbsp; $10004958 |
| Medical & Health Technology & Services – 0.3% | Medical & Health Technology & Services – 0.3% | Medical & Health Technology & Services – 0.3% |
| Becton, Dickinson and Co., 4.874%, 2/08/2029  | $309000 | &nbsp;&nbsp;&nbsp; $315099 |
| New York Society for the Relief of the Ruptured & Crippled, 2.667%, 10/01/2050  | 255000 | &nbsp;&nbsp;&nbsp; 157257 |
| ProMedica Toledo Hospital, "B", AGM, 6.015%, 11/15/2048  | 309000 | &nbsp;&nbsp;&nbsp; 308389 |
| Thermo Fisher Scientific, Inc., 4.473%, 10/07/2032 (w) | 287000 | &nbsp;&nbsp;&nbsp; 287044 |
|  |  | &nbsp;&nbsp;&nbsp; $1067789 |
| Medical Equipment – 0.1% | Medical Equipment – 0.1% | Medical Equipment – 0.1% |
| Stryker Corp., 5.2%, 2/10/2035  | $229000 | &nbsp;&nbsp;&nbsp; $236157 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Bonds – continued  | Bonds – continued  | Bonds – continued  |
| Metals & Mining – 0.2% | Metals & Mining – 0.2% | Metals & Mining – 0.2% |
| BHP Billiton Finance Ltd., 3.643%, 9/04/2035  | 390000 | &nbsp;&nbsp;&nbsp; $456313 |
| Rio Tinto Finance (USA) PLC, 5%, 3/14/2032  | $230000 | &nbsp;&nbsp;&nbsp; 236434 |
|  |  | &nbsp;&nbsp;&nbsp; $692747 |
| Midstream – 0.8% | Midstream – 0.8% | Midstream – 0.8% |
| Cheniere Energy Partners LP, 5.55%, 10/30/2035 (n) | $299000 | &nbsp;&nbsp;&nbsp; $305462 |
| Columbia Pipelines Operating Co. LLC, 6.544%, 11/15/2053 (n) | 265000 | &nbsp;&nbsp;&nbsp; 284255 |
| Eastern Energy Gas Holdings LLC, 5.65%, 10/15/2054  | 266000 | &nbsp;&nbsp;&nbsp; 262064 |
| Energy Transfer LP, 5.95%, 5/15/2054  | 167000 | &nbsp;&nbsp;&nbsp; 161728 |
| Pembina Pipeline Corp., 4.81%, 3/25/2044  | 425000 | &nbsp;&nbsp;&nbsp; 291612 |
| Plains All American Pipeline LP, 5.7%, 9/15/2034  | $281000 | &nbsp;&nbsp;&nbsp; 289635 |
| Plains All American Pipeline LP, 5.6%, 1/15/2036  | 174000 | &nbsp;&nbsp;&nbsp; 176187 |
| Rockies Express Pipeline LLC, 4.95%, 7/15/2029 (n) | 41000 | &nbsp;&nbsp;&nbsp; 40667 |
| Rockies Express Pipeline LLC, 7.5%, 7/15/2038 (n) | 130000 | &nbsp;&nbsp;&nbsp; 138312 |
| Rockies Express Pipeline LLC, 6.875%, 4/15/2040 (n) | 58000 | &nbsp;&nbsp;&nbsp; 59694 |
| Targa Resources Corp., 4.95%, 4/15/2052  | 236000 | &nbsp;&nbsp;&nbsp; 202011 |
| Venture Global Calcasieu Pass LLC, 4.125%, 8/15/2031 (n) | 389000 | &nbsp;&nbsp;&nbsp; 367157 |
| Venture Global Plaquemines LNG LLC, 6.5%, 1/15/2034 (n) | 125000 | &nbsp;&nbsp;&nbsp; 131582 |
| Venture Global Plaquemines LNG LLC, 6.75%, 1/15/2036 (n) | 86000 | &nbsp;&nbsp;&nbsp; 91347 |
|  |  | &nbsp;&nbsp;&nbsp; $2801713 |
| Mortgage-Backed – 6.3% | Mortgage-Backed – 6.3% |  |
| Fannie Mae, 4.5%, 3/01/2034 - 2/01/2046  | $1841906 | &nbsp;&nbsp;&nbsp; $1840438 |
| Fannie Mae, 5%, 3/01/2036 - 8/01/2040  | 614665 | &nbsp;&nbsp;&nbsp; 628731 |
| Fannie Mae, 5.5%, 11/01/2036 - 4/01/2037  | 50979 | &nbsp;&nbsp;&nbsp; 53026 |
| Fannie Mae, 6%, 9/01/2037 - 6/01/2038  | 80992 | &nbsp;&nbsp;&nbsp; 85146 |
| Fannie Mae, 4%, 11/01/2040 - 12/01/2040  | 439380 | &nbsp;&nbsp;&nbsp; 426759 |
| Fannie Mae, 3.5%, 5/01/2043 - 12/01/2046  | 1023009 | &nbsp;&nbsp;&nbsp; 957919 |
| Fannie Mae, 5.156%, 10/25/2052  | 538124 | &nbsp;&nbsp;&nbsp; 528314 |
| Fannie Mae, 5.756%, 12/25/2054  | 293483 | &nbsp;&nbsp;&nbsp; 295500 |
| Fannie Mae, 5.706%, 7/25/2055  | 358718 | &nbsp;&nbsp;&nbsp; 360880 |
| Fannie Mae, TBA, 3.5%, 10/14/2055  | 525000 | &nbsp;&nbsp;&nbsp; 479599 |
| Fannie Mae, UMBS, 2.5%, 1/01/2050 - 4/01/2052  | 1016697 | &nbsp;&nbsp;&nbsp; 864544 |
| Fannie Mae, UMBS, 2%, 2/01/2051 - 2/01/2052  | 668828 | &nbsp;&nbsp;&nbsp; 543643 |
| Fannie Mae, UMBS, 3%, 12/01/2051 - 7/01/2052  | 715757 | &nbsp;&nbsp;&nbsp; 631259 |
| Fannie Mae, UMBS, 6%, 12/01/2052 - 11/01/2053  | 414407 | &nbsp;&nbsp;&nbsp; 424155 |
| Fannie Mae, UMBS, 5.5%, 11/01/2053  | 62120 | &nbsp;&nbsp;&nbsp; 62925 |
| Freddie Mac, 1.486%, 3/25/2027 (i) | 809000 | &nbsp;&nbsp;&nbsp; 14448 |
| Freddie Mac, 0.734%, 1/25/2030 (i) | 1004835 | &nbsp;&nbsp;&nbsp; 22855 |
| Freddie Mac, 1.913%, 4/25/2030 (i) | 1420926 | &nbsp;&nbsp;&nbsp; 101845 |
| Freddie Mac, 1.954%, 4/25/2030 (i) | 1365340 | &nbsp;&nbsp;&nbsp; 100756 |
| Freddie Mac, 1.769%, 5/25/2030 (i) | 1747943 | &nbsp;&nbsp;&nbsp; 120616 |
| Freddie Mac, 1.907%, 5/25/2030 (i) | 3920368 | &nbsp;&nbsp;&nbsp; 292918 |
| Freddie Mac, 1.435%, 6/25/2030 (i) | 1615349 | &nbsp;&nbsp;&nbsp; 90875 |
| Freddie Mac, 1.701%, 8/25/2030 (i) | 1436842 | &nbsp;&nbsp;&nbsp; 98577 |
| Freddie Mac, 1.261%, 9/25/2030 (i) | 905456 | &nbsp;&nbsp;&nbsp; 46795 |
| Freddie Mac, 1.17%, 11/25/2030 (i) | 1823916 | &nbsp;&nbsp;&nbsp; 90078 |
| Freddie Mac, 0.412%, 1/25/2031 (i) | 6666898 | &nbsp;&nbsp;&nbsp; 89122 |
| Freddie Mac, 0.606%, 3/25/2031 (i) | 8077837 | &nbsp;&nbsp;&nbsp; 183509 |
| Freddie Mac, 1.039%, 7/25/2031 (i) | 1499257 | &nbsp;&nbsp;&nbsp; 73247 |
| Freddie Mac, 0.632%, 9/25/2031 (i) | 6201367 | &nbsp;&nbsp;&nbsp; 175350 |
| Freddie Mac, 0.954%, 9/25/2031 (i) | 1902494 | &nbsp;&nbsp;&nbsp; 83033 |
| Freddie Mac, 0.664%, 12/25/2031 (i) | 1517361 | &nbsp;&nbsp;&nbsp; 44632 |
| Freddie Mac, 5.5%, 5/01/2034 - 7/01/2037  | 10685 | &nbsp;&nbsp;&nbsp; 10952 |
| Freddie Mac, 1.091%, 9/25/2034 (i) | 1094107 | &nbsp;&nbsp;&nbsp; 76464 |
| Freddie Mac, 5%, 10/01/2036 - 7/01/2041  | 179339 | &nbsp;&nbsp;&nbsp; 184127 |
| Freddie Mac, 4.5%, 12/01/2039 - 5/01/2042  | 354935 | &nbsp;&nbsp;&nbsp; 356068 |
| Freddie Mac, 5.656%, 8/25/2054  | 608736 | &nbsp;&nbsp;&nbsp; 611213 |
| Freddie Mac, 5.756%, 2/25/2055 - 6/25/2055  | 639665 | &nbsp;&nbsp;&nbsp; 643890 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Bonds – continued  | Bonds – continued  | Bonds – continued  |
| Mortgage-Backed – continued | Mortgage-Backed – continued |  |
| Freddie Mac, 8.306%, 9/25/2055  | $112730 | &nbsp;&nbsp;&nbsp; $116744 |
| Freddie Mac, UMBS, 3.5%, 1/01/2047 - 11/01/2049  | 635275 | &nbsp;&nbsp;&nbsp; 589052 |
| Freddie Mac, UMBS, 3%, 6/01/2050 - 6/01/2053  | 1388496 | &nbsp;&nbsp;&nbsp; 1223471 |
| Freddie Mac, UMBS, 2.5%, 10/01/2051 - 6/01/2052  | 1281078 | &nbsp;&nbsp;&nbsp; 1082436 |
| Freddie Mac, UMBS, 2%, 1/01/2052 - 2/01/2052  | 1807844 | &nbsp;&nbsp;&nbsp; 1464159 |
| Freddie Mac, UMBS, 4%, 5/01/2052  | 38575 | &nbsp;&nbsp;&nbsp; 36691 |
| Freddie Mac, UMBS, 6%, 11/01/2052 - 2/01/2055  | 249060 | &nbsp;&nbsp;&nbsp; 257111 |
| Freddie Mac, UMBS, 6.5%, 8/01/2053 - 11/01/2054  | 376922 | &nbsp;&nbsp;&nbsp; 391420 |
| Freddie Mac, UMBS, 5.5%, 4/01/2054 - 11/01/2054  | 1703521 | &nbsp;&nbsp;&nbsp; 1718474 |
| Ginnie Mae, 5%, 5/15/2040 - 4/20/2053  | 83015 | &nbsp;&nbsp;&nbsp; 83558 |
| Ginnie Mae, 3.5%, 6/20/2043  | 339155 | &nbsp;&nbsp;&nbsp; 319705 |
| Ginnie Mae, 4.549%, 10/20/2045  | 96865 | &nbsp;&nbsp;&nbsp; 94141 |
| Ginnie Mae, 2.5%, 8/20/2051 - 8/20/2052  | 1026488 | &nbsp;&nbsp;&nbsp; 886345 |
| Ginnie Mae, 2%, 1/20/2052  | 301965 | &nbsp;&nbsp;&nbsp; 249637 |
| Ginnie Mae, 3%, 4/20/2052 - 11/20/2052  | 360134 | &nbsp;&nbsp;&nbsp; 322185 |
| Ginnie Mae, 4%, 8/20/2052  | 119090 | &nbsp;&nbsp;&nbsp; 113103 |
| Ginnie Mae, 5.5%, 2/20/2053 - 10/20/2053  | 506238 | &nbsp;&nbsp;&nbsp; 512957 |
| Ginnie Mae, 5.438%, 10/20/2054  | 218613 | &nbsp;&nbsp;&nbsp; 218553 |
|  |  | &nbsp;&nbsp;&nbsp; $21373950 |
| Municipals – 0.7% | Municipals – 0.7% | Municipals – 0.7% |
| Iowa Student Loan Liquidity Corp. Rev., Taxable, "A", 5.08%, 12/01/2039  | $135000 | &nbsp;&nbsp;&nbsp; $131082 |
| Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, "A", 2.641%, 7/01/2037  | 535000 | &nbsp;&nbsp;&nbsp; 502236 |
| Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, "A", 4.949%, 7/01/2038  | 530000 | &nbsp;&nbsp;&nbsp; 519147 |
| Massachusetts Housing Finance Agency, Single Family Housing Rev., Taxable, "226", 5.562%, 12/01/2052  | 440000 | &nbsp;&nbsp;&nbsp; 449149 |
| Michigan Finance Authority, Hospital Rev., Taxable (Trinity Health Credit Group), 3.384%, 12/01/2040  | 480000 | &nbsp;&nbsp;&nbsp; 404886 |
| National Finance Authority, NH, Utility Refunding Rev., Taxable (Wheeling Power Co. Project), "A", 6.89%, 4/01/2034  | 275000 | &nbsp;&nbsp;&nbsp; 288323 |
|  |  | &nbsp;&nbsp;&nbsp; $2294823 |
| Natural Gas - Distribution – 0.2% | Natural Gas - Distribution – 0.2% | Natural Gas - Distribution – 0.2% |
| Boston Gas Co., 5.843%, 1/10/2035 (n) | $321000 | &nbsp;&nbsp;&nbsp; $338585 |
| Engie S.A., 3.25%, 1/11/2032  | 100000 | &nbsp;&nbsp;&nbsp; 117298 |
| Sempra, 6.875% to 10/01/2029, FLR (CMT - 5yr. + 2.789%) to 10/01/2054  | $138000 | &nbsp;&nbsp;&nbsp; 142991 |
| Sempra, 6.375% to 4/01/2031, FLR (CMT - 5yr. + 2.632%) to 4/01/2056  | 92000 | &nbsp;&nbsp;&nbsp; 94415 |
| Vier Gas Transport GmbH, 3.625%, 9/08/2033  | 100000 | &nbsp;&nbsp;&nbsp; 117420 |
|  |  | &nbsp;&nbsp;&nbsp; $810709 |
| Natural Gas - Pipeline – 0.2% | Natural Gas - Pipeline – 0.2% | Natural Gas - Pipeline – 0.2% |
| APA Infrastructure Ltd., 5.125%, 9/16/2034 (n) | $157000 | &nbsp;&nbsp;&nbsp; $159117 |
| APA Infrastructure Ltd., 2.5%, 3/15/2036  | 390000 | &nbsp;&nbsp;&nbsp; 388474 |
| APA Infrastructure Ltd., 5.75%, 9/16/2044 (n) | $102000 | &nbsp;&nbsp;&nbsp; 101732 |
|  |  | &nbsp;&nbsp;&nbsp; $649323 |
| Network & Telecom – 0.2% | Network & Telecom – 0.2% | Network & Telecom – 0.2% |
| NTT Finance Corp., 5.171%, 7/16/2032 (n) | $346000 | &nbsp;&nbsp;&nbsp; $354362 |
| NTT Finance Corp., 3.678%, 7/16/2033  | 110000 | &nbsp;&nbsp;&nbsp; 131108 |
| NTT Finance Corp., 4.091%, 7/16/2037  | 100000 | &nbsp;&nbsp;&nbsp; 120648 |
|  |  | &nbsp;&nbsp;&nbsp; $606118 |
| Oils – 0.1% | Oils – 0.1% | Oils – 0.1% |
| Marathon Petroleum Corp., 5.7%, 3/01/2035  | $197000 | &nbsp;&nbsp;&nbsp; $203349 |
| Raizen Fuels Finance S.A., 6.45%, 3/05/2034 (n) | 325000 | &nbsp;&nbsp;&nbsp; 315254 |
|  |  | &nbsp;&nbsp;&nbsp; $518603 |
| Other Banks & Diversified Financials – 1.0% | Other Banks & Diversified Financials – 1.0% | Other Banks & Diversified Financials – 1.0% |
| AIB Group PLC, 6.608% to 9/13/2028, FLR (SOFR - 1 day + 2.33%) to 9/13/2029 (n) | $400000 | &nbsp;&nbsp;&nbsp; $424615 |
| AIB Group PLC, 3.75% to 3/20/2032, FLR (EUR ICE Swap Rate - 1yr. + 1.25%) to 3/20/2033  | 270000 | &nbsp;&nbsp;&nbsp; 323573 |
| AIB Group PLC, 5.871% to 3/28/2034, FLR (SOFR - 1 day + 1.91%) to 3/28/2035 (n) | $200000 | &nbsp;&nbsp;&nbsp; 210397 |
| BPCE S.A., 2.277% to 1/20/2031, FLR (SOFR - 1 day + 1.312%) to 1/20/2032 (n) | 300000 | &nbsp;&nbsp;&nbsp; 264558 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Bonds – continued  | Bonds – continued  | Bonds – continued  |
| Other Banks & Diversified Financials – continued | Other Banks & Diversified Financials – continued | Other Banks & Diversified Financials – continued |
| CaixaBank S.A., 3.375%, 6/26/2035  | 300000 | &nbsp;&nbsp;&nbsp; $349304 |
| CaixaBank S.A., 3.75%, 1/27/2036  | 200000 | &nbsp;&nbsp;&nbsp; 235672 |
| CBQ Finance Ltd., 4.625%, 9/10/2030  | $400000 | &nbsp;&nbsp;&nbsp; 401531 |
| Commerzbank AG, 3.75% to 6/06/2033, FLR (EURIBOR - 3mo. + 1.43%) to 6/06/2034  | 200000 | &nbsp;&nbsp;&nbsp; 236806 |
| M&T Bank Corp., 6.082% to 3/13/2031, FLR (SOFR - 1 day + 2.26%) to 3/13/2032  | $227000 | &nbsp;&nbsp;&nbsp; 241218 |
| Macquarie Bank Ltd., 5.642% to 8/13/2035, FLR (CMT - 1yr. + 1.45%) to 8/13/2036 (n) | 245000 | &nbsp;&nbsp;&nbsp; 248176 |
| PKO Bank Polski S.A., 3.625%, 6/30/2031  | 217000 | &nbsp;&nbsp;&nbsp; 255879 |
| SNB Funding Ltd., 6% to 6/24/2030, FLR (CMT - 5yr. + 2%) to 6/24/2035  | $315000 | &nbsp;&nbsp;&nbsp; 323013 |
|  |  | &nbsp;&nbsp;&nbsp; $3514742 |
| Pharmaceuticals – 0.3% | Pharmaceuticals – 0.3% | Pharmaceuticals – 0.3% |
| AbbVie, Inc., 4.875%, 3/15/2030  | $78000 | &nbsp;&nbsp;&nbsp; $80290 |
| AbbVie, Inc., 5.35%, 3/15/2044  | 184000 | &nbsp;&nbsp;&nbsp; 184592 |
| AbbVie, Inc., 5.4%, 3/15/2054  | 131000 | &nbsp;&nbsp;&nbsp; 130258 |
| Biogen, Inc., 5.05%, 1/15/2031  | 213000 | &nbsp;&nbsp;&nbsp; 218974 |
| Eli Lilly & Co., 5.5%, 2/12/2055  | 283000 | &nbsp;&nbsp;&nbsp; 289064 |
| Sandoz Finance B.V., 4%, 3/26/2035  | 140000 | &nbsp;&nbsp;&nbsp; 167328 |
|  |  | &nbsp;&nbsp;&nbsp; $1070506 |
| Pollution Control – 0.1% | Pollution Control – 0.1% | Pollution Control – 0.1% |
| GFL Environmental, Inc., 3.5%, 9/01/2028 (n) | $182000 | &nbsp;&nbsp;&nbsp; $177521 |
| GFL Environmental, Inc., 6.75%, 1/15/2031 (n) | 142000 | &nbsp;&nbsp;&nbsp; 148592 |
|  |  | &nbsp;&nbsp;&nbsp; $326113 |
| Precious Metals & Minerals – 0.1% | Precious Metals & Minerals – 0.1% | Precious Metals & Minerals – 0.1% |
| Northern Star Resources Ltd. Co., 6.125%, 4/11/2033 (n)  | $260000 | &nbsp;&nbsp;&nbsp; $275118 |
| Printing & Publishing – 0.1% | Printing & Publishing – 0.1% | Printing & Publishing – 0.1% |
| Informa PLC, 3.375%, 6/09/2031  | 150000 | &nbsp;&nbsp;&nbsp; $176434 |
| News Corp., 3.875%, 5/15/2029 (n) | $352000 | &nbsp;&nbsp;&nbsp; 339980 |
|  |  | &nbsp;&nbsp;&nbsp; $516414 |
| Railroad & Shipping – 0.2% | Railroad & Shipping – 0.2% | Railroad & Shipping – 0.2% |
| Burlington Northern Sante Fe LLC, 5.5%, 3/15/2055  | $292000 | &nbsp;&nbsp;&nbsp; $292657 |
| Union Pacific Corp., 3.25%, 2/05/2050  | 410000 | &nbsp;&nbsp;&nbsp; 288705 |
|  |  | &nbsp;&nbsp;&nbsp; $581362 |
| Real Estate - Office – 0.2% | Real Estate - Office – 0.2% | Real Estate - Office – 0.2% |
| Boston Properties LP, REIT, 2.75%, 10/01/2026  | $194000 | &nbsp;&nbsp;&nbsp; $190909 |
| COPT Defense Properties, 4.5%, 10/15/2030 (w) | 118000 | &nbsp;&nbsp;&nbsp; 117222 |
| Corporate Office Property LP, REIT, 2.25%, 3/15/2026  | 95000 | &nbsp;&nbsp;&nbsp; 94031 |
| Cousins Properties, Inc., REIT, 5.875%, 10/01/2034  | 142000 | &nbsp;&nbsp;&nbsp; 148987 |
|  |  | &nbsp;&nbsp;&nbsp; $551149 |
| Real Estate - Retail – 0.4% | Real Estate - Retail – 0.4% | Real Estate - Retail – 0.4% |
| Choice Properties, REIT, 5.03%, 2/28/2031  | 433000 | &nbsp;&nbsp;&nbsp; $330262 |
| Hammerson PLC, 5.875%, 10/08/2036  | 200000 | &nbsp;&nbsp;&nbsp; 261450 |
| Klepierre S.A., 3.75%, 9/30/2037  | 100000 | &nbsp;&nbsp;&nbsp; 117491 |
| STORE Capital Corp., REIT, 2.75%, 11/18/2030  | $501000 | &nbsp;&nbsp;&nbsp; 455420 |
| STORE Capital Corp., REIT, 2.7%, 12/01/2031  | 23000 | &nbsp;&nbsp;&nbsp; 20135 |
| WEA Finance LLC, REIT, 2.875%, 1/15/2027 (n) | 169000 | &nbsp;&nbsp;&nbsp; 165573 |
|  |  | &nbsp;&nbsp;&nbsp; $1350331 |
| Restaurants – 0.1% | Restaurants – 0.1% | Restaurants – 0.1% |
| Punch Finance PLC, 7.875%, 12/30/2030  | 237000 | &nbsp;&nbsp;&nbsp; $324961 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Bonds – continued  | Bonds – continued  | Bonds – continued  |
| Retailers – 0.2% | Retailers – 0.2% | Retailers – 0.2% |
| Beach Acquisition Bidco LLC, 5.25%, 7/15/2032  | 235000 | &nbsp;&nbsp;&nbsp; $282823 |
| El Corte Inglés S.A., 3.5%, 7/24/2033  | 100000 | &nbsp;&nbsp;&nbsp; 115911 |
| Home Depot, Inc., 4.875%, 2/15/2044  | $178000 | &nbsp;&nbsp;&nbsp; 168906 |
| Home Depot, Inc., 3.625%, 4/15/2052  | 109000 | &nbsp;&nbsp;&nbsp; 81661 |
|  |  | &nbsp;&nbsp;&nbsp; $649301 |
| Specialty Chemicals – 0.2% | Specialty Chemicals – 0.2% | Specialty Chemicals – 0.2% |
| Linde PLC, 3.4%, 2/14/2036  | 200000 | &nbsp;&nbsp;&nbsp; $233101 |
| Linde PLC, 3.25%, 2/18/2037  | 300000 | &nbsp;&nbsp;&nbsp; 341273 |
|  |  | &nbsp;&nbsp;&nbsp; $574374 |
| Specialty Stores – 0.1% | Specialty Stores – 0.1% | Specialty Stores – 0.1% |
| DICK'S Sporting Goods, 4.1%, 1/15/2052  | $212000 | &nbsp;&nbsp;&nbsp; $157838 |
| Richemont International S.A., 1.625%, 5/26/2040  | 140000 | &nbsp;&nbsp;&nbsp; 124734 |
|  |  | &nbsp;&nbsp;&nbsp; $282572 |
| Supermarkets – 0.2% | Supermarkets – 0.2% | Supermarkets – 0.2% |
| Kroger Co., 5.5%, 9/15/2054  | $167000 | &nbsp;&nbsp;&nbsp; $162768 |
| Tesco Corporate Treasury Services PLC, 3.375%, 5/06/2032  | 140000 | &nbsp;&nbsp;&nbsp; 164550 |
| Tesco Corporate Treasury Services PLC, 5.125%, 5/22/2034  | 160000 | &nbsp;&nbsp;&nbsp; 207942 |
|  |  | &nbsp;&nbsp;&nbsp; $535260 |
| Supranational – 1.0% | Supranational – 1.0% | Supranational – 1.0% |
| African Development Bank, 5.875% to 8/07/2035, FLR (CMT - 5yr. + 1.653%) to 8/07/2174  | $200000 | &nbsp;&nbsp;&nbsp; $200000 |
| Corporacion Andina de Fomento, 6.75%, 12/17/2173 (n) | 200000 | &nbsp;&nbsp;&nbsp; 206680 |
| European Union, 2.75%, 12/13/2032  | 1370000 | &nbsp;&nbsp;&nbsp; 1599667 |
| European Union, 4%, 10/12/2055  | 273000 | &nbsp;&nbsp;&nbsp; 317904 |
| International Bank for Reconstruction and Development, 4.125%, 10/22/2030  | 785000 | &nbsp;&nbsp;&nbsp; 1050508 |
|  |  | &nbsp;&nbsp;&nbsp; $3374759 |
| Telecommunications - Wireless – 0.3% | Telecommunications - Wireless – 0.3% | Telecommunications - Wireless – 0.3% |
| America Movil B.V., 3%, 9/30/2030  | 300000 | &nbsp;&nbsp;&nbsp; $351567 |
| American Tower Corp., 3.625%, 5/30/2032  | 210000 | &nbsp;&nbsp;&nbsp; 250659 |
| Cellnex Finance Co. S.A., 3.5%, 5/22/2032  | 200000 | &nbsp;&nbsp;&nbsp; 236057 |
| T-Mobile USA, Inc., 5.05%, 7/15/2033  | $246000 | &nbsp;&nbsp;&nbsp; 251280 |
|  |  | &nbsp;&nbsp;&nbsp; $1089563 |
| Telephone Services – 0.2% | Telephone Services – 0.2% | Telephone Services – 0.2% |
| Deutsche Telekom AG, 3.625%, 2/03/2045  | 150000 | &nbsp;&nbsp;&nbsp; $163855 |
| TELUS Corp., 2.85%, 11/13/2031  | 642000 | &nbsp;&nbsp;&nbsp; 439915 |
|  |  | &nbsp;&nbsp;&nbsp; $603770 |
| Tobacco – 0.2% | Tobacco – 0.2% | Tobacco – 0.2% |
| B.A.T. International Finance PLC, 4.125%, 4/12/2032  | 167000 | &nbsp;&nbsp;&nbsp; $202493 |
| Japan Tobacco, Inc., 5.25%, 6/15/2030 (n) | $267000 | &nbsp;&nbsp;&nbsp; 276442 |
| JT International Financial Services B.V., 3.87%, 9/04/2055  | 180000 | &nbsp;&nbsp;&nbsp; 211148 |
|  |  | &nbsp;&nbsp;&nbsp; $690083 |
| Transportation - Services – 0.3% | Transportation - Services – 0.3% | Transportation - Services – 0.3% |
| Aeroporti Di Roma S.p.A, 3.625%, 6/15/2032  | 136000 | &nbsp;&nbsp;&nbsp; $161145 |
| DSV Finance B.V., 3.375%, 11/06/2034  | 100000 | &nbsp;&nbsp;&nbsp; 116271 |
| Element Fleet Management Corp., 6.271%, 6/26/2026 (n) | $78000 | &nbsp;&nbsp;&nbsp; 79009 |
| Element Fleet Management Corp., 5.037%, 3/25/2030 (n) | 268000 | &nbsp;&nbsp;&nbsp; 273376 |
| Heathrow Funding Ltd., 6%, 3/05/2032  | 140000 | &nbsp;&nbsp;&nbsp; 190732 |
| Heathrow Funding Ltd., 3.875%, 1/16/2036  | 136000 | &nbsp;&nbsp;&nbsp; 158381 |
| InPost S.A., 4%, 4/01/2031  | 178000 | &nbsp;&nbsp;&nbsp; 209374 |
|  |  | &nbsp;&nbsp;&nbsp; $1188288 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Bonds – continued  | Bonds – continued  | Bonds – continued  |
| U.S. Government Agencies and Equivalents – 0.0% | U.S. Government Agencies and Equivalents – 0.0% | U.S. Government Agencies and Equivalents – 0.0% |
| Small Business Administration, 5.31%, 5/01/2027  | $4318 | &nbsp;&nbsp;&nbsp; $4313 |
| U.S. Treasury Obligations – 2.3% | U.S. Treasury Obligations – 2.3% | U.S. Treasury Obligations – 2.3% |
| U.S. Treasury Bonds, 3.875%, 5/15/2043 (f) | $2413000 | &nbsp;&nbsp;&nbsp; $2185745 |
| U.S. Treasury Bonds, 4.75%, 11/15/2053 (f) | 1998000 | &nbsp;&nbsp;&nbsp; 2001434 |
| U.S. Treasury Notes, 2.75%, 8/15/2032  | 1793000 | &nbsp;&nbsp;&nbsp; 1666860 |
| U.S. Treasury Notes, 4.25%, 5/15/2035  | 1812000 | &nbsp;&nbsp;&nbsp; 1828704 |
|  |  | &nbsp;&nbsp;&nbsp; $7682743 |
| Utilities - Electric Power – 2.5% | Utilities - Electric Power – 2.5% | Utilities - Electric Power – 2.5% |
| Adani Electricity Mumbai Ltd., 3.949%, 2/12/2030 (n) | $422000 | &nbsp;&nbsp;&nbsp; $397276 |
| AEP Texas, Inc., 5.7%, 5/15/2034  | 277000 | &nbsp;&nbsp;&nbsp; 288265 |
| AEP Transmission Co. LLC, 5.375%, 6/15/2035  | 234000 | &nbsp;&nbsp;&nbsp; 242103 |
| Amprion GmbH, 3.875%, 6/05/2036  | 200000 | &nbsp;&nbsp;&nbsp; 236273 |
| Berkshire Hathaway Energy Co., 5.15%, 11/15/2043  | $92000 | &nbsp;&nbsp;&nbsp; 89412 |
| Berkshire Hathaway Energy Co., 4.6%, 5/01/2053  | 76000 | &nbsp;&nbsp;&nbsp; 65328 |
| Bruce Power LP, 2.68%, 12/21/2028  | 365000 | &nbsp;&nbsp;&nbsp; 258902 |
| Bruce Power LP, 4.27%, 12/21/2034  | 410000 | &nbsp;&nbsp;&nbsp; 296583 |
| Duke Energy Florida LLC, 6.2%, 11/15/2053  | $208000 | &nbsp;&nbsp;&nbsp; 227315 |
| E.ON International Finance B.V., 3.5%, 9/03/2035  | 450000 | &nbsp;&nbsp;&nbsp; 524862 |
| E.ON International Finance B.V., 5.875%, 10/30/2037  | 200000 | &nbsp;&nbsp;&nbsp; 267751 |
| Emera U.S. Finance LP, 2.639%, 6/15/2031  | $449000 | &nbsp;&nbsp;&nbsp; 400809 |
| Enel Americas S.A., 4%, 10/25/2026  | 855000 | &nbsp;&nbsp;&nbsp; 853488 |
| Enel Finance International N.V., 2.5%, 7/12/2031 (n) | 230000 | &nbsp;&nbsp;&nbsp; 205364 |
| Energuate Trust, 6.35%, 9/15/2035 (n) | 200000 | &nbsp;&nbsp;&nbsp; 201377 |
| EPH Financing International A.S., 4.625%, 7/02/2032  | 273000 | &nbsp;&nbsp;&nbsp; 327115 |
| Eversource Energy, 5.5%, 1/01/2034  | $253000 | &nbsp;&nbsp;&nbsp; 261251 |
| Georgia Power Co., 4.95%, 5/17/2033  | 247000 | &nbsp;&nbsp;&nbsp; 251963 |
| Hydro One, Inc., 4.25%, 1/04/2035  | 493000 | &nbsp;&nbsp;&nbsp; 361455 |
| Jersey Central Power & Light Co., 2.75%, 3/01/2032 (n) | $184000 | &nbsp;&nbsp;&nbsp; 164517 |
| Jersey Central Power & Light Co., 5.1%, 1/15/2035  | 160000 | &nbsp;&nbsp;&nbsp; 162156 |
| National Grid North America, Inc., 3.917%, 6/03/2035  | 250000 | &nbsp;&nbsp;&nbsp; 297788 |
| Northern States Power Co. of Minnesota, 5.05%, 5/15/2035  | $225000 | &nbsp;&nbsp;&nbsp; 229480 |
| Oncor Electric Delivery Co. LLC, 5.35%, 4/01/2035 (n) | 297000 | &nbsp;&nbsp;&nbsp; 307186 |
| Pacific Gas & Electric Co., 6.1%, 1/15/2029  | 68000 | &nbsp;&nbsp;&nbsp; 71135 |
| Pacific Gas & Electric Co., 6.4%, 6/15/2033  | 53000 | &nbsp;&nbsp;&nbsp; 56972 |
| Pacific Gas & Electric Co., 5.9%, 10/01/2054  | 43000 | &nbsp;&nbsp;&nbsp; 41886 |
| PPL Electric Utilities Corp. 1st Mortgage, 5.25%, 5/15/2053  | 337000 | &nbsp;&nbsp;&nbsp; 328524 |
| PSEG Power LLC, 5.2%, 5/15/2030 (n) | 320000 | &nbsp;&nbsp;&nbsp; 328290 |
| Terna Rete Elettrica Nazionale S.p.A., 3%, 7/22/2031  | 260000 | &nbsp;&nbsp;&nbsp; 303083 |
| Xcel Energy, Inc., 5.5%, 3/15/2034  | $155000 | &nbsp;&nbsp;&nbsp; 159946 |
| XPLR Infrastructure Operating Partners LP, 7.25%, 1/15/2029 (n) | 73000 | &nbsp;&nbsp;&nbsp; 74951 |
| XPLR Infrastructure Operating Partners LP, 8.375%, 1/15/2031 (n) | 155000 | &nbsp;&nbsp;&nbsp; 162440 |
| XPLR Infrastructure Operating Partners LP, 8.625%, 3/15/2033 (n) | 35000 | &nbsp;&nbsp;&nbsp; 36704 |
|  |  | &nbsp;&nbsp;&nbsp; $8481950 |
| Utilities - Gas – 0.1% | Utilities - Gas – 0.1% | Utilities - Gas – 0.1% |
| EP Infrastructure A.S., 2.045%, 10/09/2028  | 333000 | &nbsp;&nbsp;&nbsp; $379723 |
| Utilities - Water – 0.1% | Utilities - Water – 0.1% | Utilities - Water – 0.1% |
| Severn Trent Utilities Finance PLC, 3.875%, 8/04/2035  | 230000 | &nbsp;&nbsp;&nbsp; $272327 |
| Severn Trent Utilities Finance PLC, 3.875%, 8/04/2037  | 190000 | &nbsp;&nbsp;&nbsp; 221786 |
|  |  | &nbsp;&nbsp;&nbsp; $494113 |
| **Total Bonds**  |  | &nbsp;&nbsp; **$207133694** |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Common Stocks – 34.0%  | Common Stocks – 34.0%  | Common Stocks – 34.0%  |
| Aerospace & Defense – 0.7% | Aerospace & Defense – 0.7% |  |
| Boeing Co. (a) | 956 | &nbsp;&nbsp;&nbsp; $206334 |
| General Dynamics Corp. (f) | 1408 | &nbsp;&nbsp;&nbsp; 480128 |
| Honeywell International, Inc. (f) | 2207 | &nbsp;&nbsp;&nbsp; 464574 |
| L3Harris Technologies, Inc. | 2020 | &nbsp;&nbsp;&nbsp; 616928 |
| Leidos Holdings, Inc. | 2415 | &nbsp;&nbsp;&nbsp; 456338 |
|  |  | &nbsp;&nbsp;&nbsp; $2224302 |
| Alcoholic Beverages – 0.6% | Alcoholic Beverages – 0.6% |  |
| Ambev S.A. | 266500 | &nbsp;&nbsp;&nbsp; $605381 |
| Diageo PLC | 29605 | &nbsp;&nbsp;&nbsp; 704771 |
| Heineken N.V. | 8074 | &nbsp;&nbsp;&nbsp; 630586 |
| Kirin Holdings Co. Ltd. | 17300 | &nbsp;&nbsp;&nbsp; 253560 |
|  |  | &nbsp;&nbsp;&nbsp; $2194298 |
| Apparel Manufacturers – 0.1% | Apparel Manufacturers – 0.1% |  |
| Compagnie Financiere Richemont S.A.  | 2427 | &nbsp;&nbsp;&nbsp; $465690 |
| Automotive – 0.9% | Automotive – 0.9% |  |
| Aptiv PLC (a) | 10729 | &nbsp;&nbsp;&nbsp; $925054 |
| Compagnie Generale des Etablissements Michelin | 20634 | &nbsp;&nbsp;&nbsp; 741159 |
| Continental AG | 1781 | &nbsp;&nbsp;&nbsp; 117346 |
| Lear Corp. | 5680 | &nbsp;&nbsp;&nbsp; 571465 |
| LKQ Corp. (f) | 17474 | &nbsp;&nbsp;&nbsp; 533656 |
| PT Astra International Tbk | 417100 | &nbsp;&nbsp;&nbsp; 144540 |
|  |  | &nbsp;&nbsp;&nbsp; $3033220 |
| Broadcasting – 0.5% | Broadcasting – 0.5% |  |
| Interpublic Group of Companies, Inc. | 4011 | &nbsp;&nbsp;&nbsp; $111947 |
| Omnicom Group, Inc. (f) | 14003 | &nbsp;&nbsp;&nbsp; 1141665 |
| Publicis Groupe S.A. | 4941 | &nbsp;&nbsp;&nbsp; 473824 |
|  |  | &nbsp;&nbsp;&nbsp; $1727436 |
| Brokerage & Asset Managers – 1.0% | Brokerage & Asset Managers – 1.0% |  |
| Charles Schwab Corp. (f) | 26105 | &nbsp;&nbsp;&nbsp; $2492244 |
| CME Group, Inc. | 2898 | &nbsp;&nbsp;&nbsp; 783011 |
| Euronext N.V. | 1102 | &nbsp;&nbsp;&nbsp; 164831 |
| IG Group Holdings PLC | 6332 | &nbsp;&nbsp;&nbsp; 91821 |
|  |  | &nbsp;&nbsp;&nbsp; $3531907 |
| Business Services – 0.8% | Business Services – 0.8% |  |
| Accenture PLC, "A" | 1322 | &nbsp;&nbsp;&nbsp; $326005 |
| Cognizant Technology Solutions Corp., "A" | 2316 | &nbsp;&nbsp;&nbsp; 155334 |
| Fidelity National Information Services, Inc. | 4435 | &nbsp;&nbsp;&nbsp; 292444 |
| Fiserv, Inc. (a) | 4225 | &nbsp;&nbsp;&nbsp; 544729 |
| Fujitsu Ltd. | 4200 | &nbsp;&nbsp;&nbsp; 98947 |
| Secom Co. Ltd. | 9600 | &nbsp;&nbsp;&nbsp; 352166 |
| Sodexo | 10040 | &nbsp;&nbsp;&nbsp; 632074 |
| Tata Consultancy Services Ltd. | 5395 | &nbsp;&nbsp;&nbsp; 175506 |
| Verisk Analytics, Inc., "A" | 569 | &nbsp;&nbsp;&nbsp; 143109 |
|  |  | &nbsp;&nbsp;&nbsp; $2720314 |
| Chemicals – 0.2% | Chemicals – 0.2% |  |
| PPG Industries, Inc.  | 6217 | &nbsp;&nbsp;&nbsp; $653469 |
| Computer Software – 0.4% | Computer Software – 0.4% |  |
| Microsoft Corp. (f)  | 2489 | &nbsp;&nbsp;&nbsp; $1289178 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Common Stocks – continued  | Common Stocks – continued  | Common Stocks – continued  |
| Computer Software - Systems – 1.5% | Computer Software - Systems – 1.5% |  |
| Amadeus IT Group S.A. | 9248 | &nbsp;&nbsp;&nbsp; $731950 |
| Cap Gemini S.A. | 6302 | &nbsp;&nbsp;&nbsp; 917049 |
| Hitachi Ltd. | 25500 | &nbsp;&nbsp;&nbsp; 677655 |
| Hon Hai Precision Industry Co. Ltd. | 93000 | &nbsp;&nbsp;&nbsp; 659099 |
| Lenovo Group Ltd. | 80000 | &nbsp;&nbsp;&nbsp; 118736 |
| NEC Corp. | 28300 | &nbsp;&nbsp;&nbsp; 906878 |
| Samsung Electronics Co. Ltd. | 18348 | &nbsp;&nbsp;&nbsp; 1097179 |
|  |  | &nbsp;&nbsp;&nbsp; $5108546 |
| Construction – 0.9% | Construction – 0.9% |  |
| Anhui Conch Cement Co. Ltd. | 142500 | &nbsp;&nbsp;&nbsp; $430323 |
| Compagnie de Saint-Gobain S.A. | 7386 | &nbsp;&nbsp;&nbsp; 804636 |
| Masco Corp. (f) | 13867 | &nbsp;&nbsp;&nbsp; 976098 |
| Midea Group Co. Ltd., "A" | 22300 | &nbsp;&nbsp;&nbsp; 227622 |
| Stanley Black & Decker, Inc. | 2895 | &nbsp;&nbsp;&nbsp; 215185 |
| Techtronic Industries Co. Ltd. | 41500 | &nbsp;&nbsp;&nbsp; 530886 |
|  |  | &nbsp;&nbsp;&nbsp; $3184750 |
| Consumer Products – 1.1% | Consumer Products – 1.1% |  |
| Colgate-Palmolive Co. | 12591 | &nbsp;&nbsp;&nbsp; $1006525 |
| Kao Corp. | 2600 | &nbsp;&nbsp;&nbsp; 113417 |
| Kenvue, Inc. (f) | 65515 | &nbsp;&nbsp;&nbsp; 1063308 |
| Kimberly-Clark Corp. (f) | 7704 | &nbsp;&nbsp;&nbsp; 957915 |
| Reckitt Benckiser Group PLC | 9170 | &nbsp;&nbsp;&nbsp; 708206 |
|  |  | &nbsp;&nbsp;&nbsp; $3849371 |
| Containers – 0.0% | Containers – 0.0% |  |
| Smurfit Westrock PLC  | 2710 | &nbsp;&nbsp;&nbsp; $115365 |
| Electrical Equipment – 1.3% | Electrical Equipment – 1.3% |  |
| Amphenol Corp., "A" | 916 | &nbsp;&nbsp;&nbsp; $113355 |
| Aumovio SE (a) | 891 | &nbsp;&nbsp;&nbsp; 36718 |
| Eaton Corp. PLC | 1221 | &nbsp;&nbsp;&nbsp; 456959 |
| Johnson Controls International PLC | 8610 | &nbsp;&nbsp;&nbsp; 946670 |
| Legrand S.A. | 4078 | &nbsp;&nbsp;&nbsp; 680257 |
| Mitsubishi Electric Corp. | 40800 | &nbsp;&nbsp;&nbsp; 1049210 |
| Schneider Electric SE | 3926 | &nbsp;&nbsp;&nbsp; 1108331 |
|  |  | &nbsp;&nbsp;&nbsp; $4391500 |
| Electronics – 1.0% | Electronics – 1.0% |  |
| Intel Corp. (a) | 19481 | &nbsp;&nbsp;&nbsp; $653588 |
| Kyocera Corp. | 44500 | &nbsp;&nbsp;&nbsp; 598659 |
| Lam Research Corp. | 2302 | &nbsp;&nbsp;&nbsp; 308238 |
| MediaTek, Inc. | 13000 | &nbsp;&nbsp;&nbsp; 560896 |
| NVIDIA Corp. | 1806 | &nbsp;&nbsp;&nbsp; 336964 |
| NXP Semiconductors N.V. | 4259 | &nbsp;&nbsp;&nbsp; 969902 |
|  |  | &nbsp;&nbsp;&nbsp; $3428247 |
| Energy - Independent – 0.8% | Energy - Independent – 0.8% |  |
| ConocoPhillips (f) | 10200 | &nbsp;&nbsp;&nbsp; $964818 |
| EOG Resources, Inc. | 655 | &nbsp;&nbsp;&nbsp; 73438 |
| Expand Energy Corp. | 5370 | &nbsp;&nbsp;&nbsp; 570509 |
| Phillips 66 (f) | 5556 | &nbsp;&nbsp;&nbsp; 755727 |
| Woodside Energy Group Ltd. | 13382 | &nbsp;&nbsp;&nbsp; 203928 |
|  |  | &nbsp;&nbsp;&nbsp; $2568420 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Common Stocks – continued  | Common Stocks – continued  | Common Stocks – continued  |
| Energy - Integrated – 1.8% | Energy - Integrated – 1.8% |  |
| Cenovus Energy, Inc. | 16683 | &nbsp;&nbsp;&nbsp; $283265 |
| Chevron Corp. | 7566 | &nbsp;&nbsp;&nbsp; 1174924 |
| Eni S.p.A. | 72456 | &nbsp;&nbsp;&nbsp; 1264606 |
| Exxon Mobil Corp. (f) | 6037 | &nbsp;&nbsp;&nbsp; 680672 |
| PetroChina Co. Ltd. | 510000 | &nbsp;&nbsp;&nbsp; 463997 |
| Suncor Energy, Inc. | 20668 | &nbsp;&nbsp;&nbsp; 864916 |
| TotalEnergies SE | 20464 | &nbsp;&nbsp;&nbsp; 1248733 |
|  |  | &nbsp;&nbsp;&nbsp; $5981113 |
| Engineering - Construction – 0.1% | Engineering - Construction – 0.1% |  |
| Doosan Bobcat, Inc.  | 4525 | &nbsp;&nbsp;&nbsp; $178994 |
| Food & Beverages – 0.6% | Food & Beverages – 0.6% |  |
| Danone S.A. | 8637 | &nbsp;&nbsp;&nbsp; $752003 |
| General Mills, Inc. (f) | 9666 | &nbsp;&nbsp;&nbsp; 487360 |
| Inner Mongolia Yili Industrial Group Co. Ltd., "A" | 22300 | &nbsp;&nbsp;&nbsp; 85460 |
| Nestle S.A. | 2513 | &nbsp;&nbsp;&nbsp; 230670 |
| Nomad Foods Ltd. | 5050 | &nbsp;&nbsp;&nbsp; 66407 |
| PepsiCo, Inc. | 1870 | &nbsp;&nbsp;&nbsp; 262623 |
| WH Group Ltd. | 96500 | &nbsp;&nbsp;&nbsp; 104536 |
|  |  | &nbsp;&nbsp;&nbsp; $1989059 |
| Food & Drug Stores – 0.6% | Food & Drug Stores – 0.6% |  |
| Tesco PLC  | 329198 | &nbsp;&nbsp;&nbsp; $1972399 |
| Gaming & Lodging – 0.1% | Gaming & Lodging – 0.1% |  |
| Brightstar Lottery PLC | 10023 | &nbsp;&nbsp;&nbsp; $172897 |
| OPAP S.A. | 1876 | &nbsp;&nbsp;&nbsp; 43764 |
|  |  | &nbsp;&nbsp;&nbsp; $216661 |
| Health Maintenance Organizations – 0.6% | Health Maintenance Organizations – 0.6% |  |
| Cigna Group (f) | 5672 | &nbsp;&nbsp;&nbsp; $1634954 |
| Humana, Inc. | 1800 | &nbsp;&nbsp;&nbsp; 468306 |
|  |  | &nbsp;&nbsp;&nbsp; $2103260 |
| Insurance – 1.8% | Insurance – 1.8% |  |
| American International Group, Inc. | 1046 | &nbsp;&nbsp;&nbsp; $82153 |
| Aon PLC (s) | 4230 | &nbsp;&nbsp;&nbsp; 1508333 |
| Chubb Ltd. | 3873 | &nbsp;&nbsp;&nbsp; 1093154 |
| Corebridge Financial, Inc. | 14069 | &nbsp;&nbsp;&nbsp; 450911 |
| DB Insurance Co. Ltd. | 932 | &nbsp;&nbsp;&nbsp; 92001 |
| Equitable Holdings, Inc. | 7342 | &nbsp;&nbsp;&nbsp; 372827 |
| Hartford Insurance Group, Inc. | 2713 | &nbsp;&nbsp;&nbsp; 361887 |
| Manulife Financial Corp. | 17303 | &nbsp;&nbsp;&nbsp; 539095 |
| MetLife, Inc. | 4972 | &nbsp;&nbsp;&nbsp; 409544 |
| Sompo Holdings, Inc. | 8600 | &nbsp;&nbsp;&nbsp; 266051 |
| Willis Towers Watson PLC | 3115 | &nbsp;&nbsp;&nbsp; 1076077 |
|  |  | &nbsp;&nbsp;&nbsp; $6252033 |
| Interactive Media Services – 0.1% | Interactive Media Services – 0.1% |  |
| Baidu, Inc., ADR (a)  | 1868 | &nbsp;&nbsp;&nbsp; $246146 |
| Leisure & Toys – 0.3% | Leisure & Toys – 0.3% |  |
| Electronic Arts, Inc. | 3012 | &nbsp;&nbsp;&nbsp; $607520 |
| NetEase, Inc. | 14900 | &nbsp;&nbsp;&nbsp; 453398 |
|  |  | &nbsp;&nbsp;&nbsp; $1060918 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Common Stocks – continued  | Common Stocks – continued  | Common Stocks – continued  |
| Machinery & Tools – 0.4% | Machinery & Tools – 0.4% |  |
| AGCO Corp. | 1810 | &nbsp;&nbsp;&nbsp; $193797 |
| Daikin Industries Ltd. | 1700 | &nbsp;&nbsp;&nbsp; 196342 |
| Finning International, Inc. | 5810 | &nbsp;&nbsp;&nbsp; 269898 |
| GEA Group AG | 1495 | &nbsp;&nbsp;&nbsp; 110446 |
| Kubota Corp. | 8200 | &nbsp;&nbsp;&nbsp; 103300 |
| Regal Rexnord Corp. | 3065 | &nbsp;&nbsp;&nbsp; 439643 |
| Wabtec Corp. | 983 | &nbsp;&nbsp;&nbsp; 197062 |
|  |  | &nbsp;&nbsp;&nbsp; $1510488 |
| Major Banks – 4.2% | Major Banks – 4.2% |  |
| ABN AMRO Group N.V., GDR | 26611 | &nbsp;&nbsp;&nbsp; $851363 |
| Bank of America Corp. (s) | 30488 | &nbsp;&nbsp;&nbsp; 1572876 |
| BNP Paribas S.A. | 18279 | &nbsp;&nbsp;&nbsp; 1666281 |
| DBS Group Holdings Ltd. | 9350 | &nbsp;&nbsp;&nbsp; 370753 |
| Goldman Sachs Group, Inc. (s) | 1524 | &nbsp;&nbsp;&nbsp; 1213637 |
| JPMorgan Chase & Co. (f) | 3038 | &nbsp;&nbsp;&nbsp; 958276 |
| Mitsubishi UFJ Financial Group, Inc. | 104100 | &nbsp;&nbsp;&nbsp; 1685197 |
| National Bank of Greece S.A. | 18217 | &nbsp;&nbsp;&nbsp; 265337 |
| NatWest Group PLC | 368311 | &nbsp;&nbsp;&nbsp; 2583700 |
| PNC Financial Services Group, Inc. | 1824 | &nbsp;&nbsp;&nbsp; 366496 |
| UBS Group AG | 59445 | &nbsp;&nbsp;&nbsp; 2443701 |
| Wells Fargo & Co. | 4912 | &nbsp;&nbsp;&nbsp; 411724 |
|  |  | &nbsp;&nbsp;&nbsp; $14389341 |
| Medical & Health Technology & Services – 0.2% | Medical & Health Technology & Services – 0.2% |  |
| Fresenius Medical Care AG | 2846 | &nbsp;&nbsp;&nbsp; $149334 |
| ICON PLC (a) | 3923 | &nbsp;&nbsp;&nbsp; 686525 |
|  |  | &nbsp;&nbsp;&nbsp; $835859 |
| Medical Equipment – 1.3% | Medical Equipment – 1.3% |  |
| Agilent Technologies, Inc. | 3559 | &nbsp;&nbsp;&nbsp; $456797 |
| Becton, Dickinson and Co. | 9069 | &nbsp;&nbsp;&nbsp; 1697445 |
| Medtronic PLC (f) | 21621 | &nbsp;&nbsp;&nbsp; 2059184 |
| Waters Corp. (a) | 828 | &nbsp;&nbsp;&nbsp; 248243 |
|  |  | &nbsp;&nbsp;&nbsp; $4461669 |
| Metals & Mining – 0.8% | Metals & Mining – 0.8% |  |
| Glencore PLC | 152244 | &nbsp;&nbsp;&nbsp; $703557 |
| Rio Tinto PLC | 14035 | &nbsp;&nbsp;&nbsp; 924909 |
| Toyota Tsusho Corp. | 26400 | &nbsp;&nbsp;&nbsp; 732277 |
| Vale S.A. | 28400 | &nbsp;&nbsp;&nbsp; 307252 |
|  |  | &nbsp;&nbsp;&nbsp; $2667995 |
| Natural Gas - Distribution – 0.2% | Natural Gas - Distribution – 0.2% |  |
| Atmos Energy Corp.  | 3877 | &nbsp;&nbsp;&nbsp; $661998 |
| Network & Telecom – 0.1% | Network & Telecom – 0.1% |  |
| LM Ericsson Telephone Co., "B" | 57307 | &nbsp;&nbsp;&nbsp; $475361 |
| Oil Services – 0.1% | Oil Services – 0.1% |  |
| Tenaris S.A.  | 10313 | &nbsp;&nbsp;&nbsp; $184590 |
| Other Banks & Diversified Financials – 1.3% | Other Banks & Diversified Financials – 1.3% |  |
| China Construction Bank Corp. | 795000 | &nbsp;&nbsp;&nbsp; $764153 |
| Grupo Financiero Banorte S.A. de C.V. | 13477 | &nbsp;&nbsp;&nbsp; 135760 |
| Julius Baer Group Ltd. | 9277 | &nbsp;&nbsp;&nbsp; 645243 |
| Kasikornbank Co. Ltd. | 33300 | &nbsp;&nbsp;&nbsp; 171612 |
| M&T Bank Corp. | 974 | &nbsp;&nbsp;&nbsp; 192482 |
| Northern Trust Corp. (f) | 15541 | &nbsp;&nbsp;&nbsp; 2091818 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Common Stocks – continued  | Common Stocks – continued  | Common Stocks – continued  |
| Other Banks & Diversified Financials – continued | Other Banks & Diversified Financials – continued |  |
| Popular, Inc. | 2194 | &nbsp;&nbsp;&nbsp; $278660 |
| Sberbank of Russia PJSC (a)(u) | 137348 | &nbsp;&nbsp;&nbsp; 0 |
| Synchrony Financial | 2536 | &nbsp;&nbsp;&nbsp; 180183 |
|  |  | &nbsp;&nbsp;&nbsp; $4459911 |
| Pharmaceuticals – 2.8% | Pharmaceuticals – 2.8% |  |
| AbbVie, Inc. (f) | 5901 | &nbsp;&nbsp;&nbsp; $1366317 |
| Johnson & Johnson (f) | 12657 | &nbsp;&nbsp;&nbsp; 2346861 |
| Pfizer, Inc. (f) | 94714 | &nbsp;&nbsp;&nbsp; 2413313 |
| Roche Holding AG | 7087 | &nbsp;&nbsp;&nbsp; 2332553 |
| Sandoz Group AG | 4109 | &nbsp;&nbsp;&nbsp; 244352 |
| Sanofi | 10603 | &nbsp;&nbsp;&nbsp; 1002241 |
|  |  | &nbsp;&nbsp;&nbsp; $9705637 |
| Printing & Publishing – 0.2% | Printing & Publishing – 0.2% |  |
| Informa PLC  | 53954 | &nbsp;&nbsp;&nbsp; $665835 |
| Railroad & Shipping – 0.3% | Railroad & Shipping – 0.3% |  |
| Union Pacific Corp. | 3189 | &nbsp;&nbsp;&nbsp; $753784 |
| Yangzijian Shipbuilding Holdings Ltd. | 40900 | &nbsp;&nbsp;&nbsp; 106851 |
|  |  | &nbsp;&nbsp;&nbsp; $860635 |
| Real Estate - Office – 0.1% | Real Estate - Office – 0.1% |  |
| Cousins Properties, Inc., REIT | 4618 | &nbsp;&nbsp;&nbsp; $133645 |
| Highwoods Properties, Inc., REIT | 8519 | &nbsp;&nbsp;&nbsp; 271075 |
|  |  | &nbsp;&nbsp;&nbsp; $404720 |
| Restaurants – 0.2% | Restaurants – 0.2% |  |
| Aramark  | 18300 | &nbsp;&nbsp;&nbsp; $702720 |
| Specialty Chemicals – 0.3% | Specialty Chemicals – 0.3% |  |
| Akzo Nobel N.V. | 7075 | &nbsp;&nbsp;&nbsp; $503368 |
| Axalta Coating Systems Ltd. (a) | 8416 | &nbsp;&nbsp;&nbsp; 240866 |
| FUJIFILM Holdings Corp. | 4700 | &nbsp;&nbsp;&nbsp; 116988 |
| Nitto Denko Corp. | 4100 | &nbsp;&nbsp;&nbsp; 97506 |
|  |  | &nbsp;&nbsp;&nbsp; $958728 |
| Specialty Stores – 0.4% | Specialty Stores – 0.4% |  |
| Bath & Body Works, Inc. | 4571 | &nbsp;&nbsp;&nbsp; $117749 |
| Home Depot, Inc. | 1073 | &nbsp;&nbsp;&nbsp; 434769 |
| Shimamura Co. Ltd. | 2600 | &nbsp;&nbsp;&nbsp; 173861 |
| Tapestry, Inc. | 3480 | &nbsp;&nbsp;&nbsp; 394005 |
| Target Corp. | 2463 | &nbsp;&nbsp;&nbsp; 220931 |
|  |  | &nbsp;&nbsp;&nbsp; $1341315 |
| Telecom Services – 0.9% | Telecom Services – 0.9% |  |
| Comcast Corp., "A" (f) | 37722 | &nbsp;&nbsp;&nbsp; $1185225 |
| Hellenic Telecommunications Organization S.A. | 16152 | &nbsp;&nbsp;&nbsp; 305688 |
| KDDI Corp. | 61100 | &nbsp;&nbsp;&nbsp; 975262 |
| Koninklijke KPN N.V. | 107230 | &nbsp;&nbsp;&nbsp; 514863 |
|  |  | &nbsp;&nbsp;&nbsp; $2981038 |
| Tobacco – 1.0% | Tobacco – 1.0% |  |
| Altria Group, Inc. | 5842 | &nbsp;&nbsp;&nbsp; $385923 |
| British American Tobacco PLC | 30189 | &nbsp;&nbsp;&nbsp; 1602528 |
| Philip Morris International, Inc. | 7837 | &nbsp;&nbsp;&nbsp; 1271161 |
|  |  | &nbsp;&nbsp;&nbsp; $3259612 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Common Stocks – continued  | Common Stocks – continued  | Common Stocks – continued  |
| Utilities - Electric Power – 1.4% | Utilities - Electric Power – 1.4% |  |
| CLP Holdings Ltd. | 13500 | &nbsp;&nbsp;&nbsp; $111807 |
| Duke Energy Corp. | 3729 | &nbsp;&nbsp;&nbsp; 461464 |
| E.ON SE | 46640 | &nbsp;&nbsp;&nbsp; 876945 |
| Edison International (f) | 8840 | &nbsp;&nbsp;&nbsp; 488675 |
| Iberdrola S.A. | 19849 | &nbsp;&nbsp;&nbsp; 376104 |
| National Grid PLC | 93756 | &nbsp;&nbsp;&nbsp; 1351642 |
| PG&E Corp. (f) | 58060 | &nbsp;&nbsp;&nbsp; 875545 |
| Xcel Energy, Inc. | 1139 | &nbsp;&nbsp;&nbsp; 91860 |
|  |  | &nbsp;&nbsp;&nbsp; $4634042 |
| **Total Common Stocks**  |  | &nbsp;&nbsp; **$115648090** |
| Preferred Stocks – 0.4%  | Preferred Stocks – 0.4%  | Preferred Stocks – 0.4%  |
| Consumer Products – 0.4% |  |  |
| Henkel AG & Co. KGaA  | 14893 | &nbsp;&nbsp;&nbsp; $1202117 |
| Metals & Mining – 0.0% |  |  |
| Gerdau S.A.  | 29868 | &nbsp;&nbsp;&nbsp; $93214 |
| **Total Preferred Stocks**  |  | &nbsp;&nbsp; **$1295331** |
| Convertible Preferred Stocks – 0.3%  | Convertible Preferred Stocks – 0.3%  | Convertible Preferred Stocks – 0.3%  |
| Aerospace & Defense – 0.1% | Aerospace & Defense – 0.1% |  |
| Boeing Co., 6%, 10/15/2027  | 4275 | &nbsp;&nbsp;&nbsp; $297412 |
| Utilities - Electric Power – 0.2% | Utilities - Electric Power – 0.2% |  |
| NextEra Energy, Inc., 7.234%, 11/01/2027  | 10149 | &nbsp;&nbsp;&nbsp; $477307 |
| PG&E Corp., 6%, 12/01/2027  | 6840 | &nbsp;&nbsp;&nbsp; 269359 |
|  |  | &nbsp;&nbsp;&nbsp; $746666 |
| **Total Convertible Preferred Stocks**  | **Total Convertible Preferred Stocks**  | &nbsp;&nbsp; **$1044078** |
| Convertible Bonds – 0.0% | Convertible Bonds – 0.0% | Convertible Bonds – 0.0% |
| Utilities - Electric Power – 0.0% | Utilities - Electric Power – 0.0% |  |
| PG&E Corp., 4.25%, 12/01/2027  | $97000 | &nbsp;&nbsp;&nbsp; $98096 |
| Mutual Funds (h) – 4.9%  | Mutual Funds (h) – 4.9%  | Mutual Funds (h) – 4.9%  |
| Money Market Funds – 4.9% | Money Market Funds – 4.9% |  |
| MFS Institutional Money Market Portfolio, 4.19% (v)  | 16662425 | &nbsp;&nbsp;&nbsp; $16664091 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Underlying/Expiration Date/Exercise Price (Rate)** | **Put/Call** | **Counterparty** | **Notional** <br>**Amount**<br>| &nbsp;&nbsp; **Par Amount/** <br>**Number of** <br>**Contracts**<br>|  |
| Purchased Options – 0.1%  | Purchased Options – 0.1%  | Purchased Options – 0.1%  | Purchased Options – 0.1%  | Purchased Options – 0.1%  |  |
| Market Index Securities – 0.1% | Market Index Securities – 0.1% | Market Index Securities – 0.1% | Market Index Securities – 0.1% | Market Index Securities – 0.1% |  |
| Euro Stoxx 50 Index – 6/19/2026 @ EUR 4,900  | Put | Goldman Sachs International | &nbsp;&nbsp; $6492450 | &nbsp;&nbsp;&nbsp; 100 | &nbsp;&nbsp; $139595 |
| Euro Stoxx 50 Index – 2/20/2026 @ EUR 4,800  | Put | Goldman Sachs International | &nbsp;&nbsp; 4934262 | &nbsp;&nbsp;&nbsp; 76 | &nbsp;&nbsp; 44703 |
| iShares MSCI Emerging Market ETF – 6/18/2026 @ $43  | Put | Merrill Lynch International | &nbsp;&nbsp; 10146000 | &nbsp;&nbsp;&nbsp; 1900 | &nbsp;&nbsp; 89300 |
| S&P 500 Index – 12/19/2025 @ $4,250  | Put | Merrill Lynch International | &nbsp;&nbsp; 6019614 | &nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp; 4230 |
| S&P 500 Index – 12/19/2025 @ $4,800  | Put | Merrill Lynch International | &nbsp;&nbsp; 4681922 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 6531 |
| **Total Purchased Options**  | **Total Purchased Options**  | **Total Purchased Options**  | **Total Purchased Options**  |  | &nbsp;&nbsp; **$284359** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| Other Assets, Less Liabilities – (0.5)% | &nbsp;&nbsp;&nbsp; (1570488)<br>|
| **Net Assets – 100.0%** | &nbsp;&nbsp; **$340597251** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

