# EDGAR Filing Document

**Accession Number:** 0001065698
**File Stem:** 0001752724-23-037816
**Filing Date:** 2023-2
**Character Count:** 77097
**Document Hash:** b21e981d4f154205a4cbe6e2f330d5bf
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-037816.hdr.sgml**: 20230224

**ACCESSION NUMBER**: 0001752724-23-037816

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230224

**DATE AS OF CHANGE**: 20230224

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** MFS VARIABLE INSURANCE TRUST III
- **CENTRAL INDEX KEY:** 0001065698
- **IRS NUMBER:** 000000000
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08879
- **FILM NUMBER:** 23663360

**BUSINESS ADDRESS:**
- **STREET 1:** 111 HUNTINGTON AVENUE
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02199
- **BUSINESS PHONE:** 617-954-5000

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

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** SUN CAPITAL ADVISERS TRUST
- **DATE OF NAME CHANGE:** 19980709

## Series and Classes Contracts Data

### MFS Inflation-Adjusted Bond Portfolio (Series ID: S000023378)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000068454 | Initial Class |  |
| C000068455 | Service Class |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

- **b. Investment Company Act file number:** 811-08879

- **c. CIK number of Registrant:** 0001065698

- **d. LEI of Registrant:** 549300QPPZUNGK3D0K61

- **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 Inflation-Adjusted Bond Portfolio

- **b. EDGAR series identifier (if any):** S000023378

- **c. LEI of Series:** 5493008RHGZT7FZTCC74

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $190101612.84

**Total Liabilities:** $4277798.70

**Net Assets:** $185823814.14

**Cash Not Reported:** $374824.04

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -6.80000000 | **1-Year:** -195.86000000 | **5-Year:** -1030.05000000 | **10-Year:** -5855.69000000 | **30-Year:** -1383.37000000

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

- **3-Month:** -0.82000000 | **1-Year:** -15.36000000 | **5-Year:** -57.14000000 | **10-Year:** -25.24000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000068454 | 1.00%                | 5.32%                | -1.88%               |
| Class ID C000068455 | 0.88%                | 5.26%                | -1.79%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-5889278.95             | $8818662.32                                |
| Month 2  | $-2002797.31             | $12000625.39                               |
| Month 3  | $-2306054.30             | $-3173921.14                               |

