# EDGAR Filing Document

**Accession Number:** 0000053808
**File Stem:** 0001752724-25-155923
**Filing Date:** 2025-6
**Character Count:** 146395
**Document Hash:** c12d36e0835d93d89925baa33006b994
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-155923.hdr.sgml**: 20250625

**ACCESSION NUMBER**: 0001752724-25-155923

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250430

**FILED AS OF DATE**: 20250625

**DATE AS OF CHANGE**: 20250625

**PERIOD START**: 20251031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** BNY Mellon Investment Funds III
- **CENTRAL INDEX KEY:** 0000053808

**ORGANIZATION NAME:**
- **EIN:** 042694144
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-00524
- **FILM NUMBER:** 251072924

**BUSINESS ADDRESS:**
- **STREET 1:** C/O BNY MELLON INVESTMENT ADVISER, INC.
- **STREET 2:** 240 GREENWICH STREET
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10286
- **BUSINESS PHONE:** 2129226400

**MAIL ADDRESS:**
- **STREET 1:** C/O BNY MELLON INVESTMENT ADVISER, INC.
- **STREET 2:** 240 GREENWICH STREET
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10286

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** DREYFUS/LAUREL FUNDS TRUST
- **DATE OF NAME CHANGE:** 20181030

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** DREYFUS LAUREL FUNDS TRUST
- **DATE OF NAME CHANGE:** 19941122

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** LAUREL FUNDS TRUST
- **DATE OF NAME CHANGE:** 19940202

## Series and Classes Contracts Data

### BNY Mellon International Bond Fund (Series ID: S000005159)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000014125 | Class A      | DIBAX           |
| C000014126 | Class C      | DIBCX           |
| C000014127 | Class I      | DIBRX           |
| C000130466 | Class Y      | DIBYX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** BNY Mellon Investment Funds III

- **b. Investment Company Act file number:** 811-00524

- **c. CIK number of Registrant:** 0000053808

- **d. LEI of Registrant:** 549300DOYFL5R4I71F16

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

  - **Street Address 1:** 240 Greenwich Street

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10286

  - **Telephone number:** 212-922-6400

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

- **a. Name of Series:** BNY Mellon International Bond Fund

- **b. EDGAR series identifier (if any):** S000005159

- **c. LEI of Series:** K5QENRME0RO77ZENN187

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

- **a. Date of fiscal year-end:** 2025-10-31

- **b. Date as of which information is reported:** 2025-04-30

**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:** $149508282.51

**Total Liabilities:** $10505222.78

**Net Assets:** $139003059.73

**Cash Not Reported:** $5202760.26

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 4.52900000 | **1-Year:** 1272.98612000 | **5-Year:** 14011.55465000 | **10-Year:** 27269.55689000 | **30-Year:** -7089.51538000

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

- **3-Month:** 0.00000000 | **1-Year:** 98.45196000 | **5-Year:** 3720.12229000 | **10-Year:** 3774.63208000 | **30-Year:** 564.60564000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000014125 | 1.08%                | 0.98%                | 4.71%                |
| Class ID C000014126 | 0.97%                | 0.88%                | 4.59%                |
| Class ID C000014127 | 1.05%                | 1.04%                | 4.68%                |
| Class ID C000130466 | 1.05%                | 0.96%                | 4.81%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-10014.20               | $1096260.86                                |
| Month 2  | $696401.74               | $-442592.96                                |
| Month 3  | $473137.10               | $3711398.06                                |

**Designated Index Information**

- **Index Name:** Bloomberg Global Aggregate EX USD Index (unhedged)