&nbsp;&nbsp;&nbsp;&nbsp;(a) Non-income producing security.

&nbsp;&nbsp;&nbsp;&nbsp;(f) All or a portion of the security has been segregated as collateral for open futures
 contracts and cleared swap agreements.

------

*Portfolio of Investments (unaudited) – continued*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

&nbsp;&nbsp;&nbsp;&nbsp;(h) An affiliated issuer, which may be considered one in which the fund owns 5% or more
 of the outstanding voting securities, or a company which is under common control. At period end, the aggregate values of the fund's investments in affiliated
 issuers and in unaffiliated issuers were $16,664,091 and $325,503,648, respectively.

&nbsp;&nbsp;&nbsp;&nbsp;(i) Interest only security for which the fund receives interest on notional principal
 (Par amount). Par amount shown is the notional principal and does not reflect the cost of the security.

&nbsp;&nbsp;&nbsp;&nbsp;(n) Securities exempt from registration under Rule 144A of the Securities Act of 1933.
 These securities may be sold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers.
 At period end, the aggregate value of these securities was $49,395,568, representing 14.5% of net assets.

&nbsp;&nbsp;&nbsp;&nbsp;(s) Security or a portion of the security was pledged to cover collateral requirements
 for certain derivative transactions.

&nbsp;&nbsp;&nbsp;&nbsp;(u) The security was valued using significant unobservable inputs and is considered level
 3 under the fair value hierarchy.

&nbsp;&nbsp;&nbsp;&nbsp;(v) Affiliated issuer that is available only to investment companies managed by MFS. The
 rate quoted for the MFS Institutional Money Market Portfolio is the annualized seven-day yield of the fund at period end.

&nbsp;&nbsp;&nbsp;&nbsp;(w) When-issued security.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| The following abbreviations are used in this report and are defined: | The following abbreviations are used in this report and are defined: |
| ADR | American Depositary Receipt |
| AGM | Assured Guaranty Municipal |
| CFRR | China Fixing Repo Rate |
| CLO | Collateralized Loan Obligation |
| CMT | Constant Maturity Treasury  |
| CPI-U | Consumer Price Index - Urban Consumers |
| ETF | Exchange-Traded Fund |
| EURIBOR | Euro Interbank Offered Rate |
| FLR | Floating Rate. Interest rate resets periodically based on the parenthetically disclosed reference rate plus a spread (if any). The period-end rate <br> reported may not be the current rate. All reference rates are USD unless otherwise noted.<br>|
| GDR | Global Depositary Receipt |
| HICP | Harmonized Index of Consumer Prices |
| ICE | Intercontinental Exchange |
| REIT | Real Estate Investment Trust |
| SOFR | Secured Overnight Financing Rate |
| TBA | To Be Announced |
| UMBS | Uniform Mortgage-Backed Security |
| Abbreviations indicate amounts shown in currencies other than the U.S. dollar. All amounts are stated in U.S. dollars unless otherwise <br> indicated. A list of abbreviations is shown below: | Abbreviations indicate amounts shown in currencies other than the U.S. dollar. All amounts are stated in U.S. dollars unless otherwise <br> indicated. A list of abbreviations is shown below: |
| AUD | Australian Dollar |
| BRL | Brazilian Real |
| CAD | Canadian Dollar |
| CHF | Swiss Franc |
| CLP | Chilean Peso |
| CNH | Chinese Yuan Renminbi (Offshore)  |
| CNY | China Yuan Renminbi |
| COP | Colombian Peso |
| CZK | Czech Koruna |
| DKK | Danish Krone |
| EUR | Euro |
| GBP | British Pound |
| HKD | Hong Kong Dollar |
| HUF | Hungarian Forint |
| IDR | Indonesian Rupiah |
| ILS | Israeli Shekel |
| ISK | Icelandic Krona |
| JPY | Japanese Yen |
| KRW | South Korean Won |
| MXN | Mexican Peso |
| MYR | Malaysian Ringgit |
| NOK | Norwegian Krone |
| NZD | New Zealand Dollar |
| PEN | Peruvian Nuevo Sol  |
| PLN | Polish Zloty |
| RON | Romanian New Leu |
| SEK | Swedish Krona |
| SGD | Singapore Dollar |
| THB | Thai Baht |

