# EDGAR Filing Document

**Accession Number:** 0000799295
**File Stem:** 0001752724-25-205910
**Filing Date:** 2025-8
**Character Count:** 197050
**Document Hash:** 4e6e562a66067f6b13cf4a50a9991056
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-205910.hdr.sgml**: 20250826

**ACCESSION NUMBER**: 0001752724-25-205910

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250826

**DATE AS OF CHANGE**: 20250826

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** BNY Mellon Investment Funds I
- **CENTRAL INDEX KEY:** 0000799295

**ORGANIZATION NAME:**
- **EIN:** 043106135
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04813
- **FILM NUMBER:** 251257071

**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:** 212-922-6400

**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 INVESTMENT FUNDS
- **DATE OF NAME CHANGE:** 20081201

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
- **DATE OF NAME CHANGE:** 20030707

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** STANDISH AYER & WOOD INVESTMENT TRUST
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### BNY Mellon Global Fixed Income Fund (Series ID: S000011502)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000031763 | Class I      | SDGIX           |
| C000081694 | Class A      | DHGAX           |
| C000081695 | Class C      | DHGCX           |
| C000130461 | Class Y      | DSDYX           |

## 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 I

- **b. Investment Company Act file number:** 811-04813

- **c. CIK number of Registrant:** 0000799295

- **d. LEI of Registrant:** 5493000M3XIJVKIWWS65

- **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 Global Fixed Income Fund

- **b. EDGAR series identifier (if any):** S000011502

- **c. LEI of Series:** 54930048HUN7HSXSKS89

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

- **a. Date of fiscal year-end:** 2025-12-31

- **b. Date as of which information is reported:** 2025-06-30

**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:** $3505375899.84

**Total Liabilities:** $125309260.99

**Net Assets:** $3380066638.85

**Delayed Delivery Securities:** $11195000.00

**Cash Not Reported:** $110969420.79

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 272.24928000 | **1-Year:** 19494.23787000 | **5-Year:** 457655.92310000 | **10-Year:** 413304.38209000 | **30-Year:** 19760.69115000

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

- **3-Month:** 0.00000000 | **1-Year:** 1062.24030000 | **5-Year:** 60784.23456000 | **10-Year:** 52891.46966000 | **30-Year:** 5300.28839000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000081694 | 0.90%                | -0.64%               | 1.04%                |
| Class ID C000031763 | 0.94%                | -0.59%               | 1.06%                |
| Class ID C000130461 | 0.93%                | -0.59%               | 1.03%                |
| Class ID C000081695 | 0.83%                | -0.67%               | 0.96%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $4495811.93              | $56873221.86                               |
| Month 2  | $-210497.34              | $-27337507.72                              |
| Month 3  | $3212929.25              | $57682356.73                               |

**Designated Index Information**

- **Index Name:** Bloomberg Global Aggregate Index (Hedged)