**Designated Index Information**

- **Index Name:** Barclays Capital World Government Inflation Linked

- **Index Identifier:** LF94TRUU

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137F9ZC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1882263 | PA      | $93933.02     | 0.05%             | 2031-01-25      | Variable      | 0.78%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                 | French Republic Government Bond OAT                          | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |  11792994 | PA      | $12722649.16  | 6.85%             | 2024-07-25      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Inflation Indexed Bonds               | CUSIP: 912810TE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3570017 | PA      | $2309108.74   | 1.24%             | 2052-02-15      | Fixed         | 0.13%                 | 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      | $-83252.48    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt                         | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   1976990 | PA      | $2128340.99   | 1.15%             | 2058-03-22      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt                         | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   3713272 | PA      | $4717289.17   | 2.54%             | 2034-03-22      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED EUR / SOLD USD                                     | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | N/A       |         1 | NC      | $5701.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Merrill Lynch International                      | PURCHASED USD / SOLD EUR                                     | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DFE              |  | US        |         1 | NC      | $-34308.40    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED GBP / SOLD USD                                     | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | GB        |         1 | NC      | $48210.56     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                         | Benchmark 2021-B24 Mortgage Trust                            | CUSIP: 08163CBE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2520395 | PA      | $153552.81    | 0.08%             | 2054-03-15      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                               | PURCHASED USD / SOLD GBP                                     | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $-1605.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Toledo Hospital/The                              | Toledo Hospital/The                                          | CUSIP: 889184AD9<br>LEI: 5493009DCR7NWV6K4T34 | Long             | DBT              | CORP              | US        |    144000 | PA      | $135416.85    | 0.07%             | 2038-11-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED AUD / SOLD USD                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | AU        |         1 | NC      | $71122.86     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC      | BBCMS Trust 2021-C10                                         | CUSIP: 05551VBK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2080304 | PA      | $150593.43    | 0.08%             | 2054-07-15      | Variable      | 1.30%                 | 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      | $16120.05     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | PURCHASED JPY / SOLD USD                                     | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | JP        |         1 | NC      | $93740.27     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD EUR                                     | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |         1 | NC      | $-48649.98    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                               | PURCHASED USD / SOLD EUR                                     | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $-13813.09    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Brown Brothers Harriman & Co.                    | PURCHASED NZD / SOLD USD                                     | CUSIP: 000000000<br>LEI: 5493006KMX1VFTPYPW14 | N/A              | DFE              |  | NZ        |         1 | NC      | $103715.77    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                               | PURCHASED USD / SOLD NZD                                     | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $212.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT CPI LINKED                            | Japanese Government CPI Linked Bond                          | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 224507300 | PA      | $1776522.64   | 0.96%             | 2031-03-10      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt                         | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   2127916 | PA      | $2645276.21   | 1.42%             | 2040-03-22      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FXZ50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4877274 | PA      | $97320.64     | 0.05%             | 2031-01-25      | Variable      | 0.33%                 | No            |                  2 | On Loan: No      |
| SPAIN I/L BOND                                   | Spain Government Inflation Linked Bond                       | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |   5066921 | PA      | $5457630.20   | 2.94%             | 2023-11-30      | Fixed         | 0.15%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt                         | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    729703 | PA      | $871959.16    | 0.47%             | 2050-03-22      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Brown Brothers Harriman & Co.                    | PURCHASED USD / SOLD CAD                                     | CUSIP: 000000000<br>LEI: 5493006KMX1VFTPYPW14 | N/A              | DFE              |  | US        |         1 | NC      | $-7241.00     | -0.00%            |  |  |  | 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        |   1332907 | PA      | $120625.12    | 0.06%             | 2054-02-15      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | PURCHASED DKK / SOLD USD                                     | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | DK        |         1 | NC      | $41670.55     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                         | Italy Buoni Poliennali Del Tesoro                            | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |   1691730 | PA      | $1584800.63   | 0.85%             | 2030-05-15      | Fixed         | 0.40%                 | 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      | $-1858944.30  | -1.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                               | PURCHASED USD / SOLD GBP                                     | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $-26598.68    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW ZEALAND GVT ILB                              | New Zealand Government Inflation Linked Bond                 | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |   1966412 | PA      | $1246437.81   | 0.67%             | 2035-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | PURCHASED SEK / SOLD USD                                     | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | SE        |         1 | NC      | $35060.36     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust            | Wells Fargo Commercial Mortgage Trust 2021-C60               | CUSIP: 95003DBP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1460534 | PA      | $128816.06    | 0.07%             | 2054-08-15      | Variable      | 1.55%                 | No            |                  2 | On Loan: No      |