---

------

*Portfolio of Investments (unaudited) – continued*

TRY Turkish Lira <br> UYU Uruguayan Peso <br> ZAR South African Rand

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Derivative Contracts at 9/30/25** | **Derivative Contracts at 9/30/25** | **Derivative Contracts at 9/30/25** | **Derivative Contracts at 9/30/25** | **Derivative Contracts at 9/30/25** | **Derivative Contracts at 9/30/25** | **Derivative Contracts at 9/30/25** |
| **Forward Foreign Currency Exchange Contracts**  | **Forward Foreign Currency Exchange Contracts**  | **Forward Foreign Currency Exchange Contracts**  | **Forward Foreign Currency Exchange Contracts**  | **Forward Foreign Currency Exchange Contracts**  | **Forward Foreign Currency Exchange Contracts**  | **Forward Foreign Currency Exchange Contracts**  |
| **Currency** <br>**Purchased** | **Currency** <br>**Purchased** | &nbsp;&nbsp; **Currency** <br>**Sold** | &nbsp;&nbsp; **Currency** <br>**Sold** | **Counterparty** | &nbsp;&nbsp; **Settlement** <br>**Date**<br>| **Unrealized** <br>**Appreciation** <br>**(Depreciation)**<br>|
| **Asset Derivatives** | **Asset Derivatives** | **Asset Derivatives** | **Asset Derivatives** | **Asset Derivatives** | **Asset Derivatives** | **Asset Derivatives** |
| AUD | &nbsp;&nbsp; 839843 | USD | &nbsp;&nbsp; 550544 | Barclays Bank PLC | 10/17/2025 | &nbsp;&nbsp; $5302 |
| AUD | &nbsp;&nbsp; 5532000 | USD | &nbsp;&nbsp; 3565833 | Deutsche Bank AG | 2/12/2026 | &nbsp;&nbsp; 99281 |
| AUD | &nbsp;&nbsp; 1627269 | USD | &nbsp;&nbsp; 1062702 | HSBC Bank | 10/17/2025 | &nbsp;&nbsp; 14299 |
| AUD | &nbsp;&nbsp; 5950729 | USD | &nbsp;&nbsp; 3897025 | JPMorgan Chase Bank N.A. | 10/17/2025 | &nbsp;&nbsp; 41440 |
| AUD | &nbsp;&nbsp; 1403342 | USD | &nbsp;&nbsp; 913394 | State Street Corp. | 10/17/2025 | &nbsp;&nbsp; 15401 |
| BRL | &nbsp;&nbsp; 2310293 | USD | &nbsp;&nbsp; 416052 | Barclays Bank PLC | 11/28/2025 | &nbsp;&nbsp; 12228 |
| CHF | &nbsp;&nbsp; 2731000 | USD | &nbsp;&nbsp; 3463398 | Citibank N.A. | 2/12/2026 | &nbsp;&nbsp; 19402 |
| CNH | &nbsp;&nbsp; 55932031 | USD | &nbsp;&nbsp; 7836043 | Barclays Bank PLC | 10/17/2025 | &nbsp;&nbsp; 14849 |
| CNH | &nbsp;&nbsp; 3624000 | USD | &nbsp;&nbsp; 506554 | Merrill Lynch International | 10/17/2025 | &nbsp;&nbsp; 2128 |
| COP | &nbsp;&nbsp; 1149784960 | USD | &nbsp;&nbsp; 278621 | Citibank N.A. | 2/12/2026 | &nbsp;&nbsp; 9284 |
| COP | &nbsp;&nbsp; 1186566177 | USD | &nbsp;&nbsp; 292474 | Citibank N.A. | 10/09/2025 | &nbsp;&nbsp; 9897 |
| CZK | &nbsp;&nbsp; 21422219 | USD | &nbsp;&nbsp; 1021658 | HSBC Bank | 10/17/2025 | &nbsp;&nbsp; 11866 |
| CZK | &nbsp;&nbsp; 6875935 | USD | &nbsp;&nbsp; 324682 | Merrill Lynch International | 10/17/2025 | &nbsp;&nbsp; 7050 |
| CZK | &nbsp;&nbsp; 5280461 | USD | &nbsp;&nbsp; 251650 | State Street Corp. | 10/17/2025 | &nbsp;&nbsp; 3108 |
| EUR | &nbsp;&nbsp; 1418871 | USD | &nbsp;&nbsp; 1660083 | Citibank N.A. | 10/17/2025 | &nbsp;&nbsp; 7269 |
| EUR | &nbsp;&nbsp; 68840 | USD | &nbsp;&nbsp; 80870 | Deutsche Bank AG | 10/17/2025 | &nbsp;&nbsp; 25 |
| EUR | &nbsp;&nbsp; 2011859 | USD | &nbsp;&nbsp; 2349498 | HSBC Bank | 10/17/2025 | &nbsp;&nbsp; 14688 |
| EUR | &nbsp;&nbsp; 592173 | USD | &nbsp;&nbsp; 693072 | JPMorgan Chase Bank N.A. | 10/17/2025 | &nbsp;&nbsp; 2805 |
| EUR | &nbsp;&nbsp; 365166 | USD | &nbsp;&nbsp; 424611 | Merrill Lynch International | 10/17/2025 | &nbsp;&nbsp; 4504 |
| EUR | &nbsp;&nbsp; 368000 | USD | &nbsp;&nbsp; 433277 | Morgan Stanley Capital Services LLC | 2/12/2026 | &nbsp;&nbsp; 1918 |
| EUR | &nbsp;&nbsp; 4722609 | USD | &nbsp;&nbsp; 5524693 | State Street Corp. | 10/17/2025 | &nbsp;&nbsp; 24962 |
| EUR | &nbsp;&nbsp; 981246 | USD | &nbsp;&nbsp; 1152335 | UBS AG | 10/17/2025 | &nbsp;&nbsp; 752 |
| GBP | &nbsp;&nbsp; 679679 | USD | &nbsp;&nbsp; 902920 | State Street Corp. | 10/17/2025 | &nbsp;&nbsp; 11259 |
| HUF | &nbsp;&nbsp; 54010339 | USD | &nbsp;&nbsp; 156733 | Goldman Sachs International | 10/17/2025 | &nbsp;&nbsp; 5710 |
| IDR | &nbsp;&nbsp; 10184889000 | USD | &nbsp;&nbsp; 607075 | Barclays Bank PLC | 10/31/2025 | &nbsp;&nbsp; 3932 |
| ILS | &nbsp;&nbsp; 139194 | USD | &nbsp;&nbsp; 42034 | State Street Corp. | 1/20/2026 | &nbsp;&nbsp; 14 |
| JPY | &nbsp;&nbsp; 298553710 | USD | &nbsp;&nbsp; 1997374 | JPMorgan Chase Bank N.A. | 10/17/2025 | &nbsp;&nbsp; 24644 |
| MXN | &nbsp;&nbsp; 19921041 | USD | &nbsp;&nbsp; 1056245 | State Street Corp. | 10/17/2025 | &nbsp;&nbsp; 29811 |
| MYR | &nbsp;&nbsp; 3592424 | USD | &nbsp;&nbsp; 848370 | Barclays Bank PLC | 10/10/2025 | &nbsp;&nbsp; 5519 |
| NOK | &nbsp;&nbsp; 7135999 | USD | &nbsp;&nbsp; 705337 | Citibank N.A. | 10/17/2025 | &nbsp;&nbsp; 9799 |
| NOK | &nbsp;&nbsp; 10045000 | USD | &nbsp;&nbsp; 980557 | Deutsche Bank AG | 2/12/2026 | &nbsp;&nbsp; 25974 |
| NOK | &nbsp;&nbsp; 152639623 | USD | &nbsp;&nbsp; 14970050 | HSBC Bank | 2/12/2026 | &nbsp;&nbsp; 324778 |
| PEN | &nbsp;&nbsp; 549565 | USD | &nbsp;&nbsp; 153737 | Barclays Bank PLC | 10/21/2025 | &nbsp;&nbsp; 4467 |
| PLN | &nbsp;&nbsp; 749259 | USD | &nbsp;&nbsp; 205249 | Barclays Bank PLC | 10/17/2025 | &nbsp;&nbsp; 852 |
| PLN | &nbsp;&nbsp; 1500493 | USD | &nbsp;&nbsp; 410863 | State Street Corp. | 10/17/2025 | &nbsp;&nbsp; 1882 |
| RON | &nbsp;&nbsp; 1057543 | USD | &nbsp;&nbsp; 242497 | Citibank N.A. | 10/17/2025 | &nbsp;&nbsp; 1511 |
| SEK | &nbsp;&nbsp; 8034385 | USD | &nbsp;&nbsp; 837792 | HSBC Bank | 10/17/2025 | &nbsp;&nbsp; 16469 |
| SEK | &nbsp;&nbsp; 401942 | USD | &nbsp;&nbsp; 42537 | Merrill Lynch International | 10/17/2025 | &nbsp;&nbsp; 200 |
| SEK | &nbsp;&nbsp; 127609497 | USD | &nbsp;&nbsp; 13499083 | State Street Corp. | 2/12/2026 | &nbsp;&nbsp; 162599 |
| USD | &nbsp;&nbsp; 4429535 | AUD | &nbsp;&nbsp; 6675000 | HSBC Bank | 2/12/2026 | &nbsp;&nbsp; 7150 |
| USD | &nbsp;&nbsp; 1120060 | CAD | &nbsp;&nbsp; 1542737 | Citibank N.A. | 10/17/2025 | &nbsp;&nbsp; 10681 |
| USD | &nbsp;&nbsp; 1499692 | CAD | &nbsp;&nbsp; 2049014 | Merrill Lynch International | 10/17/2025 | &nbsp;&nbsp; 26250 |
| USD | &nbsp;&nbsp; 7800050 | CAD | &nbsp;&nbsp; 10732830 | State Street Corp. | 2/12/2026 | &nbsp;&nbsp; 41662 |
| USD | &nbsp;&nbsp; 3731249 | CAD | &nbsp;&nbsp; 5093743 | State Street Corp. | 10/17/2025 | &nbsp;&nbsp; 68346 |
| USD | &nbsp;&nbsp; 1423069 | CAD | &nbsp;&nbsp; 1964777 | UBS AG | 10/17/2025 | &nbsp;&nbsp; 10203 |
| USD | &nbsp;&nbsp; 4105408 | CHF | &nbsp;&nbsp; 3217000 | State Street Corp. | 2/12/2026 | &nbsp;&nbsp; 2820 |
| USD | &nbsp;&nbsp; 212002 | CLP | &nbsp;&nbsp; 201652372 | Citibank N.A. | 10/10/2025 | &nbsp;&nbsp; 2250 |
| USD | &nbsp;&nbsp; 1146247 | EUR | &nbsp;&nbsp; 973563 | Barclays Bank PLC | 10/17/2025 | &nbsp;&nbsp; 2189 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Forward Foreign Currency Exchange Contracts - continued**  | **Forward Foreign Currency Exchange Contracts - continued**  | **Forward Foreign Currency Exchange Contracts - continued**  | **Forward Foreign Currency Exchange Contracts - continued**  | **Forward Foreign Currency Exchange Contracts - continued**  | **Forward Foreign Currency Exchange Contracts - continued**  | **Forward Foreign Currency Exchange Contracts - continued**  |
| **Currency**<br> **Purchased** | **Currency**<br> **Purchased** | &nbsp;&nbsp; **Currency**<br> **Sold** | &nbsp;&nbsp; **Currency**<br> **Sold** | **Counterparty** | &nbsp;&nbsp; **Settlement**<br> **Date**<br>| **Unrealized**<br> **Appreciation**<br> **(Depreciation)**<br>|
| **Asset Derivatives - continued** | **Asset Derivatives - continued** | **Asset Derivatives - continued** | **Asset Derivatives - continued** | **Asset Derivatives - continued** | **Asset Derivatives - continued** | **Asset Derivatives - continued** |
| USD | &nbsp;&nbsp; 175460 | EUR | &nbsp;&nbsp; 148618 | BNP Paribas | 10/17/2025 | &nbsp;&nbsp; $815 |
| USD | &nbsp;&nbsp; 117710 | EUR | &nbsp;&nbsp; 100000 | Citibank N.A. | 10/17/2025 | &nbsp;&nbsp; 198 |
| USD | &nbsp;&nbsp; 1423774 | EUR | &nbsp;&nbsp; 1206518 | HSBC Bank | 10/17/2025 | &nbsp;&nbsp; 5966 |
| USD | &nbsp;&nbsp; 269038 | EUR | &nbsp;&nbsp; 228441 | JPMorgan Chase Bank N.A. | 10/17/2025 | &nbsp;&nbsp; 592 |
| USD | &nbsp;&nbsp; 559599 | EUR | &nbsp;&nbsp; 475600 | State Street Corp. | 10/17/2025 | &nbsp;&nbsp; 710 |
| USD | &nbsp;&nbsp; 1067812 | GBP | &nbsp;&nbsp; 784364 | Citibank N.A. | 10/17/2025 | &nbsp;&nbsp; 12831 |
| USD | &nbsp;&nbsp; 1299689 | GBP | &nbsp;&nbsp; 964561 | Goldman Sachs International | 10/17/2025 | &nbsp;&nbsp; 2340 |
| USD | &nbsp;&nbsp; 989527 | GBP | &nbsp;&nbsp; 731346 | HSBC Bank | 2/12/2026 | &nbsp;&nbsp; 6128 |
| USD | &nbsp;&nbsp; 1958650 | GBP | &nbsp;&nbsp; 1453783 | HSBC Bank | 10/17/2025 | &nbsp;&nbsp; 3291 |
| USD | &nbsp;&nbsp; 1284718 | GBP | &nbsp;&nbsp; 951226 | State Street Corp. | 10/17/2025 | &nbsp;&nbsp; 5306 |
| USD | &nbsp;&nbsp; 546866 | IDR | &nbsp;&nbsp; 9068993024 | Barclays Bank PLC | 10/31/2025 | &nbsp;&nbsp; 2805 |
| USD | &nbsp;&nbsp; 796384 | IDR | &nbsp;&nbsp; 12966131000 | Citibank N.A. | 2/12/2026 | &nbsp;&nbsp; 19488 |
| USD | &nbsp;&nbsp; 1153529 | IDR | &nbsp;&nbsp; 18779309000 | Citibank N.A. | 10/31/2025 | &nbsp;&nbsp; 26932 |
| USD | &nbsp;&nbsp; 17242533 | JPY | &nbsp;&nbsp; 2502085490 | Deutsche Bank AG | 2/12/2026 | &nbsp;&nbsp; 104237 |
| USD | &nbsp;&nbsp; 478107 | JPY | &nbsp;&nbsp; 70256775 | HSBC Bank | 10/17/2025 | &nbsp;&nbsp; 2278 |
| USD | &nbsp;&nbsp; 1796609 | JPY | &nbsp;&nbsp; 261061363 | JPMorgan Chase Bank N.A. | 10/17/2025 | &nbsp;&nbsp; 28515 |
| USD | &nbsp;&nbsp; 405146 | JPY | &nbsp;&nbsp; 59127000 | Morgan Stanley Capital Services LLC | 2/12/2026 | &nbsp;&nbsp; 150 |
| USD | &nbsp;&nbsp; 1424140 | KRW | &nbsp;&nbsp; 1971065770 | Citibank N.A. | 10/21/2025 | &nbsp;&nbsp; 18054 |
| USD | &nbsp;&nbsp; 2296921 | KRW | &nbsp;&nbsp; 3156538970 | JPMorgan Chase Bank N.A. | 2/12/2026 | &nbsp;&nbsp; 32085 |
| USD | &nbsp;&nbsp; 3002484 | KRW | &nbsp;&nbsp; 4154807292 | JPMorgan Chase Bank N.A. | 10/21/2025 | &nbsp;&nbsp; 38596 |
| USD | &nbsp;&nbsp; 2340511 | NOK | &nbsp;&nbsp; 23331000 | Goldman Sachs International | 2/12/2026 | &nbsp;&nbsp; 2693 |
| USD | &nbsp;&nbsp; 291411 | NOK | &nbsp;&nbsp; 2906439 | HSBC Bank | 10/17/2025 | &nbsp;&nbsp; 142 |
| USD | &nbsp;&nbsp; 417921 | NZD | &nbsp;&nbsp; 715157 | Citibank N.A. | 10/17/2025 | &nbsp;&nbsp; 3076 |
| USD | &nbsp;&nbsp; 212753 | NZD | &nbsp;&nbsp; 357690 | HSBC Bank | 10/17/2025 | &nbsp;&nbsp; 5266 |
| USD | &nbsp;&nbsp; 8483590 | NZD | &nbsp;&nbsp; 14383032 | State Street Corp. | 2/12/2026 | &nbsp;&nbsp; 102501 |
| USD | &nbsp;&nbsp; 210634 | NZD | &nbsp;&nbsp; 357813 | State Street Corp. | 10/17/2025 | &nbsp;&nbsp; 3076 |
| USD | &nbsp;&nbsp; 404547 | SGD | &nbsp;&nbsp; 512722 | State Street Corp. | 2/12/2026 | &nbsp;&nbsp; 3250 |
| USD | &nbsp;&nbsp; 1607518 | THB | &nbsp;&nbsp; 52067503 | Barclays Bank PLC | 10/17/2025 | &nbsp;&nbsp; 14656 |
|  |  |  |  |  |  | &nbsp;&nbsp; $1569406 |
| **Liability Derivatives** | **Liability Derivatives** | **Liability Derivatives** | **Liability Derivatives** | **Liability Derivatives** | **Liability Derivatives** | **Liability Derivatives** |
| AUD | &nbsp;&nbsp; 159891 | USD | &nbsp;&nbsp; 106700 | Barclays Bank PLC | 10/17/2025 | &nbsp;&nbsp; $(877)<br>|
| CAD | &nbsp;&nbsp; 141506 | USD | &nbsp;&nbsp; 103457 | BNP Paribas | 10/17/2025 | &nbsp;&nbsp; (1700)<br>|
| CAD | &nbsp;&nbsp; 145360 | USD | &nbsp;&nbsp; 105909 | Goldman Sachs International | 10/17/2025 | &nbsp;&nbsp; (1381)<br>|
| CAD | &nbsp;&nbsp; 2263495 | USD | &nbsp;&nbsp; 1662589 | Merrill Lynch International | 10/17/2025 | &nbsp;&nbsp; (34914)<br>|
| CAD | &nbsp;&nbsp; 2435965 | USD | &nbsp;&nbsp; 1784237 | UBS AG | 10/17/2025 | &nbsp;&nbsp; (32539)<br>|
| CHF | &nbsp;&nbsp; 186427 | USD | &nbsp;&nbsp; 237298 | Citibank N.A. | 10/17/2025 | &nbsp;&nbsp; (2682)<br>|
| CHF | &nbsp;&nbsp; 378357 | USD | &nbsp;&nbsp; 480604 | Deutsche Bank AG | 10/17/2025 | &nbsp;&nbsp; (4447)<br>|
| CHF | &nbsp;&nbsp; 161657 | USD | &nbsp;&nbsp; 205328 | HSBC Bank | 10/17/2025 | &nbsp;&nbsp; (1886)<br>|
| CLP | &nbsp;&nbsp; 128237688 | USD | &nbsp;&nbsp; 135200 | Barclays Bank PLC | 10/10/2025 | &nbsp;&nbsp; (1812)<br>|
| CLP | &nbsp;&nbsp; 737067358 | USD | &nbsp;&nbsp; 775045 | Citibank N.A. | 10/10/2025 | &nbsp;&nbsp; (8373)<br>|
| CNH | &nbsp;&nbsp; 4824306 | USD | &nbsp;&nbsp; 679940 | Citibank N.A. | 10/17/2025 | &nbsp;&nbsp; (2777)<br>|
| CNH | &nbsp;&nbsp; 4084595 | USD | &nbsp;&nbsp; 575351 | HSBC Bank | 10/17/2025 | &nbsp;&nbsp; (2018)<br>|
| CNH | &nbsp;&nbsp; 5638205 | USD | &nbsp;&nbsp; 793302 | State Street Corp. | 10/17/2025 | &nbsp;&nbsp; (1896)<br>|
| CNY | &nbsp;&nbsp; 2983000 | USD | &nbsp;&nbsp; 422551 | Citibank N.A. | 2/12/2026 | &nbsp;&nbsp; (528)<br>|
| DKK | &nbsp;&nbsp; 3062524 | USD | &nbsp;&nbsp; 482766 | State Street Corp. | 10/17/2025 | &nbsp;&nbsp; (579)<br>|
| EUR | &nbsp;&nbsp; 1082149 | USD | &nbsp;&nbsp; 1271992 | Citibank N.A. | 10/17/2025 | &nbsp;&nbsp; (333)<br>|
| EUR | &nbsp;&nbsp; 100969 | USD | &nbsp;&nbsp; 118820 | Deutsche Bank AG | 10/17/2025 | &nbsp;&nbsp; (168)<br>|
| EUR | &nbsp;&nbsp; 825909 | USD | &nbsp;&nbsp; 972609 | HSBC Bank | 10/17/2025 | &nbsp;&nbsp; (2063)<br>|
| EUR | &nbsp;&nbsp; 6680000 | USD | &nbsp;&nbsp; 7905777 | Merrill Lynch International | 2/12/2026 | &nbsp;&nbsp; (6035)<br>|
| EUR | &nbsp;&nbsp; 971840 | USD | &nbsp;&nbsp; 1143204 | Merrill Lynch International | 10/17/2025 | &nbsp;&nbsp; (1172)<br>|
| EUR | &nbsp;&nbsp; 562358 | USD | &nbsp;&nbsp; 663933 | State Street Corp. | 10/17/2025 | &nbsp;&nbsp; (3093)<br>|
| GBP | &nbsp;&nbsp; 46733 | USD | &nbsp;&nbsp; 63364 | Citibank N.A. | 10/17/2025 | &nbsp;&nbsp; (507)<br>|
| GBP | &nbsp;&nbsp; 437982 | USD | &nbsp;&nbsp; 593519 | HSBC Bank | 10/17/2025 | &nbsp;&nbsp; (4428)<br>|
| GBP | &nbsp;&nbsp; 783259 | USD | &nbsp;&nbsp; 1066621 | JPMorgan Chase Bank N.A. | 10/17/2025 | &nbsp;&nbsp; (13126)<br>|

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Forward Foreign Currency Exchange Contracts - continued**  | **Forward Foreign Currency Exchange Contracts - continued**  | **Forward Foreign Currency Exchange Contracts - continued**  | **Forward Foreign Currency Exchange Contracts - continued**  | **Forward Foreign Currency Exchange Contracts - continued**  | **Forward Foreign Currency Exchange Contracts - continued**  | **Forward Foreign Currency Exchange Contracts - continued**  |
| **Currency**<br> **Purchased** | **Currency**<br> **Purchased** | &nbsp;&nbsp; **Currency**<br> **Sold** | &nbsp;&nbsp; **Currency**<br> **Sold** | **Counterparty** | &nbsp;&nbsp; **Settlement**<br> **Date**<br>| **Unrealized**<br> **Appreciation**<br> **(Depreciation)**<br>|
| **Liability Derivatives - continued** | **Liability Derivatives - continued** | **Liability Derivatives - continued** | **Liability Derivatives - continued** | **Liability Derivatives - continued** | **Liability Derivatives - continued** | **Liability Derivatives - continued** |
| GBP | &nbsp;&nbsp; 360688 | USD | &nbsp;&nbsp; 486765 | Merrill Lynch International | 10/17/2025 | &nbsp;&nbsp; $(1634)<br>|
| GBP | &nbsp;&nbsp; 1200000 | USD | &nbsp;&nbsp; 1616367 | Morgan Stanley Capital Services LLC | 2/12/2026 | &nbsp;&nbsp; (2796)<br>|
| GBP | &nbsp;&nbsp; 232246 | USD | &nbsp;&nbsp; 314084 | State Street Corp. | 10/17/2025 | &nbsp;&nbsp; (1709)<br>|
| IDR | &nbsp;&nbsp; 3555179234 | USD | &nbsp;&nbsp; 216247 | Barclays Bank PLC | 10/31/2025 | &nbsp;&nbsp; (2966)<br>|
| IDR | &nbsp;&nbsp; 23090930618 | USD | &nbsp;&nbsp; 1425278 | Citibank N.A. | 10/31/2025 | &nbsp;&nbsp; (40020)<br>|
| ILS | &nbsp;&nbsp; 1037395 | USD | &nbsp;&nbsp; 314188 | Citibank N.A. | 10/20/2025 | &nbsp;&nbsp; (988)<br>|
| JPY | &nbsp;&nbsp; 355508005 | USD | &nbsp;&nbsp; 2436470 | HSBC Bank | 10/17/2025 | &nbsp;&nbsp; (28717)<br>|
| JPY | &nbsp;&nbsp; 391790000 | USD | &nbsp;&nbsp; 2708879 | JPMorgan Chase Bank N.A. | 2/12/2026 | &nbsp;&nbsp; (25272)<br>|
| JPY | &nbsp;&nbsp; 627680127 | USD | &nbsp;&nbsp; 4301598 | JPMorgan Chase Bank N.A. | 10/17/2025 | &nbsp;&nbsp; (50501)<br>|
| JPY | &nbsp;&nbsp; 150385677 | USD | &nbsp;&nbsp; 1028692 | Morgan Stanley Capital Services LLC | 10/17/2025 | &nbsp;&nbsp; (10173)<br>|
| JPY | &nbsp;&nbsp; 469893992 | USD | &nbsp;&nbsp; 3203436 | State Street Corp. | 10/17/2025 | &nbsp;&nbsp; (20979)<br>|
| MYR | &nbsp;&nbsp; 178596 | USD | &nbsp;&nbsp; 42513 | Barclays Bank PLC | 10/10/2025 | &nbsp;&nbsp; (62)<br>|
| NOK | &nbsp;&nbsp; 4616791 | USD | &nbsp;&nbsp; 467457 | Citibank N.A. | 10/17/2025 | &nbsp;&nbsp; (4784)<br>|
| NOK | &nbsp;&nbsp; 5239441 | USD | &nbsp;&nbsp; 530299 | State Street Corp. | 10/17/2025 | &nbsp;&nbsp; (5228)<br>|
| NZD | &nbsp;&nbsp; 788600 | USD | &nbsp;&nbsp; 470140 | Barclays Bank PLC | 10/17/2025 | &nbsp;&nbsp; (12693)<br>|
| NZD | &nbsp;&nbsp; 1812307 | USD | &nbsp;&nbsp; 1087927 | State Street Corp. | 10/17/2025 | &nbsp;&nbsp; (36654)<br>|
| SEK | &nbsp;&nbsp; 39158000 | USD | &nbsp;&nbsp; 4198753 | Citibank N.A. | 2/12/2026 | &nbsp;&nbsp; (6556)<br>|
| SGD | &nbsp;&nbsp; 610071 | USD | &nbsp;&nbsp; 477877 | Barclays Bank PLC | 10/17/2025 | &nbsp;&nbsp; (4361)<br>|
| THB | &nbsp;&nbsp; 1493664 | USD | &nbsp;&nbsp; 46399 | Barclays Bank PLC | 10/17/2025 | &nbsp;&nbsp; (705)<br>|
| THB | &nbsp;&nbsp; 79402429 | USD | &nbsp;&nbsp; 2451469 | JPMorgan Chase Bank N.A. | 10/17/2025 | &nbsp;&nbsp; (22371)<br>|
| USD | &nbsp;&nbsp; 3994169 | AUD | &nbsp;&nbsp; 6135767 | HSBC Bank | 2/12/2026 | &nbsp;&nbsp; (70958)<br>|
| USD | &nbsp;&nbsp; 34338 | AUD | &nbsp;&nbsp; 52525 | HSBC Bank | 10/17/2025 | &nbsp;&nbsp; (426)<br>|
| USD | &nbsp;&nbsp; 4657052 | AUD | &nbsp;&nbsp; 7133888 | State Street Corp. | 10/17/2025 | &nbsp;&nbsp; (64482)<br>|
| USD | &nbsp;&nbsp; 2407246 | AUD | &nbsp;&nbsp; 3691426 | UBS AG | 10/17/2025 | &nbsp;&nbsp; (35910)<br>|
| USD | &nbsp;&nbsp; 774828 | BRL | &nbsp;&nbsp; 4217309 | Barclays Bank PLC | 11/28/2025 | &nbsp;&nbsp; (6973)<br>|
| USD | &nbsp;&nbsp; 26369 | CAD | &nbsp;&nbsp; 36682 | Barclays Bank PLC | 10/17/2025 | &nbsp;&nbsp; (9)<br>|
| USD | &nbsp;&nbsp; 1692541 | CAD | &nbsp;&nbsp; 2356738 | State Street Corp. | 10/17/2025 | &nbsp;&nbsp; (2185)<br>|
| USD | &nbsp;&nbsp; 13909383 | CHF | &nbsp;&nbsp; 10990692 | HSBC Bank | 2/12/2026 | &nbsp;&nbsp; (106868)<br>|
| USD | &nbsp;&nbsp; 551952 | CLP | &nbsp;&nbsp; 537920137 | Citibank N.A. | 10/10/2025 | &nbsp;&nbsp; (7575)<br>|
| USD | &nbsp;&nbsp; 887691 | CNH | &nbsp;&nbsp; 6349240 | Merrill Lynch International | 10/17/2025 | &nbsp;&nbsp; (3519)<br>|
| USD | &nbsp;&nbsp; 18475328 | CNY | &nbsp;&nbsp; 130880675 | Citibank N.A. | 2/12/2026 | &nbsp;&nbsp; (41141)<br>|
| USD | &nbsp;&nbsp; 289676 | COP | &nbsp;&nbsp; 1186566177 | Barclays Bank PLC | 10/09/2025 | &nbsp;&nbsp; (12695)<br>|
| USD | &nbsp;&nbsp; 279937 | COP | &nbsp;&nbsp; 1149784960 | Citibank N.A. | 2/12/2026 | &nbsp;&nbsp; (7968)<br>|
| USD | &nbsp;&nbsp; 534702 | CZK | &nbsp;&nbsp; 11219692 | Citibank N.A. | 10/17/2025 | &nbsp;&nbsp; (6597)<br>|
| USD | &nbsp;&nbsp; 375575 | CZK | &nbsp;&nbsp; 7843822 | Morgan Stanley Capital Services LLC | 2/12/2026 | &nbsp;&nbsp; (3815)<br>|
| USD | &nbsp;&nbsp; 521962 | DKK | &nbsp;&nbsp; 3297301 | State Street Corp. | 2/12/2026 | &nbsp;&nbsp; (1097)<br>|
| USD | &nbsp;&nbsp; 428939 | EUR | &nbsp;&nbsp; 365810 | Barclays Bank PLC | 10/17/2025 | &nbsp;&nbsp; (933)<br>|
| USD | &nbsp;&nbsp; 210195 | EUR | &nbsp;&nbsp; 180192 | BNP Paribas | 10/17/2025 | &nbsp;&nbsp; (1554)<br>|
| USD | &nbsp;&nbsp; 279642 | EUR | &nbsp;&nbsp; 238668 | Citibank N.A. | 10/17/2025 | &nbsp;&nbsp; (822)<br>|
| USD | &nbsp;&nbsp; 56647 | EUR | &nbsp;&nbsp; 48370 | Deutsche Bank AG | 10/17/2025 | &nbsp;&nbsp; (194)<br>|
| USD | &nbsp;&nbsp; 1072065 | EUR | &nbsp;&nbsp; 918263 | Goldman Sachs International | 10/17/2025 | &nbsp;&nbsp; (7009)<br>|
| USD | &nbsp;&nbsp; 23564148 | EUR | &nbsp;&nbsp; 20000000 | HSBC Bank | 2/12/2026 | &nbsp;&nbsp; (87774)<br>|
| USD | &nbsp;&nbsp; 5680796 | EUR | &nbsp;&nbsp; 4861924 | HSBC Bank | 10/17/2025 | &nbsp;&nbsp; (32567)<br>|
| USD | &nbsp;&nbsp; 159564 | EUR | &nbsp;&nbsp; 138976 | JPMorgan Chase Bank N.A. | 10/17/2025 | &nbsp;&nbsp; (3751)<br>|
| USD | &nbsp;&nbsp; 221161 | EUR | &nbsp;&nbsp; 189552 | Merrill Lynch International | 10/17/2025 | &nbsp;&nbsp; (1586)<br>|
| USD | &nbsp;&nbsp; 31786173 | EUR | &nbsp;&nbsp; 26978800 | State Street Corp. | 2/12/2026 | &nbsp;&nbsp; (118850)<br>|
| USD | &nbsp;&nbsp; 1725035 | EUR | &nbsp;&nbsp; 1474243 | State Street Corp. | 10/17/2025 | &nbsp;&nbsp; (7388)<br>|
| USD | &nbsp;&nbsp; 208871 | EUR | &nbsp;&nbsp; 178000 | UBS AG | 10/17/2025 | &nbsp;&nbsp; (301)<br>|
| USD | &nbsp;&nbsp; 63372 | GBP | &nbsp;&nbsp; 47942 | Citibank N.A. | 10/17/2025 | &nbsp;&nbsp; (1111)<br>|
| USD | &nbsp;&nbsp; 407252 | GBP | &nbsp;&nbsp; 304422 | JPMorgan Chase Bank N.A. | 10/17/2025 | &nbsp;&nbsp; (2200)<br>|
| USD | &nbsp;&nbsp; 841926 | GBP | &nbsp;&nbsp; 630733 | State Street Corp. | 10/17/2025 | &nbsp;&nbsp; (6418)<br>|
| USD | &nbsp;&nbsp; 396773 | GBP | &nbsp;&nbsp; 295272 | UBS AG | 10/17/2025 | &nbsp;&nbsp; (371)<br>|
| USD | &nbsp;&nbsp; 212328 | IDR | &nbsp;&nbsp; 3559890240 | Barclays Bank PLC | 10/31/2025 | &nbsp;&nbsp; (1235)<br>|
| USD | &nbsp;&nbsp; 506110 | IDR | &nbsp;&nbsp; 8510389442 | JPMorgan Chase Bank N.A. | 10/31/2025 | &nbsp;&nbsp; (4441)<br>|

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Forward Foreign Currency Exchange Contracts - continued**  | **Forward Foreign Currency Exchange Contracts - continued**  | **Forward Foreign Currency Exchange Contracts - continued**  | **Forward Foreign Currency Exchange Contracts - continued**  | **Forward Foreign Currency Exchange Contracts - continued**  | **Forward Foreign Currency Exchange Contracts - continued**  | **Forward Foreign Currency Exchange Contracts - continued**  |
| **Currency**<br> **Purchased** | **Currency**<br> **Purchased** | &nbsp;&nbsp; **Currency**<br> **Sold** | &nbsp;&nbsp; **Currency**<br> **Sold** | **Counterparty** | &nbsp;&nbsp; **Settlement**<br> **Date**<br>| **Unrealized**<br> **Appreciation**<br> **(Depreciation)**<br>|
| **Liability Derivatives - continued** | **Liability Derivatives - continued** | **Liability Derivatives - continued** | **Liability Derivatives - continued** | **Liability Derivatives - continued** | **Liability Derivatives - continued** | **Liability Derivatives - continued** |
| USD | &nbsp;&nbsp; 392424 | ILS | &nbsp;&nbsp; 1321342 | State Street Corp. | 2/12/2026 | &nbsp;&nbsp; $(6842)<br>|
| USD | &nbsp;&nbsp; 126134 | JPY | &nbsp;&nbsp; 18670620 | JPMorgan Chase Bank N.A. | 10/17/2025 | &nbsp;&nbsp; (317)<br>|
| USD | &nbsp;&nbsp; 619110 | MXN | &nbsp;&nbsp; 11854487 | State Street Corp. | 2/12/2026 | &nbsp;&nbsp; (19108)<br>|
| USD | &nbsp;&nbsp; 104402 | MXN | &nbsp;&nbsp; 1979617 | State Street Corp. | 10/17/2025 | &nbsp;&nbsp; (3522)<br>|
| USD | &nbsp;&nbsp; 761491 | NOK | &nbsp;&nbsp; 7683858 | BNP Paribas | 10/17/2025 | &nbsp;&nbsp; (8549)<br>|
| USD | &nbsp;&nbsp; 94919 | NOK | &nbsp;&nbsp; 981234 | Citibank N.A. | 10/17/2025 | &nbsp;&nbsp; (3415)<br>|
| USD | &nbsp;&nbsp; 512809 | NOK | &nbsp;&nbsp; 5171299 | Goldman Sachs International | 10/17/2025 | &nbsp;&nbsp; (5434)<br>|
| USD | &nbsp;&nbsp; 360505 | NOK | &nbsp;&nbsp; 3703259 | HSBC Bank | 10/17/2025 | &nbsp;&nbsp; (10618)<br>|
| USD | &nbsp;&nbsp; 504536 | NZD | &nbsp;&nbsp; 874139 | Citibank N.A. | 10/17/2025 | &nbsp;&nbsp; (2530)<br>|
| USD | &nbsp;&nbsp; 316513 | NZD | &nbsp;&nbsp; 548689 | Deutsche Bank AG | 10/17/2025 | &nbsp;&nbsp; (1768)<br>|
| USD | &nbsp;&nbsp; 126699 | PEN | &nbsp;&nbsp; 441901 | Goldman Sachs International | 10/21/2025 | &nbsp;&nbsp; (512)<br>|
| USD | &nbsp;&nbsp; 426401 | PLN | &nbsp;&nbsp; 1555778 | Goldman Sachs International | 2/12/2026 | &nbsp;&nbsp; (620)<br>|
| USD | &nbsp;&nbsp; 195532 | RON | &nbsp;&nbsp; 857000 | Deutsche Bank AG | 2/12/2026 | &nbsp;&nbsp; (828)<br>|
| USD | &nbsp;&nbsp; 5075438 | SEK | &nbsp;&nbsp; 48227000 | State Street Corp. | 2/12/2026 | &nbsp;&nbsp; (87672)<br>|
| USD | &nbsp;&nbsp; 318003 | SGD | &nbsp;&nbsp; 411070 | Barclays Bank PLC | 10/17/2025 | &nbsp;&nbsp; (1055)<br>|
| USD | &nbsp;&nbsp; 25772 | ZAR | &nbsp;&nbsp; 450347 | Barclays Bank PLC | 10/17/2025 | &nbsp;&nbsp; (278)<br>|
| USD | &nbsp;&nbsp; 1636522 | ZAR | &nbsp;&nbsp; 28458861 | State Street Corp. | 10/17/2025 | &nbsp;&nbsp; (9661)<br>|
|  |  |  |  |  |  | &nbsp;&nbsp; $(1221955)<br>|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Futures Contracts**  | **Futures Contracts**  | **Futures Contracts**  | **Futures Contracts**  | **Futures Contracts**  | **Futures Contracts**  | **Futures Contracts**  |
| **Description** | **Long/** <br>**Short**<br>| **Currency** | **Contracts** | &nbsp;&nbsp; **Notional** <br>**Amount**<br>| &nbsp;&nbsp; **Expiration** <br>**Date**<br>| **Value/Unrealized** <br>**Appreciation** <br>**(Depreciation)**<br>|
| **Asset Derivatives** | **Asset Derivatives** | **Asset Derivatives** | **Asset Derivatives** | **Asset Derivatives** | **Asset Derivatives** | **Asset Derivatives** |
| ***Equity Futures***  | ***Equity Futures***  | ***Equity Futures***  | ***Equity Futures***  | ***Equity Futures***  |  |  |
| CAC 40 Index | &nbsp;&nbsp; Short | &nbsp;&nbsp; EUR | &nbsp;&nbsp; 18 | $1668443 | October – 2025 | &nbsp;&nbsp; $3438 |
| FTSE 100 Index | &nbsp;&nbsp; Long | &nbsp;&nbsp; GBP | &nbsp;&nbsp; 5 | 632607 | December – 2025 | &nbsp;&nbsp; 4864 |
| FTSE Taiwan Index | &nbsp;&nbsp; Short | &nbsp;&nbsp; USD | &nbsp;&nbsp; 74 | 6329220 | October – 2025 | &nbsp;&nbsp; 68414 |
| Hang Seng Index | &nbsp;&nbsp; Long | &nbsp;&nbsp; HKD | &nbsp;&nbsp; 65 | 11239342 | October – 2025 | &nbsp;&nbsp; 291859 |
| IBEX 35 Index | &nbsp;&nbsp; Long | &nbsp;&nbsp; EUR | &nbsp;&nbsp; 29 | 5280116 | October – 2025 | &nbsp;&nbsp; 30540 |
| KOSPI 200 Index | &nbsp;&nbsp; Long | &nbsp;&nbsp; KRW | &nbsp;&nbsp; 116 | 9835466 | December – 2025 | &nbsp;&nbsp; 826638 |
| Mexbol Index | &nbsp;&nbsp; Long | &nbsp;&nbsp; MXN | &nbsp;&nbsp; 129 | 4472930 | December – 2025 | &nbsp;&nbsp; 72419 |
| NSE IFSC NIFTY 50 Index | &nbsp;&nbsp; Short | &nbsp;&nbsp; USD | &nbsp;&nbsp; 162 | 8022726 | October – 2025 | &nbsp;&nbsp; 193570 |
| S&P/ASX 200 Index | &nbsp;&nbsp; Short | &nbsp;&nbsp; AUD | &nbsp;&nbsp; 69 | 10127930 | December – 2025 | &nbsp;&nbsp; 37485 |
| S&P/TSX 60 Index | &nbsp;&nbsp; Long | &nbsp;&nbsp; CAD | &nbsp;&nbsp; 44 | 11209772 | December – 2025 | &nbsp;&nbsp; 263294 |
| Topix Index | &nbsp;&nbsp; Long | &nbsp;&nbsp; JPY | &nbsp;&nbsp; 16 | 3398316 | December – 2025 | &nbsp;&nbsp; 29093 |
|  |  |  |  |  |  | &nbsp;&nbsp; $1821614 |
| ***Interest Rate Futures***  | ***Interest Rate Futures***  | ***Interest Rate Futures***  | ***Interest Rate Futures***  | ***Interest Rate Futures***  |  |  |
| Canadian Treasury Bond 10 yr | &nbsp;&nbsp; Long | &nbsp;&nbsp; CAD | &nbsp;&nbsp; 101 | $8887303 | December – 2025 | &nbsp;&nbsp; $165338 |
| Canadian Treasury Bond 5 yr | &nbsp;&nbsp; Long | &nbsp;&nbsp; CAD | &nbsp;&nbsp; 42 | 3480233 | December – 2025 | &nbsp;&nbsp; 40498 |
| Euro-Bobl 5 yr | &nbsp;&nbsp; Long | &nbsp;&nbsp; EUR | &nbsp;&nbsp; 7 | 968204 | December – 2025 | &nbsp;&nbsp; 394 |
| Euro-Schatz 2 yr | &nbsp;&nbsp; Short | &nbsp;&nbsp; EUR | &nbsp;&nbsp; 81 | 10173595 | December – 2025 | &nbsp;&nbsp; 9630 |
| Japan Government Bond 10 yr | &nbsp;&nbsp; Short | &nbsp;&nbsp; JPY | &nbsp;&nbsp; 8 | 7345708 | December – 2025 | &nbsp;&nbsp; 57261 |
| Long Gilt 10 yr | &nbsp;&nbsp; Long | &nbsp;&nbsp; GBP | &nbsp;&nbsp; 87 | 10628848 | December – 2025 | &nbsp;&nbsp; 14055 |
| U.S. Treasury Bond 30 yr | &nbsp;&nbsp; Long | &nbsp;&nbsp; USD | &nbsp;&nbsp; 26 | 3031438 | December – 2025 | &nbsp;&nbsp; 31668 |
| U.S. Treasury Note 2 yr | &nbsp;&nbsp; Long | &nbsp;&nbsp; USD | &nbsp;&nbsp; 65 | 13545899 | December – 2025 | &nbsp;&nbsp; 5508 |
|  |  |  |  |  |  | &nbsp;&nbsp; $324352 |
|  |  |  |  |  |  | &nbsp;&nbsp; $2145966 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Futures Contracts - continued**  | **Futures Contracts - continued**  | **Futures Contracts - continued**  | **Futures Contracts - continued**  | **Futures Contracts - continued**  | **Futures Contracts - continued**  | **Futures Contracts - continued**  |
| **Description** | **Long/**<br> **Short**<br>| **Currency** | **Contracts** | &nbsp;&nbsp; **Notional**<br> **Amount**<br>| &nbsp;&nbsp; **Expiration**<br> **Date**<br>| **Value/Unrealized**<br> **Appreciation**<br> **(Depreciation)**<br>|
| **Liability Derivatives** | **Liability Derivatives** | **Liability Derivatives** | **Liability Derivatives** | **Liability Derivatives** | **Liability Derivatives** | **Liability Derivatives** |
| ***Equity Futures***  | ***Equity Futures***  | ***Equity Futures***  | ***Equity Futures***  | ***Equity Futures***  |  |  |
| BIST 30 Index | &nbsp;&nbsp; Long | &nbsp;&nbsp; TRY | &nbsp;&nbsp; 1925 | $5785105 | October – 2025 | &nbsp;&nbsp; $(414271)<br>|
| FTSE MIB Index | &nbsp;&nbsp; Long | &nbsp;&nbsp; EUR | &nbsp;&nbsp; 14 | 3492308 | December – 2025 | &nbsp;&nbsp; (20026)<br>|
| FTSE/JSE Top 40 Index | &nbsp;&nbsp; Short | &nbsp;&nbsp; ZAR | &nbsp;&nbsp; 7 | 414066 | December – 2025 | &nbsp;&nbsp; (16505)<br>|
| Mini Ibovespa | &nbsp;&nbsp; Short | &nbsp;&nbsp; BRL | &nbsp;&nbsp; 193 | 1067091 | October – 2025 | &nbsp;&nbsp; (72390)<br>|
| MSCI Singapore Index | &nbsp;&nbsp; Long | &nbsp;&nbsp; SGD | &nbsp;&nbsp; 175 | 6068937 | October – 2025 | &nbsp;&nbsp; (85852)<br>|
| OMX 30 Index | &nbsp;&nbsp; Short | &nbsp;&nbsp; SEK | &nbsp;&nbsp; 204 | 5774771 | October – 2025 | &nbsp;&nbsp; (47819)<br>|
| Russell 2000 Index | &nbsp;&nbsp; Short | &nbsp;&nbsp; USD | &nbsp;&nbsp; 91 | 11172525 | December – 2025 | &nbsp;&nbsp; (64609)<br>|
| S&P 500 E-Mini Index | &nbsp;&nbsp; Short | &nbsp;&nbsp; USD | &nbsp;&nbsp; 17 | 5727938 | December – 2025 | &nbsp;&nbsp; (76811)<br>|
|  |  |  |  |  |  | &nbsp;&nbsp; $(798283)<br>|
| ***Interest Rate Futures***  | ***Interest Rate Futures***  | ***Interest Rate Futures***  | ***Interest Rate Futures***  | ***Interest Rate Futures***  |  |  |
| Australian Bond 10 yr  | &nbsp;&nbsp; Long | &nbsp;&nbsp; AUD | &nbsp;&nbsp; 195 | $14625932 | December – 2025 | &nbsp;&nbsp; $(46539)<br>|
| Euro-Bund 10 yr | &nbsp;&nbsp; Short | &nbsp;&nbsp; EUR | &nbsp;&nbsp; 216 | 32604702 | December – 2025 | &nbsp;&nbsp; (33966)<br>|
| Euro-Buxl 30 yr | &nbsp;&nbsp; Short | &nbsp;&nbsp; EUR | &nbsp;&nbsp; 7 | 940837 | December – 2025 | &nbsp;&nbsp; (23357)<br>|
| U.S. Treasury Note 10 yr | &nbsp;&nbsp; Short | &nbsp;&nbsp; USD | &nbsp;&nbsp; 118 | 13275000 | December – 2025 | &nbsp;&nbsp; (52059)<br>|
| U.S. Treasury Note 5 yr | &nbsp;&nbsp; Long | &nbsp;&nbsp; USD | &nbsp;&nbsp; 50 | 5459766 | December – 2025 | &nbsp;&nbsp; (25989)<br>|
| U.S. Treasury Ultra Bond 30 yr | &nbsp;&nbsp; Short | &nbsp;&nbsp; USD | &nbsp;&nbsp; 3 | 360188 | December – 2025 | &nbsp;&nbsp; (7137)<br>|
| U.S. Treasury Ultra Note 10 yr | &nbsp;&nbsp; Short | &nbsp;&nbsp; USD | &nbsp;&nbsp; 75 | 8630859 | December – 2025 | &nbsp;&nbsp; (43984)<br>|
|  |  |  |  |  |  | &nbsp;&nbsp; $(233031)<br>|
|  |  |  |  |  |  | &nbsp;&nbsp; $(1031314)<br>|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Cleared Swap Agreements**  | **Cleared Swap Agreements**  | **Cleared Swap Agreements**  | **Cleared Swap Agreements**  | **Cleared Swap Agreements**  | **Cleared Swap Agreements**  | **Cleared Swap Agreements**  | **Cleared Swap Agreements**  | **Cleared Swap Agreements**  |
| **Maturity** <br>**Date** | **Maturity** <br>**Date** | &nbsp;&nbsp; **Notional** <br>**Amount**<br>| **Counterparty** | &nbsp;&nbsp; **Cash Flows** <br>**to Receive/** <br>**Frequency**<br>| &nbsp;&nbsp; **Cash Flows** <br>**to Pay/** <br>**Frequency**<br>| **Unrealized** <br>**Appreciation** <br>**(Depreciation)**<br>| **Net Unamortized** <br>**Upfront Payments** <br>**(Receipts)**<br>| **Value** |
| **Asset Derivatives** | **Asset Derivatives** | **Asset Derivatives** | **Asset Derivatives** | **Asset Derivatives** | **Asset Derivatives** |  |  |  |
| ***Inflation Swaps***  | ***Inflation Swaps***  | ***Inflation Swaps***  | ***Inflation Swaps***  | ***Inflation Swaps***  | ***Inflation Swaps***  |  |  |  |
| 6/17/27 | USD | 5600000  |  | CPI-U / At Maturity  | 2.745% / At Maturity  | &nbsp;&nbsp; $19218 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $19218 |
| 1/10/30 | USD | 7200000  |  | CPI-U / At Maturity  | 2.523% / At Maturity  | &nbsp;&nbsp; 57783 | &nbsp;&nbsp; — | &nbsp;&nbsp; 57783 |
| 3/13/30 | USD | 2400000  |  | CPI-U / At Maturity  | 2.463% / At Maturity  | &nbsp;&nbsp; 27272 | &nbsp;&nbsp; — | &nbsp;&nbsp; 27272 |
| 6/15/30 | EUR | 1900000  |  | HICP / At Maturity  | 1.831% / At Maturity  | &nbsp;&nbsp; 6157 | &nbsp;&nbsp; — | &nbsp;&nbsp; 6157 |
|  |  |  |  |  |  | &nbsp;&nbsp; $110430 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $110430 |
| ***Interest Rate Swaps***  | ***Interest Rate Swaps***  | ***Interest Rate Swaps***  | ***Interest Rate Swaps***  | ***Interest Rate Swaps***  | ***Interest Rate Swaps***  |  |  |  |
| 11/18/29 | CNY | 33500000  |  | 1.645% / Quarterly  | CFRR / Quarterly  | &nbsp;&nbsp; $4701 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $4701 |
| 12/19/35 | USD | 24800000  |  | &nbsp;&nbsp; 1-day SOFR / <br> Annually <br>| 3.509% / Annually  | &nbsp;&nbsp; 316111 | &nbsp;&nbsp; (4428)<br>| &nbsp;&nbsp; 311683 |
| 12/15/55 | USD | 11900000  |  | &nbsp;&nbsp; 1-day SOFR / <br> Annually <br>| 3.82% / Annually  | &nbsp;&nbsp; 220239 | &nbsp;&nbsp; 1567 | &nbsp;&nbsp; 221806 |
|  |  |  |  |  |  | &nbsp;&nbsp; $541051 | &nbsp;&nbsp; $(2861)<br>| &nbsp;&nbsp; $538190 |
|  |  |  |  |  |  | &nbsp;&nbsp; $651481 | &nbsp;&nbsp; $(2861)<br>| &nbsp;&nbsp; $648620 |
| **Liability Derivatives** | **Liability Derivatives** | **Liability Derivatives** | **Liability Derivatives** | **Liability Derivatives** | **Liability Derivatives** |  |  |  |
| ***Interest Rate Swaps***  | ***Interest Rate Swaps***  | ***Interest Rate Swaps***  | ***Interest Rate Swaps***  | ***Interest Rate Swaps***  | ***Interest Rate Swaps***  |  |  |  |
| 12/15/27 | USD | 107700000  |  | 3.153% / Annually  | &nbsp;&nbsp; 1-day SOFR / <br> Annually <br>| &nbsp;&nbsp; $(301159)<br>| &nbsp;&nbsp; $(1830)<br>| &nbsp;&nbsp; $(302989)<br>|
| 12/13/29 | CNY | 20400000  |  | 1.49% / Quarterly  | CFRR / Quarterly  | &nbsp;&nbsp; (15350)<br>| &nbsp;&nbsp; 38 | &nbsp;&nbsp; (15312)<br>|

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Cleared Swap Agreements - continued**  | **Cleared Swap Agreements - continued**  | **Cleared Swap Agreements - continued**  | **Cleared Swap Agreements - continued**  | **Cleared Swap Agreements - continued**  | **Cleared Swap Agreements - continued**  | **Cleared Swap Agreements - continued**  | **Cleared Swap Agreements - continued**  | **Cleared Swap Agreements - continued**  |
| **Maturity**<br> **Date** | **Maturity**<br> **Date** | &nbsp;&nbsp; **Notional**<br> **Amount**<br>| **Counterparty** | &nbsp;&nbsp; **Cash Flows**<br> **to Receive/**<br> **Frequency**<br>| &nbsp;&nbsp; **Cash Flows**<br> **to Pay/**<br> **Frequency**<br>| **Unrealized**<br> **Appreciation**<br> **(Depreciation)**<br>| **Net Unamortized**<br> **Upfront Payments**<br> **(Receipts)**<br>| **Value** |
| **Liability Derivatives - continued** | **Liability Derivatives - continued** | **Liability Derivatives - continued** | **Liability Derivatives - continued** | **Liability Derivatives - continued** | **Liability Derivatives - continued** |  |  |  |
| ***Interest Rate Swaps - continued*** | ***Interest Rate Swaps - continued*** | ***Interest Rate Swaps - continued*** | ***Interest Rate Swaps - continued*** | ***Interest Rate Swaps - continued*** | ***Interest Rate Swaps - continued*** |  |  |  |
| 12/18/30 | USD | 45300000  |  | 3.196% / Annually  | &nbsp;&nbsp; 1-day SOFR / <br> Annually <br>| &nbsp;&nbsp; $(361915)<br>| &nbsp;&nbsp; $5105 | &nbsp;&nbsp; $(356810)<br>|
|  |  |  |  |  |  | &nbsp;&nbsp; $(678424)<br>| &nbsp;&nbsp; $3313 | &nbsp;&nbsp; $(675111)<br>|

---

At September 30, 2025, the fund had cash collateral of $239,612 and other liquid securities with an aggregate value of $20,844,126 to cover any collateral or margin obligations for certain derivative contracts.