- **Index Identifier:** LEGATRUH

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| CITIBANK, NATIONAL ASSOCIATION                                    | CDS MEDIOBANCA BANCA DI CREDITO FINANZIARIO SPA                    | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              | CORP              | US        |            1 | NC      | $-21782.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | USD/AUD FORWARD                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-53136.97    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TITULOS DE TESORERIA                                              | Colombian TES                                                      | CUSIP: 000000000<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |  95500000000 | PA      | $24513418.06  | 0.73%             | 2033-02-09      | Fixed         | 13.25%                | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                        | Verus Securitization Trust 2023-5                                  | CUSIP: 924934AA0<br>LEI: 984500BADC7CFE3B0756 | Long             | ABS-MBS          | CORP              | US        |      1890196 | PA      | $1902660.58   | 0.06%             | 2068-06-25      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                      | Alphabet Inc                                                       | CUSIP: 02079KAS6<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |      6787000 | PA      | $7922340.39   | 0.23%             | 2045-05-06      | Fixed         | 3.88%                 | 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        |        -1583 | NC      | $-8669730.78  | -0.26%            |  |  |  | No            |                  1 | On Loan: No      |
| ENERGY TRANSFER LP                                                | Energy Transfer LP                                                 | CUSIP: 29273VBB5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      3470000 | PA      | $3338177.48   | 0.10%             | 2054-09-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                                           | Mexican Bonos                                                      | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    190500000 | PA      | $9276934.17   | 0.27%             | 2033-05-26      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                   | United States Treasury Note/Bond                                   | CUSIP: 91282CHZ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     54250000 | PA      | $56301328.13  | 1.67%             | 2030-09-30      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Pool                                                   | CUSIP: 3132DTGJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3771536 | PA      | $3801708.57   | 0.11%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | EUR/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $1246961.25   | 0.04%             |  |  |  | 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        |         2538 | NC      | $3086275.42   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| MAGNA INTERNATIONAL INC                                           | Magna International Inc                                            | CUSIP: 000000000<br>LEI: 95RWVLFZX6VGDZNNTN43 | Long             | DBT              | CORP              | CA        |      3865000 | PA      | $4588765.81   | 0.14%             | 2031-05-21      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | CDS ZIGGO BOND CO BV                                               | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              | CORP              | US        |            1 | NC      | $101469.85    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NATIONAL GRID PLC                                                 | National Grid PLC                                                  | CUSIP: 000000000<br>LEI: 8R95QZMKZLJX5Q2XR704 | Long             | DBT              | CORP              | GB        |      2965000 | PA      | $3391360.34   | 0.10%             | 2034-03-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BELGIUM KINGDOM                                                   | Kingdom of Belgium Government Bond                                 | CUSIP: 000000000<br>LEI: 549300SZ25JZFHRHWD76 | Long             | DBT              | NUSS              | BE        |      6825000 | PA      | $7159938.26   | 0.21%             | 2054-06-22      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| NORTHUMBRIAN WATER FIN                                            | Northumbrian Water Finance PLC                                     | CUSIP: 000000000<br>LEI: 213800JTFA6F3S7XX781 | Long             | DBT              | CORP              | GB        |      8640000 | PA      | $12337061.93  | 0.36%             | 2034-10-28      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                             | Truist Financial Corp                                              | CUSIP: 89788MAM4<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |      3648000 | PA      | $3651676.97   | 0.11%             | 2034-01-26      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                   | United States Treasury Note/Bond                                   | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      1000000 | PA      | $976679.69    | 0.03%             | 2034-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | NZD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $332551.67    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                                            | Mitsubishi UFJ Financial Group Inc                                 | CUSIP: 606822DL5<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |      6460000 | PA      | $6645407.88   | 0.20%             | 2036-04-24      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| SWEDISH GOVERNMENT                                                | Sweden Government Bond                                             | CUSIP: 000000000<br>LEI: ERE94C0BSULG2RM19605 | Long             | DBT              | NUSS              | SE        |     48000000 | PA      | $5082087.33   | 0.15%             | 2035-05-11      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                                 | EURO-BUXL 30Y BND                                                  | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |          -83 | NC      | $291986.30    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                        | BRL/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |            1 | NC      | $70692.