| NatWest Markets PLC                              | PURCHASED USD / SOLD CAD                                     | CUSIP: 000000000<br>LEI: RR3QWICWWIPCS8A4S074 | N/A              | DFE              |  | US        |         1 | NC      | $-93.00       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT RRB                          | Canadian Government Real Return Bond                         | CUSIP: 135087B94<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |   1621841 | PA      | $1196868.35   | 0.64%             | 2047-12-01      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt                         | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    586486 | PA      | $648566.44    | 0.35%             | 2044-03-22      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt                         | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   2046302 | PA      | $2276521.44   | 1.23%             | 2052-03-22      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED NZD / SOLD USD                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | NZ        |         1 | NC      | $56977.50     | 0.03%             |  |  |  | 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      | $20126.36     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SPAIN I/L BOND                                   | Spain Government Inflation Linked Bond                       | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |   5003117 | PA      | $5331805.77   | 2.87%             | 2030-11-30      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Inflation Indexed Bonds               | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3828016 | PA      | $3093155.50   | 1.66%             | 2045-02-15      | Fixed         | 0.75%                 | 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        |   1417400 | PA      | $83215.55     | 0.04%             | 2031-09-25      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| NEW ZEALAND GVT ILB                              | New Zealand Government Inflation Linked Bond                 | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |    597294 | PA      | $396501.45    | 0.21%             | 2030-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                               | PURCHASED USD / SOLD GBP                                     | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $-7124.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED CAD / SOLD USD                                     | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | CA        |         1 | NC      | $4528.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                 | French Republic Government Bond OAT                          | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |   1380640 | PA      | $1730012.40   | 0.93%             | 2040-07-25      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137F9Z38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1425035 | PA      | $85185.17     | 0.05%             | 2031-01-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Inflation Indexed Bonds               | CUSIP: 912810SV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2432232 | PA      | $1564537.59   | 0.84%             | 2051-02-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Bank                                             | BANK 2021-BNK31                                              | CUSIP: 06541ABM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3299089 | PA      | $247811.10    | 0.13%             | 2054-02-15      | Variable      | 1.33%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                         | Benchmark 2021-B23 Mortgage Trust                            | CUSIP: 08162RAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4273789 | PA      | $288191.01    | 0.16%             | 2054-02-15      | Variable      | 1.27%                 | 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      | $-466511.71   | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED EUR / SOLD USD                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | N/A       |         1 | NC      | $1531.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                               | PURCHASED USD / SOLD EUR                                     | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $-15787.43    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                               | PURCHASED USD / SOLD CAD                                     | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $-10106.71    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | US 10YR NOTE (CBT)MAR23                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        19 | NC      | $-14420.25    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| HSBC Bank USA N.A.                               | PURCHASED USD / SOLD GBP                                     | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $-128347.26   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Brown Brothers Harriman & Co.                    | PURCHASED USD / SOLD CAD                                     | CUSIP: 000000000<br>LEI: 5493006KMX1VFTPYPW14 | N/A              | DFE              |  | US        |         1 | NC      | $-3904.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD CAD                                     | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |         1 | NC      | $1183.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED CAD / SOLD USD                                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | CA        |         1 | NC      | $12301.03     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SPAIN I/L BOND                                   | Spain Government Inflation Linked Bond                       | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |   3621420 | PA      | $3986710.92   | 2.15%             | 2024-11-30      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| BANK 2021-BN35                                   | BANK 2021-BNK35                                              | CUSIP: 06540CBL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1300175 | PA      | $77403.04     | 0.04%             | 2064-06-15      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Inflation Indexed Bonds               | CUSIP: 912810FS2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8158553 | PA      | $8148268.59   | 4.38%             | 2026-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SWEDEN I/L BOND                                  | Sweden Inflation Linked Bond                                 | CUSIP: 000000000<br>LEI: ERE94C0BSULG2RM19605 | Long             | DBT              | NUSS              | SE        |   6855143 | PA      | $740964.39    | 0.40%             | 2030-06-01      | Fixed         | 0.13%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED SEK / SOLD USD                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | SE        |         1 | NC      | $4006.