- **Index Identifier:** LG38TRUU

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| GOLDMAN SACHS & CO. LLC                                           | USD/JPY FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-402.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | USD/ZAR FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $496.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | USD/BRL FORWARD                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2529.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                                | USD/NZD FORWARD                                                    | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |           1 | NC      | $29783.70     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                                | LONG GILT                                                          | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |          -2 | NC      | $-3925.12     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | NOK/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-24463.02    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                          | USD/EUR FORWARD                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-399.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                                             | GBP/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1030.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                          | JPY/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-457.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/NZD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-43045.23    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | CDS ELECTROLUX AB                                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-3145.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                                     | SEK/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |           1 | NC      | $33012.10     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                        | NZD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $6129.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                        | USD/BRL FORWARD                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-60776.28    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                                     | USD/EUR FORWARD                                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |           1 | NC      | $214579.02    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | AUD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $169868.86    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                                             | CAD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $197.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/CNH FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-227.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/AUD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-208.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | USD/CAD FORWARD                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |           1 | NC      | $5114.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                        | USD/CAD FORWARD                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $701.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/IDR FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $4612.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                        | GBP/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-70.61       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | CHF/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-419.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                        | GBP/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-28604.59    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                          | NZD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-197495.84   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                        | BRL/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $60707.98     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | CDS VIRGIN MEDIA FINANCE PLC                                       | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              | CORP              | US        |           1 | NC      | $17496.08     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | USD/EUR FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-243135.17   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/IDR FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2649.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                                    | CDS MEDIOBANCA BANCA DI CREDITO FINANZIARIO SPA                    | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              | CORP              | US        |           1 | NC      | $3497.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | USD/AUD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $659.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                          | SEK/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $6853.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | CHF/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1537.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                                     | THB/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |           1 | NC      | $19511.92     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | CHF/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2073.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | KRW/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $31828.55     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America, National Association                             | USD/KRW FORWARD                                                    | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-14251.44    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/CLP FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $275.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | CDS TRANSDIGM INC                                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-43149.42    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                       | SWOP CDS CDX.NA.IG.44.V1                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |    -8850000 | NC      | $-31473.00    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | GBP/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-142661.60   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | MXN/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |           1 | NC      | $33031.57     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/KRW FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2997.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | CDS UNICREDIT SPA                                                  | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DCR              | CORP              | FR        |           1 | NC      | $6987.50      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                        | EUR/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2578.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | CNH/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-39357.10    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America, National Association                             | AUD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |           1 | NC      | $5505.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | CNH/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-208.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | USD/EUR FORWARD                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-901.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | USD/GBP FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1167.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                          | NZD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $47.76        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | USD/CHF FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-31688.99    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                       | SWOP CDS CDX.NA.IG.44.V1                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |    -8850000 | NC      | $-10353.35    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| OSAKA EXCHANGE,INC                                                | JAPAN 10Y BOND(OSE)                                                | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              | CORP              | JP        |          -7 | NC      | $-19212.78    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                                 | EURO-OAT                                                           | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |          21 | NC      | $12949.10     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                                     | USD/GBP FORWARD                                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |           1 | NC      | $219.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                          | CNH/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2529.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | EUR/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $634913.52    | 0.46%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | CNH/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $3537.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | JPY/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-65.91       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                       | US ULTRA BOND CBT                                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         -46 | NC      | $-30370.96    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                                     | USD/GBP FORWARD                                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1928.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                       | SWOP CDS CDX.NA.IG.44.V1                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |    -8850000 | NC      | $-21625.40    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | EUR/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-9001.67     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                        | KRW/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $36.79        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | USD/COP FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-37851.35    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | NZD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $16634.15     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | CDS ELECTROLUX AB                                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-7556.41     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RBC DOMINION SECURITIES INC.                                      | USD/GBP FORWARD                                                    | CUSIP: 000000000<br>LEI: 549300QJJX6CVVUXLE15 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1418.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                       | SWOP CDS CDX.NA.IG.44.V1                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |    -8850000 | NC      | $-20704.69    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                                 | EURO-BOBL                                                          | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |          78 | NC      | $67052.25     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                          | USD/HUF FORWARD                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4472.