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | USD/AUD FORWARD                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |            1 | NC      | $134692.30    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                            | General Motors Financial Co Inc                                    | CUSIP: 37045XEP7<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |      2860000 | PA      | $2944992.94   | 0.09%             | 2034-01-07      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | CHF/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-131317.34   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | JPY/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $69934.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                                  | French Republic Government Bond OAT                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     26150000 | PA      | $30778934.61  | 0.91%             | 2033-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | CAD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-96949.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SUEZ                                                              | Suez SACA                                                          | CUSIP: 000000000<br>LEI: 5493007LKZ37MXEN5D79 | Long             | DBT              | CORP              | FR        |      4200000 | PA      | $5387453.61   | 0.16%             | 2032-11-03      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Pool                                                   | CUSIP: 3132DVFY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6690634 | PA      | $6873394.24   | 0.20%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JAPAN (20 YEAR ISSUE)                                             | Japan Government Twenty Year Bond                                  | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   3756900000 | PA      | $23019496.41  | 0.68%             | 2042-12-20      | Fixed         | 1.40%                 | 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      | $-95363.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                             | Wells Fargo & Co                                                   | CUSIP: 95000U3K7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      5790000 | PA      | $5940067.88   | 0.18%             | 2035-01-23      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | USD/AUD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-309505.66   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | EUR/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-435991.62   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | USD/BRL FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-146666.30   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BONOS Y OBLIG DEL ESTADO                                          | Spain Government Bond                                              | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |      6250000 | PA      | $7562461.09   | 0.22%             | 2034-10-31      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                       | US 2YR NOTE (CBT)                                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -1126 | NC      | $-587027.34   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Pool                                                   | CUSIP: 3132DNZW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22439715 | PA      | $18910083.88  | 0.56%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                                    | European Union                                                     | CUSIP: 000000000<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | N/A       |      8900000 | PA      | $10801383.95  | 0.32%             | 2030-12-04      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| KINGDOM OF DENMARK                                                | Denmark Government Bond                                            | CUSIP: 000000000<br>LEI: 549300PTO6LS1PTM6607 | Long             | DBT              | NUSS              | DK        |     14250000 | PA      | $2714523.75   | 0.08%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | EUR/CHF FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-12176.46    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                    | CUSIP: 3140XKTX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33052381 | PA      | $27870431.09  | 0.82%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | AUD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $554904.98    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Pool                                                   | CUSIP: 3133BD2T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1115776 | PA      | $1044744.03   | 0.03%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | GBP/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-24631.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | COP/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |            1 | NC      | $22328.19     | 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      | $748429.86    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                                             | China Government Bond                                              | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |     39170000 | PA      | $8302618.72   | 0.25%             | 2070-05-25      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | CHF/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              | CORP              | US        |            1 | NC      | $88512.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DSV FINANCE BV                                                    | DSV Finance BV                                                     | CUSIP: 000000000<br>LEI: 529900RTQQ0IIS4B3E03 | Long             | DBT              | CORP              | NL        |      3040000 | PA      | $3506763.22   | 0.10%             | 2034-11-06      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | GBP/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-9217.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Pool                                                   | CUSIP: 31427MVH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8400476 | PA      | $8279222.35   | 0.24%             | 2055-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                                         | IRS IFS EUR                                                        | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |            1 | NC      | $2031447.09   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                          | USD/GBP FORWARD                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |            1 | NC      | $105744.56    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI INTERNATIONAL BOND                                          | Saudi Government International Bond                                | CUSIP: 000000000<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |      5175000 | PA      | $6082675.36   | 0.18%             | 2032-03-05      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| UNILEVER