See attached supplemental information. For more information see notes to financial statements as disclosed in the most recent semiannual or annual report.

------

**Supplemental Information**

9/30/25 (unaudited)

The fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial

Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies.

**(1) Investment Valuations**

Subject to its oversight, the fund's Board of Trustees has delegated primary responsibility for determining or causing to be determined the value of the fund's investments to MFS as the fund's adviser, pursuant to the fund's valuation policy and procedures which have been adopted by the adviser and approved by the Board. In accordance with Rule 2a-5 under the Investment Company Act of 1940, the Board of Trustees designated the adviser as the "valuation designee" of the fund. If the adviser, as valuation designee, determines that reliable market quotations are not readily available for an investment, the investment is valued at fair value as determined in good faith by the adviser in accordance with the adviser's fair valuation policy and procedures.

Under the fund's valuation policy and procedures, equity securities, including restricted equity securities, are generally valued at the last sale or official closing price on their primary market or exchange as provided by a third-party pricing service. Equity securities, for which there were no sales reported that day, are generally valued at the last quoted daily bid quotation on their primary market or exchange as provided

by a third-party pricing service. Debt instruments and floating rate loans, including restricted debt instruments, are generally valued at an

evaluated or composite bid as provided by a third-party pricing service. Short-term instruments with a maturity at issuance of 60 days or less

may be valued at amortized cost, which approximates market value. Exchange-traded options are generally valued at the last sale or official closing price on their primary exchange as provided by a third-party pricing service. Exchange-traded options for which there were no sales reported that day are generally valued at the last daily bid quotation on their primary exchange as provided by a third-party pricing service. For put options, the position may be valued at the last daily ask quotation if there are no trades reported during the day. Options not traded on an exchange are generally valued at a broker/dealer bid quotation. Foreign currency options are generally valued at valuations provided

by a third-party pricing service. Futures contracts are generally valued at last posted settlement price on their primary exchange as provided by a third-party pricing service. Futures contracts for which there were no trades that day for a particular position are generally valued at the

closing bid quotation on their primary exchange as provided by a third-party pricing service. Forward foreign currency exchange contracts are generally valued at the mean of bid and asked prices for the time period interpolated from rates provided by a third-party pricing service for

proximate time periods. Swap agreements are generally valued using valuations provided by a third-party pricing service, which for cleared

swaps includes an evaluation of any trading activity at the clearinghouses. Open-end investment companies are generally valued at net asset

value per share. The values of foreign securities and other assets and liabilities expressed in foreign currencies are converted to U.S. dollars using the mean of bid and asked prices for rates provided by a third-party pricing service.

Under the fund's valuation policy and procedures, market quotations are not considered to be readily available for debt instruments, floating rate loans, and many types of derivatives. These investments are generally valued at fair value based on information from third-party pricing services or otherwise determined by the adviser in accordance with the adviser's fair valuation policy and procedures. Securities and other assets generally valued on the basis of information from a third-party pricing service may also be valued at a broker/dealer bid quotation. In determining values, third-party pricing services can utilize both transaction data and market information such as yield, quality, coupon rate, maturity, type of issue, trading characteristics, spreads and other market data. Pricing services generally value debt instruments assuming orderly transactions of institutional round lot sizes, but a fund may hold or transact in such securities in smaller, odd lot sizes. In instances where a fund holds an odd lot size position in a debt instrument, such position will typically be valued using the pricing agent's institutional round lot price for the debt instrument. Odd lots may trade at lower prices than institutional round lots, and the fund may receive different prices when it sells odd lot positions than it would receive for sales of institutional round lot positions. An investment may also be valued at fair value if the adviser determines that the investment's value has been materially affected by events occurring after the close of the exchange or market on which the investment is principally traded (such as foreign exchange or market) and prior to the determination of the fund's net asset value, or after the halt of trading of a specific security where trading does not resume prior to the close of the exchange or market on which the security is principally traded. Events that occur after foreign markets close (such as developments in foreign markets and significant movements in the U.S. markets) and prior to the determination of the fund's net asset value may be deemed to have a material effect on the value of securities traded in foreign markets. Accordingly, the fund's foreign equity securities may often be valued at fair value. The adviser generally relies on third-party pricing services or other information (such as the correlation with price movements of similar securities in the same or other markets; the type, cost and investment characteristics of the security; the business and financial condition of the issuer; and trading and other market data) to assist in determining whether to fair value and at what value to fair value an investment. The value of an investment for purposes of calculating the fund's net asset value can differ depending on the source and method used to determine value. When fair valuation is used, the value of an investment used to determine the fund's net asset value may differ from quoted or published prices for the same investment. There can be no assurance that the fund could obtain the fair value assigned

to an investment if it were to sell the investment at the same time at which the fund determines its net asset value per share.

Various inputs are used in determining the value of the fund's assets or liabilities. These inputs are categorized into three broad levels. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment's level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The fund's assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. Level 1 includes unadjusted quoted prices in active markets for identical assets or liabilities. Level 2 includes other significant observable market-based inputs (including quoted prices for similar securities, interest rates, prepayment speed, and credit risk).

------

*Supplemental Information (unaudited) – continued*

Level 3 includes significant unobservable inputs, which may include the adviser's own assumptions in determining the fair value of investments. Other financial instruments are derivative instruments, such as futures contracts, forward foreign currency exchange contracts, and swap agreements. The following is a summary of the levels used as of September 30, 2025 in valuing the fund's assets and liabilities:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Financial Instruments** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| Equity Securities: |  |  |  |  |
| &nbsp;&nbsp;&nbsp; United States | &nbsp;&nbsp;&nbsp; $62633891 | &nbsp;&nbsp;&nbsp; $89300 | &nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp; $62723191 |
| &nbsp;&nbsp;&nbsp; United Kingdom | &nbsp;&nbsp;&nbsp; 6890869 | &nbsp;&nbsp;&nbsp; 4484906 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 11375775 |
| &nbsp;&nbsp;&nbsp; France | &nbsp;&nbsp;&nbsp; 1390658 | &nbsp;&nbsp;&nbsp; 8800761 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 10191419 |
| &nbsp;&nbsp;&nbsp; Japan | &nbsp;&nbsp;&nbsp; 8397276 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 8397276 |
| &nbsp;&nbsp;&nbsp; Switzerland | &nbsp;&nbsp;&nbsp; 230670 | &nbsp;&nbsp;&nbsp; 6131539 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 6362209 |
| &nbsp;&nbsp;&nbsp; China | &nbsp;&nbsp;&nbsp; 2789835 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 2789835 |
| &nbsp;&nbsp;&nbsp; Germany | &nbsp;&nbsp;&nbsp; 1031009 | &nbsp;&nbsp;&nbsp; 1646195 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 2677204 |
| &nbsp;&nbsp;&nbsp; Netherlands | &nbsp;&nbsp;&nbsp; 1354731 | &nbsp;&nbsp;&nbsp; 1145449 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 2500180 |
| &nbsp;&nbsp;&nbsp; Canada | &nbsp;&nbsp;&nbsp; 1957174 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 1957174 |
| &nbsp;&nbsp;&nbsp; Other Countries | &nbsp;&nbsp;&nbsp; 7264253 | &nbsp;&nbsp;&nbsp; 2033342 | &nbsp;&nbsp;&nbsp; 0 | &nbsp;&nbsp;&nbsp; 9297595 |
| U.S. Treasury Bonds & U.S. Government Agencies & Equivalents | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 7687056 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 7687056 |
| Non - U.S. Sovereign Debt | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 92919072 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 92919072 |
| Municipal Bonds | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 2294823 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 2294823 |
| U.S. Corporate Bonds | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 35617499 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 35617499 |
| Residential Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 24399455 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 24399455 |
| Commercial Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 4820511 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 4820511 |
| Asset-Backed Securities (including CDOs) | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 5180453 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 5180453 |
| Foreign Bonds | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 34312921 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 34312921 |
| Investment Companies | &nbsp;&nbsp;&nbsp; 16664091 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 16664091 |
| Total | &nbsp;&nbsp;&nbsp; $110604457 | &nbsp;&nbsp;&nbsp; $231563282 | &nbsp;&nbsp;&nbsp; $0 | &nbsp;&nbsp;&nbsp; $342167739 |
| **Other Financial Instruments** |  |  |  |  |
| Futures Contracts – Assets | &nbsp;&nbsp;&nbsp; $2107124 | &nbsp;&nbsp;&nbsp; $38842 | &nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp; $2145966 |
| Futures Contracts – Liabilities | &nbsp;&nbsp;&nbsp; (946964)<br>| &nbsp;&nbsp;&nbsp; (84350)<br>| &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (1031314)<br>|
| Forward Foreign Currency Exchange Contracts – Assets | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 1569406 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 1569406 |
| Forward Foreign Currency Exchange Contracts – Liabilities | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (1221955)<br>| &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (1221955)<br>|
| Swap Agreements – Assets | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 648620 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 648620 |
| Swap Agreements – Liabilities | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (675111)<br>| &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (675111)<br>|

---

For further information regarding security characteristics, see the Portfolio of Investments. At September 30, 2025, the fund held one level 3

security valued at $0, which was also held and valued at $0 at December 31, 2024.

**(2) Investments in Affiliated Issuers**

An affiliated issuer may be considered one in which the fund owns 5% or more of the outstanding voting securities, or a company which is under common control. For the purposes of this report, the following were affiliated issuers for the period ended September 30, 2025:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Affiliated Issuers** | **Beginning** <br>**Value**<br>| **Purchases** | **Sales** <br>**Proceeds**<br>| **Realized** <br>**Gain** <br>**(Loss)**<br>| **Change in** <br>**Unrealized** <br>**Appreciation or** <br>**Depreciation**<br>| **Ending** <br>**Value**<br>|
| MFS Institutional Money Market Portfolio  | &nbsp;&nbsp; $7373550 | &nbsp;&nbsp; $153457512 | &nbsp;&nbsp; $144165771 | &nbsp;&nbsp; $(1485)<br>| &nbsp;&nbsp; $285 | &nbsp;&nbsp; $16664091<br>|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
| **Affiliated Issuers** | **Dividend** <br>**Income**<br>| **Capital Gain** <br>**Distributions**<br>|
| MFS Institutional Money Market Portfolio  | &nbsp;&nbsp; $437693 | &nbsp;&nbsp; $— |

---

------

*Supplemental Information (unaudited) – continued*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

**(3) Issuer Country Weightings**

Issuer country weighting percentages of portfolio holdings based on net assets, as of September 30, 2025, are as follows:

---

| | |
|:---|:---|
| United States | 39.0% |
| Canada | 10.8% |
| United Kingdom | 10.3% |
| China | 6.4% |
| South Korea | 5.0% |
| Japan | 4.4% |
| Spain | 4.0% |
| France | 3.9% |
| Germany | (11.3)% |
| Other Countries | 27.5% |

---

The issuer country weighting percentages include both accrued interest amounts and the equivalent exposure from any derivative holdings,

if applicable.

**(4) Russia and Ukraine Conflict**

The fund invests in securities and/or derivative instruments that are economically tied to Russia and/or Ukraine. Escalation of the conflict between Russia and Ukraine in late February 2022 caused market volatility and disruption in the tradability of Russian securities, including closure of the local securities market, temporary restriction on securities sales by non-residents, and disruptions to clearance and payment systems. To the extent that the fund is unable to sell securities, whether due to market constraints or to the sanctions imposed on Russia by the United States and other countries, those securities are considered illiquid and the value of those securities reflects their illiquid classification. Additionally, since there is no assurance on collectability of dividends declared by certain Russian issuers, all such dividends, related receivables, and/or currency denominated in Rubles, if applicable, have been valued at $0. Management continues to monitor these events and to evaluate the related impacts on fund performance.

------

## 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:** 2025-12-31

- **b. Date as of which information is reported:** 2025-09-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $346634860.46

**Total Liabilities:** $5332177.39

**Net Assets:** $341302683.07

**Delayed Delivery Securities:** $1204257.06

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -167.47000000 | **1-Year:** -3791.70000000 | **5-Year:** -19713.30000000 | **10-Year:** -26324.27000000 | **30-Year:** -8503.62000000

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

- **3-Month:** -101.87000000 | **1-Year:** -906.67000000 | **5-Year:** -2329.20000000 | **10-Year:** -1649.72000000 | **30-Year:** -241.80000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000007291 | -0.32%               | 2.24%                | 1.43%                |
| Class ID C000007292 | -0.33%               | 2.22%                | 1.31%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $1180586.27              | $-5606516.94                               |
| Month 2  | $-91308.74               | $5466258.45                                |
| Month 3  | $1155619.36              | $1195509.31                                |