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | CDS INTESA SANPAOLO SPA                                            | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DCR              | CORP              | FR        |           1 | NC      | $5232.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | USD/CAD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-5306.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                       | US 10YR ULTRA                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          40 | NC      | $62048.06     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                       | 5 YEAR U.S. TREASURY NOTE                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         125 | NC      | $118067.86    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                                                       | USD/JPY FORWARD                                                    | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-94.74       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                          | PLN/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $5349.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                                 | EURO-SCHATZ                                                        | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |          86 | NC      | $52420.71     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | SGD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1792.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIAN SECURITIES EXCHANGE TRADE24                            | AUST 10Y BOND                                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | AU        |         -17 | NC      | $-29638.27    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Bank of America, National Association                             | USD/SGD FORWARD                                                    | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3554.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                        | USD/EUR FORWARD                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3398.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MONTREAL EXCHANGE INC.                                            | CAN 10YR BOND                                                      | CUSIP: 000000000<br>LEI: 549300DKBYNOI0B1NP44 | N/A              | DIR              | CORP              | CA        |         -39 | NC      | $-1562.72     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                        | USD/MXN FORWARD                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1317.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                                     | EUR/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3578.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                       | U.S. TREASURY BOND                                                 | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          25 | NC      | $-9400.11     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION                             | SWOP CDS CDX.NA.IG.43.V1                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DCR              | CORP              | US        |   -15950000 | NC      | $-3972.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | USD/CAD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1571.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                                   | CDS ITRAXX.EU.43.V1                                                | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $961779.35    | 0.69%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION                             | CDS YUM! BRANDS INC                                                | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-865.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                       | 2 YEAR U.S. TREASURY NOTE                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         -44 | NC      | $-68660.54    | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                                 | EURO-BUXL 30Y BND                                                  | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |           7 | NC      | $19867.98     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION                             | CDS YUM! BRANDS INC                                                | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-577.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                          | TRS IBOXIG INDEX                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |           1 | NC      | $-41630.65    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                                         | IRS IFS GBP                                                        | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $104711.63    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION                         | TRS IBOXIG INDEX                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              | CORP              | US        |           1 | NC      | $25846.34     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                               | TRS IBOXIG INDEX                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              | CORP              | US        |           1 | NC      | $19039.15     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION                         | TRS IBOXHY INDEX                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              | CORP              | US        |           1 | NC      | $21762.37     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | CAD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1668.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                                         | IRS IFS USD                                                        | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $-81230.29    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                                         | IRS IFS GBP                                                        | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $88893.15     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                       | TRS IBOXIG INDEX                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $-45935.07    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                                         | IRS IFS EUR                                                        | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $541638.88    | 0.39%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION                         | TRS IBOXIG INDEX                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              | CORP              | US        |           1 | NC      | $-23258.27    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                                         | IRS IFS USD                                                        | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $-32947.91    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT                                               | Canadian Government Bond                                           | CUSIP: 135087M68<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     2075000 | PA      | $1049164.91   | 0.75%             | 2053-12-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| HUNGARY GOVERNMENT BOND                                           | Hungary Government Bond                                            | CUSIP: 000000000<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |    44000000 | PA      | $90817.74     | 0.07%             | 2033-04-20      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| RAIFFEISEN BANK INTL                                              | Raiffeisen Bank International AG                                   | CUSIP: 000000000<br>LEI: 9ZHRYM6F437SQJ6OUG95 | Long             | DBT              | CORP              | AT        |      600000 | PA      | $664135.80    | 0.48%             | 2032-06-18      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| WEA FINANCE LLC                                                   | WEA Finance LLC                                                    | CUSIP: 92928QAD0<br>LEI: 3CYEJKBUJZO3UW777J80 | Long             | DBT              | CORP              | US        |      111000 | PA      | $86261.72     | 0.06%             | 2048-09-20      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | JPY/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-7050.80     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | USD/EUR FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3849.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF AUSTRIA                                               | Republic of Austria Government Bond                                | CUSIP: 000000000<br>LEI: 529900QWWUI4XRVR7I03 | Long             | DBT              | NUSS              | AT        |     1275000 | PA      | $1456186.17   | 1.05%             | 2034-02-20      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Pool                                                   | CUSIP: 3132DVFY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      613947 | PA      | $629646.59    | 0.45%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                              | Kraft Heinz Foods Co                                               | CUSIP: 50077LBM7<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |      149000 | PA      | $151300.25    | 0.11%             | 2032-03-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| IRELAND GOVERNMENT BOND                                           | Ireland Government Bond                                            | CUSIP: 000000000<br>LEI: 549300KXBEJAOJ9OVF93 | Long             | DBT              | NUSS              | IE        |      525000 | PA      | $585582.70    | 0.42%             | 2034-10-18      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| FMC CORP                                                          | FMC Corp                                                           | CUSIP: 302491AX3<br>LEI: CKDHZ2X64EEBQCSP7013 | Long             | DBT              | CORP              | US        |      140000 | PA      | $134994.78    | 0.10%             | 2033-05-18      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| FINNISH GOVERNMENT                                                | Finland Government Bond                                            | CUSIP: 000000000<br>LEI: 743700M6Y2OQRVSBRD14 | Long             | DBT              | NUSS              | FI        |      500000 | PA      | $576946.63    | 0.42%             | 2033-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AAREAL BANK AG                                                    | Aareal Bank AG                                                     | CUSIP: 000000000<br>LEI: EZKODONU5TYHW4PP1R34 | Long             | DBT              | CORP              | DE        |      300000 | PA      | $337486.89    | 0.24%             | 2034-12-12      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Aligned Data Centers Issuers L                                    | Aligned Data Centers Issuer LLC                                    | CUSIP: 01627AAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      379000 | PA      | $383739.40    | 0.28%             | 2048-08-17      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                                                     | Ballyrock CLO 24 Ltd                                               | CUSIP: 05875AAA6<br>LEI: 254900B0CDDYIJW8YL36 | Long             | ABS-CBDO         | CORP              | JE        |      545000 | PA      | $545693.24    | 0.39%             | 2036-07-15      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| GFL ENVIRONMENTAL INC                                             | GFL Environmental Inc                                              | CUSIP: 36168QAQ7<br>LEI: 549300FYK4MBXWIVZU26 | Long             | DBT              | CORP              | CA        |      400000 | PA      | $416300.30    | 0.30%             | 2031-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | CNH/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $5111.