FINANCE                                                  | Unilever Finance Netherlands BV                                    | CUSIP: 000000000<br>LEI: 549300SWJ4YK4LLNT176 | Long             | DBT              | CORP              | NL        |      2040000 | PA      | $2419686.53   | 0.07%             | 2035-02-23      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bank of America, National Association                             | GBP/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |            1 | NC      | $165351.17    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT                                               | Canadian Government Bond                                           | CUSIP: 135087Q49<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     17600000 | PA      | $13135861.94  | 0.39%             | 2028-09-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                          | EUR/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-64664.93    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN (30 YEAR ISSUE)                                             | Japan Government Thirty Year Bond                                  | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |    606600000 | PA      | $2529765.14   | 0.07%             | 2050-03-20      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| SINGAPORE GOVERNMENT                                              | Singapore Government Bond                                          | CUSIP: 000000000<br>LEI: 549300ZSV6VOGFH1ER70 | Long             | DBT              | NUSS              | SG        |      5615000 | PA      | $4800195.10   | 0.14%             | 2033-09-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                               | JPMorgan Chase & Co                                                | CUSIP: 000000000<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      3580000 | PA      | $4303404.10   | 0.13%             | 2034-03-21      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                          | AT&T Inc                                                           | CUSIP: 00206RMV1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      1976000 | PA      | $2347308.70   | 0.07%             | 2033-06-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                                  | COLT 2023-2 Mortgage Loan Trust                                    | CUSIP: 12598UAA4<br>LEI: 213800IHRVKO9R6JZ883 | Long             | ABS-MBS          | CORP              | US        |      2025982 | PA      | $2042505.36   | 0.06%             | 2068-07-25      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| WEA FINANCE LLC                                                   | WEA Finance LLC                                                    | CUSIP: 92928QAH1<br>LEI: 3CYEJKBUJZO3UW777J80 | Long             | DBT              | CORP              | US        |      5510000 | PA      | $5364155.20   | 0.16%             | 2027-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| AAREAL BANK AG                                                    | Aareal Bank AG                                                     | CUSIP: 000000000<br>LEI: EZKODONU5TYHW4PP1R34 | Long             | DBT              | CORP              | DE        |      7600000 | PA      | $9059620.75   | 0.27%             | 2034-12-12      | Fixed         | 5.62%                 | No            |                  2 | On Loan: —       |
| Gemgarto                                                          | Gemgarto 2021-1 PLC                                                | CUSIP: 000000000<br>LEI: 635400KLHB2FIID9TE45 | Long             | ABS-MBS          | CORP              | GB        |       809139 | PA      | $1113036.70   | 0.03%             | 2067-12-16      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Pool                                                   | CUSIP: 3133KQVG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24128942 | PA      | $23761922.85  | 0.70%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Logistics                                                 | Sequoia Logistics 2025-1 DAC                                       | CUSIP: 000000000<br>LEI: 635400SNUE4YGPESHU40 | Long             | ABS-MBS          | CORP              | IE        |      7793000 | PA      | $9193534.00   | 0.27%             | 2037-02-17      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                       | Exelon Corp                                                        | CUSIP: 30161NBL4<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |      4480000 | PA      | $4310287.74   | 0.13%             | 2053-03-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| KOREA TREASURY BOND                                               | Korea Treasury Bond                                                | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |   7778000000 | PA      | $6326445.73   | 0.19%             | 2053-03-10      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | BNP Paribas SA                                                     | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |      3800000 | PA      | $4118314.85   | 0.12%             | 2032-04-07      | Fixed         | 2.10%                 | No            |                  2 | On Loan: —       |
| NEW ZEALAND GOVERNMENT                                            | New Zealand Government Bond                                        | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |     58152000 | PA      | $33504914.98  | 0.99%             | 2033-04-14      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                    | CUSIP: 3140W0P90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13836103 | PA      | $14331429.75  | 0.42%             | 2055-01-01      | Fixed         | 6.00%                 | 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      | $-506309.70   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | CDS ZIGGO BOND CO BV                                               | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              | CORP              | US        |            1 | NC      | $109676.96    | 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        |      1657000 | PA      | $2220803.93   | 0.07%             | 2036-04-04      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                                     | USD/KRW FORWARD                                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-347981.50   | -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      | $10621.