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Golden State Tobacco Securitization Corp         | GOLDEN ST TOBACCO SECURITIZATION CORP CA TOBACCO SETTLEMENT  | CUSIP: 38122NB76<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    395000 | PA      | $365608.37    | 0.20%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHLAND I/L BOND                             | Deutsche Bundesrepublik Inflation Linked Bond                | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |    652408 | PA      | $699906.22    | 0.38%             | 2046-04-15      | Fixed         | 0.10%                 | 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      | $-130248.91   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Brown Brothers Harriman & Co.                    | PURCHASED EUR / SOLD USD                                     | CUSIP: 000000000<br>LEI: 5493006KMX1VFTPYPW14 | N/A              | DFE              |  | N/A       |         1 | NC      | $14929.63     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD AUD                                     | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |         1 | NC      | $-14054.69    | -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      | $-43867.25    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD NZD                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $22692.67     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                               | PURCHASED USD / SOLD GBP                                     | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $-32482.64    | -0.02%            |  |  |  | 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        |   1221668 | PA      | $120356.41    | 0.06%             | 2030-05-25      | Variable      | 1.67%                 | 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        |   5925776 | PA      | $190709.84    | 0.10%             | 2031-03-25      | Variable      | 0.52%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                         | Benchmark 2021-B28 Mortgage Trust                            | CUSIP: 08163GAZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3946551 | PA      | $278132.03    | 0.15%             | 2054-08-15      | Variable      | 1.28%                 | No            |                  2 | On Loan: No      |
| Brown Brothers Harriman & Co.                    | PURCHASED USD / SOLD GBP                                     | CUSIP: 000000000<br>LEI: 5493006KMX1VFTPYPW14 | N/A              | DFE              |  | US        |         1 | NC      | $17474.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIAN GOVERNMENT                            | Australia Government Bond                                    | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |   1121400 | PA      | $973118.10    | 0.52%             | 2035-08-21      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED EUR / SOLD USD                                     | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | N/A       |         1 | NC      | $62535.71     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt                         | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    827779 | PA      | $919951.24    | 0.50%             | 2065-11-22      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Inflation Indexed Bonds               | CUSIP: 912828V49<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6198940 | PA      | $5845414.43   | 3.15%             | 2027-01-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch International                      | PURCHASED EUR / SOLD USD                                     | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DFE              |  | N/A       |         1 | NC      | $95351.98     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED USD / SOLD JPY                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |         1 | NC      | $-33952.26    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt                         | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    196474 | PA      | $230410.21    | 0.12%             | 2073-03-22      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED USD / SOLD SEK                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |         1 | NC      | $184.97       | 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      | $82527.79     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                 | French Republic Government Bond OAT                          | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    734376 | PA      | $672145.44    | 0.36%             | 2053-07-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Inflation Indexed Bonds               | CUSIP: 912810QV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10887848 | PA      | $9106667.77   | 4.90%             | 2042-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                    | PURCHASED EUR / SOLD USD                                     | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | N/A       |         1 | NC      | $13058.06     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED JPY / SOLD USD                                     | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | JP        |         1 | NC      | $71512.59     | 0.04%             |  |  |  | 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      | $-6733.41     | -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      | $53492.82     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED USD / SOLD GBP                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |         1 | NC      | $-52726.93    | -0.03%            |  |  |  | No            |                  2 | 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        |   1133380 | PA      | $71758.03     | 0.04%             | 2031-07-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt                         | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   1774824 | PA      | $2648935.01   | 1.43%             | 2035-01-26      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                               | PURCHASED USD / SOLD EUR                                     | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $-30158.61    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHLAND I/L BOND                             | Deutsche Bundesrepublik Inflation Linked Bond                | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |    176627 | PA      | $192052.35    | 0.10%             | 2030-04-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED JPY / SOLD USD                                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | JP        |         1 | NC      | $33179.48     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                         | Italy Buoni Poliennali Del Tesoro                            | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |   2408420 | PA      | $2339742.20   | 1.26%             | 2032-09-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt                         | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   1112727 | PA      | $1211163.88   | 0.65%             | 2046-03-22      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| SPAIN I/L BOND                                   | Spain Government Inflation Linked Bond                       | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    131408 | PA      | $132099.55    | 0.07%             | 2033-11-30      | Fixed         | 0.70%                 | Yes           |                  2 | On Loan: No      |