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BONOS Y OBLIG DEL ESTADO                                          | Spain Government Bond                                              | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     3875000 | PA      | $3832635.64   | 2.76%             | 2032-04-30      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| SUEZ                                                              | Suez SACA                                                          | CUSIP: 000000000<br>LEI: 5493007LKZ37MXEN5D79 | Long             | DBT              | CORP              | FR        |      100000 | PA      | $123510.50    | 0.09%             | 2032-11-03      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| OBRIGACOES DO TESOURO                                             | Portugal Obrigacoes do Tesouro OT                                  | CUSIP: 000000000<br>LEI: 549300P6U1FJ3IMP7K42 | Long             | DBT              | NUSS              | PT        |      450000 | PA      | $507895.67    | 0.37%             | 2034-10-20      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| NEW ZEALAND GOVERNMENT                                            | New Zealand Government Bond                                        | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |     2740000 | PA      | $1416430.25   | 1.02%             | 2032-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| KOREA TREASURY BOND                                               | Korea Treasury Bond                                                | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |  1193700000 | PA      | $937418.85    | 0.67%             | 2032-12-10      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                    | CUSIP: 3140QUSS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      735771 | PA      | $751122.54    | 0.54%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMPRION GMBH                                                      | Amprion GmbH                                                       | CUSIP: 000000000<br>LEI: 529900ZIV0ETYHYZM863 | Long             | DBT              | CORP              | DE        |      300000 | PA      | $353061.60    | 0.25%             | 2032-09-22      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                                           | Romanian Government International Bond                             | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      318000 | PA      | $345496.83    | 0.25%             | 2032-05-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| WEA FINANCE LLC/WESTFIEL                                          | WEA Finance LLC / Westfield UK & Europe Finance PLC                | CUSIP: 92890HAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      856000 | PA      | $682839.14    | 0.49%             | 2044-09-17      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| NIPPON LIFE INSURANCE                                             | Nippon Life Insurance Co                                           | CUSIP: 654579AP6<br>LEI: 549300Y0HHMFW3EVWY08 | Long             | DBT              | CORP              | JP        |      200000 | PA      | $203031.66    | 0.15%             | 2055-04-30      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | USD/GBP FORWARD                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-108545.02   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                                          | Italy Buoni Poliennali Del Tesoro                                  | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     1785000 | PA      | $1473742.73   | 1.06%             | 2050-09-01      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| POLAND GOVERNMENT BOND                                            | Republic of Poland Government Bond                                 | CUSIP: 000000000<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |     1375000 | PA      | $385484.36    | 0.28%             | 2033-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                                            | Mosaic Solar Loan Trust 2023-2                                     | CUSIP: 61945WAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      224452 | PA      | $219772.37    | 0.16%             | 2053-09-22      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                    | CUSIP: 3140XNKM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1045876 | PA      | $944712.20    | 0.68%             | 2052-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding                                    | Avis Budget Rental Car Funding AESOP LLC                           | CUSIP: 05377RHM9<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |      261000 | PA      | $271979.85    | 0.20%             | 2030-02-20      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| WEA FINANCE LLC                                                   | WEA Finance LLC                                                    | CUSIP: 92928QAE8<br>LEI: 3CYEJKBUJZO3UW777J80 | Long             | DBT              | CORP              | US        |       93000 | PA      | $91102.60     | 0.07%             | 2028-09-20      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| JAPAN (20 YEAR ISSUE)                                             | Japan Government Twenty Year Bond                                  | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   427800000 | PA      | $2540619.94   | 1.83%             | 2043-03-20      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| Stack Infrastructure Issuer LL                                    | Stack Infrastructure Issuer LLC                                    | CUSIP: 85236KAF9<br>LEI: 254900AV7V87H3A2WM57 | Long             | ABS-O            | CORP              | US        |      150000 | PA      | $150381.54    | 0.11%             | 2048-03-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Retained Vantage Data Centers                                     | Retained Vantage Data Centers Issuer LLC                           | CUSIP: 76134KAA2<br>LEI: 254900N4NW6XZ9B4HM15 | Long             | ABS-O            | CORP              | US        |      515000 | PA      | $511698.13    | 0.37%             | 2048-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Vantage Data Centers LLC                                          | Vantage Data Centers Issuer LLC                                    | CUSIP: 92212KAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      583000 | PA      | $588321.39    | 0.42%             | 2048-03-16      | Fixed         | 6.32%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/NZD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-348.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                    | CUSIP: 3140XRAN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      533636 | PA      | $545349.57    | 0.39%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                                             | China Government Bond                                              | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |     2950000 | PA      | $506432.36    | 0.36%             | 2053-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ENI SPA                                                           | Eni SpA                                                            | CUSIP: 26874RAP3<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |      442000 | PA      | $416625.23    | 0.30%             | 2054-05-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                                  | French Republic Government Bond OAT                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |      560000 | PA      | $673001.53    | 0.48%             | 2038-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AA BOND CO LTD                                                    | AA Bond Co Ltd                                                     | CUSIP: 000000000<br>LEI: 2138002EPF6QVRZBMC58 | Long             | DBT              | CORP              | JE        |      290000 | PA      | $388730.79    | 0.28%             | 2027-07-31      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                    | Morgan Stanley                                                     | CUSIP: 61747YFJ9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      236000 | PA      | $256951.15    | 0.18%             | 2034-11-01      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| JAPAN (30 YEAR ISSUE)                                             | Japan Government Thirty Year Bond                                  | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   122050000 | PA      | $563344.38    | 0.41%             | 2050-12-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| Tower Bridge Funding                                              | Tower Bridge Funding 2021-2 PLC                                    | CUSIP: 000000000<br>LEI: 63540046RPZ8IOOPGL28 | Long             | ABS-MBS          | CORP              | GB        |      205394 | PA      | $273971.45    | 0.20%             | 2063-11-20      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| SWITZERLAND                                                       | Swiss Confederation Government Bond                                | CUSIP: 000000000<br>LEI: 5067006OA1BJ88912Q83 | Long             | DBT              | NUSS              | CH        |     1390000 | PA      | $1728585.04   | 1.24%             | 2032-06-27      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                                          | Italy Buoni Poliennali Del Tesoro                                  | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     2125000 | PA      | $2610482.90   | 1.88%             | 2033-05-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | USD/GBP FORWARD                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |           1 | NC      | $55.98        | 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        |      108000 | PA      | $139357.85    | 0.10%             | 2036-04-04      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                                  | French Republic Government Bond OAT                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |      950000 | PA      | $953595.18    | 0.69%             | 2055-05-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                   | United States Treasury Note/Bond                                   | CUSIP: 91282CGQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4700000 | PA      | $4761687.50   | 3.43%             | 2030-02-28      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| SBA TOWER TRUST                                                   | SBA Tower Trust                                                    | CUSIP: 78403DAX8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      695000 | PA      | $603227.34    | 0.43%             | 2031-10-15      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                                  | French Republic Government Bond OAT                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |      160000 | PA      | $153949.60    | 0.11%             | 2054-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JAPAN (30 YEAR ISSUE)                                             | Japan Government Thirty Year Bond                                  | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   165000000 | PA      | $713864.36    | 0.51%             | 2050-03-20      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BAHN FIN GMBH                                            | Deutsche Bahn Finance GMBH                                         | CUSIP: 000000000<br>LEI: 52990002BAIDUAIIYU29 | Long             | DBT              | CORP              | DE        |      460000 | PA      | $475118.52    | 0.34%             | 2033-08-16      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| RIO TINTO FIN USA PLC                                             | Rio Tinto Finance USA PLC                                          | CUSIP: 76720AAT3<br>LEI: 2138006TSNBEUA761G16 | Long             | DBT              | CORP              | GB        |      160000 | PA      | $161181.29    | 0.12%             | 2032-03-14      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                            | Williams Cos Inc/The                                               | CUSIP: 969457CP3<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |      350000 | PA      | $353201.67    | 0.25%             | 2035-03-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                                  | COLT 2023-2 Mortgage Loan Trust                                    | CUSIP: 12598UAA4<br>LEI: 213800IHRVKO9R6JZ883 | Long             | ABS-MBS          | CORP              | US        |      207252 | PA      | $208893.51    | 0.15%             | 2068-07-25      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| Bank of America, National Association                             | CAD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2824.