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/EUR FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $1032298.20   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | BNP Paribas SA                                                     | CUSIP: 09659W3A0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |      6310000 | PA      | $6568143.30   | 0.19%             | 2033-01-13      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| AutoNation Finance Trust 2025-                                    | AutoNation Finance Trust 2025-1                                    | CUSIP: 05330QAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2656000 | PA      | $2678601.50   | 0.08%             | 2029-11-13      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                            | General Motors Financial Co Inc                                    | CUSIP: 37045XFG6<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |      2997000 | PA      | $3033411.63   | 0.09%             | 2032-04-04      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                                           | Romanian Government International Bond                             | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      1019000 | PA      | $1208017.31   | 0.04%             | 2032-07-11      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                            | General Motors Financial Co Inc                                    | CUSIP: 37045XFA9<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |      3000000 | PA      | $2942272.89   | 0.09%             | 2034-09-06      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE TELEKOM AG                                               | Deutsche Telekom AG                                                | CUSIP: 000000000<br>LEI: 549300V9QSIG4WX4GJ96 | Long             | DBT              | CORP              | DE        |      3580000 | PA      | $3940996.63   | 0.12%             | 2045-02-03      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                    | CUSIP: 3140QPCQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6100540 | PA      | $5687984.92   | 0.17%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | USD/CHF FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-1090785.59  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                                             | China Government Bond                                              | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |     30610000 | PA      | $5312695.27   | 0.16%             | 2053-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| IRELAND GOVERNMENT BOND                                           | Ireland Government Bond                                            | CUSIP: 000000000<br>LEI: 549300KXBEJAOJ9OVF93 | Long             | DBT              | NUSS              | IE        |      3950000 | PA      | $4539139.03   | 0.13%             | 2034-10-18      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                                               | United Kingdom Gilt                                                | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     13250000 | PA      | $18537636.56  | 0.55%             | 2028-06-07      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORP                                          | Queensland Treasury Corp                                           | CUSIP: 000000000<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | NUSS              | AU        |      9256000 | PA      | $5016444.52   | 0.15%             | 2033-08-22      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                        | IDR/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-16425.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE SA                                          | Electricite de France SA                                           | CUSIP: 000000000<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |      2400000 | PA      | $2823188.67   | 0.08%             | 2044-06-17      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | SEK/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-490613.45   | -0.01%            |  |  |  | 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        |      1133887 | PA      | $1108027.13   | 0.03%             | 2048-04-20      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| HEATHROW FUNDING LTD                                              | Heathrow Funding Ltd                                               | CUSIP: 000000000<br>LEI: 7TI96JO3DYEIQWZ7Z726 | Long             | DBT              | CORP              | JE        |      5810000 | PA      | $5908352.32   | 0.17%             | 2034-03-14      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | JPY/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-7961.05     | -0.00%            |  |  |  | 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        |      2831000 | PA      | $2964059.55   | 0.09%             | 2030-02-20      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | EUR/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-407973.14   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                                         | IRS IFS EUR                                                        | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |            1 | NC      | $2923433.49   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | NZD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-334022.57   | -0.01%            |  |  |  | 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        |      3914000 | PA      | $3952354.46   | 0.12%             | 2048-08-17      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Regatta XXV Funding Ltd.                                          | Regatta XXV Funding Ltd                                            | CUSIP: 758978AL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      5775000 | PA      | $5779331.25   | 0.17%             | 2038-07-15      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                                         | IRS IFS USD                                                        | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |            1 | NC      | $-257985.51   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PERNOD RICARD SA                                                  | Pernod Ricard SA                                                   | CUSIP: 000000000<br>LEI: 52990097YFPX9J0H5D87 | Long             | DBT              | CORP              | FR        |      1900000 | PA      | $2239612.45   | 0.07%             | 2034-05-07      | Fixed         | 3.62%                 | No            |                  2 | On Loan: —       |