**Designated Index Information**

- **Index Name:** 65% BarCap Global Aggregate, 35% MSCI WORLD

- **Index Identifier:** 65% LEGATRUU, 35% MXWO

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| State Street Bank & Trust Co.                     | PURCHASED CZK / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | CZ        |          1 | NC      | $3107.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMS-OSRAM AG                                      | ams-OSRAM AG                                                                                                                           | CUSIP: 000000000<br>LEI: 5299001JPPT2QFTV5D76 | Long             | DBT              | CORP              | AT        |     140000 | PA      | $175122.20    | 0.05%             | 2029-03-30      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| Honeywell International Inc                       | Honeywell International Inc                                                                                                            | CUSIP: 438516106<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | EC               | CORP              | US        |       2207 | NS      | $464573.50    | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| FISERV FUNDING UNLTD CO                           | Fiserv Funding ULC                                                                                                                     | CUSIP: 000000000<br>LEI: 254900RNWK5SE9A0I712 | Long             | DBT              | CORP              | IE        |     240000 | PA      | $281073.11    | 0.08%             | 2032-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                              | Indonesia Treasury Bond                                                                                                                | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 8350000000 | PA      | $521618.21    | 0.15%             | 2030-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COPT DEFENSE PROP LP                              | COPT Defense Properties LP                                                                                                             | CUSIP: 12713UAA4<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |     118000 | PA      | $117221.85    | 0.03%             | 2030-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MARS INC                                          | Mars Inc                                                                                                                               | CUSIP: 571676BA2<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     387000 | PA      | $395566.84    | 0.12%             | 2035-03-01      | Fixed         | 5.20%                 | Yes           |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED AUD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | AU        |          1 | NC      | $-876.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $417.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                                                         | CUSIP: 6174468P7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     262000 | PA      | $254219.48    | 0.07%             | 2031-04-01      | Fixed         | 3.62%                 | 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        |     394000 | PA      | $242976.92    | 0.07%             | 2050-10-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK AUST                            | Commonwealth Bank of Australia                                                                                                         | CUSIP: 202712BN4<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |     435000 | PA      | $393521.00    | 0.12%             | 2031-03-11      | Fixed         | 2.69%                 | Yes           |                  2 | On Loan: No      |
| French Republic Government Bonds OAT              | French Republic Government Bonds OAT                                                                                                   | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    1215000 | PA      | $1168782.32   | 0.34%             | 2055-05-25      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| HOME DEPOT INC                                    | Home Depot Inc/The                                                                                                                     | CUSIP: 437076CQ3<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |     109000 | PA      | $81661.41     | 0.02%             | 2052-04-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Equitable Holdings Inc                            | Equitable Holdings Inc                                                                                                                 | CUSIP: 29452E101<br>LEI: 549300FIBAKMNHPZ4009 | Long             | EC               | CORP              | US        |       7342 | NS      | $372826.76    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| AIB GROUP PLC                                     | AIB Group PLC                                                                                                                          | CUSIP: 000000000<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |     270000 | PA      | $323573.21    | 0.09%             | 2033-03-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CHILE ELECTRICITY LUX                             | Chile Electricity Lux Mpc II Sarl                                                                                                      | CUSIP: 16882LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     218961 | PA      | $226138.32    | 0.07%             | 2035-10-20      | Fixed         | 5.58%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED THB / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | TH        |          1 | NC      | $-16634.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Australia Government Bonds                        | Australia Government Bonds                                                                                                             | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |    3034000 | PA      | $1584938.11   | 0.46%             | 2041-05-21      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                                     | UniCredit SpA                                                                                                                          | CUSIP: 000000000<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |     300000 | PA      | $353852.91    | 0.10%             | 2035-06-10      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| Business Jet Securities, LLC                      | Business Jet Securities 2024-1 LLC                                                                                                     | CUSIP: 12327CAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     219651 | PA      | $225041.36    | 0.07%             | 2039-05-15      | Fixed         | 6.20%                 | 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      | $-2136.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PERUSAHAAN LISTRIK NEGAR                          | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara                                                                              | CUSIP: 71568PAP4<br>LEI: 254900OYVDRYS9J51J61 | Long             | DBT              | CORP              | ID        |     333000 | PA      | $246383.64    | 0.07%             | 2050-06-30      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138EMUX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     184268 | PA      | $183689.44    | 0.05%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $385.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| L3Harris Technologies Inc                         | L3Harris Technologies Inc                                                                                                              | CUSIP: 502431109<br>LEI: 549300UTE50ZMDBG8A20 | Long             | EC               | CORP              | US        |       2020 | NS      | $616928.20    | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-159.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SMURFIT KAPPA TREASURY                            | Smurfit Kappa Treasury Funding DAC                                                                                                     | CUSIP: 832724AB4<br>LEI: 635400DTNR8KCJUMW380 | Long             | DBT              | CORP              | IE        |     243000 | PA      | $243597.91    | 0.07%             | 2025-11-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Euronext NV                                       | CAC40 10 EURO FUT OCT25                                                                                                                | CUSIP: 000000000<br>LEI: 724500QJ4QSZ3H9QU415 | N/A              | DE               |  | FR        |        -18 | NC      | $-1267.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | N/A       |          1 | NC      | $193.57       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED CHF / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | CH        |          1 | NC      | $19401.90     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179XDD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     119090 | PA      | $113102.89    | 0.03%             | 2052-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                        | Intel Corp                                                                                                                             | CUSIP: 458140CJ7<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     195000 | PA      | $188579.30    | 0.06%             | 2053-02-10      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Accenture PLC                                     | Accenture PLC                                                                                                                          | CUSIP: 000000000<br>LEI: 5493000EWHDSR3MZWH98 | Long             | EC               | CORP              | IE        |       1322 | NS      | $326005.20    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| FAIRFAX FINL HLDGS LTD                            | Fairfax Financial Holdings Ltd                                                                                                         | CUSIP: 303901AZ5<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |     456000 | PA      | $334108.39    | 0.10%             | 2027-12-06      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179WNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     224474 | PA      | $193345.11    | 0.06%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3133A0A53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     422161 | PA      | $389822.81    | 0.11%             | 2049-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-712.34      | -0.00%            |  |  |  | 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      | $-1088.41     | -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      | $4504.39      | 0.00%             |  |  |  | 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      | $278005.23    | 0.08%             | 2037-02-19      | Floating      | 6.08%                 | Yes           |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                  | Deutsche Bank AG/New York NY                                                                                                           | CUSIP: 251526DB2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     308000 | PA      | $310912.69    | 0.09%             | 2031-08-04      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-2086.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SM11879   IRS USD R F  3.19600 SM11879_FIX CCPOIS / Short: SM11879   IRS USD P V 12MSOFR SM11879_FLO CCPOIS                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   45300000 | OU      | $-356809.53   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| HUNGARY                                           | Hungary Government International Bond                                                                                                  | CUSIP: 000000000<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |     879000 | PA      | $1062086.90   | 0.31%             | 2029-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED PLN / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | PL        |          1 | NC      | $851.61       | 0.00%             |  |  |  | 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      | $1918.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | N/A       |          1 | NC      | $-847.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                | Credit Agricole SA                                                                                                                     | CUSIP: 000000000<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |     300000 | PA      | $350937.43    | 0.10%             | 2035-05-27      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                      | CUSIP: 3136BT7D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     293483 | PA      | $295499.58    | 0.09%             | 2054-12-25      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD COP                                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-12695.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Exchange traded                                   | EQI00104 MFS                                                                                                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |        100 | NC      | $139594.62    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| KROGER CO                                         | Kroger Co/The                                                                                                                          | CUSIP: 501044DW8<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |     167000 | PA      | $162768.26    | 0.05%             | 2054-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FLUTTER TREASURY DAC                              | Flutter Treasury DAC                                                                                                                   | CUSIP: 000000000<br>LEI: 635400JE8VLL9UFVIC38 | Long             | DBT              | CORP              | IE        |     220000 | PA      | $298186.77    | 0.09%             | 2031-06-04      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                                                    | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1793000 | PA      | $1666859.65   | 0.49%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED GBP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | GB        |          1 | NC      | $-506.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED CAD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | CA        |          1 | NC      | $-4560.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FERGUSON ENTERPRISES INC                          | Ferguson Enterprises Inc                                                                                                               | CUSIP: 31488VAA5<br>LEI: 2138003JYQMRP3SLX189 | Long             | DBT              | CORP              | US        |     317000 | PA      | $319173.30    | 0.09%             | 2034-10-03      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ONTARIO (PROVINCE OF)                             | Province of Ontario Canada                                                                                                             | CUSIP: 000000000<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |     340000 | PA      | $398233.95    | 0.12%             | 2035-07-03      | Fixed         | 3.25%                 | 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      | $25180.91     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | N/A       |          1 | NC      | $3407.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2021-B24 Mortgage Trust                                                                                                      | CUSIP: 08163CBE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2006585 | PA      | $80384.62     | 0.02%             | 2054-03-15      | Variable      | 1.25%                 | No            |                  2 | On Loan: No      |
| UNICAJA BANCO SA                                  | Unicaja Banco SA                                                                                                                       | CUSIP: 000000000<br>LEI: 5493007SJLLCTM6J6M37 | Long             | DBT              | CORP              | ES        |     200000 | PA      | $236148.08    | 0.07%             | 2026-11-18      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Mercado Mexicano De Derivados                     | MEX BOLSA IDX FUT DEC25                                                                                                                | CUSIP: 000000000<br>LEI: 5493003M56ZNEEL5EQ10 | N/A              | DE               |  | MX        |        129 | NC      | $67136.21     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179XTD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     107074 | PA      | $108603.62    | 0.03%             | 2053-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED MYR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | MY        |          1 | NC      | $-61.94       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                            | Marriott International Inc/MD                                                                                                          | CUSIP: 571903BG7<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |     175000 | PA      | $161040.96    | 0.05%             | 2031-04-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179W7K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     160033 | PA      | $142918.24    | 0.04%             | 2052-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Australia Government Bonds                        | Australia Government Bonds                                                                                                             | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |    1706000 | PA      | $1064966.63   | 0.31%             | 2034-12-21      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Union Pacific Corp                                | Union Pacific Corp                                                                                                                     | CUSIP: 907818108<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | EC               | CORP              | US        |       3189 | NS      | $753783.93    | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138ELAF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     750519 | PA      | $702758.83    | 0.21%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Johnson & Johnson                                 | Johnson & Johnson                                                                                                                      | CUSIP: 478160104<br>LEI: 549300G0CFPGEF6X2043 | Long             | EC               | CORP              | US        |      12657 | NS      | $2346860.94   | 0.69%             |  |  |  | No            |                  1 | On Loan: No      |
| Citibank NA                                       | PURCHASED NOK / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | NO        |          1 | NC      | $-4783.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| XPLR INFRAST OPERATING                            | XPLR Infrastructure Operating Partners LP                                                                                              | CUSIP: 65342QAM4<br>LEI: 549300KJEC5IUVJWR786 | Long             | DBT              | CORP              | US        |      73000 | PA      | $74950.85     | 0.02%             | 2029-01-15      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| Highwoods Properties Inc                          | Highwoods Properties Inc                                                                                                               | CUSIP: 431284108<br>LEI: ZIIGTYKL9T0X3HLTDX53 | Long             | EC               | CORP              | US        |       8519 | NS      | $271074.58    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-878.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LANDSBANKINN HF                                   | Landsbankinn HF                                                                                                                        | CUSIP: 000000000<br>LEI: 549300TLZPT6JELDWM92 | Long             | DBT              | CORP              | IS        |     272000 | PA      | $325070.96    | 0.10%             | 2029-10-08      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD MXN                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-19107.63    | -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      | $-1084.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418D6B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21761 | PA      | $17641.16     | 0.01%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES CAP INTL                            | TotalEnergies Capital International SA                                                                                                 | CUSIP: 000000000<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |     400000 | PA      | $472028.14    | 0.14%             | 2035-07-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2025-1                                                                                                        | CUSIP: 034934AB5<br>LEI: 254900HC0S1X9R2JZB30 | Long             | ABS-MBS          | CORP              | US        |     248466 | PA      | $250556.43    | 0.07%             | 2070-01-25      | Variable      | 5.84%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | PURCHASED GBP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | GB        |          1 | NC      | $-2795.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PSEG POWER LLC                                    | PSEG Power LLC                                                                                                                         | CUSIP: 69362BBD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     320000 | PA      | $328289.81    | 0.10%             | 2030-05-15      | Fixed         | 5.20%                 | Yes           |                  2 | On Loan: No      |
| GFL ENVIRONMENTAL INC                             | GFL Environmental Inc                                                                                                                  | CUSIP: 36168QAM6<br>LEI: 894500E7NLBY9VZRT696 | Long             | DBT              | CORP              | CA        |     182000 | PA      | $177521.56    | 0.05%             | 2028-09-01      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38379QC94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      96865 | PA      | $94140.93     | 0.03%             | 2045-10-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Philip Morris International Inc                   | Philip Morris International Inc                                                                                                        | CUSIP: 718172109<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | EC               | CORP              | US        |       7837 | NS      | $1271161.40   | 0.37%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31410LDU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      86203 | PA      | $86384.69     | 0.03%             | 2041-02-01      | Fixed         | 4.50%                 | 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      | $365.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $3076.13      | 0.00%             |  |  |  | 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      | $1111.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED IDR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | ID        |          1 | NC      | $-40020.36    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179NF78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     339155 | PA      | $319704.89    | 0.09%             | 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        |      38313 | PA      | $33121.51     | 0.01%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AMERICA MOVIL BV                                  | America Movil BV                                                                                                                       | CUSIP: 000000000<br>LEI: 724500AVF7ZU7L61BL70 | Long             | DBT              | CORP              | NL        |     300000 | PA      | $351567.12    | 0.10%             | 2030-09-30      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch International                       | PURCHASED SEK / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DFE              |  | SE        |          1 | NC      | $199.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| British American Tobacco PLC                      | British American Tobacco PLC                                                                                                           | CUSIP: 000000000<br>LEI: 213800FKA5MF17RJKT63 | Long             | EC               | CORP              | GB        |      30189 | NS      | $1602528.18   | 0.47%             |  |  |  | No            |                  1 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $76159.13     | 0.02%             |  |  |  | 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      | $557.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Amphenol Corp                                     | Amphenol Corp                                                                                                                          | CUSIP: 032095101<br>LEI: 549300D3L3G0R4U4VT04 | Long             | EC               | CORP              | US        |        916 | NS      | $113355.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Wells Fargo & Co                                  | Wells Fargo & Co                                                                                                                       | CUSIP: 949746101<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | EC               | CORP              | US        |       4912 | NS      | $411723.84    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Northern Trust Corp                               | Northern Trust Corp                                                                                                                    | CUSIP: 665859104<br>LEI: 549300GLF98S992BC502 | Long             | EC               | CORP              | US        |      15541 | NS      | $2091818.60   | 0.61%             |  |  |  | No            |                  1 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED NOK / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | NO        |          1 | NC      | $-5227.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PROSUS NV                                         | Prosus NV                                                                                                                              | CUSIP: 000000000<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |     201000 | PA      | $237685.64    | 0.07%             | 2035-07-15      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2024-12                                                                                                       | CUSIP: 034932AA1<br>LEI: 254900S8TF74AZOT0548 | Long             | ABS-MBS          | CORP              | US        |     581423 | PA      | $586579.68    | 0.17%             | 2069-10-25      | Variable      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| Bundesrepublik Deutschland Bundesanleihe          | Bundesrepublik Deutschland Bundesanleihe                                                                                               | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |     460000 | PA      | $463642.19    | 0.14%             | 2054-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group Inc                | Mitsubishi UFJ Financial Group Inc                                                                                                     | CUSIP: 000000000<br>LEI: 353800V2V8PUY9TK3E06 | Long             | EC               | CORP              | JP        |     104100 | NS      | $1685197.28   | 0.49%             |  |  |  | No            |                  1 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS Trust 2021-C10                                                                                                                   | CUSIP: 05551VBK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2692951 | PA      | $136744.01    | 0.04%             | 2054-07-15      | Variable      | 1.33%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD IDR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-4440.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEACH ACQUISITION BIDCO                           | Beach Acquisition Bidco LLC                                                                                                            | CUSIP: 000000000<br>LEI: 254900F2FNX3GBTB6202 | Long             | DBT              | CORP              | US        |     235000 | PA      | $282822.42    | 0.08%             | 2032-07-15      | Fixed         | 5.25%                 | 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      | $1019.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NOTA DO TESOURO NACIONAL                          | Brazil Notas do Tesouro Nacional Serie F                                                                                               | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |   12341000 | PA      | $1897394.69   | 0.56%             | 2035-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| EL CORTE INGLES SA                                | El Corte Ingles SA                                                                                                                     | CUSIP: 000000000<br>LEI: 95980020140005374753 | Long             | DBT              | CORP              | ES        |     100000 | PA      | $115911.04    | 0.03%             | 2033-07-24      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Stora Enso OYJ                                    | Stora Enso Oyj                                                                                                                         | CUSIP: 86210MAC0<br>LEI: 7437000ZP669LKUTZ738 | Long             | DBT              | CORP              | FI        |     309000 | PA      | $341376.68    | 0.10%             | 2036-04-15      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| INTL FLAVOR & FRAGRANCES                          | International Flavors & Fragrances Inc                                                                                                 | CUSIP: 459506AL5<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |      12000 | PA      | $10547.73     | 0.00%             | 2048-09-26      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                                                                                   | CUSIP: 06051GLG2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     154000 | PA      | $157859.72    | 0.05%             | 2029-04-25      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                    | Microsoft Corp                                                                                                                         | CUSIP: 594918CC6<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |     378000 | PA      | $239301.22    | 0.07%             | 2050-06-01      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch International                       | PURCHASED CZK / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DFE              |  | CZ        |          1 | NC      | $7050.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROCKET COS INC                                    | Rocket Cos Inc                                                                                                                         | CUSIP: 77311WAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      98000 | PA      | $100579.36    | 0.03%             | 2030-08-01      | Fixed         | 6.13%                 | Yes           |                  2 | On Loan: No      |
| General Mills Inc                                 | General Mills Inc                                                                                                                      | CUSIP: 370334104<br>LEI: 2TGYMUGI08PO8X8L6150 | Long             | EC               | CORP              | US        |       9666 | NS      | $487359.72    | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe - Financial Products Division  | LONG GILT FUTURE DEC25                                                                                                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         30 | NC      | $18250.96     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Tesco PLC                                         | Tesco PLC                                                                                                                              | CUSIP: 000000000<br>LEI: 2138002P5RNKC5W2JZ46 | Long             | EC               | CORP              | GB        |     329198 | NS      | $1972398.75   | 0.58%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                                                                                   | CUSIP: 06051GJT7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     312000 | PA      | $284225.81    | 0.08%             | 2032-04-22      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                                     | CUSIP: 3137HFDN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     608736 | PA      | $611212.64    | 0.18%             | 2054-08-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                | Union Pacific Corp                                                                                                                     | CUSIP: 907818FK9<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |     410000 | PA      | $288704.96    | 0.08%             | 2050-02-05      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| ENGIE SA                                          | Engie SA                                                                                                                               | CUSIP: 000000000<br>LEI: LAXUQCHT4FH58LRZDY46 | Long             | DBT              | CORP              | FR        |     100000 | PA      | $117297.76    | 0.03%             | 2032-01-11      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                      | Alphabet Inc                                                                                                                           | CUSIP: 000000000<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     126000 | PA      | $144378.38    | 0.04%             | 2054-05-06      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Continental AG                                    | Continental AG                                                                                                                         | CUSIP: 000000000<br>LEI: 529900A7YD9C0LLXM621 | Long             | EC               | CORP              | DE        |       1781 | NS      | $117346.03    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| METLIFE INC                                       | MetLife Inc                                                                                                                            | CUSIP: 59156RCN6<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |     284000 | PA      | $295397.43    | 0.09%             | 2034-12-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED JPY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | JP        |          1 | NC      | $-50501.32    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| AEROPORTI DI ROMA SPA                             | Aeroporti di Roma SpA                                                                                                                  | CUSIP: 000000000<br>LEI: 8156007259ABDEA3F444 | Long             | DBT              | CORP              | IT        |     136000 | PA      | $161144.61    | 0.05%             | 2032-06-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                                                    | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1363000 | PA      | $1375565.16   | 0.40%             | 2035-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BMP Trust                                         | BMP 2024-MF23                                                                                                                          | CUSIP: 05593JAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     235440 | PA      | $235955.03    | 0.07%             | 2041-06-15      | Floating      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| AbbVie Inc                                        | AbbVie Inc                                                                                                                             | CUSIP: 00287Y109<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | EC               | CORP              | US        |       5901 | NS      | $1366317.54   | 0.40%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $814.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BM11834   IRS EUR R V 12MCPTEE SM11834 CCPINFLATIONZERO / Short: BM11834   IRS EUR P F  1.83120 SM11834 CCPINFLATIONZERO         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1900000 | OU      | $6156.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418QPN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     242836 | PA      | $248689.55    | 0.07%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LINDE PLC                                         | Linde PLC                                                                                                                              | CUSIP: 000000000<br>LEI: 5299003QR1WT0EF88V51 | Long             | DBT              | CORP              | IE        |     200000 | PA      | $233100.70    | 0.07%             | 2036-02-14      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| APA INFRASTRUCTURE LTD                            | APA Infrastructure Ltd                                                                                                                 | CUSIP: 00188LAB3<br>LEI: 261700SS8OEHDOCOUJ33 | Long             | DBT              | CORP              | AU        |     102000 | PA      | $101731.85    | 0.03%             | 2044-09-16      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Publicis Groupe SA                                | Publicis Groupe SA                                                                                                                     | CUSIP: 000000000<br>LEI: 2138004KW8BV57III342 | Long             | EC               | CORP              | FR        |       4941 | NS      | $473824.40    | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| Midea Group Co Ltd                                | Midea Group Co Ltd                                                                                                                     | CUSIP: 000000000<br>LEI: 3003003TRPHLHZD2IF61 | Long             | EC               | CORP              | CN        |      22300 | NS      | $227622.31    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                                                                            | CUSIP: 694308KT3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      43000 | PA      | $41886.43     | 0.01%             | 2054-10-01      | Fixed         | 5.90%                 | 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      | $-9.08        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | N/A       |          1 | NC      | $620.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SEMPRA                                            | Sempra                                                                                                                                 | CUSIP: 816851BW8<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |      92000 | PA      | $94414.78     | 0.03%             | 2056-04-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| EMERA US FINANCE LP                               | Emera US Finance LP                                                                                                                    | CUSIP: 29103DAT3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     449000 | PA      | $400808.65    | 0.12%             | 2031-06-15      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| PG&E CORP                                         | PG&E Corp                                                                                                                              | CUSIP: 69331CAL2<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |      97000 | PA      | $98096.10     | 0.03%             | 2027-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC                           | Duke Energy Florida LLC                                                                                                                | CUSIP: 26444HAR2<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |     208000 | PA      | $227315.10    | 0.07%             | 2053-11-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMER PIPELINE                          | Plains All American Pipeline LP / PAA Finance Corp                                                                                     | CUSIP: 72650RBS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     174000 | PA      | $176186.85    | 0.05%             | 2036-01-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD NOK                                                                                                               | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-8549.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROCKIES EXPRESS PIPELINE                          | Rockies Express Pipeline LLC                                                                                                           | CUSIP: 77340RAD9<br>LEI: W2ZGZGZKY5GGNY6F3V51 | Long             | DBT              | CORP              | US        |     130000 | PA      | $138311.68    | 0.04%             | 2038-07-15      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $3603.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ERSTE GROUP BANK AG                               | Erste Group Bank AG                                                                                                                    | CUSIP: 000000000<br>LEI: PQOH26KWDF7CG10L6792 | Long             | DBT              | CORP              | AT        |     200000 | PA      | $244202.54    | 0.07%             | 2032-04-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                                                    | CUSIP: 912810TV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1998000 | PA      | $2001434.06   | 0.59%             | 2053-11-15      | Fixed         | 4.75%                 | 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      | $-459.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Amadeus IT Group SA                               | Amadeus IT Group SA                                                                                                                    | CUSIP: 000000000<br>LEI: 9598004A3FTY3TEHHN09 | Long             | EC               | CORP              | ES        |       9248 | NS      | $731949.82    | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| Borsa Italiana SpA                                | FTSE/MIB IDX FUT DEC25                                                                                                                 | CUSIP: 000000000<br>LEI: 8156005391EE905D3124 | N/A              | DE               |  | IT        |         14 | NC      | $-13086.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                          | Ford Motor Credit Co LLC                                                                                                               | CUSIP: 000000000<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     200000 | PA      | $234268.05    | 0.07%             | 2029-09-16      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY ENERG                          | Berkshire Hathaway Energy Co                                                                                                           | CUSIP: 084659BF7<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |      76000 | PA      | $65327.92     | 0.02%             | 2053-05-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BUND FUTURE DEC25                                                                                                                 | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        -95 | NC      | $-38892.37    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179XLD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     155373 | PA      | $139321.61    | 0.04%             | 2052-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD KRW                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $32085.42     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $207.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31417YRW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26597 | PA      | $27237.91     | 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        |     338686 | PA      | $338841.57    | 0.10%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                            | PNC Financial Services Group Inc/The                                                                                                   | CUSIP: 693475CC7<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |     121000 | PA      | $126251.62    | 0.04%             | 2036-01-29      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Boston Properties LP                              | Boston Properties LP                                                                                                                   | CUSIP: 10112RAY0<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |     194000 | PA      | $190908.98    | 0.06%             | 2026-10-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Costa Rica Government International Bonds         | Costa Rica Government International Bonds                                                                                              | CUSIP: 000000000<br>LEI: 549300S1EK2VN6XVJP58 | Long             | DBT              | NUSS              | CR        |     600000 | PA      | $644283.19    | 0.19%             | 2045-03-12      | Fixed         | 7.16%                 | No            |                  2 | On Loan: No      |
| U.K. Gilts                                        | U.K. Gilts                                                                                                                             | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    2243000 | PA      | $1737999.03   | 0.51%             | 2041-10-22      | Fixed         | 1.25%                 | 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      | $399.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                            | Mitsubishi UFJ Financial Group Inc                                                                                                     | CUSIP: 606822DQ4<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |     261000 | PA      | $265205.14    | 0.08%             | 2036-09-12      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| Nomad Foods Ltd                                   | Nomad Foods Ltd                                                                                                                        | CUSIP: 000000000<br>LEI: 5493000ZZ1837DS2SI43 | Long             | EC               | CORP              | VG        |       5050 | NS      | $66407.50     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| NORTHERN STATES PWR-MINN                          | Northern States Power Co/MN                                                                                                            | CUSIP: 665772CZ0<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |     225000 | PA      | $229479.91    | 0.07%             | 2035-05-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED IDR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | ID        |          1 | NC      | $-2966.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                             | Mexico Government International Bond                                                                                                   | CUSIP: 91087BBF6<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     200000 | PA      | $210202.00    | 0.06%             | 2038-01-29      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| Massachusetts Educational Financing Authority     | MASSACHUSETTS ST EDUCTNL FING AUTH                                                                                                     | CUSIP: 57563RSU4<br>LEI: 5493007K5OP7V6CL0Y88 | Long             | DBT              | MUN               | US        |     530000 | PA      | $519146.55    | 0.15%             | 2038-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| CLP Holdings Ltd                                  | CLP Holdings Ltd                                                                                                                       | CUSIP: 000000000<br>LEI: 25490002BUTSMP94GO68 | Long             | EC               | CORP              | HK        |      13500 | NS      | $111806.81    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3132DWDZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     158589 | PA      | $139460.91    | 0.04%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED NOK / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | NO        |          1 | NC      | $324778.35    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Cognizant Technology Solutions Corp               | Cognizant Technology Solutions Corp                                                                                                    | CUSIP: 192446102<br>LEI: 5493006IEVQEFQO40L83 | Long             | EC               | CORP              | US        |       2316 | NS      | $155334.12    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED THB / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | TH        |          1 | NC      | $-5736.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                          | Charter Communications Operating LLC / Charter Communications Operating Capital                                                        | CUSIP: 161175CQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      76000 | PA      | $79753.89     | 0.02%             | 2029-06-01      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Masco Corp                                        | Masco Corp                                                                                                                             | CUSIP: 574599106<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | EC               | CORP              | US        |      13867 | NS      | $976098.13    | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140KHW31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30251 | PA      | $26151.58     | 0.01%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-9.05        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | BNP Paribas SA                                                                                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | EC               | CORP              | FR        |      18279 | NS      | $1666281.02   | 0.49%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD NOK                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-7095.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Toyota Tsusho Corp                                | Toyota Tsusho Corp                                                                                                                     | CUSIP: 000000000<br>LEI: 549300CEE2ENIUJNXB84 | Long             | EC               | CORP              | JP        |      26400 | NS      | $732277.11    | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| PPL ELECTRIC UTILITIES                            | PPL Electric Utilities Corp                                                                                                            | CUSIP: 69351UBB8<br>LEI: 549300GCZLSGYEYPIR35 | Long             | DBT              | CORP              | US        |     337000 | PA      | $328523.74    | 0.10%             | 2053-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| EOG Resources Inc                                 | EOG Resources Inc                                                                                                                      | CUSIP: 26875P101<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | EC               | CORP              | US        |        655 | NS      | $73438.60     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| MAXAM PRILL SARL                                  | Maxam Prill Sarl                                                                                                                       | CUSIP: 000000000<br>LEI: 984500C4C5B820A6B691 | Long             | DBT              | CORP              | LU        |     333000 | PA      | $396907.86    | 0.12%             | 2030-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Agilent Technologies Inc                          | Agilent Technologies Inc                                                                                                               | CUSIP: 00846U101<br>LEI: QUIX8Y7A2WP0XRMW7G29 | Long             | EC               | CORP              | US        |       3559 | NS      | $456797.65    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Enterprise Fleet Financing LLC                    | Enterprise Fleet Financing 2025-1 LLC                                                                                                  | CUSIP: 29390HAB5<br>LEI: RKWYUSIDZTWNAX1D9U96 | Long             | ABS-O            | CORP              | US        |      66000 | PA      | $66297.53     | 0.02%             | 2027-10-20      | Fixed         | 4.65%                 | Yes           |                  2 | On Loan: No      |
| MACQUARIE AIRFINANCE HLD                          | Macquarie Airfinance Holdings Ltd                                                                                                      | CUSIP: 55609NAE8<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |      64000 | PA      | $64894.70     | 0.02%             | 2030-03-17      | Fixed         | 5.15%                 | Yes           |                  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        |    6666898 | PA      | $89122.42     | 0.03%             | 2031-01-25      | Variable      | 0.41%                 | No            |                  2 | On Loan: No      |
| WESTINGHOUSE AIR BRAKE                            | Westinghouse Air Brake Technologies Corp                                                                                               | CUSIP: 960386AR1<br>LEI: 06BTX5UWZD0GQ5N5Y745 | Long             | DBT              | CORP              | US        |     124000 | PA      | $130277.49    | 0.04%             | 2034-03-11      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                      | Broadcom Inc                                                                                                                           | CUSIP: 11135FCC3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     262000 | PA      | $263820.31    | 0.08%             | 2032-02-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Aramark                                           | Aramark                                                                                                                                | CUSIP: 03852U106<br>LEI: 549300MR6PG2DWZUIL39 | Long             | EC               | CORP              | US        |      18300 | NS      | $702720.00    | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| ELEVANCE HEALTH INC                               | Elevance Health Inc                                                                                                                    | CUSIP: 036752AZ6<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |     154000 | PA      | $158803.65    | 0.05%             | 2034-06-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                       | PURCHASED USD / SOLD NOK                                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-5434.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140A1FR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     327810 | PA      | $335304.24    | 0.10%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AIB GROUP PLC                                     | AIB Group PLC                                                                                                                          | CUSIP: 00135TAE4<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |     200000 | PA      | $210397.04    | 0.06%             | 2035-03-28      | Fixed         | 5.87%                 | Yes           |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD AUD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-1301.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FLUTTER TREASURY DAC                              | Flutter Treasury DAC                                                                                                                   | CUSIP: 344045AA7<br>LEI: 635400JE8VLL9UFVIC38 | Long             | DBT              | CORP              | IE        |     349000 | PA      | $360384.03    | 0.11%             | 2029-04-29      | Fixed         | 6.38%                 | Yes           |                  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      | $310.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                          | Cheniere Energy Partners LP                                                                                                            | CUSIP: 16411QAV3<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     299000 | PA      | $305462.18    | 0.09%             | 2035-10-30      | Fixed         | 5.55%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED AUD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |          1 | NC      | $27667.28     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $1208.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 2YR NOTE (CBT) DEC25                                                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         47 | NC      | $6134.73      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Citibank NA                                       | PURCHASED RON / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | RO        |          1 | NC      | $1434.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chubb Ltd                                         | Chubb Ltd                                                                                                                              | CUSIP: 000000000<br>LEI: E0JAN6VLUDI1HITHT809 | Long             | EC               | CORP              | CH        |       3873 | NS      | $1093154.25   | 0.32%             |  |  |  | No            |                  1 | On Loan: No      |
| UNICAJA BANCO SA                                  | Unicaja Banco SA                                                                                                                       | CUSIP: 000000000<br>LEI: 5493007SJLLCTM6J6M37 | Long             | DBT              | CORP              | ES        |     300000 | PA      | $354553.53    | 0.10%             | 2031-06-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BRUCE POWER LP                                    | Bruce Power LP                                                                                                                         | CUSIP: 116705AK0<br>LEI: 549300R8DACS3G0K8262 | Long             | DBT              | CORP              | CA        |     365000 | PA      | $258901.63    | 0.08%             | 2028-12-21      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| PAYCHEX INC                                       | Paychex Inc                                                                                                                            | CUSIP: 704326AB3<br>LEI: 529900K900DW6SUBM174 | Long             | DBT              | CORP              | US        |     215000 | PA      | $223093.27    | 0.07%             | 2032-04-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED JPY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | JP        |          1 | NC      | $-25272.22    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Omnicom Group Inc                                 | Omnicom Group Inc                                                                                                                      | CUSIP: 681919106<br>LEI: HKUPACFHSSASQK8HLS17 | Long             | EC               | CORP              | US        |      14003 | NS      | $1141664.59   | 0.33%             |  |  |  | No            |                  1 | On Loan: No      |
| Merrill Lynch International                       | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DFE              |  | N/A       |          1 | NC      | $-177.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Samsung Electronics Co Ltd                        | Samsung Electronics Co Ltd                                                                                                             | CUSIP: 000000000<br>LEI: 9884007ER46L6N7EI764 | Long             | EC               | CORP              | KR        |      21719 | NS      | $1298759.20   | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| Hong Kong Futures Exchange Ltd.                   | HANG SENG IDX FUT OCT25                                                                                                                | CUSIP: 000000000<br>LEI: 213800YTVSXYQN17BW16 | N/A              | DE               |  | HK        |         65 | NC      | $291859.23    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| PNC Financial Services Group Inc/The              | PNC Financial Services Group Inc/The                                                                                                   | CUSIP: 693475105<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | EC               | CORP              | US        |       1824 | NS      | $366496.32    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| INFORMA PLC                                       | Informa PLC                                                                                                                            | CUSIP: 000000000<br>LEI: 5493006VM2LKUPSEDU20 | Long             | DBT              | CORP              | GB        |     150000 | PA      | $176434.15    | 0.05%             | 2031-06-09      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| REGAL REXNORD CORP                                | Regal Rexnord Corp                                                                                                                     | CUSIP: 758750AN3<br>LEI: QH78R09VCJGQKPBPYU33 | Long             | DBT              | CORP              | US        |     112000 | PA      | $118753.49    | 0.03%             | 2030-02-15      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| ENEL SPA                                          | Enel SpA                                                                                                                               | CUSIP: 000000000<br>LEI: WOCMU6HCI0OJWNPRZS33 | Long             | DBT              | CORP              | IT        |     190000 | PA      | $225828.08    | 0.07%             | 2032-10-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $12831.21     | 0.00%             |  |  |  | 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      | $90874.85     | 0.03%             | 2030-06-25      | Variable      | 1.44%                 | 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        |    6448117 | PA      | $416941.05    | 0.12%             | 2054-02-15      | Variable      | 1.69%                 | No            |                  2 | On Loan: No      |
| RICHEMONT INTERNATIONAL                           | Richemont International Holding SA                                                                                                     | CUSIP: 000000000<br>LEI: 549300V9893NUQX6X069 | Long             | DBT              | CORP              | LU        |     140000 | PA      | $124733.88    | 0.04%             | 2040-05-26      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| Spain Government Bonds                            | Spain Government Bonds                                                                                                                 | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    1255000 | PA      | $1508856.40   | 0.44%             | 2034-10-31      | Fixed         | 3.45%                 | Yes           |                  2 | On Loan: No      |
| Iberdrola SA                                      | Iberdrola SA                                                                                                                           | CUSIP: 000000000<br>LEI: 5QK37QC7NWOJ8D7WVQ45 | Long             | EC               | CORP              | ES        |      19849 | NS      | $376104.12    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| General Dynamics Corp                             | General Dynamics Corp                                                                                                                  | CUSIP: 369550108<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | EC               | CORP              | US        |       1408 | NS      | $480128.00    | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| JBS USA HOLD/FOOD GRP/CO                          | JBS USA Holding Lux Sarl / JBS USA Foods Group Holdings Inc / JBS USA Food Co                                                          | CUSIP: 472140AE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     329000 | PA      | $335978.09    | 0.10%             | 2036-01-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| DBS Group Holdings Ltd                            | DBS Group Holdings Ltd                                                                                                                 | CUSIP: 000000000<br>LEI: 5493007FKT78NKPM5V55 | Long             | EC               | CORP              | SG        |       9350 | NS      | $370752.74    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| HEATHROW FUNDING LTD                              | Heathrow Funding Ltd                                                                                                                   | CUSIP: 000000000<br>LEI: 7TI96JO3DYEIQWZ7Z726 | Long             | DBT              | CORP              | JE        |     140000 | PA      | $190731.54    | 0.06%             | 2032-03-05      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                | Energy Transfer LP                                                                                                                     | CUSIP: 29273VAW0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     167000 | PA      | $161727.67    | 0.05%             | 2054-05-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Xcel Energy Inc                                   | Xcel Energy Inc                                                                                                                        | CUSIP: 98389B100<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | EC               | CORP              | US        |       1139 | NS      | $91860.35     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| NEXTERA ENERGY INC                                | NextEra Energy Inc                                                                                                                     | CUSIP: 65339F119<br>LEI: 254900RHL9MEUS5NKX63 | Long             | EP               | CORP              | US        |      10149 | NS      | $477307.47    | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179XX50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      40585 | PA      | $40551.85     | 0.01%             | 2053-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                      | CaixaBank SA                                                                                                                           | CUSIP: 000000000<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |     200000 | PA      | $235672.06    | 0.07%             | 2036-01-27      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Vale SA                                           | Vale SA                                                                                                                                | CUSIP: 000000000<br>LEI: 254900SMTWBX7RU2SR20 | Long             | EC               | CORP              | BR        |      28400 | NS      | $307252.01    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | PURCHASED JPY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | JP        |          1 | NC      | $-1370.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TCW Ltd                                           | TCW CLO 2020-1 Ltd                                                                                                                     | CUSIP: 87190CBL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     780000 | PA      | $775762.26    | 0.23%             | 2034-04-20      | Floating      | 5.93%                 | Yes           |                  2 | On Loan: No      |
| The Montreal Exchange / Bourse De Montreal        | S+P/TSX 60 IX FUT DEC25                                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | CA        |         44 | NC      | $263293.70    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Comcast Corp                                      | Comcast Corp                                                                                                                           | CUSIP: 20030N101<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | EC               | CORP              | US        |      37722 | NS      | $1185225.24   | 0.35%             |  |  |  | No            |                  1 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD IDR                                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-1234.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fujitsu Ltd                                       | Fujitsu Ltd                                                                                                                            | CUSIP: 000000000<br>LEI: 3538000246DHJLRTUZ24 | Long             | EC               | CORP              | JP        |       6800 | NS      | $160200.16    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED AUD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | AU        |          1 | NC      | $14382.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                              | Targa Resources Corp                                                                                                                   | CUSIP: 87612GAB7<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |     236000 | PA      | $202010.44    | 0.06%             | 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        |       6217 | NS      | $653468.87    | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| Tata Consultancy Services Ltd                     | Tata Consultancy Services Ltd                                                                                                          | CUSIP: 000000000<br>LEI: 335800ZJKU9GPQRE2U66 | Long             | EC               | CORP              | IN        |       5395 | NS      | $175505.55    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD IDR                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $7539.55      | 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      | $-1162.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                   | Danske Bank A/S                                                                                                                        | CUSIP: 000000000<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |     280000 | PA      | $328618.47    | 0.10%             | 2035-11-19      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                             | China Government Bond                                                                                                                  | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    4700000 | PA      | $682227.54    | 0.20%             | 2034-05-25      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| SEVERN TRENT WATER UTIL                           | Severn Trent Utilities Finance PLC                                                                                                     | CUSIP: 000000000<br>LEI: 213800KY9PT6WBH33232 | Long             | DBT              | CORP              | GB        |     190000 | PA      | $221785.55    | 0.06%             | 2037-08-04      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Kraft Heinz Foods Co                              | Kraft Heinz Foods Co                                                                                                                   | CUSIP: 50077LAB2<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |     241000 | PA      | $200557.26    | 0.06%             | 2046-06-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON & CO                             | Becton Dickinson & Co                                                                                                                  | CUSIP: 075887CR8<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |     309000 | PA      | $315099.51    | 0.09%             | 2029-02-08      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| Atmos Energy Corp                                 | Atmos Energy Corp                                                                                                                      | CUSIP: 049560105<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | EC               | CORP              | US        |       3877 | NS      | $661997.75    | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| Merrill Lynch International                       | PURCHASED CAD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DFE              |  | CA        |          1 | NC      | $-34914.32    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LPL HOLDINGS INC                                  | LPL Holdings Inc                                                                                                                       | CUSIP: 50212YAQ7<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |      78000 | PA      | $79984.41     | 0.02%             | 2035-06-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED COP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | CO        |          1 | NC      | $9284.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AGCO Corp                                         | AGCO Corp                                                                                                                              | CUSIP: 001084102<br>LEI: LYOM0B2GCF1JWXK5ZG04 | Long             | EC               | CORP              | US        |       1810 | NS      | $193796.70    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| JERSEY CENTRAL PWR & LT                           | Jersey Central Power & Light Co                                                                                                        | CUSIP: 476556DD4<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |     184000 | PA      | $164516.79    | 0.05%             | 2032-03-01      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| IVORY COAST                                       | Ivory Coast Government International Bond                                                                                              | CUSIP: 221625AU0<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |     200000 | PA      | $208571.91    | 0.06%             | 2037-01-30      | Fixed         | 8.25%                 | Yes           |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $517.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ABBVIE INC                                        | AbbVie Inc                                                                                                                             | CUSIP: 00287YDW6<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     131000 | PA      | $130257.74    | 0.04%             | 2054-03-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Inner Mongolia Yili Industrial Group Co Ltd       | Inner Mongolia Yili Industrial Group Co Ltd                                                                                            | CUSIP: 000000000<br>LEI: 3003002Q2A863JPQFH06 | Long             | EC               | CORP              | CN        |      22300 | NS      | $85460.18     | 0.03%             |  |  |  | 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        |     179692 | PA      | $179691.16    | 0.05%             | 2037-02-19      | Floating      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED AUD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | AU        |          1 | NC      | $4121.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PUNCH FINANCE PLC                                 | Punch Finance PLC                                                                                                                      | CUSIP: 000000000<br>LEI: 2138006IJRIU1Q5DN388 | Long             | DBT              | CORP              | GB        |     237000 | PA      | $324961.29    | 0.10%             | 2030-12-30      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED PEN / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | PE        |          1 | NC      | $4467.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Akzo Nobel NV                                     | Akzo Nobel NV                                                                                                                          | CUSIP: 000000000<br>LEI: 724500XYIJUGXAA5QD70 | Long             | EC               | CORP              | NL        |       7075 | NS      | $503368.35    | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| GEA Group AG                                      | GEA Group AG                                                                                                                           | CUSIP: 000000000<br>LEI: 549300PHUU0ZZWO8EO07 | Long             | EC               | CORP              | DE        |       1495 | NS      | $110445.62    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MACQUARIE AIRFINANCE HLD                          | Macquarie Airfinance Holdings Ltd                                                                                                      | CUSIP: 55609NAD0<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |     166000 | PA      | $177819.90    | 0.05%             | 2031-03-26      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                                                         | CUSIP: 61747YFG5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     306000 | PA      | $318821.74    | 0.09%             | 2034-07-21      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| Lear Corp                                         | Lear Corp                                                                                                                              | CUSIP: 521865204<br>LEI: 549300UPNBTXA1SYTQ33 | Long             | EC               | CORP              | US        |       5680 | NS      | $571464.80    | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| Hitachi Ltd                                       | Hitachi Ltd                                                                                                                            | CUSIP: 000000000<br>LEI: 549300T6IPOCDWLKC615 | Long             | EC               | CORP              | JP        |      25500 | NS      | $677654.93    | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| Axalta Coating Systems Ltd                        | Axalta Coating Systems Ltd                                                                                                             | CUSIP: 000000000<br>LEI: 529900AGLPA40GV6H619 | Long             | EC               | CORP              | BM        |       8416 | NS      | $240865.92    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418DKQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     120325 | PA      | $102563.75    | 0.03%             | 2050-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31417VPC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35130 | PA      | $35976.36     | 0.01%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BOBL FUTURE DEC25                                                                                                                 | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |          7 | NC      | $393.91       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| The Montreal Exchange / Bourse De Montreal        | CAN 5YR BOND FUT DEC25                                                                                                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         42 | NC      | $40497.46     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Medtronic PLC                                     | Medtronic PLC                                                                                                                          | CUSIP: 000000000<br>LEI: 549300GX3ZBSQWUXY261 | Long             | EC               | CORP              | IE        |      21621 | NS      | $2059184.04   | 0.60%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179XDA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     546359 | PA      | $472783.28    | 0.14%             | 2052-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ALLIANZ SE                                        | Allianz SE                                                                                                                             | CUSIP: 018820AB6<br>LEI: 529900K9B0N5BT694847 | Long             | DBT              | CORP              | DE        |     400000 | PA      | $375556.84    | 0.11%             | 2027-10-30      | Fixed         | 3.20%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF ALBANIA                               | Albania Government International Bond                                                                                                  | CUSIP: 000000000<br>LEI: 254900EDM43U3SGRND29 | Long             | DBT              | NUSS              | AL        |     423000 | PA      | $499896.11    | 0.15%             | 2035-02-14      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                                                                       | CUSIP: 95000U3P6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     228000 | PA      | $235890.58    | 0.07%             | 2031-01-24      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| Reckitt Benckiser Group PLC                       | Reckitt Benckiser Group PLC                                                                                                            | CUSIP: 000000000<br>LEI: 5493003JFSMOJG48V108 | Long             | EC               | CORP              | GB        |       9170 | NS      | $708205.70    | 0.21%             |  |  |  | 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      | $1004.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ADANI ELECTRICITY MUMBAI                          | Adani Electricity Mumbai Ltd                                                                                                           | CUSIP: 00654GAA1<br>LEI: 335800AIC1B5EBFVUC38 | Long             | DBT              | CORP              | IN        |     422000 | PA      | $397275.78    | 0.12%             | 2030-02-12      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $432.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NORTHWESTERN MUTUAL LIFE                          | Northwestern Mutual Life Insurance Co/The                                                                                              | CUSIP: 668138AF7<br>LEI: 1DU7IM20QESYGDO4HO54 | Long             | DBT              | CORP              | US        |     412000 | PA      | $443210.49    | 0.13%             | 2055-05-29      | Fixed         | 6.17%                 | 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      | $-8803.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PepsiCo Inc                                       | PepsiCo Inc                                                                                                                            | CUSIP: 713448108<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | EC               | CORP              | US        |       1870 | NS      | $262622.80    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| CME Group Inc                                     | CME Group Inc                                                                                                                          | CUSIP: 12572Q105<br>LEI: LCZ7XYGSLJUHFXXNXD88 | Long             | EC               | CORP              | US        |       2898 | NS      | $783010.62    | 0.23%             |  |  |  | No            |                  1 | 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        |    4800485 | PA      | $301027.88    | 0.09%             | 2054-08-15      | Variable      | 1.62%                 | 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      | $1176.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUSINS PROPERTIES LP                             | Cousins Properties LP                                                                                                                  | CUSIP: 222793AA9<br>LEI: 254900ZQIHJ5FQH4C329 | Long             | DBT              | CORP              | US        |     142000 | PA      | $148987.28    | 0.04%             | 2034-10-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31419JSM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     270575 | PA      | $263828.79    | 0.08%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE GLOB FUNDING                           | Corebridge Global Funding                                                                                                              | CUSIP: 00138CBH0<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |     280000 | PA      | $281246.53    | 0.08%             | 2032-08-21      | Fixed         | 4.90%                 | Yes           |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2024-NQM1 Trust                                                                                                                    | CUSIP: 67448LAA0<br>LEI: 254900UI1468MQ7I8472 | Long             | ABS-MBS          | CORP              | US        |     237616 | PA      | $239549.56    | 0.07%             | 2063-11-25      | Variable      | 5.93%                 | Yes           |                  2 | On Loan: No      |