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI INTERNATIONAL BOND                                          | Saudi Government International Bond                                | CUSIP: 000000000<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |      219000 | PA      | $248200.40    | 0.18%             | 2032-03-05      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE E                                          | Alexandria Real Estate Equities Inc                                | CUSIP: 015271BC2<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |      243000 | PA      | $233914.77    | 0.17%             | 2036-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Pool                                                   | CUSIP: 3132DUU62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      765934 | PA      | $783589.89    | 0.56%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| KERING                                                            | Kering SA                                                          | CUSIP: 000000000<br>LEI: 549300VGEJKB7SVUZR78 | Long             | DBT              | CORP              | FR        |      600000 | PA      | $686684.67    | 0.49%             | 2031-09-05      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| NATIONAL GRID PLC                                                 | National Grid PLC                                                  | CUSIP: 000000000<br>LEI: 8R95QZMKZLJX5Q2XR704 | Long             | DBT              | CORP              | GB        |      770000 | PA      | $700231.36    | 0.50%             | 2033-09-01      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                        | Verus Securitization Trust 2023-5                                  | CUSIP: 924934AA0<br>LEI: 984500BADC7CFE3B0756 | Long             | ABS-MBS          | CORP              | US        |      211399 | PA      | $212936.67    | 0.15%             | 2068-06-25      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| SINGAPORE GOVERNMENT                                              | Singapore Government Bond                                          | CUSIP: 000000000<br>LEI: 549300ZSV6VOGFH1ER70 | Long             | DBT              | NUSS              | SG        |      875000 | PA      | $716694.74    | 0.52%             | 2033-09-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                           | Goldman Sachs Group Inc/The                                        | CUSIP: 38141GA95<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      194000 | PA      | $200101.95    | 0.14%             | 2035-04-25      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                    | CUSIP: 3140XRN68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1256496 | PA      | $1264096.80   | 0.91%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVERNMENT BOND                                           | Romania Government Bond                                            | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     1200000 | PA      | $268229.77    | 0.19%             | 2033-10-30      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/CAD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-387.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DREYFUS INSTITUTIONAL PREFERRE                                    | DREYFUS INSTITUTIONAL PREFERRED GOVERNMENT PLUS MONEY MARKET FUND  | CUSIP: 000000000<br>LEI: 549300RBWL04JG8SIX57 | Long             | STIV             | RF                | US        |     9272873 | NS      | $9272873.08   | 6.67%             |  |  |  | No            |                  1 | On Loan: No      |
| BONOS DE TESORERIA                                                | Peru Government Bond                                               | CUSIP: 000000000<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      440000 | PA      | $128541.34    | 0.09%             | 2033-08-12      | Fixed         | 7.30%                 | 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        |    12348000 | PA      | $1738398.31   | 1.25%             | 2035-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| WEA FINANCE LLC                                                   | WEA Finance LLC                                                    | CUSIP: 000000000<br>LEI: 3CYEJKBUJZO3UW777J80 | Long             | DBT              | CORP              | US        |      283000 | PA      | $274681.21    | 0.20%             | 2027-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| KINGDOM OF DENMARK                                                | Denmark Government Bond                                            | CUSIP: 000000000<br>LEI: 549300PTO6LS1PTM6607 | Long             | DBT              | NUSS              | DK        |     1500000 | PA      | $280841.36    | 0.20%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                                             | China Government Bond                                              | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    24740000 | PA      | $3400337.88   | 2.45%             | 2035-02-15      | Fixed         | 1.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Pool                                                   | CUSIP: 3133KPTB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      475491 | PA      | $429586.39    | 0.31%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NEW S WALES TREASURY CRP                                          | New South Wales Treasury Corp                                      | CUSIP: 000000000<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |     4126000 | PA      | $2074630.94   | 1.49%             | 2034-03-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| RIO TINTO FIN USA PLC                                             | Rio Tinto Finance USA PLC                                          | CUSIP: 76720AAS5<br>LEI: 2138006TSNBEUA761G16 | Long             | DBT              | CORP              | GB        |      136000 | PA      | $138115.28    | 0.10%             | 2030-03-14      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                                  | COLT 2023-4 Mortgage Loan Trust                                    | CUSIP: 12598WAA0<br>LEI: 213800EHDFO4A3F7P416 | Long             | ABS-MBS          | CORP              | US        |      397510 | PA      | $403596.11    | 0.29%             | 2068-10-25      | Variable      | 7.16%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/JPY FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $6829.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| P3 GROUP SARL                                                     | P3 Group Sarl                                                      | CUSIP: 000000000<br>LEI: 529900GR62MT0O5VW110 | Long             | DBT              | CORP              | LU        |      400000 | PA      | $452162.58    | 0.33%             | 2032-04-19      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ONTARIO (PROVINCE OF)                                             | Province of Ontario Canada                                         | CUSIP: 68333ZBF3<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |      625000 | PA      | $471316.01    | 0.34%             | 2055-12-02      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BAHN FIN GMBH                                            | Deutsche Bahn Finance GMBH                                         | CUSIP: 000000000<br>LEI: 52990002BAIDUAIIYU29 | Long             | DBT              | CORP              | DE        |      495000 | PA      | $543634.98    | 0.39%             | 2030-05-24      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| YORKSHIRE WATER FINANCE                                           | Yorkshire Water Finance PLC                                        | CUSIP: 000000000<br>LEI: 213800O8BDOGHJMTCP32 | Long             | DBT              | CORP              | GB        |      100000 | PA      | $139999.69    | 0.10%             | 2031-04-17      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                                  | French Republic Government Bond OAT                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |      325000 | PA      | $375065.75    | 0.27%             | 2029-02-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF QUEBEC                                                | Province of Quebec Canada                                          | CUSIP: 74814ZFQ1<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |      405000 | PA      | $293221.06    | 0.21%             | 2055-12-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| JAPAN (40 YEAR ISSUE)                                             | Japan Government Forty Year Bond                                   | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   461800000 | PA      | $2705346.42   | 1.95%             | 2064-03-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                            | General Motors Financial Co Inc                                    | CUSIP: 37045XFG6<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |      168000 | PA      | $166809.44    | 0.12%             | 2032-04-04      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| WEA FINANCE LLC                                                   | WEA Finance LLC                                                    | CUSIP: 92928QAH1<br>LEI: 3CYEJKBUJZO3UW777J80 | Long             | DBT              | CORP              | US        |      380000 | PA      | $368829.89    | 0.27%             | 2027-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                                               | United Kingdom Gilt                                                | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     5500000 | PA      | $3376128.91   | 2.43%             | 2053-07-31      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Bank of America, National Association                             | USD/JPY FORWARD                                                    | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1165.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NETHERLANDS GOVERNMENT                                            | Netherlands Government Bond                                        | CUSIP: 000000000<br>LEI: 254900G14ALGVKORFN62 | Long             | DBT              | NUSS              | NL        |     1350000 | PA      | $1515261.44   | 1.09%             | 2034-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MALAYSIA GOVERNMENT                                               | Malaysia Government Bond                                           | CUSIP: 000000000<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |     5100000 | PA      | $1267888.13   | 0.91%             | 2033-11-07      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| Ent Auto Receivables Trust                                        | Ent Auto Receivables Trust 2023-1                                  | CUSIP: 293601AE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      192000 | PA      | $194186.57    | 0.14%             | 2029-01-16      | Fixed         | 6.24%                 | No            |                  2 | On Loan: No      |