| Eurex Deutschland                                | EURO-BOBL FUTURE MAR23                                       | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -17 | NC      | $58741.62     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| JAPAN GOVT CPI LINKED                            | Japanese Government CPI Linked Bond                          | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 400805000 | PA      | $3168509.51   | 1.71%             | 2026-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED USD / SOLD CAD                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |         1 | NC      | $2273.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt                         | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    721198 | PA      | $1072216.27   | 0.58%             | 2055-11-22      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt                         | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   1006070 | PA      | $1120892.77   | 0.60%             | 2068-03-22      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED NZD / SOLD USD                                     | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | NZ        |         1 | NC      | $-714.47      | -0.00%            |  |  |  | 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        |   4635695 | PA      | $176352.96    | 0.09%             | 2031-09-25      | Variable      | 0.54%                 | No            |                  2 | On Loan: No      |
| 3650R Commercial Mortgage Trust                  | 3650R 2021-PF1 Commercial Mortgage Trust                     | CUSIP: 88581EAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2104030 | PA      | $123958.93    | 0.07%             | 2054-11-15      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| MFS Institutional Money Market Portfolio         | MFS Institutional Money Market Portfolio                     | CUSIP: 55291X109<br>LEI: 5L2W638H85N8T1136O07 | Long             | STIV             | RF                | US        |    104286 | NS      | $104317.00    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| FRANCE (GOVT OF)                                 | French Republic Government Bond OAT                          | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    353339 | PA      | $342185.70    | 0.18%             | 2036-07-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137H13T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    709327 | PA      | $56409.09     | 0.03%             | 2031-05-25      | Variable      | 1.22%                 | 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      | $-602518.05   | -0.32%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt                         | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   2316925 | PA      | $3082806.53   | 1.66%             | 2037-11-22      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| SPAIN I/L BOND                                   | Spain Government Inflation Linked Bond                       | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    180226 | PA      | $190945.90    | 0.10%             | 2027-11-30      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| HOWARD UNIVERSITY                                | Howard University                                            | CUSIP: 442851AG6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     82000 | PA      | $76585.79     | 0.04%             | 2025-10-01      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT RRB                          | Canadian Government Real Return Bond                         | CUSIP: 135087WV2<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    841590 | PA      | $754590.48    | 0.41%             | 2031-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED USD / SOLD EUR                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |         1 | NC      | $-67682.95    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD GBP                                     | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |         1 | NC      | $-31729.31    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                               | PURCHASED EUR / SOLD USD                                     | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | N/A       |         1 | NC      | $7899.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHLAND I/L BOND                             | Deutsche Bundesrepublik Inflation Linked Bond                | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |   2824642 | PA      | $2997996.69   | 1.61%             | 2026-04-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| AUSTRALIAN GOVERNMENT                            | Australia Government Bond                                    | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |     83692 | PA      | $50816.95     | 0.03%             | 2040-08-21      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Inflation Indexed Bonds               | CUSIP: 91282CBF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14496861 | PA      | $12874085.90  | 6.93%             | 2031-01-15      | Fixed         | 0.13%                 | 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      | $10274.64     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED USD / SOLD GBP                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |         1 | NC      | $-12650.99    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED EUR / SOLD USD                                     | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | N/A       |         1 | NC      | $42046.25     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD CAD                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-49.60       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                   | Morgan Stanley Capital I Trust 2021-L6                       | CUSIP: 61692CBK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2008643 | PA      | $127201.16    | 0.07%             | 2054-06-15      | Variable      | 1.23%                 | 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      | $29512.64     | 0.02%             |  |  |  | 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      | $11014.46     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                   | Morgan Stanley Capital I Trust 2021-L5                       | CUSIP: 61691YAP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1654008 | PA      | $114136.31    | 0.06%             | 2054-05-15      | Variable      | 1.30%                 | No            |                  2 | On Loan: No      |