| PLAINS ALL AMER PIPELINE                          | Plains All American Pipeline LP / PAA Finance Corp                                                                                     | CUSIP: 72650RBP6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     281000 | PA      | $289634.56    | 0.08%             | 2034-09-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch International                       | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DFE              |  | N/A       |          1 | NC      | $-857.89      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MARS INC                                          | Mars Inc                                                                                                                               | CUSIP: 571676AY1<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     168000 | PA      | $171154.57    | 0.05%             | 2030-03-01      | Fixed         | 4.80%                 | Yes           |                  2 | On Loan: No      |
| L'OREAL SA                                        | L'Oreal SA                                                                                                                             | CUSIP: 502117AA2<br>LEI: 529900JI1GG6F7RKVI53 | Long             | DBT              | CORP              | FR        |     200000 | PA      | $205904.23    | 0.06%             | 2035-05-20      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| WSP GLOBAL INC                                    | WSP Global Inc                                                                                                                         | CUSIP: 92938WAB9<br>LEI: 549300IQ87LU6X6ERQ78 | Long             | DBT              | CORP              | CA        |     304000 | PA      | $235980.63    | 0.07%             | 2030-11-22      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3133B9LB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     121071 | PA      | $102138.97    | 0.03%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COPT DEFENSE PROP LP                              | COPT Defense Properties LP                                                                                                             | CUSIP: 22003BAL0<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |      95000 | PA      | $94031.36     | 0.03%             | 2026-03-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Phillips 66                                       | Phillips 66                                                                                                                            | CUSIP: 718546104<br>LEI: 5493005JBO5YSIGK1814 | Long             | EC               | CORP              | US        |       5556 | NS      | $755727.12    | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| Bank                                              | BANK 2022-BNK41                                                                                                                        | CUSIP: 06540MBQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     592000 | PA      | $549174.60    | 0.16%             | 2065-04-15      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch International                       | PURCHASED USD / SOLD CNH                                                                                                               | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DFE              |  | US        |          1 | NC      | $-2339.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Cenovus Energy Inc                                | Cenovus Energy Inc                                                                                                                     | CUSIP: 15135U109<br>LEI: 549300F4XPHJ7NOSP309 | Long             | EC               | CORP              | CA        |      16683 | NS      | $283264.56    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Henkel AG & Co KGaA                               | Henkel AG & Co KGaA                                                                                                                    | CUSIP: 000000000<br>LEI: 549300VZCL1HTH4O4Y49 | Long             | EP               | CORP              | DE        |      14893 | NS      | $1202116.58   | 0.35%             |  |  |  | No            |                  2 | On Loan: No      |
| TELUS CORP                                        | TELUS Corp                                                                                                                             | CUSIP: 87971MBV4<br>LEI: 894500WE70KKZRQMBU11 | Long             | DBT              | CORP              | CA        |     642000 | PA      | $439915.54    | 0.13%             | 2031-11-13      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| LPL HOLDINGS INC                                  | LPL Holdings Inc                                                                                                                       | CUSIP: 50212YAD6<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |     412000 | PA      | $402909.51    | 0.12%             | 2029-03-15      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Kubota Corp                                       | Kubota Corp                                                                                                                            | CUSIP: 000000000<br>LEI: 549300CSY4INHEHQQT13 | Long             | EC               | CORP              | JP        |      11700 | NS      | $147392.23    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| SAUDI ARABIAN OIL CO                              | Saudi Arabian Oil Co                                                                                                                   | CUSIP: 80414L2P9<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | CORP              | SA        |     317000 | PA      | $315256.50    | 0.09%             | 2054-07-17      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED JPY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | JP        |          1 | NC      | $-8609.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD IDR                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $7546.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NATIONWIDE BLDG SOCIETY                           | Nationwide Building Society                                                                                                            | CUSIP: 63861VAP2<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |     267000 | PA      | $265998.67    | 0.08%             | 2030-09-30      | Fixed         | 4.35%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418EBS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20789 | PA      | $17567.87     | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $541.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OPAP SA                                           | OPAP SA                                                                                                                                | CUSIP: 000000000<br>LEI: 213800M4NRGFJCI34834 | Long             | EC               | CORP              | GR        |       1876 | NS      | $43764.05     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Sodexo SA                                         | Sodexo SA                                                                                                                              | CUSIP: 000000000<br>LEI: 969500LCBOG12HXPYM84 | Long             | EC               | CORP              | FR        |      10040 | NS      | $632073.62    | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| Roche Holding AG                                  | Roche Holding AG                                                                                                                       | CUSIP: 000000000<br>LEI: 549300U41AUUVOAAOB37 | Long             | EC               | CORP              | CH        |       7087 | NS      | $2332553.16   | 0.68%             |  |  |  | No            |                  2 | On Loan: No      |
| Informa PLC                                       | Informa PLC                                                                                                                            | CUSIP: 000000000<br>LEI: 5493006VM2LKUPSEDU20 | Long             | EC               | CORP              | GB        |      53954 | NS      | $665835.38    | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| CAIXABANK SA                                      | CaixaBank SA                                                                                                                           | CUSIP: 000000000<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |     300000 | PA      | $349303.76    | 0.10%             | 2035-06-26      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3132DWDJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     222287 | PA      | $188194.36    | 0.06%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BHP BILLITON FINANCE LTD                          | BHP Billiton Finance Ltd                                                                                                               | CUSIP: 000000000<br>LEI: 549300KZMIS43NMT0A66 | Long             | DBT              | CORP              | AU        |     390000 | PA      | $456313.25    | 0.13%             | 2035-09-04      | Fixed         | 3.64%                 | No            |                  2 | On Loan: No      |
| SAMMONS FINANCIAL GROUP                           | Sammons Financial Group Inc                                                                                                            | CUSIP: 79588TAF7<br>LEI: 254900SHCOQLVJ21CT59 | Long             | DBT              | CORP              | US        |     235000 | PA      | $258761.09    | 0.08%             | 2034-04-15      | Fixed         | 6.88%                 | Yes           |                  2 | On Loan: No      |
| ACCENTURE CAPITAL INC                             | Accenture Capital Inc                                                                                                                  | CUSIP: 00440KAD5<br>LEI: 254900FRO0P7RIINYT25 | Long             | DBT              | CORP              | US        |     123000 | PA      | $121305.56    | 0.04%             | 2034-10-04      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Daikin Industries Ltd                             | Daikin Industries Ltd                                                                                                                  | CUSIP: 000000000<br>LEI: 549300Y7FWSTSHMW5Y57 | Long             | EC               | CORP              | JP        |       1700 | NS      | $196341.75    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                          | Anheuser-Busch InBev Worldwide Inc                                                                                                     | CUSIP: 03523TBV9<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |     160000 | PA      | $161771.19    | 0.05%             | 2049-01-23      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Lam Research Corp                                 | Lam Research Corp                                                                                                                      | CUSIP: 512807306<br>LEI: 549300I4GMO6D34U1T02 | Long             | EC               | CORP              | US        |       2302 | NS      | $308237.80    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| UNIVERSITY OF PENNSYLVAN                          | Trustees of the University of Pennsylvania/The                                                                                         | CUSIP: 91481CAD2<br>LEI: 549300FG60YK9HZ7DS75 | Long             | DBT              | CORP              | US        |     409000 | PA      | $244265.78    | 0.07%             | 2050-10-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                  | T-Mobile USA Inc                                                                                                                       | CUSIP: 87264ACY9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     246000 | PA      | $251279.83    | 0.07%             | 2033-07-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| NXP Semiconductors NV                             | NXP Semiconductors NV                                                                                                                  | CUSIP: 000000000<br>LEI: 724500M9BY5293JDF951 | Long             | EC               | CORP              | NL        |       4259 | NS      | $969902.07    | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| Leidos Holdings Inc                               | Leidos Holdings Inc                                                                                                                    | CUSIP: 525327102<br>LEI: 549300IUTGTP6EJP8124 | Long             | EC               | CORP              | US        |       2415 | NS      | $456338.40    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Peru Government International Bonds               | Peru Government International Bonds                                                                                                    | CUSIP: 715638EB4<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     810000 | PA      | $824985.00    | 0.24%             | 2035-02-08      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD MXN                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-3522.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| M&T BANK CORPORATION                              | M&T Bank Corp                                                                                                                          | CUSIP: 55261FAT1<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |     199000 | PA      | $211463.80    | 0.06%             | 2032-03-13      | Fixed         | 6.08%                 | No            |                  2 | On Loan: No      |
| Fiserv Inc                                        | Fiserv Inc                                                                                                                             | CUSIP: 337738108<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | EC               | CORP              | US        |       4225 | NS      | $544729.25    | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| ROMANIA                                           | Romanian Government International Bond                                                                                                 | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     230000 | PA      | $262693.33    | 0.08%             | 2036-02-22      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIAN OIL CO                              | Saudi Arabian Oil Co                                                                                                                   | CUSIP: 000000000<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | CORP              | SA        |     203000 | PA      | $216392.77    | 0.06%             | 2055-06-02      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Edison International                              | Edison International                                                                                                                   | CUSIP: 281020107<br>LEI: 549300I7ROF15MAEVP56 | Long             | EC               | CORP              | US        |       8840 | NS      | $488675.20    | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| TERNA RETE ELETTRICA                              | Terna - Rete Elettrica Nazionale                                                                                                       | CUSIP: 000000000<br>LEI: 8156009E94ED54DE7C31 | Long             | DBT              | CORP              | IT        |     260000 | PA      | $303082.53    | 0.09%             | 2031-07-22      | Fixed         | 3.00%                 | 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      | $-430.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TotalEnergies SE                                  | TotalEnergies SE                                                                                                                       | CUSIP: 000000000<br>LEI: 529900S21EQ1BO4ESM68 | Long             | EC               | CORP              | FR        |      20464 | NS      | $1248733.18   | 0.37%             |  |  |  | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                          | Corebridge Financial Inc                                                                                                               | CUSIP: 21871XAK5<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |     166000 | PA      | $143294.53    | 0.04%             | 2042-04-05      | Fixed         | 4.35%                 | 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      | $83033.02     | 0.02%             | 2031-09-25      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140XJXH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      86597 | PA      | $88851.38     | 0.03%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MediaTek Inc                                      | MediaTek Inc                                                                                                                           | CUSIP: 000000000<br>LEI: 254900UEGBK1I4DM4E14 | Long             | EC               | CORP              | TW        |      13000 | NS      | $560896.38    | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| BP CAPITAL MARKETS BV                             | BP Capital Markets BV                                                                                                                  | CUSIP: 000000000<br>LEI: 7245003VD7E4T30HJD24 | Long             | DBT              | CORP              | NL        |     180000 | PA      | $134252.69    | 0.04%             | 2040-12-04      | Fixed         | 0.93%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD ZAR                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-8954.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SEMPRA                                            | Sempra                                                                                                                                 | CUSIP: 816851BS7<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |     138000 | PA      | $142991.47    | 0.04%             | 2054-10-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY ENERG                          | Berkshire Hathaway Energy Co                                                                                                           | CUSIP: 59562VBD8<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |      92000 | PA      | $89411.55     | 0.03%             | 2043-11-15      | Fixed         | 5.15%                 | 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      | $993.97       | 0.00%             |  |  |  | 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      | $-6418.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Canada Government Bonds                           | Canada Government Bonds                                                                                                                | CUSIP: 135087S47<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    2971000 | PA      | $2140200.21   | 0.63%             | 2030-03-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| CBQ FINANCE LTD                                   | CBQ Finance Ltd                                                                                                                        | CUSIP: 000000000<br>LEI: 213800FNEMX56U9OHK56 | Long             | DBT              | CORP              | BM        |     400000 | PA      | $401530.42    | 0.12%             | 2030-09-10      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| NatWest Group PLC                                 | NatWest Group PLC                                                                                                                      | CUSIP: 000000000<br>LEI: 2138005O9XJIJN4JPN90 | Long             | EC               | CORP              | GB        |     368311 | NS      | $2583700.06   | 0.76%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140QKNN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     208193 | PA      | $175496.40    | 0.05%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140MKJB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     451454 | PA      | $397234.40    | 0.12%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | E-MINI RUSS 2000 DEC25                                                                                                                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |        -91 | NC      | $-64608.63    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-1456.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31410KGB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21488 | PA      | $22356.97     | 0.01%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $2277.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128MJM64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     103185 | PA      | $103716.66    | 0.03%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ROCKIES EXPRESS PIPELINE                          | Rockies Express Pipeline LLC                                                                                                           | CUSIP: 77340RAR8<br>LEI: W2ZGZGZKY5GGNY6F3V51 | Long             | DBT              | CORP              | US        |      41000 | PA      | $40667.41     | 0.01%             | 2029-07-15      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | N/A       |          1 | NC      | $668.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD CLP                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-7283.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| National Bank of Greece SA                        | National Bank of Greece SA                                                                                                             | CUSIP: 000000000<br>LEI: 5UMCZOEYKCVFAW8ZLO05 | Long             | EC               | CORP              | GR        |      18217 | NS      | $265336.94    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| LOGICOR FINANCING SARL                            | Logicor Financing Sarl                                                                                                                 | CUSIP: 000000000<br>LEI: 254900IS16Q1A2TQFN22 | Long             | DBT              | CORP              | LU        |     280000 | PA      | $328533.85    | 0.10%             | 2032-07-14      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140QKSJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     192527 | PA      | $162291.69    | 0.05%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Finning International Inc                         | Finning International Inc                                                                                                              | CUSIP: 318071404<br>LEI: 549300QLDCP11KB6XW55 | Long             | EC               | CORP              | CA        |       5810 | NS      | $269897.61    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| FLOWERS FOODS INC                                 | Flowers Foods Inc                                                                                                                      | CUSIP: 343498AE1<br>LEI: 7YNCQQNDK8FBM9BBTK25 | Long             | DBT              | CORP              | US        |      79000 | PA      | $78323.09     | 0.02%             | 2055-03-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| MAGYAR EXPORT-IMPORT BAN                          | Magyar Export-Import Bank Zrt                                                                                                          | CUSIP: 55977YAA6<br>LEI: 529900O4UGETQ9Q3AA63 | Long             | DBT              | NUSS              | HU        |     208000 | PA      | $215077.52    | 0.06%             | 2027-12-04      | Fixed         | 6.13%                 | Yes           |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $10681.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Kao Corp                                          | Kao Corp                                                                                                                               | CUSIP: 000000000<br>LEI: 353800HM38HFCB8RGL63 | Long             | EC               | CORP              | JP        |       2600 | NS      | $113416.51    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Citibank NA                                       | PURCHASED CHF / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | CH        |          1 | NC      | $-2681.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTL BK RECON & DEVELOP                           | International Bank for Reconstruction & Development                                                                                    | CUSIP: 000000000<br>LEI: ZTMSNXROF84AHWJNKQ93 | Long             | DBT              | NUSS              | N/A       |     785000 | PA      | $1050508.53   | 0.31%             | 2030-10-22      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| French Republic Government Bonds OAT              | French Republic Government Bonds OAT                                                                                                   | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    1390000 | PA      | $1621613.36   | 0.48%             | 2031-02-25      | Fixed         | 2.70%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138EPUM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     133380 | PA      | $133414.00    | 0.04%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NORTHERN STAR RESOU                               | Northern Star Resources Ltd                                                                                                            | CUSIP: 66573RAA6<br>LEI: 254900XFXCRYYZAX6M78 | Long             | DBT              | CORP              | AU        |     260000 | PA      | $275118.09    | 0.08%             | 2033-04-11      | Fixed         | 6.13%                 | Yes           |                  2 | On Loan: No      |
| RIKISBREF                                         | Iceland Rikisbref                                                                                                                      | CUSIP: 000000000<br>LEI: 549300K5GD3JPA2LLG98 | Long             | DBT              | NUSS              | IS        |   67100000 | PA      | $520592.00    | 0.15%             | 2028-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Microsoft Corp                                    | Microsoft Corp                                                                                                                         | CUSIP: 594918104<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | EC               | CORP              | US        |       2489 | NS      | $1289177.55   | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| Suncor Energy Inc                                 | Suncor Energy Inc                                                                                                                      | CUSIP: 867224107<br>LEI: 549300W70ZOQDVLCHY06 | Long             | EC               | CORP              | CA        |      20668 | NS      | $864916.52    | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| LCH Ltd.                                          | Long: SM11689   IRS CNY R F  1.64450 SM11689_FIX CCPVANILLA / Short: SM11689   IRS CNY P V 03MCNRR SM11689_FLO CCPVANILLA              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   33500000 | OU      | $3921.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $1148.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Gerdau SA                                         | Gerdau SA                                                                                                                              | CUSIP: 000000000<br>LEI: 254900YDV6SEQQPZVG24 | Long             | EP               | CORP              | BR        |      29868 | NS      | $93213.86     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140XDYN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54385 | PA      | $46637.90     | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Becton Dickinson & Co                             | Becton Dickinson & Co                                                                                                                  | CUSIP: 075887109<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | EC               | CORP              | US        |       9069 | NS      | $1697444.73   | 0.50%             |  |  |  | No            |                  1 | On Loan: No      |
| MEX BONOS DESARR FIX RT                           | Mexican Bonos                                                                                                                          | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   16000000 | PA      | $824807.93    | 0.24%             | 2033-05-26      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                    | European Union                                                                                                                         | CUSIP: 000000000<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | N/A       |     273000 | PA      | $317903.63    | 0.09%             | 2055-10-12      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                      | UBS Group AG                                                                                                                           | CUSIP: 902613BS6<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     200000 | PA      | $203885.80    | 0.06%             | 2035-02-05      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Japan Government Thirty Year Bonds                | Japan Government Thirty Year Bonds                                                                                                     | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  180600000 | PA      | $692260.31    | 0.20%             | 2050-03-20      | Fixed         | 0.40%                 | 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      | $797.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED MXN / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | MX        |          1 | NC      | $29811.18     | 0.01%             |  |  |  | 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      | $21501.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED AUD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |          1 | NC      | $13772.75     | 0.00%             |  |  |  | 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      | $26342.21     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD THB                                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $14656.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CADILLAC FAIRVIEW PRP TR                          | Ontario Teachers' Cadillac Fairview Properties Trust                                                                                   | CUSIP: 68327LAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     317000 | PA      | $282713.14    | 0.08%             | 2031-10-15      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| ACCENTURE CAPITAL INC                             | Accenture Capital Inc                                                                                                                  | CUSIP: 00440KAC7<br>LEI: 254900FRO0P7RIINYT25 | Long             | DBT              | CORP              | US        |     206000 | PA      | $205692.47    | 0.06%             | 2031-10-04      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138A2AX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     168805 | PA      | $162929.99    | 0.05%             | 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        |       6601 | PA      | $6697.69      | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RIO TINTO FIN USA PLC                             | RIO TINTO FIN USA PLC                                                                                                                  | CUSIP: 76720AAT3<br>LEI: 2138006TSNBEUA761G16 | Long             | DBT              | CORP              | GB        |     230000 | PA      | $236433.58    | 0.07%             | 2032-03-14      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-5643.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Regal Rexnord Corp                                | Regal Rexnord Corp                                                                                                                     | CUSIP: 758750103<br>LEI: QH78R09VCJGQKPBPYU33 | Long             | EC               | CORP              | US        |       3065 | NS      | $439643.60    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-199.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Aptiv PLC                                         | Aptiv PLC                                                                                                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JE        |      10729 | NS      | $925054.38    | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| ENEL FINANCE INTL NV                              | Enel Finance International NV                                                                                                          | CUSIP: 29278GAP3<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |     230000 | PA      | $205363.73    | 0.06%             | 2031-07-12      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| SAGE GROUP PLC/THE                                | Sage Group PLC/The                                                                                                                     | CUSIP: 000000000<br>LEI: 2138005RN5XYLTF8G138 | Long             | DBT              | CORP              | GB        |     191000 | PA      | $213650.34    | 0.06%             | 2034-02-08      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED GBP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | GB        |          1 | NC      | $-13126.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED SEK / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | SE        |          1 | NC      | $16469.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SANDOZ FINANCE B.V.                               | Sandoz Finance BV                                                                                                                      | CUSIP: 000000000<br>LEI: 213800DFA3WXJ7KC9R74 | Long             | DBT              | CORP              | NL        |     140000 | PA      | $167327.81    | 0.05%             | 2035-03-26      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-SCHATZ FUT DEC25                                                                                                                  | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        -81 | NC      | $9629.95      | 0.00%             |  |  |  | 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      | $-252.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Exchange traded                                   | EQI00103 MFS                                                                                                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |         76 | NC      | $44703.15     | 0.01%             |  |  |  | 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      | $-12156.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                                                                            | CUSIP: 694308KM8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      53000 | PA      | $56972.04     | 0.02%             | 2033-06-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-1767.53     | -0.00%            |  |  |  | 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      | $-14244.69    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Willis Towers Watson PLC                          | Willis Towers Watson PLC                                                                                                               | CUSIP: 000000000<br>LEI: 549300WHC56FF48KL350 | Long             | EC               | CORP              | IE        |       3115 | NS      | $1076076.75   | 0.32%             |  |  |  | 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      | $98577.13     | 0.03%             | 2030-08-25      | Variable      | 1.70%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                                   | AREIT 2022-CRE6 Trust                                                                                                                  | CUSIP: 04002VAJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     100000 | PA      | $97749.96     | 0.03%             | 2037-01-20      | Floating      | 7.24%                 | Yes           |                  2 | On Loan: No      |
| NVIDIA Corp                                       | NVIDIA Corp                                                                                                                            | CUSIP: 67066G104<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | EC               | CORP              | US        |       1806 | NS      | $336963.48    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| FLOWERS FOODS INC                                 | Flowers Foods Inc                                                                                                                      | CUSIP: 343498AD3<br>LEI: 7YNCQQNDK8FBM9BBTK25 | Long             | DBT              | CORP              | US        |     170000 | PA      | $173154.01    | 0.05%             | 2035-03-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                          | Occidental Petroleum Corp                                                                                                              | CUSIP: 674599DF9<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     150000 | PA      | $159400.05    | 0.05%             | 2036-09-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| Chevron Corp                                      | Chevron Corp                                                                                                                           | CUSIP: 166764100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       7566 | NS      | $1174924.14   | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| Johnson Controls International plc                | Johnson Controls International plc                                                                                                     | CUSIP: 000000000<br>LEI: 549300XQ6S1GYKGBL205 | Long             | EC               | CORP              | IE        |       8610 | NS      | $946669.50    | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD SGD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $3249.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128M4V42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4084 | PA      | $4254.29      | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Woodside Energy Group Ltd                         | Woodside Energy Group Ltd                                                                                                              | CUSIP: 000000000<br>LEI: 2549005ZC5RXAOO7FH41 | Long             | EC               | CORP              | AU        |      13382 | NS      | $203927.63    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Italy Buoni Poliennali Del Tesoro                 | Italy Buoni Poliennali Del Tesoro                                                                                                      | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     455000 | PA      | $524839.33    | 0.15%             | 2054-10-01      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD SGD                                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-1054.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ABBVIE INC                                        | AbbVie Inc                                                                                                                             | CUSIP: 00287YDZ9<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |      78000 | PA      | $80290.12     | 0.02%             | 2030-03-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED CHF / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | CH        |          1 | NC      | $-1885.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-494.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Republic of South Africa                          | Republic of South Africa Government Bond                                                                                               | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   29166000 | PA      | $1656521.85   | 0.49%             | 2035-02-28      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN BANK GMBH                              | Volkswagen Bank GmbH                                                                                                                   | CUSIP: 000000000<br>LEI: 529900GJD3OQLRZCKW37 | Long             | DBT              | CORP              | DE        |     200000 | PA      | $234998.24    | 0.07%             | 2031-06-19      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| EP INFRASTRUCTURE AS                              | EP Infrastructure AS                                                                                                                   | CUSIP: 000000000<br>LEI: 315700I4J1M1NKGWWY89 | Long             | DBT              | CORP              | CZ        |     333000 | PA      | $379722.97    | 0.11%             | 2028-10-09      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| ROCKIES EXPRESS PIPELINE                          | Rockies Express Pipeline LLC                                                                                                           | CUSIP: 77340RAM9<br>LEI: W2ZGZGZKY5GGNY6F3V51 | Long             | DBT              | CORP              | US        |      58000 | PA      | $59693.83     | 0.02%             | 2040-04-15      | Fixed         | 6.88%                 | Yes           |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                          | Charter Communications Operating LLC / Charter Communications Operating Capital                                                        | CUSIP: 161175CS1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     175000 | PA      | $176671.65    | 0.05%             | 2035-12-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31403DBY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61573 | PA      | $63255.10     | 0.02%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ASX Clear (Futures)                               | AUST 10Y BOND FUT DEC25                                                                                                                | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |        195 | NC      | $-46539.08    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Cigna Group/The                                   | Cigna Group/The                                                                                                                        | CUSIP: 125523100<br>LEI: 549300VIWYMSIGT1U456 | Long             | EC               | CORP              | US        |       5672 | NS      | $1634954.00   | 0.48%             |  |  |  | No            |                  1 | On Loan: No      |
| Cie Financiere Richemont SA                       | Cie Financiere Richemont SA                                                                                                            | CUSIP: 000000000<br>LEI: 549300YIPGJ6UX2QPS51 | Long             | EC               | CORP              | CH        |       2427 | NS      | $465690.06    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| BIOGEN INC                                        | Biogen Inc                                                                                                                             | CUSIP: 09062XAN3<br>LEI: W8J5WZB5IY3K0NDQT671 | Long             | DBT              | CORP              | US        |     213000 | PA      | $218974.34    | 0.06%             | 2031-01-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| EUROFINS SCIENTIFIC SE                            | Eurofins Scientific SE                                                                                                                 | CUSIP: 000000000<br>LEI: 529900JEHFM47DYY3S57 | Long             | DBT              | CORP              | LU        |     100000 | PA      | $117684.48    | 0.03%             | 2033-02-05      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| ENBW INTL FINANCE BV                              | EnBW International Finance BV                                                                                                          | CUSIP: 000000000<br>LEI: 724500CNCIO1ZTJ0X675 | Long             | DBT              | CORP              | NL        |     200000 | PA      | $235271.52    | 0.07%             | 2035-11-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128M9BH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      93837 | PA      | $96388.05     | 0.03%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| M&T Bank Corp                                     | M&T Bank Corp                                                                                                                          | CUSIP: 55261F104<br>LEI: 549300WYXDDBYRASEG81 | Long             | EC               | CORP              | US        |        974 | NS      | $192481.88    | 0.06%             |  |  |  | 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      | $-38.57       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3133BQTE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      59396 | PA      | $61170.92     | 0.02%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED PLN / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | PL        |          1 | NC      | $1881.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Shimamura Co Ltd                                  | Shimamura Co Ltd                                                                                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |       2600 | NS      | $173860.77    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140L1Y41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     253235 | PA      | $207522.12    | 0.06%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AMPRION GMBH                                      | Amprion GmbH                                                                                                                           | CUSIP: 000000000<br>LEI: 529900ZIV0ETYHYZM863 | Long             | DBT              | CORP              | DE        |     200000 | PA      | $236272.61    | 0.07%             | 2036-06-05      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2024-9                                                                                                        | CUSIP: 03466JAA7<br>LEI: 254900O3R79X1AD55F36 | Long             | ABS-MBS          | CORP              | US        |     510239 | PA      | $510076.12    | 0.15%             | 2069-09-25      | Variable      | 5.14%                 | Yes           |                  2 | On Loan: No      |
| Kasikornbank PCL                                  | Kasikornbank PCL                                                                                                                       | CUSIP: 000000000<br>LEI: 5493004COSQ54937AW41 | Long             | EC               | CORP              | TH        |      33300 | NS      | $171612.41    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31416BW87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     327211 | PA      | $325993.14    | 0.10%             | 2034-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                 | Eversource Energy                                                                                                                      | CUSIP: 30040WAX6<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |     253000 | PA      | $261251.31    | 0.08%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | N/A       |          1 | NC      | $4363.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2021-BNK35                                                                                                                        | CUSIP: 06540CBL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2895991 | PA      | $122978.56    | 0.04%             | 2064-06-15      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| Japan Government Ten Year Bonds                   | Japan Government Ten Year Bonds                                                                                                        | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  231000000 | PA      | $1531377.62   | 0.45%             | 2035-03-20      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD NOK                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $141.57       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BPCE SA                                           | BPCE SA                                                                                                                                | CUSIP: 05583JAJ1<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     300000 | PA      | $264558.35    | 0.08%             | 2032-01-20      | Fixed         | 2.28%                 | Yes           |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                           | Oncor Electric Delivery Co LLC                                                                                                         | CUSIP: 68233JCZ5<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |     297000 | PA      | $307186.44    | 0.09%             | 2035-04-01      | Fixed         | 5.35%                 | Yes           |                  2 | On Loan: No      |
| Massachusetts Educational Financing Authority     | MASSACHUSETTS ST EDUCTNL FING AUTH                                                                                                     | CUSIP: 57563RRZ4<br>LEI: 5493007K5OP7V6CL0Y88 | Long             | DBT              | MUN               | US        |     535000 | PA      | $502235.58    | 0.15%             | 2037-07-01      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUE                             | Venture Global Plaquemines LNG LLC                                                                                                     | CUSIP: 922966AD8<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |      86000 | PA      | $91347.22     | 0.03%             | 2036-01-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Spain Government Bonds                            | Spain Government Bonds                                                                                                                 | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     853000 | PA      | $997589.54    | 0.29%             | 2035-04-30      | Fixed         | 3.15%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140QEAV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45656 | PA      | $39235.67     | 0.01%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Target Corp                                       | Target Corp                                                                                                                            | CUSIP: 87612E106<br>LEI: 8WDDFXB5T1Z6J0XC1L66 | Long             | EC               | CORP              | US        |       2463 | NS      | $220931.10    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | N/A       |          1 | NC      | $3923.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                           | Hyundai Capital America                                                                                                                | CUSIP: 44891AEA1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |      82000 | PA      | $81609.58     | 0.02%             | 2030-09-18      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31410KJU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58149 | PA      | $61278.61     | 0.02%             | 2038-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                           | Hyundai Capital America                                                                                                                | CUSIP: 44891ACT2<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     154000 | PA      | $155647.74    | 0.05%             | 2027-01-08      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs International                       | PURCHASED USD / SOLD PLN                                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-620.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                             | China Government Bond                                                                                                                  | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |   16970000 | PA      | $2538861.64   | 0.74%             | 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        |    5404035 | PA      | $181678.79    | 0.05%             | 2054-06-15      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-743.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES                           | Royal Caribbean Cruises Ltd                                                                                                            | CUSIP: 78017TAB9<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |      93000 | PA      | $93542.35     | 0.03%             | 2036-01-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US ULTRA BOND CBT DEC25                                                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         -2 | NC      | $-7507.66     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $2858.95      | 0.00%             |  |  |  | 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        |     210000 | PA      | $159331.33    | 0.05%             | 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      | $166203.92    | 0.05%             | 2050-06-18      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| STRYKER CORP                                      | Stryker Corp                                                                                                                           | CUSIP: 863667BM2<br>LEI: 5493002F0SC4JTBU5137 | Long             | DBT              | CORP              | US        |     229000 | PA      | $236156.88    | 0.07%             | 2035-02-10      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| BOSTON GAS COMPANY                                | Boston Gas Co                                                                                                                          | CUSIP: 100743AP8<br>LEI: FN7P4E7K9JOBORDEUX61 | Long             | DBT              | CORP              | US        |     321000 | PA      | $338584.65    | 0.10%             | 2035-01-10      | Fixed         | 5.84%                 | Yes           |                  2 | On Loan: No      |
| HOME DEPOT INC                                    | Home Depot Inc/The                                                                                                                     | CUSIP: 437076BD3<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |     178000 | PA      | $168906.25    | 0.05%             | 2044-02-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179WR26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     204794 | PA      | $176393.19    | 0.05%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      50861 | PA      | $43823.86     | 0.01%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Japan Government Thirty Year Bonds                | Japan Government Thirty Year Bonds                                                                                                     | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  145000000 | PA      | $997356.05    | 0.29%             | 2040-03-20      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Japan Government Thirty Year Bonds                | Japan Government Thirty Year Bonds                                                                                                     | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  221650000 | PA      | $875478.91    | 0.26%             | 2051-12-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD KRW                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $1124.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED CLP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | CL        |          1 | NC      | $-1812.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Volvo Financial Equipment LLC                     | Volvo Financial Equipment LLC Series 2024-1                                                                                            | CUSIP: 92887QAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     158655 | PA      | $158898.93    | 0.05%             | 2027-05-17      | Fixed         | 4.56%                 | Yes           |                  2 | On Loan: No      |
| New Zealand Government Bonds                      | New Zealand Government Bonds                                                                                                           | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |     663000 | PA      | $344314.19    | 0.10%             | 2032-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Techtronic Industries Co Ltd                      | Techtronic Industries Co Ltd                                                                                                           | CUSIP: 000000000<br>LEI: 549300HZW2SBE758OK89 | Long             | EC               | CORP              | HK        |      41500 | NS      | $530885.57    | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED DKK / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | DK        |          1 | NC      | $-579.42      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MARSH & MCLENNAN COS INC                          | Marsh & McLennan Cos Inc                                                                                                               | CUSIP: 571748CD2<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |     221000 | PA      | $216673.17    | 0.06%             | 2055-03-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Stanley Black & Decker Inc                        | Stanley Black & Decker Inc                                                                                                             | CUSIP: 854502101<br>LEI: 549300DJ09SMTO561131 | Long             | EC               | CORP              | US        |       2895 | NS      | $215185.35    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| HUNGARIAN DEVELOPMENT BA                          | MFB Magyar Fejlesztesi Bank Zrt                                                                                                        | CUSIP: 000000000<br>LEI: 549300KCFVCFTUJZYT59 | Long             | DBT              | NUSS              | HU        |     437000 | PA      | $530407.51    | 0.16%             | 2030-06-27      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD KRW                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $16929.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD IDR                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $19487.69     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Exxon Mobil Corp                                  | Exxon Mobil Corp                                                                                                                       | CUSIP: 30231G102<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | EC               | CORP              | US        |       6037 | NS      | $680671.75    | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $64.86        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED GBP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | GB        |          1 | NC      | $-82.26       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                                                                            | CUSIP: 694308KL0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      68000 | PA      | $71135.29     | 0.02%             | 2029-01-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                      | CUSIP: 3136BWXA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     358718 | PA      | $360880.45    | 0.11%             | 2055-07-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                                     | CUSIP: 3137HJAS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     301606 | PA      | $303796.03    | 0.09%             | 2055-02-25      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| National Stock Exchange Of India                  | IFSC NIFTY 50 FUT OCT25                                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | IN        |       -162 | NC      | $193569.94    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31413RFX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16796 | PA      | $17494.66     | 0.01%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SM11878   IRS USD R F  3.15300 SM11878_FIX CCPOIS / Short: SM11878   IRS USD P V 12MSOFR SM11878_FLO CCPOIS                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  107700000 | OU      | $-302989.18   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Nestle SA                                         | Nestle SA                                                                                                                              | CUSIP: 000000000<br>LEI: KY37LUS27QQX7BB93L28 | Long             | EC               | CORP              | CH        |       2513 | NS      | $230670.07    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                            | PURCHASED CAD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | CA        |          1 | NC      | $-27979.28    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Doosan Bobcat Inc                                 | Doosan Bobcat Inc                                                                                                                      | CUSIP: 000000000<br>LEI: 9884007K6X0Q0112FX44 | Long             | EC               | CORP              | KR        |       4525 | NS      | $178993.98    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| CEZ AS                                            | CEZ AS                                                                                                                                 | CUSIP: 000000000<br>LEI: 529900S5R9YHJHYKKG94 | Long             | DBT              | CORP              | CZ        |     238000 | PA      | $283779.80    | 0.08%             | 2033-04-30      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| NATIONAL GRID NA INC                              | National Grid North America Inc                                                                                                        | CUSIP: 000000000<br>LEI: 5Q3U0WRKWZZGRMPYFT08 | Long             | DBT              | CORP              | US        |     250000 | PA      | $297788.30    | 0.09%             | 2035-06-03      | Fixed         | 3.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140MGEZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43726 | PA      | $37000.30     | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3132E0A85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32478 | PA      | $28566.18     | 0.01%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | N/A       |          1 | NC      | $-332.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                       | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $2339.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                     | Boeing Co/The                                                                                                                          | CUSIP: 097023204<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | EP               | CORP              | US        |       4275 | NS      | $297411.75    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs International                       | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-1370.85     | -0.00%            |  |  |  | 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      | $120616.28    | 0.04%             | 2030-05-25      | Variable      | 1.77%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $5266.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CARLYLE GROUP INC/THE                             | Carlyle Group Inc/The                                                                                                                  | CUSIP: 14316JAA6<br>LEI: 529900NGGVF94UK6PG95 | Long             | DBT              | CORP              | US        |     551000 | PA      | $549073.16    | 0.16%             | 2035-09-19      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD IDR                                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $2370.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AA BOND CO LTD                                    | AA Bond Co Ltd                                                                                                                         | CUSIP: 000000000<br>LEI: 2138002EPF6QVRZBMC58 | Long             | DBT              | CORP              | JE        |     150000 | PA      | $211478.00    | 0.06%             | 2031-07-31      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US LONG BOND(CBT) DEC25                                                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         16 | NC      | $34518.13     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| South African Futures Exchange                    | FTSE/JSE TOP 40 DEC25                                                                                                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | ZA        |         -7 | NC      | $-17280.01    | -0.01%            |  |  |  | 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        |    8077837 | PA      | $183509.06    | 0.05%             | 2031-03-25      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2021-B28 Mortgage Trust                                                                                                      | CUSIP: 08163GAZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5130427 | PA      | $261631.27    | 0.08%             | 2054-08-15      | Variable      | 1.35%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                       | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-5637.92     | -0.00%            |  |  |  | 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      | $-796.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FAIRFAX FINL HLDGS LTD                            | Fairfax Financial Holdings Ltd                                                                                                         | CUSIP: 303901BV3<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |     282000 | PA      | $292360.61    | 0.09%             | 2035-05-20      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179XVS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19949 | PA      | $19953.91     | 0.01%             | 2053-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD ZAR                                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-278.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                     | Citigroup Inc                                                                                                                          | CUSIP: 17327CBC6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     284000 | PA      | $292678.19    | 0.09%             | 2030-08-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| NetEase Inc                                       | NetEase Inc                                                                                                                            | CUSIP: 000000000<br>LEI: 5299004AF4DSJDB0PA32 | Long             | EC               | CORP              | KY        |      14900 | NS      | $453397.93    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED CNH / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | CN        |          1 | NC      | $-302.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Exchange traded                                   | ISHARES MSCI EMERGING MARKETS                                                                                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |       1900 | NC      | $89300.00     | 0.03%             |  |  |  | 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        |     184349 | PA      | $184142.95    | 0.05%             | 2039-02-23      | Floating      | 6.63%                 | Yes           |                  2 | On Loan: No      |