| HAMBURG COMMERCIAL BANK                                           | Hamburg Commercial Bank AG                                         | CUSIP: 000000000<br>LEI: TUKDD90GPC79G1KOE162 | Long             | DBT              | CORP              | DE        |      500000 | PA      | $585884.53    | 0.42%             | 2028-07-24      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NORTHUMBRIAN WATER FIN                                            | Northumbrian Water Finance PLC                                     | CUSIP: 000000000<br>LEI: 213800JTFA6F3S7XX781 | Long             | DBT              | CORP              | GB        |      519000 | PA      | $716497.98    | 0.52%             | 2034-10-28      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORP                                          | Queensland Treasury Corp                                           | CUSIP: 000000000<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | NUSS              | AU        |      575000 | PA      | $284509.57    | 0.20%             | 2034-07-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                                              | Enel Finance International NV                                      | CUSIP: 000000000<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |      300000 | PA      | $301701.18    | 0.22%             | 2031-01-17      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                                                | A&D Mortgage Trust 2023-NQM2                                       | CUSIP: 00002DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      352555 | PA      | $354258.27    | 0.25%             | 2068-05-25      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                      | ALPHABET INC                                                       | CUSIP: 02079KAT4<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |      249000 | PA      | $279996.75    | 0.20%             | 2054-05-06      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                        | AMSR 2019-SFR1 Trust                                               | CUSIP: 00178XAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      525000 | PA      | $513900.29    | 0.37%             | 2039-01-19      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | CAD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-30644.94    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BAHN FIN GMBH                                            | Deutsche Bahn Finance GMBH                                         | CUSIP: 000000000<br>LEI: 52990002BAIDUAIIYU29 | Long             | DBT              | CORP              | DE        |      180000 | PA      | $155097.76    | 0.11%             | 2036-04-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| Sunnova Hestia I Issuer, LLC                                      | Sunnova Hestia I Issuer LLC                                        | CUSIP: 86746BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       89796 | PA      | $90869.86     | 0.07%             | 2050-12-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                                             | China Government Bond                                              | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |     3650000 | PA      | $536081.49    | 0.39%             | 2032-09-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Regatta XXV Funding Ltd.                                          | Regatta XXV Funding Ltd                                            | CUSIP: 758978AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      600000 | PA      | $601092.00    | 0.43%             | 2036-07-15      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                                              | Indonesia Treasury Bond                                            | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 10580000000 | PA      | $660242.99    | 0.47%             | 2040-04-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT                                               | Canadian Government Bond                                           | CUSIP: 135087S21<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     6050000 | PA      | $4452977.30   | 3.20%             | 2034-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                                             | China Government Bond                                              | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    15990000 | PA      | $2219496.92   | 1.60%             | 2055-01-15      | Fixed         | 1.92%                 | No            |                  2 | On Loan: No      |
| AUTOSTRADE PER L'ITALIA                                           | Autostrade per l'Italia SpA                                        | CUSIP: 000000000<br>LEI: 815600149448CEB9B230 | Long             | DBT              | CORP              | IT        |      216000 | PA      | $246940.68    | 0.18%             | 2036-02-28      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| BUNDESREPUB. DEUTSCHLAND                                          | Bundesrepublik Deutschland Bundesanleihe                           | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |      600000 | PA      | $627926.97    | 0.45%             | 2054-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                                           | Romanian Government International Bond                             | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      276000 | PA      | $261671.46    | 0.19%             | 2034-01-30      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | USD/NOK FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $6913.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/GBP FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2292.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BAHN FIN GMBH                                            | Deutsche Bahn Finance GMBH                                         | CUSIP: 000000000<br>LEI: 52990002BAIDUAIIYU29 | Long             | DBT              | CORP              | DE        |      400000 | PA      | $399425.92    | 0.29%             | 2034-03-03      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| CyrusOne Data Centers Issuer I                                    | CyrusOne Data Centers Issuer I LLC                                 | CUSIP: 23284BAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      110552 | PA      | $107819.62    | 0.08%             | 2048-04-20      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| RAIFFEISEN BANK INTL                                              | Raiffeisen Bank International AG                                   | CUSIP: 000000000<br>LEI: 9ZHRYM6F437SQJ6OUG95 | Long             | DBT              | CORP              | AT        |      100000 | PA      | $116939.40    | 0.08%             | 2029-08-21      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CELLNEX FINANCE CO SA                                             | Cellnex Finance Co SA                                              | CUSIP: 000000000<br>LEI: 549300OUROMFTRFA7T23 | Long             | DBT              | CORP              | ES        |      300000 | PA      | $305783.86    | 0.22%             | 2032-09-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CARRIER GLOBAL CORP                                               | Carrier Global Corp                                                | CUSIP: 14448CBC7<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |      300000 | PA      | $316031.02    | 0.23%             | 2034-03-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| DREYFUS INSTITUTIONAL PREFERRED GOVERNMENT PLUS MONEY MARKET FUND | DREYFUS INSTITUTIONAL PREFERRED GOVERNMENT PLUS MONEY MARKET FUND  | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | RF                | US        |       86520 | NS      | $86520.04     | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Pool                                                   | CUSIP: 3132DUJ81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1174265 | PA      | $1200889.09   | 0.86%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BUNDESSCHATZANWEISUNGEN                                           | BUNDESSCHATZANWEISUNGEN                                            | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |     6000000 | PA      | $6859803.25   | 4.94%             | 2027-03-11      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| JAPAN (30 YEAR ISSUE)                                             | Japan Government Thirty Year Bond                                  | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   486000000 | PA      | $3098577.40   | 2.23%             | 2054-06-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| HELLENIC REPUBLIC                                                 | Hellenic Republic Government Bond                                  | CUSIP: 000000000<br>LEI: 2138003EKTMKZ5598902 | Long             | DBT              | NUSS              | GR        |      247000 | PA      | $300858.58    | 0.22%             | 2038-07-18      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | USD/EUR FORWARD                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-40960.93    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN (20 YEAR ISSUE)                                             | Japan Government Twenty Year Bond                                  | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   249250000 | PA      | $1563227.33   | 1.12%             | 2042-12-20      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| SARTORIUS FINANCE BV                                              | Sartorius Finance BV                                               | CUSIP: 000000000<br>LEI: 529900JCAKTMRXK9EA58 | Long             | DBT              | CORP              | NL        |      400000 | PA      | $473666.22    | 0.34%             | 2032-09-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                                               | United Kingdom Gilt                                                | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     2350000 | PA      | $3197054.65   | 2.30%             | 2028-06-07      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Invesco CLO LTD                                                   | Invesco US CLO 2023-3 Ltd                                          | CUSIP: 46091RAA1<br>LEI: 213800YAVR2FVYDIRM63 | Long             | ABS-CBDO         | CORP              | JE        |      575000 | PA      | $575889.53    | 0.41%             | 2036-07-15      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| Ford Auto Securitization Trust                                    | Ford Auto Securitization Trust II Series 2022-A Asset-Backed Notes | CUSIP: 345214AE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |     1107000 | PA      | $824275.77    | 0.59%             | 2028-09-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                                    | European Union                                                     | CUSIP: 000000000<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | N/A       |      548963 | PA      | $546394.96    | 0.39%             | 2053-03-04      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BONOS Y OBLIG DEL ESTADO                                          | Spain Government Bond                                              | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |      375000 | PA      | $437776.78    | 0.31%             | 2034-10-31      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| NEW ZEALAND GOVERNMENT                                            | New Zealand Government Bond                                        | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |     2540000 | PA      | $1498375.17   | 1.08%             | 2034-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                    | CUSIP: 3140XRAJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      549700 | PA      | $552318.68    | 0.40%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                                           | Romanian Government International Bond                             | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |       36000 | PA      | $39857.13     | 0.03%             | 2032-07-11      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| RBC DOMINION SECURITIES INC.                                      | CNH/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 549300QJJX6CVVUXLE15 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-31048.34    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                   | United States Treasury Note/Bond                                   | CUSIP: 91282CMM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     5550000 | PA      | $5758558.57   | 4.14%             | 2035-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                    | CUSIP: 3140W0P90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      601605 | PA      | $620459.71    | 0.45%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                                               | United Kingdom Gilt                                                | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     2350000 | PA      | $2738485.27   | 1.97%             | 2054-07-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| TREASURY CORP VICTORIA                                            | Treasury Corp of Victoria                                          | CUSIP: 000000000<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | NUSS              | AU        |     1686000 | PA      | $1045311.15   | 0.75%             | 2036-09-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BELGIUM KINGDOM                                                   | Kingdom of Belgium Government Bond                                 | CUSIP: 000000000<br>LEI: 549300SZ25JZFHRHWD76 | Long             | DBT              | NUSS              | BE        |      775000 | PA      | $803367.81    | 0.58%             | 2054-06-22      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| KOREA TREASURY BOND                                               | Korea Treasury Bond                                                | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |  1450000000 | PA      | $1146535.65   | 0.82%             | 2052-09-10      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| JAPAN (40 YEAR ISSUE)                                             | Japan Government Forty Year Bond                                   | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   132100000 | PA      | $539053.07    | 0.39%             | 2062-03-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| TIF Funding III LLC                                               | TIF Funding III LLC                                                | CUSIP: 88655AAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      525525 | PA      | $534645.91    | 0.38%             | 2049-04-20      | Fixed         | 5.48%                 | 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        |    14720000 | PA      | $2144299.90   | 1.54%             | 2033-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| NEW ZEALAND GOVERNMENT                                            | New Zealand Government Bond                                        | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |     4345000 | PA      | $2452757.58   | 1.76%             | 2033-04-14      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | DKK/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $11514.83     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MERCK KGAA                                                        | Merck KGaA                                                         | CUSIP: 000000000<br>LEI: 529900OAREIS0MOPTW25 | Long             | DBT              | CORP              | DE        |      100000 | PA      | $113086.75    | 0.08%             | 2054-08-27      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| TREASURY CORP VICTORIA                                            | Treasury Corp of Victoria                                          | CUSIP: 000000000<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | NUSS              | AU        |      206000 | PA      | $99751.42     | 0.07%             | 2035-09-17      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SWEDISH GOVERNMENT                                                | Sweden Government Bond                                             | CUSIP: 000000000<br>LEI: ERE94C0BSULG2RM19605 | Long             | DBT              | NUSS              | SE        |     3575000 | PA      | $367989.58    | 0.26%             | 2035-05-11      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                            | General Motors Financial Co Inc                                    | CUSIP: 000000000<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |      100000 | PA      | $114753.46    | 0.08%             | 2030-07-10      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Gemgarto                                                          | Gemgarto 2021-1 PLC                                                | CUSIP: 000000000<br>LEI: 635400KLHB2FIID9TE45 | Long             | ABS-MBS          | CORP              | GB        |      112664 | PA      | $150415.95    | 0.11%             | 2067-12-16      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                      | ALPHABET INC                                                       | CUSIP: 02079KAS6<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |      292000 | PA      | $330404.08    | 0.24%             | 2045-05-06      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CELLNEX TELECOM SA                                                | Cellnex Telecom SA                                                 | CUSIP: 000000000<br>LEI: 5493008T4YG3AQUI7P67 | Long             | DBT              | CORP              | ES        |      500000 | PA      | $524910.01    | 0.38%             | 2030-10-23      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| CyrusOne Data Centers Issuer I                                    | CyrusOne Data Centers Issuer I LLC                                 | CUSIP: 23284BAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      394000 | PA      | $396794.84    | 0.29%             | 2048-11-20      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| MetroNet Infrastructure Issuer                                    | MetroNet Infrastructure Issuer LLC                                 | CUSIP: 59170JAG3<br>LEI: 5493000BIROCAEATAQ61 | Long             | ABS-O            | CORP              | US        |      123114 | PA      | $126630.46    | 0.09%             | 2054-04-20      | Fixed         | 6.23%                 | No            |                  2 | On Loan: No      |
| KERING                                                            | Kering SA                                                          | CUSIP: 000000000<br>LEI: 549300VGEJKB7SVUZR78 | Long             | DBT              | CORP              | FR        |      200000 | PA      | $223046.72    | 0.16%             | 2032-03-11      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                                   | CDS ITRAXX.EU.XO.43.V1                                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-91596.99    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| RLGH FINANCE BERMUDA LTD                                          | RLGH Finance Bermuda Ltd                                           | CUSIP: 000000000<br>LEI: 549300JARQYXR76TRX40 | Long             | DBT              | CORP              | BM        |      295000 | PA      | $322210.06    | 0.23%             | 2031-07-17      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                        | Verus Securitization Trust 2023-4                                  | CUSIP: 92539TAA1<br>LEI: 2138008DC17PCNG48R87 | Long             | ABS-MBS          | CORP              | US        |      200231 | PA      | $200470.46    | 0.14%             | 2068-05-25      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| TITULOS DE TESORERIA                                              | Colombian TES                                                      | CUSIP: 000000000<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |  4775000000 | PA      | $1207828.61   | 0.87%             | 2033-02-09      | Fixed         | 13.25%                | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                                             | China Government Bond                                              | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |     9970000 | PA      | $2093487.73   | 1.51%             | 2070-05-25      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                                    | European Union                                                     | CUSIP: 000000000<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | N/A       |     1475000 | PA      | $1224315.08   | 0.88%             | 2036-06-04      | Fixed         | 0.20%                 | No            |                  2 | On Loan: No      |
| BONOS Y OBLIG DEL ESTADO                                          | Spain Government Bond                                              | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |       75000 | PA      | $86513.49     | 0.06%             | 2034-04-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Pool                                                   | CUSIP: 3132DUAD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      910914 | PA      | $917591.85    | 0.66%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AES CORP/THE                                                      | AES Corp/The                                                       | CUSIP: 00130HCM5<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |       84000 | PA      | $83839.71     | 0.06%             | 2032-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: —       |