| Brown Brothers Harriman & Co.                    | PURCHASED USD / SOLD JPY                                     | CUSIP: 000000000<br>LEI: 5493006KMX1VFTPYPW14 | N/A              | DFE              |  | US        |         1 | NC      | $-14763.59    | -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      | $-3271.02     | -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        |    564669 | PA      | $59453.43     | 0.03%             | 2030-04-25      | Variable      | 1.80%                 | 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      | $-936.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Inflation Indexed Bonds               | CUSIP: 9128285W6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9547494 | PA      | $9095459.11   | 4.89%             | 2029-01-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| TOLEDO HOSPITAL/THE                              | Toledo Hospital/The                                          | CUSIP: 889184AF4<br>LEI: 5493009DCR7NWV6K4T34 | Long             | DBT              | CORP              | US        |    487000 | PA      | $480818.88    | 0.26%             | 2028-11-15      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                               | PURCHASED EUR / SOLD USD                                     | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | N/A       |         1 | NC      | $194783.85    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt                         | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   7399527 | PA      | $9082527.41   | 4.89%             | 2024-03-22      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Brown Brothers Harriman & Co.                    | PURCHASED NZD / SOLD USD                                     | CUSIP: 000000000<br>LEI: 5493006KMX1VFTPYPW14 | N/A              | DFE              |  | NZ        |         1 | NC      | $32785.07     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| NatWest Markets PLC                              | PURCHASED AUD / SOLD USD                                     | CUSIP: 000000000<br>LEI: RR3QWICWWIPCS8A4S074 | N/A              | DFE              |  | AU        |         1 | NC      | $4249.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED USD / SOLD NZD                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |         1 | NC      | $-7375.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt                         | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   2191872 | PA      | $2740722.71   | 1.47%             | 2047-11-22      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | PURCHASED USD / SOLD EUR                                     | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |         1 | NC      | $-23479.25    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Merrill Lynch International                      | PURCHASED EUR / SOLD USD                                     | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DFE              |  | N/A       |         1 | NC      | $106187.53    | 0.06%             |  |  |  | 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        |   1130491 | PA      | $44630.43     | 0.02%             | 2031-12-25      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| Brown Brothers Harriman & Co.                    | PURCHASED USD / SOLD EUR                                     | CUSIP: 000000000<br>LEI: 5493006KMX1VFTPYPW14 | N/A              | DFE              |  | US        |         1 | NC      | $-35524.41    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                | PURCHASED CAD / SOLD USD                                     | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | CA        |         1 | NC      | $8024.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED USD / SOLD DKK                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |         1 | NC      | $-4391.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED USD / SOLD GBP                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |         1 | NC      | $-44268.03    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED USD / SOLD NZD                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |         1 | NC      | $-4393.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIAN GOVERNMENT                            | Australia Government Bond                                    | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |   1722500 | PA      | $1238030.22   | 0.67%             | 2025-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED EUR / SOLD USD                                     | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | N/A       |         1 | NC      | $7029.28      | 0.00%             |  |  |  | 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        |    646322 | PA      | $46534.93     | 0.03%             | 2030-09-25      | Variable      | 1.17%                 | 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      | $983.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED GBP / SOLD USD                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | GB        |         1 | NC      | $141410.30    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED NZD / SOLD USD                                     | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | NZ        |         1 | NC      | $-3199.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                               | PURCHASED USD / SOLD JPY                                     | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $-43897.11    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED GBP / SOLD USD                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | GB        |         1 | NC      | $45578.01     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED CAD / SOLD USD                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | CA        |         1 | NC      | $7019.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Brown Brothers Harriman & Co.                    | PURCHASED NZD / SOLD USD                                     | CUSIP: 000000000<br>LEI: 5493006KMX1VFTPYPW14 | N/A              | DFE              |  | NZ        |         1 | NC      | $30555.84     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD GBP                                     | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |         1 | NC      | $-19631.70    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                | PURCHASED EUR / SOLD USD                                     | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | N/A       |         1 | NC      | $28178.79     | 0.02%             |  |  |  | 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      | $15248.65     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137H4CH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6965967 | PA      | $178903.45    | 0.10%             | 2031-11-25      | Variable      | 0.35%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED NZD / SOLD USD                                     | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | NZ        |         1 | NC      | $212620.28    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD JPY                                     | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |         1 | NC      | $-2167.