| FORVIA SE                                         | Forvia SE                                                                                                                              | CUSIP: 000000000<br>LEI: 969500F0VMZLK2IULV85 | Long             | DBT              | CORP              | FR        |     200000 | PA      | $239212.12    | 0.07%             | 2031-03-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| DB Insurance Co Ltd                               | DB Insurance Co Ltd                                                                                                                    | CUSIP: 000000000<br>LEI: 9884000ZF26VNJBWSJ91 | Long             | EC               | CORP              | KR        |        932 | NS      | $92001.00     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Secom Co Ltd                                      | Secom Co Ltd                                                                                                                           | CUSIP: 000000000<br>LEI: 529900TYCL9N3E9PGE47 | Long             | EC               | CORP              | JP        |       9600 | NS      | $352165.53    | 0.10%             |  |  |  | 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      | $-2184.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                  | COLT 2024-6 Mortgage Loan Trust                                                                                                        | CUSIP: 19688XAA4<br>LEI: 213800U2X2TO1PQH1O75 | Long             | ABS-MBS          | CORP              | US        |     161695 | PA      | $162570.34    | 0.05%             | 2069-11-25      | Variable      | 5.39%                 | Yes           |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED NZD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | NZ        |          1 | NC      | $-36653.60    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $3465.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140F5DA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82597 | PA      | $77422.69     | 0.02%             | 2046-12-01      | Fixed         | 3.50%                 | 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      | $-118850.26   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Nitto Denko Corp                                  | Nitto Denko Corp                                                                                                                       | CUSIP: 000000000<br>LEI: 3538009GX5P09USH2J25 | Long             | EC               | CORP              | JP        |       2600 | NS      | $61833.18     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Lenovo Group Ltd                                  | Lenovo Group Ltd                                                                                                                       | CUSIP: 000000000<br>LEI: 254900VUZRGD5U73RE46 | Long             | EC               | CORP              | HK        |      80000 | NS      | $118736.31    | 0.03%             |  |  |  | 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        |     135000 | PA      | $131082.39    | 0.04%             | 2039-12-01      | Fixed         | 5.08%                 | 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        |     440000 | PA      | $449149.40    | 0.13%             | 2052-12-01      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| RIKISBREF                                         | Iceland Rikisbref                                                                                                                      | CUSIP: 000000000<br>LEI: 549300K5GD3JPA2LLG98 | Long             | DBT              | NUSS              | IS        |   84000000 | PA      | $677124.48    | 0.20%             | 2031-01-24      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED IDR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | ID        |          1 | NC      | $3931.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3132DM5N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     753898 | PA      | $635479.68    | 0.19%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED THB / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TH        |          1 | NC      | $-704.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HUMANA INC                                        | Humana Inc                                                                                                                             | CUSIP: 444859CD2<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |     341000 | PA      | $347396.67    | 0.10%             | 2035-05-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON INGALLS INDUS                          | Huntington Ingalls Industries Inc                                                                                                      | CUSIP: 446413AT3<br>LEI: 5TZLZ6WJTBVJ0QWBG121 | Long             | DBT              | CORP              | US        |     148000 | PA      | $145944.18    | 0.04%             | 2030-05-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUE                             | Venture Global Plaquemines LNG LLC                                                                                                     | CUSIP: 922966AC0<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |     125000 | PA      | $131582.18    | 0.04%             | 2034-01-15      | Fixed         | 6.50%                 | Yes           |                  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      | $160010.01    | 0.05%             | 2038-12-15      | Floating      | 6.56%                 | Yes           |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED CLP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | CL        |          1 | NC      | $-8372.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROCKET COS INC                                    | Rocket Cos Inc                                                                                                                         | CUSIP: 77311WAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      98000 | PA      | $101147.17    | 0.03%             | 2033-08-01      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| APA INFRASTRUCTURE LTD                            | APA Infrastructure Ltd                                                                                                                 | CUSIP: 00188LAA5<br>LEI: 261700SS8OEHDOCOUJ33 | Long             | DBT              | CORP              | AU        |     157000 | PA      | $159117.48    | 0.05%             | 2034-09-16      | Fixed         | 5.13%                 | Yes           |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED NOK / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | NO        |          1 | NC      | $25974.05     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Grupo Financiero Banorte SAB de CV                | Grupo Financiero Banorte SAB de CV                                                                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | MX        |      13477 | NS      | $135759.79    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128M6VZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      61745 | PA      | $63383.53     | 0.02%             | 2038-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                     | AEP Texas Inc                                                                                                                          | CUSIP: 00108WAT7<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |     277000 | PA      | $288264.86    | 0.08%             | 2034-05-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31411UZX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18398 | PA      | $19128.23     | 0.01%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bundesrepublik Deutschland Bundesanleihe          | Bundesrepublik Deutschland Bundesanleihe                                                                                               | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |     100000 | PA      | $113952.18    | 0.03%             | 2034-02-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Fresenius Medical Care AG                         | Fresenius Medical Care AG                                                                                                              | CUSIP: 000000000<br>LEI: 549300CP8NY40UP89Q40 | Long             | EC               | CORP              | DE        |       2846 | NS      | $149334.44    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Exchange traded                                   | S+P 500 INDEX                                                                                                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          7 | NC      | $6531.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EMPIRE DISTRICT BONDCO                            | Empire District Bondco LLC                                                                                                             | CUSIP: 291918AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     296371 | PA      | $300062.17    | 0.09%             | 2033-01-01      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| ELM Trust 2024                                    | ELM Trust 2024-ELM                                                                                                                     | CUSIP: 26860XBC4<br>LEI: 254900IIXJ23M1M8Y987 | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $100822.18    | 0.03%             | 2039-06-10      | Variable      | 6.40%                 | Yes           |                  2 | On Loan: No      |
| BOEING CO/THE                                     | Boeing Co/The                                                                                                                          | CUSIP: 097023DR3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      88000 | PA      | $95842.11     | 0.03%             | 2031-05-01      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-1065.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                          | Charter Communications Operating LLC / Charter Communications Operating Capital                                                        | CUSIP: 161175CP7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      77000 | PA      | $82281.98     | 0.02%             | 2034-02-01      | Fixed         | 6.65%                 | 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      | $-113.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137HHJ44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1094107 | PA      | $76463.64     | 0.02%             | 2034-09-25      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| GFL ENVIRONMENTAL INC                             | GFL Environmental Inc                                                                                                                  | CUSIP: 36168QAQ7<br>LEI: 894500E7NLBY9VZRT696 | Long             | DBT              | CORP              | CA        |     142000 | PA      | $148591.74    | 0.04%             | 2031-01-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Koninklijke KPN NV                                | Koninklijke KPN NV                                                                                                                     | CUSIP: 000000000<br>LEI: 549300YO0JZHAL7FVP81 | Long             | EC               | CORP              | NL        |     107230 | NS      | $514863.06    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| JH NORTH AMERICA HOLDING                          | JH North America Holdings Inc                                                                                                          | CUSIP: 46593WAB1<br>LEI: 254900A6FXA0D81TL967 | Long             | DBT              | CORP              | US        |     180000 | PA      | $184369.32    | 0.05%             | 2032-07-31      | Fixed         | 6.13%                 | Yes           |                  2 | On Loan: No      |
| B3 SA - Brasil, Bolsa, Balcao                     | MINI BOVESPA FUT OCT25                                                                                                                 | CUSIP: 000000000<br>LEI: 4GTK5S46E6H318LMDS44 | N/A              | DE               |  | BR        |       -193 | NC      | $-72418.12    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| B3 SA - Brasil, Bolsa, Balcao                     | MINI BOVESPA FUT OCT25                                                                                                                 | CUSIP: 000000000<br>LEI: 4GTK5S46E6H318LMDS44 | N/A              | DE               |  | BR        |          0 | NC      | $27.65        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Bacardi Ltd                                       | Bacardi Ltd                                                                                                                            | CUSIP: 067316AG4<br>LEI: 549300R32WTQNHNN5055 | Long             | DBT              | CORP              | BM        |     335000 | PA      | $316442.76    | 0.09%             | 2038-05-15      | Fixed         | 5.15%                 | Yes           |                  2 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                                                                                            | CUSIP: 68389XDK8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     144000 | PA      | $144173.16    | 0.04%             | 2032-09-26      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| INPOST NA                                         | InPost SA                                                                                                                              | CUSIP: 000000000<br>LEI: 2221003M23QLERR89585 | Long             | DBT              | CORP              | LU        |     178000 | PA      | $209374.32    | 0.06%             | 2031-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140QMZC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55989 | PA      | $47913.27     | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MBANK SA                                          | mBank SA                                                                                                                               | CUSIP: 000000000<br>LEI: 259400DZXF7UJKK2AY35 | Long             | DBT              | CORP              | PL        |     300000 | PA      | $359332.35    | 0.11%             | 2030-09-27      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                                                                                    | CUSIP: 46647PBX3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     548000 | PA      | $484414.24    | 0.14%             | 2032-02-04      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch International                       | PURCHASED GBP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DFE              |  | GB        |          1 | NC      | $-1634.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Japan Government Twenty Year Bonds                | Japan Government Twenty Year Bonds                                                                                                     | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  728800000 | PA      | $3824197.94   | 1.12%             | 2039-12-20      | Fixed         | 0.30%                 | No            |                  2 | On Loan: No      |
| VISA INC                                          | Visa Inc                                                                                                                               | CUSIP: 000000000<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | DBT              | CORP              | US        |     130000 | PA      | $152968.63    | 0.04%             | 2044-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Borsa Italiana SpA                                | BIST 30 FUTURES OCT25                                                                                                                  | CUSIP: 000000000<br>LEI: 8156005391EE905D3124 | N/A              | DE               |  | TR        |       1925 | NC      | $-414270.82   | -0.12%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | PURCHASED USD / SOLD CZK                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |          1 | NC      | $-3815.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD/LUX CO                          | JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl                                                                             | CUSIP: 46590XAX4<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     194000 | PA      | $204425.56    | 0.06%             | 2052-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CITADEL SECURITIES GLOBA                          | Citadel Securities Global Holdings LLC                                                                                                 | CUSIP: 17289RAA4<br>LEI: 549300NV5RXBUS3X7L47 | Long             | DBT              | CORP              | US        |     250000 | PA      | $256589.52    | 0.08%             | 2030-06-18      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Popular Inc                                       | Popular Inc                                                                                                                            | CUSIP: 733174700<br>LEI: 5493008CARDZMVQ3LO89 | Long             | EC               | CORP              | PR        |       2194 | NS      | $278659.94    | 0.08%             |  |  |  | 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      | $73246.80     | 0.02%             | 2031-07-25      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| Nasdaq Stockholm AB                               | OMXS30 IND FUTURE OCT25                                                                                                                | CUSIP: 000000000<br>LEI: 549300KBQIVNEJEZVL96 | N/A              | DE               |  | SE        |       -204 | NC      | $-59806.99    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| ICON PLC                                          | ICON PLC                                                                                                                               | CUSIP: 000000000<br>LEI: 6354008SRQGEMC4XFI67 | Long             | EC               | CORP              | IE        |       3923 | NS      | $686525.00    | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| LCH Ltd.                                          | Long: BM11759   IRS USD R V 12MUSCPI SM11759_FLO CCPINFLATIONZERO / Short: BM11759   IRS USD P F  2.46300 SM11759_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2400000 | OU      | $27271.94     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America Corp                              | Bank of America Corp                                                                                                                   | CUSIP: 060505104<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | EC               | CORP              | US        |      30488 | NS      | $1572875.92   | 0.46%             |  |  |  | No            |                  1 | On Loan: No      |
| JH NORTH AMERICA HOLDING                          | JH North America Holdings Inc                                                                                                          | CUSIP: 46593WAA3<br>LEI: 254900A6FXA0D81TL967 | Long             | DBT              | CORP              | US        |     180000 | PA      | $182756.63    | 0.05%             | 2031-01-31      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Aumovio SE                                        | Aumovio SE                                                                                                                             | CUSIP: 000000000<br>LEI: 391200IGI9RQ7VTOK384 | Long             | EC               | CORP              | DE        |        890 | NS      | $36717.68     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3132DWC68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1655196 | PA      | $1340305.47   | 0.39%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Enel Americas SA                                  | Enel Americas SA                                                                                                                       | CUSIP: 29274FAF1<br>LEI: 549300LKH11TFCJLZK20 | Long             | DBT              | CORP              | CL        |     855000 | PA      | $853488.10    | 0.25%             | 2026-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| EQT Trust 2024-EXTR                               | EQT Trust 2024-EXTR                                                                                                                    | CUSIP: 29439DAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     169941 | PA      | $173385.96    | 0.05%             | 2041-07-05      | Variable      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD DKK                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-1096.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SIEMENS FINANCIERINGSMAT                          | Siemens Financieringsmaatschappij NV                                                                                                   | CUSIP: 000000000<br>LEI: TAFO772JB70PDRN5VS48 | Long             | DBT              | CORP              | NL        |     100000 | PA      | $116814.60    | 0.03%             | 2045-05-27      | Fixed         | 4.00%                 | 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      | $90078.10     | 0.03%             | 2030-11-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED AUD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | AU        |          1 | NC      | $3432.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| P3 GROUP SARL                                     | P3 Group Sarl                                                                                                                          | CUSIP: 000000000<br>LEI: 529900GR62MT0O5VW110 | Long             | DBT              | CORP              | LU        |     100000 | PA      | $116865.05    | 0.03%             | 2033-04-02      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU                          | Venture Global Calcasieu Pass LLC                                                                                                      | CUSIP: 92328MAB9<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |     389000 | PA      | $367156.91    | 0.11%             | 2031-08-15      | Fixed         | 4.13%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                                                    | CUSIP: 912810TS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2413000 | PA      | $2185744.41   | 0.64%             | 2043-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                                  | CUSIP: 01F0326A7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     525000 | PA      | $479598.62    | 0.14%             | 2055-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ARTHUR J GALLAGHER & CO                           | Arthur J Gallagher & Co                                                                                                                | CUSIP: 04316JAF6<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |      75000 | PA      | $83159.04     | 0.02%             | 2034-02-15      | Fixed         | 6.50%                 | 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      | $11258.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38384XSB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     218613 | PA      | $218553.19    | 0.06%             | 2054-10-20      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-3067.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED SEK / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | SE        |          1 | NC      | $162598.90    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3133KPF52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38575 | PA      | $36690.72     | 0.01%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| New Zealand Government Bonds                      | New Zealand Government Bonds                                                                                                           | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |     409000 | PA      | $159049.14    | 0.05%             | 2041-05-15      | Fixed         | 1.75%                 | 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      | $-3822.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | N/A       |          1 | NC      | $4148.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-1110.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| E.ON INTL FINANCE BV                              | E.ON International Finance BV                                                                                                          | CUSIP: 000000000<br>LEI: 549300TG53AWJ719M814 | Long             | DBT              | CORP              | NL        |     450000 | PA      | $524861.74    | 0.15%             | 2035-09-03      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Home Depot Inc/The                                | Home Depot Inc/The                                                                                                                     | CUSIP: 437076102<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | EC               | CORP              | US        |       1073 | NS      | $434768.87    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Enterprise Fleet Financing LLC                    | Enterprise Fleet Financing 2024-3 LLC                                                                                                  | CUSIP: 29375QAB4<br>LEI: RKWYUSIDZTWNAX1D9U96 | Long             | ABS-O            | CORP              | US        |      86136 | PA      | $86594.34     | 0.03%             | 2027-04-20      | Fixed         | 5.31%                 | Yes           |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | N/A       |          1 | NC      | $2145.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OSAIC HOLDINGS INC                                | Osaic Holdings Inc                                                                                                                     | CUSIP: 00791GAB3<br>LEI: 549300XL60BDV6UW5C86 | Long             | DBT              | CORP              | US        |      43000 | PA      | $44411.95     | 0.01%             | 2032-08-01      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Japan Government Thirty Year Bonds                | Japan Government Thirty Year Bonds                                                                                                     | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   58750000 | PA      | $424322.11    | 0.12%             | 2034-12-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                          | Charter Communications Operating LLC / Charter Communications Operating Capital                                                        | CUSIP: 161175BA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     239000 | PA      | $236109.95    | 0.07%             | 2045-10-23      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| TESCO CORP TREASURY SERV                          | Tesco Corporate Treasury Services PLC                                                                                                  | CUSIP: 000000000<br>LEI: 21380018AJDKNF3A6712 | Long             | DBT              | CORP              | GB        |     140000 | PA      | $164550.08    | 0.05%             | 2032-05-06      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Intel Corp                                        | Intel Corp                                                                                                                             | CUSIP: 458140100<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | EC               | CORP              | US        |      19481 | NS      | $653587.55    | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust       | MF1 2021-FL6 Ltd                                                                                                                       | CUSIP: 55283TAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     600000 | PA      | $598503.42    | 0.18%             | 2036-07-16      | Floating      | 5.90%                 | Yes           |                  2 | On Loan: No      |
| Corebridge Financial Inc                          | Corebridge Financial Inc                                                                                                               | CUSIP: 21871X109<br>LEI: 549300XY1661QCIA7J65 | Long             | EC               | CORP              | US        |      14069 | NS      | $450911.45    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| WOLF MIDSTREAM CANADA LP                          | Wolf Midstream Canada LP                                                                                                               | CUSIP: 977734AA0<br>LEI: 2549001Q852MSO20OC46 | Long             | DBT              | CORP              | CA        |     402000 | PA      | $300230.48    | 0.09%             | 2029-07-18      | Fixed         | 6.40%                 | Yes           |                  2 | On Loan: No      |
| Hellenic Telecommunications Organization SA       | Hellenic Telecommunications Organization SA                                                                                            | CUSIP: 000000000<br>LEI: ELPUFM0XZRZO4LFXW404 | Long             | EC               | CORP              | GR        |      16152 | NS      | $305687.85    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| EASTERN ENERGY GAS                                | Eastern Energy Gas Holdings LLC                                                                                                        | CUSIP: 27636AAA0<br>LEI: 549300BFOD6TDMVV4O24 | Long             | DBT              | CORP              | US        |     266000 | PA      | $262064.19    | 0.08%             | 2054-10-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| DEVELOPMENT BANK OF KAZA                          | Development Bank of Kazakhstan JSC                                                                                                     | CUSIP: 48129VAD8<br>LEI: 213800LCDPGJ1BI7KX98 | Long             | DBT              | NUSS              | KZ        |     554000 | PA      | $573954.58    | 0.17%             | 2030-04-07      | Fixed         | 5.63%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | N/A       |          1 | NC      | $1371.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COMMERZBANK AG                                    | Commerzbank AG                                                                                                                         | CUSIP: 000000000<br>LEI: 851WYGNLUQLFZBSYGB56 | Long             | DBT              | CORP              | DE        |     300000 | PA      | $356340.16    | 0.10%             | 2037-06-30      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140KE2N7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23727 | PA      | $20503.79     | 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        |     260000 | PA      | $242027.48    | 0.07%             | 2033-03-02      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| IRON MOUNTAIN INC                                 | Iron Mountain Inc                                                                                                                      | CUSIP: 000000000<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              | CORP              | US        |     100000 | PA      | $117664.06    | 0.03%             | 2034-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Rio Tinto PLC                                     | Rio Tinto PLC                                                                                                                          | CUSIP: 000000000<br>LEI: 213800YOEO5OQ72G2R82 | Long             | EC               | CORP              | GB        |      14035 | NS      | $924908.88    | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| Romania Government International Bonds            | Romania Government International Bonds                                                                                                 | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     532000 | PA      | $528340.81    | 0.15%             | 2034-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                     | Citigroup Inc                                                                                                                          | CUSIP: 000000000<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     270000 | PA      | $323413.87    | 0.09%             | 2036-07-23      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-2523.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-3750.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3133C5VR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     280238 | PA      | $247234.09    | 0.07%             | 2053-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                           | Exxon Mobil Corp                                                                                                                       | CUSIP: 000000000<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |     250000 | PA      | $213887.54    | 0.06%             | 2039-06-26      | Fixed         | 1.41%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                                                                                   | CUSIP: 06051GMW6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     205000 | PA      | $213721.56    | 0.06%             | 2036-05-09      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| ABN AMRO Bank NV                                  | ABN AMRO Bank NV                                                                                                                       | CUSIP: 000000000<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | EC               | CORP              | NL        |      26611 | NS      | $851362.54    | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| STORE CAPITAL LLC                                 | Store Capital LLC                                                                                                                      | CUSIP: 862121AD2<br>LEI: 254900Z9PIEFQ6AYXK50 | Long             | DBT              | CORP              | US        |      23000 | PA      | $20135.06     | 0.01%             | 2031-12-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                             | Mexico Government International Bond                                                                                                   | CUSIP: 91087BBE9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     495000 | PA      | $511038.00    | 0.15%             | 2032-07-02      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| PG&E Corp                                         | PG&E Corp                                                                                                                              | CUSIP: 69331C108<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | EC               | CORP              | US        |      58060 | NS      | $875544.80    | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| Japan Government Twenty Year Bonds                | Japan Government Twenty Year Bonds                                                                                                     | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  116000000 | PA      | $757300.33    | 0.22%             | 2034-12-20      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                              | Indonesia Treasury Bond                                                                                                                | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 8400000000 | PA      | $513435.61    | 0.15%             | 2031-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Brightstar Lottery PLC                            | Brightstar Lottery PLC                                                                                                                 | CUSIP: 000000000<br>LEI: 549300UQ6KHRCZDRGZ76 | Long             | EC               | CORP              | GB        |      10023 | NS      | $172896.75    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                            | US 5YR NOTE (CBT) DEC25                                                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         58 | NC      | $-26200.97    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                                                      | CUSIP: 3620AXZK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22481 | PA      | $23051.99     | 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-CBDO         | CORP              | KY        |     289000 | PA      | $287568.83    | 0.08%             | 2037-01-20      | Floating      | 6.24%                 | Yes           |                  2 | On Loan: No      |
| DICK'S SPORTING GOODS                             | Dick's Sporting Goods Inc                                                                                                              | CUSIP: 253393AG7<br>LEI: 529900SSBV5I4LWSK313 | Long             | DBT              | CORP              | US        |     212000 | PA      | $157838.13    | 0.05%             | 2052-01-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN                           | Jane Street Group / JSG Finance Inc                                                                                                    | CUSIP: 47077WAD0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     324000 | PA      | $328393.17    | 0.10%             | 2032-11-01      | Fixed         | 6.13%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31410KQ64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11093 | PA      | $11541.36     | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RAIZEN FUELS FINANCE                              | Raizen Fuels Finance SA                                                                                                                | CUSIP: 75102XAB2<br>LEI: 52990010NH26VC32Q522 | Long             | DBT              | CORP              | LU        |     325000 | PA      | $315254.00    | 0.09%             | 2034-03-05      | Fixed         | 6.45%                 | Yes           |                  2 | On Loan: No      |
| Legrand SA                                        | Legrand SA                                                                                                                             | CUSIP: 000000000<br>LEI: 969500XXRPGD7HCAFA90 | Long             | EC               | CORP              | FR        |       4078 | NS      | $680256.80    | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| PG&E CORP                                         | PG&E Corp                                                                                                                              | CUSIP: 69331C306<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | EP               | CORP              | US        |       6840 | NS      | $269359.20    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140MNAT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24461 | PA      | $21510.61     | 0.01%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Italy Buoni Poliennali Del Tesoro                 | Italy Buoni Poliennali Del Tesoro                                                                                                      | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    3561000 | PA      | $3423777.97   | 1.00%             | 2036-03-01      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| REPUBLICA ORIENT URUGUAY                          | Uruguay Government International Bond                                                                                                  | CUSIP: 917288BM3<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |   35193000 | PA      | $890749.71    | 0.26%             | 2031-05-21      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| SAUDI INTERNATIONAL BOND                          | Saudi Government International Bond                                                                                                    | CUSIP: 80413TBJ7<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     249000 | PA      | $254291.62    | 0.07%             | 2028-01-13      | Fixed         | 5.13%                 | Yes           |                  2 | On Loan: No      |
| Synchrony Financial                               | Synchrony Financial                                                                                                                    | CUSIP: 87165B103<br>LEI: 549300RS7EWPM9MA6C78 | Long             | EC               | CORP              | US        |       2536 | NS      | $180182.80    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| LOW INCOME INVESTMENT                             | Low Income Investment Fund                                                                                                             | CUSIP: 54750AAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     150000 | PA      | $147708.16    | 0.04%             | 2026-07-01      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                  | Georgia Power Co                                                                                                                       | CUSIP: 373334KT7<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |     247000 | PA      | $251963.02    | 0.07%             | 2033-05-17      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2024-13                                                                                                       | CUSIP: 03466PAA3<br>LEI: 254900WA697298AD1C53 | Long             | ABS-MBS          | CORP              | US        |     194804 | PA      | $196098.09    | 0.06%             | 2069-12-26      | Variable      | 5.46%                 | Yes           |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED MYR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | MY        |          1 | NC      | $5519.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31335ALX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     196895 | PA      | $197363.46    | 0.06%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Kenvue Inc                                        | Kenvue Inc                                                                                                                             | CUSIP: 49177J102<br>LEI: 5493008HSF8L4M2LIJ82 | Long             | EC               | CORP              | US        |      62846 | NS      | $1019990.58   | 0.30%             |  |  |  | No            |                  1 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $104237.36    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | N/A       |          1 | NC      | $-768.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BP CAPITAL MARKETS PLC                            | BP Capital Markets PLC                                                                                                                 | CUSIP: 000000000<br>LEI: 549300CRVT18MXX0AG93 | Long             | DBT              | CORP              | GB        |     190000 | PA      | $259802.73    | 0.08%             | 2029-11-19      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STORE CAPITAL LLC                                 | Store Capital LLC                                                                                                                      | CUSIP: 862121AC4<br>LEI: 254900Z9PIEFQ6AYXK50 | Long             | DBT              | CORP              | US        |     501000 | PA      | $455420.49    | 0.13%             | 2030-11-18      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | N/A       |          1 | NC      | $-448.17      | -0.00%            |  |  |  | No            |                  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      | $100756.08    | 0.03%             | 2030-04-25      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD CNY                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-40497.60    | -0.01%            |  |  |  | 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      | $-3092.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                            | PNC Financial Services Group Inc/The                                                                                                   | CUSIP: 693475BW4<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |     281000 | PA      | $296324.51    | 0.09%             | 2035-01-22      | Fixed         | 5.68%                 | 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      | $175349.85    | 0.05%             | 2031-09-25      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                                                                                    | CUSIP: 46647PEW2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     196000 | PA      | $205057.04    | 0.06%             | 2036-01-24      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140QKQL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17076 | PA      | $14526.64     | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| IG Group Holdings PLC                             | IG Group Holdings PLC                                                                                                                  | CUSIP: 000000000<br>LEI: 2138003A5Q1M7ANOUD76 | Long             | EC               | CORP              | GB        |       6332 | NS      | $91821.48     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                               | American Tower Corp                                                                                                                    | CUSIP: 000000000<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     210000 | PA      | $250659.37    | 0.07%             | 2032-05-30      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | N/A       |          1 | NC      | $0.15         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HYDRO ONE INC                                     | Hydro One Inc                                                                                                                          | CUSIP: 44810ZCS7<br>LEI: 549300X54QEYZVDC8R04 | Long             | DBT              | CORP              | CA        |     493000 | PA      | $361455.40    | 0.11%             | 2035-01-04      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| MFS Institutional Money Market Portfolio          | MFS Institutional Money Market Portfolio                                                                                               | CUSIP: 55291X109<br>LEI: 5L2W638H85N8T1136O07 | Long             | EC               | RF                | US        |   16610182 | NS      | $16611843.14  | 4.87%             |  |  |  | No            |                  1 | On Loan: No      |
| DSV FINANCE BV                                    | DSV Finance BV                                                                                                                         | CUSIP: 000000000<br>LEI: 529900RTQQ0IIS4B3E03 | Long             | DBT              | CORP              | NL        |     100000 | PA      | $116271.14    | 0.03%             | 2034-11-06      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Chesapeake Funding II LLC                         | Chesapeake Funding II LLC                                                                                                              | CUSIP: 165183CU6<br>LEI: 5493000HT7H4OFOD6Z12 | Long             | ABS-O            | CORP              | US        |      96856 | PA      | $97450.54     | 0.03%             | 2035-05-15      | Fixed         | 5.65%                 | 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      | $209.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD NOK                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-3415.26     | -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        |       1524 | NS      | $1213637.40   | 0.36%             |  |  |  | No            |                  1 | On Loan: No      |
| CF Hippolyta Issuer LLC                           | CF Hippolyta Issuer LLC                                                                                                                | CUSIP: 12530MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     196333 | PA      | $168638.82    | 0.05%             | 2060-07-15      | Fixed         | 1.69%                 | Yes           |                  2 | On Loan: No      |
| BRUCE POWER LP                                    | Bruce Power LP                                                                                                                         | CUSIP: 116705AQ7<br>LEI: 549300R8DACS3G0K8262 | Long             | DBT              | CORP              | CA        |     410000 | PA      | $296583.46    | 0.09%             | 2034-12-21      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| ARTHUR J GALLAGHER & CO                           | Arthur J Gallagher & Co                                                                                                                | CUSIP: 04316JAE9<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |     161000 | PA      | $160291.89    | 0.05%             | 2053-03-02      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| PetroChina Co Ltd                                 | PetroChina Co Ltd                                                                                                                      | CUSIP: 000000000<br>LEI: 529900RPY4YG47TRSV05 | Long             | EC               | CORP              | CN        |     510000 | NS      | $463996.81    | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| Italy Buoni Poliennali Del Tesoro                 | Italy Buoni Poliennali Del Tesoro                                                                                                      | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    1447000 | PA      | $1749935.77   | 0.51%             | 2039-10-01      | Fixed         | 4.15%                 | Yes           |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD AUD                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-425.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| New Hampshire Business Finance Authority          | NATIONAL FIN AUTH NH UTL REV                                                                                                           | CUSIP: 63610HAA0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     275000 | PA      | $288323.48    | 0.08%             | 2034-04-01      | Fixed         | 6.89%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD CLP                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-291.35      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FUJIFILM Holdings Corp                            | FUJIFILM Holdings Corp                                                                                                                 | CUSIP: 000000000<br>LEI: 529900UBKMFM0ST6H474 | Long             | EC               | CORP              | JP        |       3100 | NS      | $77161.98     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Citibank NA                                       | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | N/A       |          1 | NC      | $1715.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fidelity National Information Services Inc        | Fidelity National Information Services Inc                                                                                             | CUSIP: 31620M106<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | EC               | CORP              | US        |       4435 | NS      | $292443.90    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Julius Baer Group Ltd                             | Julius Baer Group Ltd                                                                                                                  | CUSIP: 000000000<br>LEI: 5299007MF0604ZGJER92 | Long             | EC               | CORP              | CH        |       9277 | NS      | $645242.86    | 0.19%             |  |  |  | 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      | $177434.33    | 0.05%             | 2038-12-15      | Floating      | 6.31%                 | Yes           |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $-301.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Sandoz Group AG                                   | Sandoz Group AG                                                                                                                        | CUSIP: 000000000<br>LEI: 5493000JWK6XWFEUD320 | Long             | EC               | CORP              | CH        |       4109 | NS      | $244352.21    | 0.07%             |  |  |  | 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      | $-841.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SEVERN TRENT WATER UTIL                           | Severn Trent Utilities Finance PLC                                                                                                     | CUSIP: 000000000<br>LEI: 213800KY9PT6WBH33232 | Long             | DBT              | CORP              | GB        |     230000 | PA      | $272327.13    | 0.08%             | 2035-08-04      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Yangzijiang Shipbuilding Holdings Ltd             | Yangzijiang Shipbuilding Holdings Ltd                                                                                                  | CUSIP: 000000000<br>LEI: 254900Z3JEM14YIGLM66 | Long             | EC               | CORP              | SG        |      40900 | NS      | $106851.43    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179W2V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      44728 | PA      | $39944.89     | 0.01%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WH Group Ltd                                      | WH Group Ltd                                                                                                                           | CUSIP: 000000000<br>LEI: 254900A4AYEDRWYSE928 | Long             | EC               | CORP              | KY        |      96500 | NS      | $104536.14    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-1219.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EQT Trust 2024-EXTR                               | EQT Trust 2024-EXTR                                                                                                                    | CUSIP: 29439DAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $102180.28    | 0.03%             | 2041-07-05      | Variable      | 6.05%                 | Yes           |                  2 | On Loan: No      |
| ROCKETMTGE CO-ISSUER INC                          | Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc                                                                                    | CUSIP: 74841CAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     138000 | PA      | $128870.44    | 0.04%             | 2031-03-01      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| CORP ANDINA DE FOMENTO                            | Corp Andina de Fomento                                                                                                                 | CUSIP: 219868CM6<br>LEI: UKZ46SXGNYCZK0UOZE76 | Long             | DBT              | NUSS              | N/A       |     200000 | PA      | $206680.00    | 0.06%             | 2030-06-17      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31417SBQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      98488 | PA      | $100861.96    | 0.03%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD NOK                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-3522.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Danone SA                                         | Danone SA                                                                                                                              | CUSIP: 000000000<br>LEI: 969500KMUQ2B6CBAF162 | Long             | EC               | CORP              | FR        |       8637 | NS      | $752002.84    | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31292K2A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      54855 | PA      | $54988.36     | 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        |      26105 | NS      | $2492244.35   | 0.73%             |  |  |  | No            |                  1 | On Loan: No      |
| MetLife Inc                                       | MetLife Inc                                                                                                                            | CUSIP: 59156R108<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | EC               | CORP              | US        |       4972 | NS      | $409543.64    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Merrill Lynch International                       | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DFE              |  | N/A       |          1 | NC      | $-135.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-541.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                   | Sands China Ltd                                                                                                                        | CUSIP: 80007RAL9<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |     226000 | PA      | $222229.62    | 0.07%             | 2030-06-18      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED ILS / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IL        |          1 | NC      | $-988.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BROADCOM INC                                      | Broadcom Inc                                                                                                                           | CUSIP: 11135FCM1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     159000 | PA      | $163865.58    | 0.05%             | 2035-07-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF POLAND                                | Republic of Poland Government International Bond                                                                                       | CUSIP: 000000000<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |     500000 | PA      | $599154.73    | 0.18%             | 2034-01-11      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| KOREA TREASURY BOND                               | Korea Treasury Bond                                                                                                                    | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        | 3260190000 | PA      | $2257212.86   | 0.66%             | 2029-06-10      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| MASTERCARD INC                                    | Mastercard Inc                                                                                                                         | CUSIP: 57636QAQ7<br>LEI: AR5L2ODV9HN37376R084 | Long             | DBT              | CORP              | US        |     102000 | PA      | $81733.56     | 0.02%             | 2050-03-26      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BM11734   IRS USD R V 12MUSCPI SM11734_FLO CCPINFLATIONZERO / Short: BM11734   IRS USD P F  2.52300 SM11734_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    7200000 | OU      | $57782.66     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 10YR NOTE (CBT)DEC25                                                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -199 | NC      | $-87794.82    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| DANSKE BANK A/S                                   | Danske Bank A/S                                                                                                                        | CUSIP: 23636ABB6<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |     332000 | PA      | $323550.52    | 0.09%             | 2027-09-10      | Fixed         | 1.55%                 | Yes           |                  2 | On Loan: No      |
| P3 GROUP SARL                                     | P3 Group Sarl                                                                                                                          | CUSIP: 000000000<br>LEI: 529900GR62MT0O5VW110 | Long             | DBT              | CORP              | LU        |     220000 | PA      | $262615.87    | 0.08%             | 2032-04-19      | Fixed         | 4.00%                 | 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      | $3075.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Duke Energy Corp                                  | Duke Energy Corp                                                                                                                       | CUSIP: 26441C204<br>LEI: I1BZKREC126H0VB1BL91 | Long             | EC               | CORP              | US        |       3729 | NS      | $461463.75    | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| Pfizer Inc                                        | Pfizer Inc                                                                                                                             | CUSIP: 717081103<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | EC               | CORP              | US        |      94714 | NS      | $2413312.72   | 0.71%             |  |  |  | No            |                  1 | On Loan: No      |
| SNB FUNDING LTD                                   | SNB Funding Ltd                                                                                                                        | CUSIP: 000000000<br>LEI: 549300PT73WJRNMAKE44 | Long             | DBT              | CORP              | KY        |     315000 | PA      | $323013.21    | 0.09%             | 2035-06-24      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| E.ON SE                                           | E.ON SE                                                                                                                                | CUSIP: 000000000<br>LEI: Q9MAIUP40P25UFBFG033 | Long             | EC               | CORP              | DE        |      46640 | NS      | $876944.93    | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| NATIONWIDE BLDG SOCIETY                           | Nationwide Building Society                                                                                                            | CUSIP: 000000000<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $278609.10    | 0.08%             | 2031-12-20      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140XEAU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72975 | PA      | $64852.16     | 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        |      59445 | NS      | $2443700.72   | 0.72%             |  |  |  | No            |                  2 | On Loan: No      |
| PRYSMIAN SPA                                      | Prysmian SpA                                                                                                                           | CUSIP: 000000000<br>LEI: 529900X0H1IO3RS1A464 | Long             | DBT              | CORP              | IT        |     200000 | PA      | $244939.84    | 0.07%             | 2030-05-21      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179WVT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     301965 | PA      | $249637.39    | 0.07%             | 2052-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AFRICAN DEVELOPMENT BANK                          | African Development Bank                                                                                                               | CUSIP: 008281BK2<br>LEI: 549300LNCLMO3ITVCU07 | Long             | DBT              | NUSS              | N/A       |     200000 | PA      | $200000.00    | 0.06%             | 2035-05-07      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                 | NatWest Group PLC                                                                                                                      | CUSIP: 000000000<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     340000 | PA      | $398341.32    | 0.12%             | 2034-09-03      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON INGALLS INDUS                          | Huntington Ingalls Industries Inc                                                                                                      | CUSIP: 446413BB1<br>LEI: 5TZLZ6WJTBVJ0QWBG121 | Long             | DBT              | CORP              | US        |     191000 | PA      | $200358.54    | 0.06%             | 2035-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Bath & Body Works Inc                             | Bath & Body Works Inc                                                                                                                  | CUSIP: 070830104<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | EC               | CORP              | US        |       4571 | NS      | $117748.96    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Merrill Lynch International                       | PURCHASED USD / SOLD CNH                                                                                                               | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DFE              |  | US        |          1 | NC      | $-1179.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                            | UnitedHealth Group Inc                                                                                                                 | CUSIP: 91324PFJ6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     332000 | PA      | $340750.47    | 0.10%             | 2034-07-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138ENSU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      99288 | PA      | $99323.45     | 0.03%             | 2043-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HEINEKEN NV                                       | Heineken NV                                                                                                                            | CUSIP: 000000000<br>LEI: 724500K5PTPSST86UQ23 | Long             | DBT              | CORP              | NL        |     340000 | PA      | $401189.64    | 0.12%             | 2034-05-03      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| AMERICAN INTERNATIONAL                            | American International Group Inc                                                                                                       | CUSIP: 026874DS3<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | DBT              | CORP              | US        |     247000 | PA      | $254095.08    | 0.07%             | 2033-03-27      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                       | PURCHASED HUF / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | HU        |          1 | NC      | $5709.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Eni SpA                                           | Eni SpA                                                                                                                                | CUSIP: 000000000<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | EC               | CORP              | IT        |      72456 | NS      | $1264606.25   | 0.37%             |  |  |  | No            |                  1 | On Loan: No      |
| PKO BANK POLSKI SA                                | Powszechna Kasa Oszczednosci Bank Polski SA                                                                                            | CUSIP: 000000000<br>LEI: P4GTT6GF1W40CVIMFR43 | Long             | DBT              | CORP              | PL        |     217000 | PA      | $255879.35    | 0.07%             | 2031-06-30      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                      | CUSIP: 3136BN6P6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     538124 | PA      | $528314.47    | 0.15%             | 2052-10-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE TELEKOM AG                               | Deutsche Telekom AG                                                                                                                    | CUSIP: 000000000<br>LEI: 549300V9QSIG4WX4GJ96 | Long             | DBT              | CORP              | DE        |     150000 | PA      | $163854.90    | 0.05%             | 2045-02-03      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3133CA7G9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      98237 | PA      | $101687.89    | 0.03%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Exchange traded                                   | S+P 500 INDEX                                                                                                                          | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |          9 | NC      | $4230.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | N/A       |          1 | NC      | $764.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Boeing Co/The                                     | Boeing Co/The                                                                                                                          | CUSIP: 097023105<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | EC               | CORP              | US        |        956 | NS      | $206333.48    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| COLT Funding LLC                                  | COLT 2024-1 Mortgage Loan Trust                                                                                                        | CUSIP: 19688TAA3<br>LEI: 2138001HZNOLT1K3WY73 | Long             | ABS-MBS          | CORP              | US        |     194994 | PA      | $196526.24    | 0.06%             | 2069-02-25      | Variable      | 5.84%                 | Yes           |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2024-NQM3 Trust                                                                                                                    | CUSIP: 67118KAA1<br>LEI: 2549001QDCO9VU0HH514 | Long             | ABS-MBS          | CORP              | US        |      91554 | PA      | $92640.97     | 0.03%             | 2063-12-25      | Variable      | 6.13%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140QM3U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43599 | PA      | $35547.29     | 0.01%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Aon PLC                                           | Aon PLC                                                                                                                                | CUSIP: 000000000<br>LEI: 635400FALWQYX5E6QC64 | Long             | EC               | CORP              | IE        |       4230 | NS      | $1508333.40   | 0.44%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $6127.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| IHG FINANCE LLC                                   | IHG Finance LLC                                                                                                                        | CUSIP: 000000000<br>LEI: 213800DXTXQ1YC8UP313 | Long             | DBT              | CORP              | US        |     100000 | PA      | $117635.86    | 0.03%             | 2030-09-10      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF ALBERTA                               | Province of Alberta Canada                                                                                                             | CUSIP: 013051EP8<br>LEI: LQPXMHHNJKIPJYE53543 | Long             | DBT              | NUSS              | CA        |     180000 | PA      | $120080.19    | 0.04%             | 2031-06-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| ARKEMA                                            | Arkema SA                                                                                                                              | CUSIP: 000000000<br>LEI: 9695000EHMS84KKP2785 | Long             | DBT              | CORP              | FR        |     200000 | PA      | $233908.30    | 0.07%             | 2033-09-09      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                  | NTT Finance Corp                                                                                                                       | CUSIP: 000000000<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |     110000 | PA      | $131108.27    | 0.04%             | 2033-07-16      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| TESCO CORP TREASURY SERV                          | Tesco Corporate Treasury Services PLC                                                                                                  | CUSIP: 000000000<br>LEI: 21380018AJDKNF3A6712 | Long             | DBT              | CORP              | GB        |     160000 | PA      | $207941.58    | 0.06%             | 2034-05-22      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-317.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2021-L6                                                                                                 | CUSIP: 61692CBK3<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |    4500601 | PA      | $177230.97    | 0.05%             | 2054-06-15      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BM11883   IRS USD R V 12MSOFR SM11883_FLO CCPOIS / Short: BM11883   IRS USD P F  3.82000 SM11883_FIX CCPOIS                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   11900000 | OU      | $221805.53    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| BX Trust                                          | BX Commercial Mortgage Trust 2024-PURE                                                                                                 | CUSIP: 74625PAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | CA        |     438374 | PA      | $317920.30    | 0.09%             | 2041-11-15      | Floating      | 4.66%                 | 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      | $1217.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD KRW                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $38596.36     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Baidu Inc                                         | Baidu Inc                                                                                                                              | CUSIP: 056752108<br>LEI: 254900AL64IANZYI1E02 | Long             | EC               | CORP              | KY        |       1868 | NS      | $246146.36    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $4087.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128M73V6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23756 | PA      | $24355.78     | 0.01%             | 2036-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Euronext NV                                       | Euronext NV                                                                                                                            | CUSIP: 000000000<br>LEI: 724500QJ4QSZ3H9QU415 | Long             | EC               | CORP              | NL        |       1102 | NS      | $164830.61    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418EE30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62900 | PA      | $55362.21     | 0.02%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Sompo Holdings Inc                                | Sompo Holdings Inc                                                                                                                     | CUSIP: 000000000<br>LEI: 353800CWW4SRGEYEB512 | Long             | EC               | CORP              | JP        |       8600 | NS      | $266051.32    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138ETDL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     179634 | PA      | $179900.54    | 0.05%             | 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: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |    2210243 | PA      | $100065.64    | 0.03%             | 2054-05-15      | Variable      | 1.39%                 | No            |                  2 | On Loan: No      |
| ELEMENT FLEET MANAGEMENT                          | Element Fleet Management Corp                                                                                                          | CUSIP: 286181AH5<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |      78000 | PA      | $79009.28     | 0.02%             | 2026-06-26      | Fixed         | 6.27%                 | Yes           |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $3407.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                                                                            | CUSIP: 38141GB60<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     164000 | PA      | $166090.13    | 0.05%             | 2030-10-23      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| CNH INDUSTRIAL NV                                 | CNH Industrial NV                                                                                                                      | CUSIP: 000000000<br>LEI: 549300WGC2HZ5J67V817 | Long             | DBT              | CORP              | NL        |     380000 | PA      | $445350.10    | 0.13%             | 2035-09-03      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Sanofi SA                                         | Sanofi SA                                                                                                                              | CUSIP: 000000000<br>LEI: 549300E9PC51EN656011 | Long             | EC               | CORP              | FR        |      10603 | NS      | $1002240.84   | 0.29%             |  |  |  | No            |                  2 | On Loan: No      |