| UNITED KINGDOM GILT                                               | United Kingdom Gilt                                                | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     2200000 | PA      | $2904136.56   | 2.09%             | 2034-07-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                    | CUSIP: 3140QVMK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      967380 | PA      | $952312.25    | 0.69%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | USD/NOK FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $9611.18      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ENI SPA                                                           | Eni SpA                                                            | CUSIP: 26874RAN8<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |      200000 | PA      | $198365.30    | 0.14%             | 2034-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/CZK FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $18576.57     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                                             | USD/NZD FORWARD                                                    | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4614.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                                 | EURO-BUND                                                          | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |         -16 | NC      | $-40511.05    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/CAD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1362.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RBC DOMINION SECURITIES INC.                                      | USD/JPY FORWARD                                                    | CUSIP: 000000000<br>LEI: 549300QJJX6CVVUXLE15 | N/A              | DFE              | CORP              | US        |           1 | NC      | $612384.34    | 0.44%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                                     | USD/KRW FORWARD                                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3649.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                                     | USD/BRL FORWARD                                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-337.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/CAD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1413.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                        | USD/CAD FORWARD                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-12930.22    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | EUR/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $19901.10     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America, National Association                             | USD/KRW FORWARD                                                    | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4482.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | USD/CHF FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-6005.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | USD/NZD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-32483.51    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                       | SWOP CDS CDX.NA.IG.44.V1                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |    -8900000 | NC      | $-15112.87    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                       | SWOP CDS CDX.NA.IG.44.V1                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |    -8900000 | NC      | $-26185.04    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America, National Association                             | USD/GBP FORWARD                                                    | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |           1 | NC      | $86372.39     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                                     | USD/AUD FORWARD                                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-57991.57    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                        | EUR/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $5113.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | JPY/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-749.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                          | CNH/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $885.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                          | USD/JPY FORWARD                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2178.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | USD/CNH FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-706.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                                     | USD/NOK FORWARD                                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |           1 | NC      | $953.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | ILS/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $4465.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | HKD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $71.47        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | CDS ELECTROLUX AB                                                  | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DCR              | CORP              | FR        |           1 | NC      | $-5896.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | GBP/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2151.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | NOK/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2373.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/AUD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3571.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | MYR/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-8681.95     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                        | JPY/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-77450.32    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | USD/EUR FORWARD                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3896.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/GBP FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1379.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                        | BRL/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-58075.84    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | HUF/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $7648.03      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RBC DOMINION SECURITIES INC.                                      | USD/CNH FORWARD                                                    | CUSIP: 000000000<br>LEI: 549300QJJX6CVVUXLE15 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-498.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | USD/SEK FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-116091.44   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                                     | NZD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-157.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | USD/AUD FORWARD                                                    | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2117.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | USD/CAD FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-414.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | USD/EUR FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $18477.56     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                                     | USD/CNY FORWARD                                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |           1 | NC      | $12091.94     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | USD/EUR FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2685.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION                         | CDS FORD MOTOR CO                                                  | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-40609.64    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | CHF/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $720.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                        | USD/JPY FORWARD                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1826.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                          | USD/EUR FORWARD                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-379.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                                     | COP/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2754.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                          | USD/GBP FORWARD                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-678.71      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | CDS ELECTROLUX AB                                                  | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DCR              | CORP              | FR        |           1 | NC      | $-2751.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | USD/AUD FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-15446.52    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | USD/GBP FORWARD                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |           1 | NC      | $9104.01      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                                   | CDS ITRAXX.EU.42.V1                                                | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-2358.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                        | EUR/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $642095.76    | 0.46%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | NOK/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $73349.91     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/CHF FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4940.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | CAD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $5717.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                                     | EUR/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1521.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | USD/CAD FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $8109.59      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | AUD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-21551.69    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | USD/CAD FORWARD                                                    | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              | CORP              | US        |           1 | NC      | $162.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | AUD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4447.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/GBP FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2543.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                        | USD/SEK FORWARD                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $11257.55     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | CNH/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $7659.29      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION                             | SWOP CDS CDX.NA.IG.43.V1                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DCR              | CORP              | US        |   -15950000 | NC      | $-60128.61    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | USD/NOK FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-489.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                                   | CDS CDX.NA.IG.44.V1                                                | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-252416.56   | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                        | USD/NOK FORWARD                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $10544.28     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                                     | USD/PEN FORWARD                                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |           1 | NC      | $139.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-06-23

**Name of Applicant:** BNY Mellon Investment Funds III

**Signature:** James Windels

**Name of Signer:** James Windels

**Title:** Treasurer