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt                         | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   2079666 | PA      | $2575843.81   | 1.39%             | 2042-11-22      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT RRB                          | Canadian Government Real Return Bond                         | CUSIP: 135087VS0<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    525402 | PA      | $427973.69    | 0.23%             | 2026-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED EUR / SOLD USD                                     | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | N/A       |         1 | NC      | $64208.77     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD EUR                                     | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |         1 | NC      | $-4346.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt                         | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   6183584 | PA      | $7451624.24   | 4.01%             | 2029-03-22      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT RRB                          | Canadian Government Real Return Bond                         | CUSIP: 135087XQ2<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |   6160481 | PA      | $5501073.16   | 2.96%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Inflation Indexed Bonds               | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8170000 | PA      | $7155878.41   | 3.85%             | 2032-01-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| NatWest Markets PLC                              | PURCHASED USD / SOLD GBP                                     | CUSIP: 000000000<br>LEI: RR3QWICWWIPCS8A4S074 | N/A              | DFE              |  | US        |         1 | NC      | $4417.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Inflation Indexed Bonds               | CUSIP: 912828H45<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12910930 | PA      | $12384394.44  | 6.66%             | 2025-01-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED USD / SOLD GBP                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |         1 | NC      | $-70621.74    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank N.A.                                    | PURCHASED AUD / SOLD USD                                     | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | AU        |         1 | NC      | $10286.08     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137H5DT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6916623 | PA      | $245179.07    | 0.13%             | 2031-12-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED NZD / SOLD USD                                     | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | NZ        |         1 | NC      | $22289.69     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED NZD / SOLD USD                                     | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | NZ        |         1 | NC      | $176855.02    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| NatWest Markets PLC                              | PURCHASED NZD / SOLD USD                                     | CUSIP: 000000000<br>LEI: RR3QWICWWIPCS8A4S074 | N/A              | DFE              |  | NZ        |         1 | NC      | $118327.96    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank N.A.                                    | PURCHASED CAD / SOLD USD                                     | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | CA        |         1 | NC      | $-1524.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                               | PURCHASED USD / SOLD CAD                                     | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $-10449.76    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                         | Benchmark 2021-B27 Mortgage Trust                            | CUSIP: 08163HAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3290217 | PA      | $231853.38    | 0.12%             | 2054-07-15      | Variable      | 1.27%                 | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                         | Italy Buoni Poliennali Del Tesoro                            | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |   2135012 | PA      | $2427278.11   | 1.31%             | 2026-09-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| DEUTSCHLAND I/L BOND                             | Deutsche Bundesrepublik Inflation Linked Bond                | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |    283247 | PA      | $298740.85    | 0.16%             | 2033-04-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Inflation Indexed Bonds               | CUSIP: 912828XL9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3534788 | PA      | $3394734.19   | 1.83%             | 2025-07-15      | Fixed         | 0.38%                 | 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      | $988.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HOWARD UNIVERSITY                                | Howard University                                            | CUSIP: 442851AF8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     66000 | PA      | $62323.07     | 0.03%             | 2024-10-01      | Fixed         | 2.42%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                 | French Republic Government Bond OAT                          | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |   1401693 | PA      | $1297515.89   | 0.70%             | 2047-07-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt                         | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   1320605 | PA      | $1589597.70   | 0.86%             | 2062-03-22      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Brown Brothers Harriman & Co.                    | PURCHASED USD / SOLD EUR                                     | CUSIP: 000000000<br>LEI: 5493006KMX1VFTPYPW14 | N/A              | DFE              |  | US        |         1 | NC      | $-67679.45    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| CONSERVATION FUND                                | Conservation Fund A Nonprofit Corp/The                       | CUSIP: 20848FAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    312000 | PA      | $268252.52    | 0.14%             | 2029-12-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| Brown Brothers Harriman & Co.                    | PURCHASED GBP / SOLD USD                                     | CUSIP: 000000000<br>LEI: 5493006KMX1VFTPYPW14 | N/A              | DFE              |  | GB        |         1 | NC      | $2726.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                               | PURCHASED USD / SOLD CAD                                     | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $-48012.99    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |

### Signature

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

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

**Signature:** Kasey Phillips

**Name of Signer:** Kasey Phillips

**Title:** Assistant Treasurer