| Altria Group Inc                                  | Altria Group Inc                                                                                                                       | CUSIP: 02209S103<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | EC               | CORP              | US        |       5842 | NS      | $385922.52    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Mitsubishi Electric Corp                          | Mitsubishi Electric Corp                                                                                                               | CUSIP: 000000000<br>LEI: 549300TRXM9Y6561AX39 | Long             | EC               | CORP              | JP        |      40800 | NS      | $1049209.86   | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| LKQ Corp                                          | LKQ Corp                                                                                                                               | CUSIP: 501889208<br>LEI: DS830JTTZQN6GK0I2E41 | Long             | EC               | CORP              | US        |      17474 | NS      | $533655.96    | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| Capgemini SE                                      | Capgemini SE                                                                                                                           | CUSIP: 000000000<br>LEI: 96950077L0TN7BAROX36 | Long             | EC               | CORP              | FR        |       6302 | NS      | $917048.87    | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                      | UBS Group AG                                                                                                                           | CUSIP: 902613AD0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     365000 | PA      | $331996.52    | 0.10%             | 2031-02-10      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED CNH / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | CN        |          1 | NC      | $14848.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | S+P500 EMINI FUT DEC25                                                                                                                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |        -17 | NC      | $-76810.93    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| NTT FINANCE CORP                                  | NTT Finance Corp                                                                                                                       | CUSIP: 000000000<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |     100000 | PA      | $120647.86    | 0.04%             | 2037-07-16      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-87774.41    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED NZD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | NZ        |          1 | NC      | $-12692.54    | -0.00%            |  |  |  | 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      | $-1457.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                                                                                    | CUSIP: 46647PEG7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     267000 | PA      | $278877.92    | 0.08%             | 2030-04-22      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| E.ON INTL FINANCE BV                              | E.ON International Finance BV                                                                                                          | CUSIP: 000000000<br>LEI: 549300TG53AWJ719M814 | Long             | DBT              | CORP              | NL        |     200000 | PA      | $267750.99    | 0.08%             | 2037-10-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| ALLIANDER NV                                      | Alliander NV                                                                                                                           | CUSIP: 000000000<br>LEI: 724500XBZ9QOPTI11U82 | Long             | DBT              | CORP              | NL        |     190000 | PA      | $220852.88    | 0.06%             | 2037-05-06      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TOLEDO HOSPITAL/THE                               | Toledo Hospital/The                                                                                                                    | CUSIP: 889184AG2<br>LEI: 5493009DCR7NWV6K4T34 | Long             | DBT              | CORP              | US        |     309000 | PA      | $308388.90    | 0.09%             | 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        |       6047 | PA      | $6371.94      | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| XPLR INFRAST OPERATING                            | XPLR Infrastructure Operating Partners LP                                                                                              | CUSIP: 98380MAB1<br>LEI: 549300KJEC5IUVJWR786 | Long             | DBT              | CORP              | US        |      35000 | PA      | $36704.12     | 0.01%             | 2033-03-15      | Fixed         | 8.63%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                                     | CUSIP: 3137HN3C0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     112730 | PA      | $116743.59    | 0.03%             | 2055-09-25      | Floating      | 8.31%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limited                  | Bain Capital Credit CLO 2021-7 Ltd                                                                                                     | CUSIP: 05682NAQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     633790 | PA      | $632343.06    | 0.19%             | 2035-01-22      | Floating      | 5.83%                 | Yes           |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | N/A       |          1 | NC      | $1436.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Michigan Finance Authority                        | MICHIGAN ST FIN AUTH REVENUE                                                                                                           | CUSIP: 59447TXX6<br>LEI: 54930022O46HOX5J1D14 | Long             | DBT              | MUN               | US        |     480000 | PA      | $404885.57    | 0.12%             | 2040-12-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| AVIVA PLC                                         | Aviva PLC                                                                                                                              | CUSIP: 000000000<br>LEI: YF0Y5B0IB8SM0ZFG9G81 | Long             | DBT              | CORP              | GB        |     166000 | PA      | $198670.08    | 0.06%             | 2056-08-28      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| U.K. Gilts                                        | U.K. Gilts                                                                                                                             | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    2921000 | PA      | $3868543.92   | 1.13%             | 2031-10-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD IDR                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $11845.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED CNH / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | CN        |          1 | NC      | $-2777.01     | -0.00%            |  |  |  | No            |                  2 | 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      | $200003.00    | 0.06%             | 2036-07-15      | Floating      | 5.96%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418XGC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     150041 | PA      | $152710.00    | 0.04%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-3496.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VULCAN MATERIALS CO                               | Vulcan Materials Co                                                                                                                    | CUSIP: 929160BD0<br>LEI: 549300Q8LSNHAVWBNI21 | Long             | DBT              | CORP              | US        |     142000 | PA      | $145209.93    | 0.04%             | 2054-12-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3132DWDS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     840694 | PA      | $740099.72    | 0.22%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Tenaris SA                                        | Tenaris SA                                                                                                                             | CUSIP: 000000000<br>LEI: 549300Y7C05BKC4HZB40 | Long             | EC               | CORP              | LU        |      10313 | NS      | $184589.94    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $1121.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD CZK                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-6596.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ELM Trust 2024                                    | ELM Trust 2024-ELM                                                                                                                     | CUSIP: 26860XBA8<br>LEI: 254900IIXJ23M1M8Y987 | Long             | ABS-MBS          | CORP              | US        |     334396 | PA      | $337425.49    | 0.10%             | 2039-06-10      | Variable      | 6.20%                 | Yes           |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD ILS                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-6841.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SHURGARD LUXEMBOURG                               | Shurgard Luxembourg Sarl                                                                                                               | CUSIP: 000000000<br>LEI: 54930064DJ4U15OBV665 | Long             | DBT              | CORP              | LU        |     200000 | PA      | $236073.77    | 0.07%             | 2035-05-27      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SERBIA                                | Serbia International Bond                                                                                                              | CUSIP: 817477AH5<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |     255000 | PA      | $276628.76    | 0.08%             | 2033-09-26      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED BRL / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | BR        |          1 | NC      | $12228.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| U.K. Gilts                                        | U.K. Gilts                                                                                                                             | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    1176000 | PA      | $1196662.09   | 0.35%             | 2052-07-22      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2021-BNK34                                                                                                                        | CUSIP: 06541JAR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2935695 | PA      | $112791.46    | 0.03%             | 2063-06-15      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-622.10      | -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      | $101844.59    | 0.03%             | 2030-04-25      | Variable      | 1.91%                 | 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      | $292918.53    | 0.09%             | 2030-05-25      | Variable      | 1.91%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SERBIA                                | Serbia International Bond                                                                                                              | CUSIP: 817477AJ1<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |     450000 | PA      | $468945.33    | 0.14%             | 2034-06-12      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD CLP                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $2249.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED AUD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | AU        |          1 | NC      | $99280.57     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED AUD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | AU        |          1 | NC      | $1181.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-670.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FLUTTER TREASURY DAC                              | Flutter Treasury DAC                                                                                                                   | CUSIP: 344045AB5<br>LEI: 635400JE8VLL9UFVIC38 | Long             | DBT              | CORP              | IE        |     200000 | PA      | $203004.00    | 0.06%             | 2031-06-04      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| MACQUARIE BANK LTD                                | Macquarie Bank Ltd                                                                                                                     | CUSIP: 556079AG6<br>LEI: 4ZHCHI4KYZG2WVRT8631 | Long             | DBT              | CORP              | AU        |     245000 | PA      | $248176.15    | 0.07%             | 2036-08-13      | Fixed         | 5.64%                 | Yes           |                  2 | On Loan: No      |
| Osaka Exchange                                    | JPN 10Y BOND(OSE) DEC25                                                                                                                | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              |  | JP        |         -8 | NC      | $57260.71     | 0.02%             |  |  |  | No            |                  1 | 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      |
| LIBERTY MUTUAL GROUP INC                          | Liberty Mutual Group Inc                                                                                                               | CUSIP: 000000000<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |     290000 | PA      | $338074.35    | 0.10%             | 2035-09-26      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| MBANK SA                                          | mBank SA                                                                                                                               | CUSIP: 000000000<br>LEI: 259400DZXF7UJKK2AY35 | Long             | DBT              | CORP              | PL        |     200000 | PA      | $240664.81    | 0.07%             | 2035-09-25      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| Canada Government Bonds                           | Canada Government Bonds                                                                                                                | CUSIP: 135087N59<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    2095000 | PA      | $1421730.80   | 0.42%             | 2032-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HAMMERSON PLC                                     | Hammerson PLC                                                                                                                          | CUSIP: 000000000<br>LEI: 213800G1C9KKVVDN1A60 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $261450.31    | 0.08%             | 2036-10-08      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2024-1                                                                                                      | CUSIP: 92540EAA1<br>LEI: 984500A3F1D749452747 | Long             | ABS-MBS          | CORP              | US        |     208165 | PA      | $209519.51    | 0.06%             | 2069-01-25      | Variable      | 5.71%                 | Yes           |                  2 | On Loan: No      |
| AIB GROUP PLC                                     | AIB Group PLC                                                                                                                          | CUSIP: 00135TAD6<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |     400000 | PA      | $424615.18    | 0.12%             | 2029-09-13      | Fixed         | 6.61%                 | Yes           |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED JPY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | JP        |          1 | NC      | $-4092.88     | -0.00%            |  |  |  | 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      | $-7271.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                     | Carnival Corp                                                                                                                          | CUSIP: 000000000<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |     130000 | PA      | $164594.98    | 0.05%             | 2030-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| EPH FIN INTERNATIONAL AS                          | EPH Financing International AS                                                                                                         | CUSIP: 000000000<br>LEI: 3157003E5A4ZV0JCSM65 | Long             | DBT              | CORP              | CZ        |     273000 | PA      | $327114.91    | 0.10%             | 2032-07-02      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| MARS INC                                          | Mars Inc                                                                                                                               | CUSIP: 571676BC8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     259000 | PA      | $262353.06    | 0.08%             | 2055-05-01      | Fixed         | 5.70%                 | Yes           |                  2 | On Loan: No      |
| Korea Exchange (Futures Market)                   | KOSPI2 INX FUT DEC25                                                                                                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | KR        |        116 | NC      | $826769.90    | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| Citibank NA                                       | PURCHASED COP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | CO        |          1 | NC      | $9896.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Pembina Pipeline Corp                             | Pembina Pipeline Corp                                                                                                                  | CUSIP: 70632ZAD3<br>LEI: 5493002W3L9YICM6FU21 | Long             | DBT              | CORP              | CA        |     425000 | PA      | $291612.24    | 0.09%             | 2044-03-25      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division  | FTSE 100 IDX FUT DEC25                                                                                                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | GB        |          5 | NC      | $5490.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Astra International Tbk PT                        | Astra International Tbk PT                                                                                                             | CUSIP: 000000000<br>LEI: 529900L49TRJOMG4DK47 | Long             | EC               | CORP              | ID        |     417100 | NS      | $144539.60    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD CNY                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-643.38      | -0.00%            |  |  |  | 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        |     952169 | PA      | $43725.99     | 0.01%             | 2053-04-15      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| Spain Government Bonds                            | Spain Government Bonds                                                                                                                 | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    2640000 | PA      | $3200738.71   | 0.94%             | 2039-07-30      | Fixed         | 3.90%                 | 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      | $-558.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Diageo PLC                                        | Diageo PLC                                                                                                                             | CUSIP: 000000000<br>LEI: 213800ZVIELEA55JMJ32 | Long             | EC               | CORP              | GB        |      29605 | NS      | $704771.08    | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                          | Anheuser-Busch InBev Worldwide Inc                                                                                                     | CUSIP: 035240AM2<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |     180000 | PA      | $170655.35    | 0.05%             | 2038-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| REPUBLICA ORIENT URUGUAY                          | Uruguay Government International Bond                                                                                                  | CUSIP: 760942BF8<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |   22117000 | PA      | $607503.20    | 0.18%             | 2033-07-20      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                  | Deutsche Bank AG/New York NY                                                                                                           | CUSIP: 25160PAQ0<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     300000 | PA      | $306449.18    | 0.09%             | 2029-01-10      | Fixed         | 5.37%                 | No            |                  2 | 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      | $44632.42     | 0.01%             | 2031-12-25      | Variable      | 0.66%                 | No            |                  2 | On Loan: No      |
| Cie Generale des Etablissements Michelin SCA      | Cie Generale des Etablissements Michelin SCA                                                                                           | CUSIP: 000000000<br>LEI: 549300SOSI58J6VIW052 | Long             | EC               | CORP              | FR        |      20634 | NS      | $741159.45    | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| JERSEY CENTRAL PWR & LT                           | Jersey Central Power & Light Co                                                                                                        | CUSIP: 476556DF9<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |     160000 | PA      | $162156.26    | 0.05%             | 2035-01-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED JPY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | JP        |          1 | NC      | $3161.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Merrill Lynch International                       | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DFE              |  | US        |          1 | NC      | $26250.08     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| XPLR INFRAST OPERATING                            | XPLR Infrastructure Operating Partners LP                                                                                              | CUSIP: 98380MAA3<br>LEI: 549300KJEC5IUVJWR786 | Long             | DBT              | CORP              | US        |     155000 | PA      | $162440.00    | 0.05%             | 2031-01-15      | Fixed         | 8.38%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140KFYV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23650 | PA      | $20446.17     | 0.01%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ASSA ABLOY AB                                     | Assa Abloy AB                                                                                                                          | CUSIP: 000000000<br>LEI: 549300YECS8HKCIMMB67 | Long             | DBT              | CORP              | SE        |     120000 | PA      | $142199.14    | 0.04%             | 2032-09-09      | Fixed         | 3.37%                 | 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      | $941.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK GOSPODARSTWA KRAJOW                          | Bank Gospodarstwa Krajowego                                                                                                            | CUSIP: 06237MAB9<br>LEI: 259400BCOV9JJIGLYF05 | Long             | DBT              | NUSS              | PL        |     253000 | PA      | $268515.26    | 0.08%             | 2028-10-31      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140KG4A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23775 | PA      | $20514.58     | 0.01%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD BRL                                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-4110.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BAT INTL FINANCE PLC                              | BAT International Finance PLC                                                                                                          | CUSIP: 000000000<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |     167000 | PA      | $202493.05    | 0.06%             | 2032-04-12      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| GOVT OF BERMUDA                                   | Bermuda Government International Bond                                                                                                  | CUSIP: 085209AJ3<br>LEI: 549300FP5PUZXX9FVJ40 | Long             | DBT              | NUSS              | BM        |     716000 | PA      | $732954.88    | 0.21%             | 2032-07-15      | Fixed         | 5.00%                 | Yes           |                  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      | $20765.34     | 0.01%             |  |  |  | No            |                  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      | $46794.96     | 0.01%             | 2030-09-25      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| Glencore PLC                                      | Glencore PLC                                                                                                                           | CUSIP: 000000000<br>LEI: 2138002658CPO9NBH955 | Long             | EC               | CORP              | JE        |     152244 | NS      | $703557.50    | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED CZK / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | CZ        |          1 | NC      | $11865.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEWS CORP                                         | News Corp                                                                                                                              | CUSIP: 65249BAA7<br>LEI: 549300ITS31QK8VRBQ14 | Long             | DBT              | CORP              | US        |     352000 | PA      | $339979.76    | 0.10%             | 2029-05-15      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Telefonaktiebolaget LM Ericsson                   | Telefonaktiebolaget LM Ericsson                                                                                                        | CUSIP: 000000000<br>LEI: 549300W9JLPW15XIFM52 | Long             | EC               | CORP              | SE        |      57307 | NS      | $475360.54    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 31427NMZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     278685 | PA      | $289732.26    | 0.08%             | 2054-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Hartford Insurance Group Inc/The                  | Hartford Insurance Group Inc/The                                                                                                       | CUSIP: 416515104<br>LEI: IU7C3FTM7Y3BQM112U94 | Long             | EC               | CORP              | US        |       2713 | NS      | $361887.07    | 0.11%             |  |  |  | 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      | $-25572.44    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV SA/                          | Anheuser-Busch InBev SA/NV                                                                                                             | CUSIP: 000000000<br>LEI: 5493008H3828EMEXB082 | Long             | DBT              | CORP              | BE        |     100000 | PA      | $115849.73    | 0.03%             | 2045-05-19      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| LEGAL & GENERAL GROUP                             | Legal & General Group PLC                                                                                                              | CUSIP: 000000000<br>LEI: 213800JH9QQWHLO99821 | Long             | DBT              | CORP              | GB        |     160000 | PA      | $188545.77    | 0.06%             | 2055-09-04      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                          | Avolon Holdings Funding Ltd                                                                                                            | CUSIP: 05401ABC4<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     166000 | PA      | $163995.82    | 0.05%             | 2032-10-15      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Electronic Arts Inc                               | Electronic Arts Inc                                                                                                                    | CUSIP: 285512109<br>LEI: 549300O7A67PUEYKDL45 | Long             | EC               | CORP              | US        |       3012 | NS      | $607520.40    | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| LCH Ltd.                                          | Long: BM11880   IRS USD R V 12MSOFR SM11880_FLO CCPOIS / Short: BM11880   IRS USD P F  3.50900 SM11880_FIX CCPOIS                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   24800000 | OU      | $311683.42    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140X54P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64210 | PA      | $54791.55     | 0.02%             | 2050-03-01      | Fixed         | 2.50%                 | 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      | $-2189.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES                           | Royal Caribbean Cruises Ltd                                                                                                            | CUSIP: 780153BV3<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |     285000 | PA      | $292262.27    | 0.09%             | 2033-02-01      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| DOMETIC GROUP AB                                  | Dometic Group AB                                                                                                                       | CUSIP: 000000000<br>LEI: 549300STIPMK5VSA7Y59 | Long             | DBT              | CORP              | SE        |     100000 | PA      | $117836.99    | 0.03%             | 2030-09-11      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Verisk Analytics Inc                              | Verisk Analytics Inc                                                                                                                   | CUSIP: 92345Y106<br>LEI: 549300I1YSWNIRKBWP67 | Long             | EC               | CORP              | US        |        569 | NS      | $143109.19    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED JPY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | JP        |          1 | NC      | $-28716.85    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Humana Inc                                        | Humana Inc                                                                                                                             | CUSIP: 444859102<br>LEI: 529900YLDW34GJAO4J06 | Long             | EC               | CORP              | US        |       1800 | NS      | $468306.00    | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| Tapestry Inc                                      | Tapestry Inc                                                                                                                           | CUSIP: 876030107<br>LEI: 549300LJNVY5SW3VTN33 | Long             | EC               | CORP              | US        |       3480 | NS      | $394005.60    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| LOW INCOME INVESTMENT                             | Low Income Investment Fund                                                                                                             | CUSIP: 54750AAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     400000 | PA      | $384963.85    | 0.11%             | 2029-07-01      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch International                       | PURCHASED CNH / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DFE              |  | CN        |          1 | NC      | $2128.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED NOK / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | NO        |          1 | NC      | $9798.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BM11815   IRS USD R V 12MUSCPI SM11815_FLO CCPINFLATIONZERO / Short: BM11815   IRS USD P F  2.74500 SM11815_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    5600000 | OU      | $19218.58     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Oracle Corp                                       | Oracle Corp                                                                                                                            | CUSIP: 68389XBJ3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     228000 | PA      | $177605.99    | 0.05%             | 2046-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD COP                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-7968.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED AUD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | AU        |          1 | NC      | $6402.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Cie de Saint-Gobain SA                            | Cie de Saint-Gobain SA                                                                                                                 | CUSIP: 000000000<br>LEI: NFONVGN05Z0FMN5PEC35 | Long             | EC               | CORP              | FR        |       7386 | NS      | $804635.87    | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| WMG ACQUISITION CORP                              | WMG Acquisition Corp                                                                                                                   | CUSIP: 92933BAQ7<br>LEI: 549300NAS11NXI33CP80 | Long             | DBT              | CORP              | US        |     194000 | PA      | $183980.66    | 0.05%             | 2030-07-15      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                                     | CUSIP: 3137HLVG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     338059 | PA      | $340094.02    | 0.10%             | 2055-06-25      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| Meff Financial Derivatives                        | IBEX 35 INDX FUTR OCT25                                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | ES        |         29 | NC      | $39833.58     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3132DWMS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     385548 | PA      | $388997.36    | 0.11%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD RON                                                                                                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-828.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                                   | AREIT 2022-CRE6 Trust                                                                                                                  | CUSIP: 04002VAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     119000 | PA      | $117512.57    | 0.03%             | 2037-01-20      | Floating      | 6.54%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs International                       | PURCHASED CAD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | CA        |          1 | NC      | $-1381.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WEA FINANCE LLC                                   | WEA Finance LLC                                                                                                                        | CUSIP: 92928QAH1<br>LEI: 3CYEJKBUJZO3UW777J80 | Long             | DBT              | CORP              | US        |     169000 | PA      | $165572.78    | 0.05%             | 2027-01-15      | Fixed         | 2.88%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3132DM5R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     152648 | PA      | $123853.64    | 0.04%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2025-NQM3                                                                                          | CUSIP: 64832CAC7<br>LEI: 2138002D8CMDYG7QOU84 | Long             | ABS-MBS          | CORP              | US        |     162754 | PA      | $164354.89    | 0.05%             | 2065-05-25      | Variable      | 5.55%                 | Yes           |                  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      | $349221.25    | 0.10%             | 2038-03-15      | Floating      | 5.66%                 | Yes           |                  2 | On Loan: No      |
| KOREA TREASURY BOND                               | Korea Treasury Bond                                                                                                                    | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        | 5075400000 | PA      | $3394229.90   | 0.99%             | 2030-06-10      | Fixed         | 1.38%                 | 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      | $18763.83     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED CHF / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | CH        |          1 | NC      | $-4447.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                      | UBS Group AG                                                                                                                           | CUSIP: 902613AK4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     448000 | PA      | $399509.07    | 0.12%             | 2033-02-11      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| Smurfit WestRock PLC                              | Smurfit WestRock PLC                                                                                                                   | CUSIP: 000000000<br>LEI: 635400EGSEOPDW2EXS14 | Long             | EC               | CORP              | IE        |       2710 | NS      | $115364.70    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-43.05       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $27307.35     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-193.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FISERV INC                                        | Fiserv Inc                                                                                                                             | CUSIP: 337738AV0<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |     356000 | PA      | $293522.17    | 0.09%             | 2049-07-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| KDDI Corp                                         | KDDI Corp                                                                                                                              | CUSIP: 000000000<br>LEI: 5299003FU7V4I45FU310 | Long             | EC               | CORP              | JP        |      61100 | NS      | $975261.52    | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| KLEPIERRE SA                                      | Klepierre SA                                                                                                                           | CUSIP: 000000000<br>LEI: 969500PB4U31KEFHZ621 | Long             | DBT              | CORP              | FR        |     100000 | PA      | $117490.77    | 0.03%             | 2037-09-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| BOOZ ALLEN HAMILTON INC                           | Booz Allen Hamilton Inc                                                                                                                | CUSIP: 09951LAD5<br>LEI: 549300D7XCH2480XU542 | Long             | DBT              | CORP              | US        |     213000 | PA      | $222053.92    | 0.07%             | 2035-04-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD AUD                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-70958.29    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CELLNEX FINANCE CO SA                             | Cellnex Finance Co SA                                                                                                                  | CUSIP: 000000000<br>LEI: 549300OUROMFTRFA7T23 | Long             | DBT              | CORP              | ES        |     200000 | PA      | $236057.14    | 0.07%             | 2032-05-22      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3132A5GF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     213114 | PA      | $199229.03    | 0.06%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Australia Government Bonds                        | Australia Government Bonds                                                                                                             | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |    2797000 | PA      | $1591499.72   | 0.47%             | 2032-11-21      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418ECQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22011 | PA      | $18604.64     | 0.01%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PAYCHEX INC                                       | Paychex Inc                                                                                                                            | CUSIP: 704326AA5<br>LEI: 529900K900DW6SUBM174 | Long             | DBT              | CORP              | US        |      98000 | PA      | $100845.28    | 0.03%             | 2030-04-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| MARATHON PETROLEUM CORP                           | Marathon Petroleum Corp                                                                                                                | CUSIP: 56585ABL5<br>LEI: 3BNYRYQHD39K4LCKQF12 | Long             | DBT              | CORP              | US        |     197000 | PA      | $203349.44    | 0.06%             | 2035-03-01      | Fixed         | 5.70%                 | 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      | $14447.85     | 0.00%             | 2027-03-25      | Variable      | 1.49%                 | No            |                  2 | On Loan: No      |
| AEP TRANSMISSION CO LLC                           | AEP Transmission Co LLC                                                                                                                | CUSIP: 00115AAS8<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |     234000 | PA      | $242102.59    | 0.07%             | 2035-06-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Singapore Exchange Derivatives Clearing Ltd.      | MSCI SING IX ETS OCT25                                                                                                                 | CUSIP: 000000000<br>LEI: 549300ZLWT3FK3F0FW61 | N/A              | DE               |  | SG        |        175 | NC      | $-85852.36    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD BRL                                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-2863.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Kyocera Corp                                      | Kyocera Corp                                                                                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |      44500 | NS      | $598659.43    | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| Manulife Financial Corp                           | Manulife Financial Corp                                                                                                                | CUSIP: 56501R106<br>LEI: 5493007GBX87QOZACS27 | Long             | EC               | CORP              | CA        |      17303 | NS      | $539094.69    | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3133BAFE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39812 | PA      | $35291.63     | 0.01%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                                    | Eli Lilly & Co                                                                                                                         | CUSIP: 532457CY2<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |     283000 | PA      | $289063.95    | 0.08%             | 2055-02-12      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                          | Ford Motor Credit Co LLC                                                                                                               | CUSIP: 345397D26<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     228000 | PA      | $230963.89    | 0.07%             | 2026-06-10      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                         | Boeing Co/The                                                                                                                          | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     337000 | PA      | $336684.49    | 0.10%             | 2050-05-01      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                                                                                      | CUSIP: 404280ER6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     234000 | PA      | $239649.27    | 0.07%             | 2031-03-03      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Singapore Exchange Derivatives Clearing Ltd.      | FTSE TAIWAN INDEX OCT25                                                                                                                | CUSIP: 000000000<br>LEI: 549300ZLWT3FK3F0FW61 | N/A              | DE               |  | SG        |        -74 | NC      | $68414.18     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179YHS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     399164 | PA      | $404352.72    | 0.12%             | 2053-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3132DWMY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     458713 | PA      | $462815.04    | 0.14%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EAGLE FUNDING LUXCO SARL                          | Eagle Funding Luxco Sarl                                                                                                               | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |     345000 | PA      | $350023.20    | 0.10%             | 2030-08-17      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Osaka Exchange                                    | TOPIX INDX FUTR DEC25                                                                                                                  | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DE               |  | JP        |         16 | NC      | $29092.88     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Small Business Administration Participation Certs | United States Small Business Administration                                                                                            | CUSIP: 83162CRA3<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |       4318 | PA      | $4312.62      | 0.00%             | 2027-05-01      | Fixed         | 5.31%                 | No            |                  2 | On Loan: No      |
| Canada Government Bonds                           | Canada Government Bonds                                                                                                                | CUSIP: 135087S21<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    2238000 | PA      | $1622964.09   | 0.48%             | 2034-12-01      | Fixed         | 3.25%                 | 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      | $500.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPCO                           | Columbia Pipelines Operating Co LLC                                                                                                    | CUSIP: 19828TAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     265000 | PA      | $284255.36    | 0.08%             | 2053-11-15      | Fixed         | 6.54%                 | Yes           |                  2 | On Loan: No      |
| COMMERZBANK AG                                    | Commerzbank AG                                                                                                                         | CUSIP: 000000000<br>LEI: 851WYGNLUQLFZBSYGB56 | Long             | DBT              | CORP              | DE        |     200000 | PA      | $236806.17    | 0.07%             | 2034-06-06      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Kimberly-Clark Corp                               | Kimberly-Clark Corp                                                                                                                    | CUSIP: 494368103<br>LEI: MP3J6QPYPGN75NVW2S34 | Long             | EC               | CORP              | US        |       7704 | NS      | $957915.36    | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3133KNEG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     111922 | PA      | $95459.06     | 0.03%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| National Grid PLC                                 | National Grid PLC                                                                                                                      | CUSIP: 000000000<br>LEI: 8R95QZMKZLJX5Q2XR704 | Long             | EC               | CORP              | GB        |      93756 | NS      | $1351642.51   | 0.40%             |  |  |  | No            |                  2 | On Loan: No      |
| Interpublic Group of Cos Inc/The                  | Interpublic Group of Cos Inc/The                                                                                                       | CUSIP: 460690100<br>LEI: 5493008IUOJ5VWTRC333 | Long             | EC               | CORP              | US        |       4011 | NS      | $111947.01    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Merrill Lynch International                       | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DFE              |  | US        |          1 | NC      | $-1585.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                       | PURCHASED USD / SOLD PEN                                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-511.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                             | China Government Bond                                                                                                                  | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |   24800000 | PA      | $3456659.11   | 1.01%             | 2030-01-25      | Fixed         | 1.43%                 | No            |                  2 | On Loan: No      |
| ENERGUATE TRUST 2 0                               | Energuate Trust 2 0                                                                                                                    | CUSIP: 29277RAB1<br>LEI: 2549000ZL9MU01FZK194 | Long             | DBT              | CORP              | KY        |     200000 | PA      | $201377.24    | 0.06%             | 2035-09-15      | Fixed         | 6.35%                 | Yes           |                  2 | On Loan: No      |
| BONOS DE TESORERIA                                | Peru Government Bond                                                                                                                   | CUSIP: 000000000<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    6262000 | PA      | $1903417.24   | 0.56%             | 2035-08-12      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| HELLENIC REPUBLIC                                 | Hellenic Republic Government Bond                                                                                                      | CUSIP: 000000000<br>LEI: 2138003EKTMKZ5598902 | Long             | DBT              | NUSS              | GR        |    2609000 | PA      | $3122981.75   | 0.92%             | 2035-06-15      | Fixed         | 3.63%                 | Yes           |                  2 | On Loan: No      |
| VIDEOTRON LTD                                     | Videotron Ltd                                                                                                                          | CUSIP: 92660FAN4<br>LEI: 549300LW4GNJRBECSD81 | Long             | DBT              | CORP              | CA        |     288000 | PA      | $279207.01    | 0.08%             | 2029-06-15      | Fixed         | 3.63%                 | Yes           |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-2027.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEC Corp                                          | NEC Corp                                                                                                                               | CUSIP: 000000000<br>LEI: 5493000QYMPFRTEY4K28 | Long             | EC               | CORP              | JP        |      28300 | NS      | $906878.32    | 0.27%             |  |  |  | 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      | $-1402.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ELEMENT FLEET MANAGEMENT                          | Element Fleet Management Corp                                                                                                          | CUSIP: 286181AP7<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |     268000 | PA      | $273375.96    | 0.08%             | 2030-03-25      | Fixed         | 5.04%                 | Yes           |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                           | Hyundai Capital America                                                                                                                | CUSIP: 44891ABL0<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     157000 | PA      | $167705.35    | 0.05%             | 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        |      93000 | NS      | $659098.37    | 0.19%             |  |  |  | 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      | $17246.46     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| NIPPON LIFE INSURANCE                             | Nippon Life Insurance Co                                                                                                               | CUSIP: 000000000<br>LEI: 549300Y0HHMFW3EVWY08 | Long             | DBT              | CORP              | JP        |     110000 | PA      | $129993.16    | 0.04%             | 2055-01-23      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3132DWDY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35734 | PA      | $30214.79     | 0.01%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $5646.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140XGQ69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     103967 | PA      | $92299.55     | 0.03%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                           | BPCE SA                                                                                                                                | CUSIP: 000000000<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     100000 | PA      | $116884.89    | 0.03%             | 2036-02-26      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| QatarEnergy                                       | QatarEnergy                                                                                                                            | CUSIP: 000000000<br>LEI: 254900QTESJKJ3P87J26 | Long             | DBT              | CORP              | QA        |     236000 | PA      | $181686.96    | 0.05%             | 2041-07-12      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED GBP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | GB        |          1 | NC      | $-4345.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WMG ACQUISITION CORP                              | WMG Acquisition Corp                                                                                                                   | CUSIP: 92933BAT1<br>LEI: 549300NAS11NXI33CP80 | Long             | DBT              | CORP              | US        |     145000 | PA      | $138292.16    | 0.04%             | 2029-12-01      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED JPY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | JP        |          1 | NC      | $21483.23     | 0.01%             |  |  |  | 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      | $530879.40    | 0.16%             | 2038-04-18      | Floating      | 6.05%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3132DWK93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     859260 | PA      | $866662.54    | 0.25%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 10YR ULTRA FUT DEC25                                                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -51 | NC      | $-47504.46    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138WHNH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     189892 | PA      | $177736.58    | 0.05%             | 2046-07-01      | Fixed         | 3.50%                 | 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      | $-4999.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF PARAGUAY                              | Paraguay Government International Bond                                                                                                 | CUSIP: 699149AN0<br>LEI: 529900UXKJTJPCU0HK83 | Long             | DBT              | NUSS              | PY        |     200000 | PA      | $211880.00    | 0.06%             | 2036-02-09      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-6630.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CESKE DRAHY                                       | Ceske Drahy AS                                                                                                                         | CUSIP: 000000000<br>LEI: 31570010000000034336 | Long             | DBT              | CORP              | CZ        |     133000 | PA      | $160084.98    | 0.05%             | 2030-07-28      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $935.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 31427MHC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     189664 | PA      | $195939.66    | 0.06%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED SGD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | SG        |          1 | NC      | $-4360.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GIVAUDAN FIN EUROPE                               | Givaudan Finance Europe BV                                                                                                             | CUSIP: 000000000<br>LEI: 213800MGRS1DZVKTKA03 | Long             | DBT              | CORP              | NL        |     100000 | PA      | $117919.99    | 0.03%             | 2029-09-09      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3133KMZB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36166 | PA      | $30949.08     | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HELLENIC REPUBLIC                                 | Hellenic Republic Government Bond                                                                                                      | CUSIP: 000000000<br>LEI: 2138003EKTMKZ5598902 | Long             | DBT              | NUSS              | GR        |     482000 | PA      | $552196.12    | 0.16%             | 2054-06-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2021-BNK32                                                                                                                        | CUSIP: 06542BBN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1226478 | PA      | $36308.79     | 0.01%             | 2054-04-15      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | N/A       |          1 | NC      | $25.12        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-2530.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED USD / SOLD AUD                                                                                                               | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $-35909.49    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                                                                            | CUSIP: 38141GB78<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     342000 | PA      | $344273.89    | 0.10%             | 2035-10-23      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                  | NTT Finance Corp                                                                                                                       | CUSIP: 62954WAU9<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |     346000 | PA      | $354361.97    | 0.10%             | 2032-07-16      | Fixed         | 5.17%                 | Yes           |                  2 | On Loan: No      |
| Cousins Properties Inc                            | Cousins Properties Inc                                                                                                                 | CUSIP: 222795502<br>LEI: 5493007XPYD5EJABN062 | Long             | EC               | CORP              | US        |       4618 | NS      | $133644.92    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-1638.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Expand Energy Corp                                | Expand Energy Corp                                                                                                                     | CUSIP: 165167735<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | EC               | CORP              | US        |       5370 | NS      | $570508.80    | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| Ambev SA                                          | Ambev SA                                                                                                                               | CUSIP: 000000000<br>LEI: 549300TH5Q6VRP8OT012 | Long             | EC               | CORP              | BR        |     266500 | NS      | $605380.24    | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| Colgate-Palmolive Co                              | Colgate-Palmolive Co                                                                                                                   | CUSIP: 194162103<br>LEI: YMEGZFW4SBUSS5BQXF88 | Long             | EC               | CORP              | US        |      12591 | NS      | $1006524.54   | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED CNH / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | CN        |          1 | NC      | $-2017.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HEATHROW FUNDING LTD                              | Heathrow Funding Ltd                                                                                                                   | CUSIP: 000000000<br>LEI: 7TI96JO3DYEIQWZ7Z726 | Long             | DBT              | CORP              | JE        |     136000 | PA      | $158380.80    | 0.05%             | 2036-01-16      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| VIER GAS TRANSPORT GMBH                           | Vier Gas Transport GmbH                                                                                                                | CUSIP: 000000000<br>LEI: 529900AGED6PJE9AVL37 | Long             | DBT              | CORP              | DE        |     100000 | PA      | $117420.33    | 0.03%             | 2033-09-08      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| HEIMSTADEN AB                                     | Heimstaden AB                                                                                                                          | CUSIP: 000000000<br>LEI: 549300WD2QBD89VBPV88 | Long             | DBT              | CORP              | SE        |     280000 | PA      | $341842.80    | 0.10%             | 2030-01-29      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED RON / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | RO        |          1 | NC      | $76.43        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                    | European Union                                                                                                                         | CUSIP: 000000000<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | N/A       |     690000 | PA      | $805671.84    | 0.24%             | 2032-12-13      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| SERVICE CORP INTL                                 | Service Corp International/US                                                                                                          | CUSIP: 817565CH5<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |     183000 | PA      | $185393.27    | 0.05%             | 2032-10-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Waters Corp                                       | Waters Corp                                                                                                                            | CUSIP: 941848103<br>LEI: 5T547R1474YC9HOD8Q74 | Long             | EC               | CORP              | US        |        828 | NS      | $248242.68    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| CHOICE PROPERTIES REIT                            | Choice Properties Real Estate Investment Trust                                                                                         | CUSIP: 17039AAZ9<br>LEI: 5493007MYGFSLOZGT937 | Long             | DBT              | CORP              | CA        |     433000 | PA      | $330261.67    | 0.10%             | 2031-02-28      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED CAD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | CA        |          1 | NC      | $-1699.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JT INTL FIN SERVICES BV                           | JT International Financial Services BV                                                                                                 | CUSIP: 000000000<br>LEI: 549300U2F0PG10VZUN93 | Long             | DBT              | CORP              | NL        |     180000 | PA      | $211148.40    | 0.06%             | 2055-09-04      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                               | JPMorgan Chase & Co                                                                                                                    | CUSIP: 46625H100<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | EC               | CORP              | US        |       3038 | NS      | $958276.34    | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD ZAR                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-706.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Schneider Electric SE                             | Schneider Electric SE                                                                                                                  | CUSIP: 000000000<br>LEI: 969500A1YF1XUYYXS284 | Long             | EC               | CORP              | FR        |       3926 | NS      | $1108331.46   | 0.32%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140XGK40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32093 | PA      | $27175.53     | 0.01%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FASTIGHETS AB BALDER                              | Fastighets AB Balder                                                                                                                   | CUSIP: 000000000<br>LEI: 549300GHKJCEZOAEUU82 | Long             | DBT              | CORP              | SE        |     280000 | PA      | $329746.69    | 0.10%             | 2032-02-19      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Norway Government Bonds                           | Norway Government Bonds                                                                                                                | CUSIP: 000000000<br>LEI: 549300L0BT3FJTN9MX24 | Long             | DBT              | NUSS              | NO        |   10750000 | PA      | $1051670.99   | 0.31%             | 2035-06-12      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-499.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31419GP24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      87867 | PA      | $87934.50     | 0.03%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418EBR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     350233 | PA      | $282933.00    | 0.08%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                             | China Government Bond                                                                                                                  | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |   28910000 | PA      | $4374867.05   | 1.28%             | 2033-02-25      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                   | Danske Bank A/S                                                                                                                        | CUSIP: 23636ABJ9<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |     273000 | PA      | $274427.54    | 0.08%             | 2030-10-02      | Fixed         | 4.61%                 | Yes           |                  2 | On Loan: No      |
| Westinghouse Air Brake Technologies Corp          | Westinghouse Air Brake Technologies Corp                                                                                               | CUSIP: 929740108<br>LEI: 06BTX5UWZD0GQ5N5Y745 | Long             | EC               | CORP              | US        |        983 | NS      | $197062.01    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| GRAPHIC PACKAGING INTERN                          | Graphic Packaging International LLC                                                                                                    | CUSIP: 38869PAP9<br>LEI: SO75N4VY5NXGQSK8YQ65 | Long             | DBT              | CORP              | US        |     359000 | PA      | $353148.09    | 0.10%             | 2026-04-15      | Fixed         | 1.51%                 | Yes           |                  2 | On Loan: No      |
| JAPAN TOBACCO INC                                 | Japan Tobacco Inc                                                                                                                      | CUSIP: 471105AD8<br>LEI: 353800Z0ENYBQO0XRJ31 | Long             | DBT              | CORP              | JP        |     267000 | PA      | $276441.43    | 0.08%             | 2030-06-15      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| FAIRFAX FINL HLDGS LTD                            | Fairfax Financial Holdings Ltd                                                                                                         | CUSIP: 303901BR2<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |     242000 | PA      | $255760.66    | 0.07%             | 2054-03-22      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137HKSB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1004835 | PA      | $22855.18     | 0.01%             | 2030-01-25      | Variable      | 0.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140A3YP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62120 | PA      | $62924.75     | 0.02%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3133A67D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36685 | PA      | $32817.55     | 0.01%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Anhui Conch Cement Co Ltd                         | Anhui Conch Cement Co Ltd                                                                                                              | CUSIP: 000000000<br>LEI: 300300JVKW56SSAEQZ33 | Long             | EC               | CORP              | CN        |     142500 | NS      | $430322.73    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| ARQIVA BROADC FINANCE PL                          | Arqiva Broadcast Finance PLC                                                                                                           | CUSIP: 000000000<br>LEI: 5493007PMKIGKNYH2S25 | Long             | DBT              | CORP              | GB        |     236000 | PA      | $331598.24    | 0.10%             | 2030-07-01      | Fixed         | 8.63%                 | No            |                  2 | On Loan: No      |
| U.K. Gilts                                        | U.K. Gilts                                                                                                                             | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     929000 | PA      | $625580.39    | 0.18%             | 2047-07-22      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2021-B27 Mortgage Trust                                                                                                      | CUSIP: 08163HAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6551702 | PA      | $329301.66    | 0.10%             | 2054-07-15      | Variable      | 1.35%                 | No            |                  2 | On Loan: No      |
| PLUXEE NV                                         | Pluxee NV                                                                                                                              | CUSIP: 000000000<br>LEI: 213800RQNIQT48SEEO85 | Long             | DBT              | CORP              | NL        |     200000 | PA      | $235045.80    | 0.07%             | 2032-09-04      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED AUD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | AU        |          1 | NC      | $4464.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BURLINGTN NORTH SANTA FE                          | Burlington Northern Santa Fe LLC                                                                                                       | CUSIP: 12189LBL4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     292000 | PA      | $292656.97    | 0.09%             | 2055-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                        | Humana Inc                                                                                                                             | CUSIP: 444859CA8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |     125000 | PA      | $128576.35    | 0.04%             | 2031-04-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-1553.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BUXL 30Y BND DEC25                                                                                                                | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         -7 | NC      | $-23357.14    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| HELLENIC REPUBLIC                                 | Hellenic Republic Government Bond                                                                                                      | CUSIP: 000000000<br>LEI: 2138003EKTMKZ5598902 | Long             | DBT              | NUSS              | GR        |    2385000 | PA      | $2824938.46   | 0.83%             | 2034-06-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| XCEL ENERGY INC                                   | Xcel Energy Inc                                                                                                                        | CUSIP: 98389BBB5<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |     155000 | PA      | $159946.48    | 0.05%             | 2034-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD SEK                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-87672.21    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK GOSPODARSTWA KRAJOW                          | Bank Gospodarstwa Krajowego                                                                                                            | CUSIP: 06237MAA1<br>LEI: 259400BCOV9JJIGLYF05 | Long             | DBT              | NUSS              | PL        |     208000 | PA      | $214667.80    | 0.06%             | 2033-05-22      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| REGAL REXNORD CORP                                | Regal Rexnord Corp                                                                                                                     | CUSIP: 758750AM5<br>LEI: QH78R09VCJGQKPBPYU33 | Long             | DBT              | CORP              | US        |     268000 | PA      | $277227.82    | 0.08%             | 2028-04-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138EQTZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     405369 | PA      | $404958.08    | 0.12%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| American International Group Inc                  | American International Group Inc                                                                                                       | CUSIP: 026874784<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | EC               | CORP              | US        |       1046 | NS      | $82152.84     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD CHF                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-106867.46   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| LINDE PLC                                         | Linde PLC                                                                                                                              | CUSIP: 000000000<br>LEI: 5299003QR1WT0EF88V51 | Long             | DBT              | CORP              | IE        |     300000 | PA      | $341273.65    | 0.10%             | 2037-02-18      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $197.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| The Montreal Exchange / Bourse De Montreal        | CAN 10YR BOND FUT DEC25                                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |        101 | NC      | $165338.36    | 0.05%             |  |  |  | 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      | $18337.43     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ABBVIE INC                                        | AbbVie Inc                                                                                                                             | CUSIP: 00287YDV8<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     184000 | PA      | $184592.25    | 0.05%             | 2044-03-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Kirin Holdings Co Ltd                             | Kirin Holdings Co Ltd                                                                                                                  | CUSIP: 000000000<br>LEI: 353800GBVL72LLMTYM96 | Long             | EC               | CORP              | JP        |      17300 | NS      | $253560.20    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Eaton Corp PLC                                    | Eaton Corp PLC                                                                                                                         | CUSIP: 000000000<br>LEI: 549300VDIGTMXUNT7H71 | Long             | EC               | CORP              | IE        |       1221 | NS      | $456959.25    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| ASX Clear (Futures)                               | SPI 200 FUTURES DEC25                                                                                                                  | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DE               |  | AU        |        -69 | NC      | $37484.64     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2024-NQM2 Trust                                                                                                                    | CUSIP: 67118HAA8<br>LEI: 254900OHTVKDKZL33I54 | Long             | ABS-MBS          | CORP              | US        |     413662 | PA      | $417033.14    | 0.12%             | 2063-12-25      | Variable      | 5.88%                 | Yes           |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SM11716   IRS CNY R F  1.49000 SM11716_FIX CCPVANILLA / Short: SM11716   IRS CNY P V 03MCNRR SM11716_FLO CCPVANILLA              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   20400000 | OU      | $-15290.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| China Construction Bank Corp                      | China Construction Bank Corp                                                                                                           | CUSIP: 000000000<br>LEI: 5493001KQW6DM7KEDR62 | Long             | EC               | CORP              | CN        |     795000 | NS      | $764152.94    | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| ConocoPhillips                                    | ConocoPhillips                                                                                                                         | CUSIP: 20825C104<br>LEI: WPTL2Z3FIYTHSP5V2253 | Long             | EC               | CORP              | US        |      10200 | NS      | $964818.00    | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD IDR                                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $433.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Heineken NV                                       | Heineken NV                                                                                                                            | CUSIP: 000000000<br>LEI: 724500K5PTPSST86UQ23 | Long             | EC               | CORP              | NL        |       8074 | NS      | $630586.23    | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-10-30

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

**Signature:** James Byrne

**Name of Signer:** James Byrne

**Title:** Assistant Treasurer