| HSBC SECURITIES (USA) INC.                                        | JPY/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $297550.03    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | NOK/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $644942.67    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                                  | USD/JPY FORWARD                                                    | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-63232.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Pool                                                   | CUSIP: 3132DUJ81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24052124 | PA      | $24643265.45  | 0.73%             | 2054-09-01      | Fixed         | 6.00%                 | 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      | $-176361.21   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                    | CUSIP: 3140XRN68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24948406 | PA      | $25148044.92  | 0.74%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/NZD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-60709.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Pool                                                   | CUSIP: 3132DUJP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4650479 | PA      | $4691279.71   | 0.14%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | USD/CHF FORWARD                                                    | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-35632.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CONSTELLATION EN GEN LLC                                          | Constellation Energy Generation LLC                                | CUSIP: 210385AF7<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |      2600000 | PA      | $2550098.41   | 0.08%             | 2054-03-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                   | United States Treasury Note/Bond                                   | CUSIP: 91282CJZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     47170000 | PA      | $46692772.15  | 1.38%             | 2034-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | NZD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-170754.08   | -0.01%            |  |  |  | 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      | $-143225.83   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                            | Williams Cos Inc/The                                               | CUSIP: 969457CP3<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |      7866000 | PA      | $8089856.45   | 0.24%             | 2035-03-15      | Fixed         | 5.60%                 | 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        |      5630000 | PA      | $5589275.40   | 0.17%             | 2048-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | CDS TRANSDIGM INC                                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              | CORP              | US        |            1 | NC      | $-918552.16   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| RIO TINTO FIN USA PLC                                             | Rio Tinto Finance USA PLC                                          | CUSIP: 76720AAT3<br>LEI: 2138006TSNBEUA761G16 | Long             | DBT              | CORP              | GB        |      3760000 | PA      | $3827711.43   | 0.11%             | 2032-03-14      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ONTARIO (PROVINCE OF)                                             | Province of Ontario Canada                                         | CUSIP: 68333ZBA4<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |     11261000 | PA      | $7900272.70   | 0.23%             | 2054-12-02      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                                         | IRS IFS GBP                                                        | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |            1 | NC      | $1736130.45   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                                     | New Residential Mortgage Loan Trust 2022-NQM1                      | CUSIP: 64830JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4522094 | PA      | $4008400.53   | 0.12%             | 2061-04-25      | Variable      | 2.28%                 | 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      | $-27762985.43 | -0.82%            |  |  |  | No            |                  2 | On Loan: No      |
| DOW CHEMICAL CO/THE                                               | Dow Chemical Co/The                                                | CUSIP: 260543DM2<br>LEI: ZQUIP1CSZO8LXRBSOU78 | Long             | DBT              | CORP              | US        |      3530000 | PA      | $3367645.73   | 0.10%             | 2055-03-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| STORE CAPITAL LLC                                                 | Store Capital LLC                                                  | CUSIP: 862123AA4<br>LEI: 254900Z9PIEFQ6AYXK50 | Long             | DBT              | CORP              | US        |      3270000 | PA      | $3314382.76   | 0.10%             | 2030-04-30      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| KOREA TREASURY BOND                                               | Korea Treasury Bond                                                | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |  11350200000 | PA      | $8370885.28   | 0.25%             | 2028-12-10      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                    | CUSIP: 3140QQQY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13914794 | PA      | $13991673.24  | 0.41%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | JPY/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-5285.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                    | CUSIP: 3140QMT53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19690565 | PA      | $16593341.56  | 0.49%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | JPY/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-52025.45    | -0.00%            |  |  |  | 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      | $-1335449.21  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | BRL/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-144067.07   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NIPPON LIFE INSURANCE                                             | Nippon Life Insurance Co                                           | CUSIP: 654579AP6<br>LEI: 549300Y0HHMFW3EVWY08 | Long             | DBT              | CORP              | JP        |       858000 | PA      | $888833.09    | 0.03%             | 2055-04-30      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                                     | USD/AUD FORWARD                                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |            1 | NC      | $164889.82    | 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      | $1322818.08   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                   | United States Treasury Note/Bond                                   | CUSIP: 91282CGQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    167625000 | PA      | $169294702.57 | 5.01%             | 2030-02-28      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| PFIZER INVESTMENT ENTER                                           | Pfizer Investment Enterprises Pte Ltd                              | CUSIP: 716973AG7<br>LEI: 5493000FQO8XF9C0RT95 | Long             | DBT              | CORP              | SG        |      6120000 | PA      | $5781897.30   | 0.17%             | 2053-05-19      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BAHN FIN GMBH                                            | Deutsche Bahn Finance GMBH                                         | CUSIP: 000000000<br>LEI: 52990002BAIDUAIIYU29 | Long             | DBT              | CORP              | DE        |      9960000 | PA      | $10564218.06  | 0.31%             | 2033-08-16      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                                              | Indonesia Treasury Bond                                            | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 109930000000 | PA      | $7113997.90   | 0.21%             | 2040-04-15      | Fixed         | 7.50%                 | 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        |       750452 | PA      | $757192.96    | 0.02%             | 2050-12-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                    | Ginnie Mae II Pool                                                 | CUSIP: 3622AAQ72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5191799 | PA      | $4872826.82   | 0.14%             | 2050-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding                                    | Avis Budget Rental Car Funding AESOP LLC                           | CUSIP: 05377RGY4<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |      3643000 | PA      | $3745466.66   | 0.11%             | 2029-06-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| TIF Funding III LLC                                               | TIF Funding III LLC                                                | CUSIP: 88655AAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7153938 | PA      | $7274288.19   | 0.22%             | 2049-04-20      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                                                  | ABN AMRO Bank NV                                                   | CUSIP: 00084DBF6<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |     11200000 | PA      | $11416843.76  | 0.34%             | 2035-12-03      | Fixed         | 5.51%                 | No            |                  2 | On Loan: —       |
| TELIA COMPANY AB                                                  | Telia Co AB                                                        | CUSIP: 000000000<br>LEI: 213800FSR9RNDUOTXO25 | Long             | DBT              | CORP              | SE        |      2510000 | PA      | $3035537.98   | 0.09%             | 2032-02-22      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| NEW S WALES TREASURY CRP                                          | New South Wales Treasury Corp                                      | CUSIP: 000000000<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |      8862000 | PA      | $4610727.90   | 0.14%             | 2034-03-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | USD/AUD FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $253586.73    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | USD/NOK FORWARD                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |            1 | NC      | $352913.03    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | CDS INTESA SANPAOLO SPA                                            | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DCR              | CORP              | FR        |            1 | NC      | $-84729.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FINNISH GOVERNMENT                                                | Finland Government Bond                                            | CUSIP: 000000000<br>LEI: 743700M6Y2OQRVSBRD14 | Long             | DBT              | NUSS              | FI        |      3750000 | PA      | $4472495.78   | 0.13%             | 2033-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                                    | European Union                                                     | CUSIP: 000000000<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | N/A       |      8406311 | PA      | $8504123.31   | 0.25%             | 2053-03-04      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/CHF FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-225876.48   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BECTON DICKINSON EURO                                             | Becton Dickinson Euro Finance Sarl                                 | CUSIP: 000000000<br>LEI: 549300W40NLZ25XUTH09 | Long             | DBT              | CORP              | LU        |      2390000 | PA      | $2865292.49   | 0.08%             | 2036-06-07      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                                | USD/EUR FORWARD                                                    | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |            1 | NC      | $401715.90    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                      | Alphabet Inc                                                       | CUSIP: 02079KAT4<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |      5727000 | PA      | $6641674.74   | 0.20%             | 2054-05-06      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | CDS ELECTROLUX AB                                                  | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DCR              | CORP              | FR        |            1 | NC      | $-65918.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TREASURY CORP VICTORIA                                            | Treasury Corp of Victoria                                          | CUSIP: 000000000<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | NUSS              | AU        |     41354000 | PA      | $26527725.07  | 0.78%             | 2036-09-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| JAPAN (30 YEAR ISSUE)                                             | Japan Government Thirty Year Bond                                  | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |    782050000 | PA      | $3468324.00   | 0.10%             | 2050-12-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| JAPAN (30 YEAR ISSUE)                                             | Japan Government Thirty Year Bond                                  | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   9190000000 | PA      | $56146814.42  | 1.66%             | 2054-06-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| CARRIER GLOBAL CORP                                               | Carrier Global Corp                                                | CUSIP: 14448CBC7<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |      4583000 | PA      | $4882200.93   | 0.14%             | 2034-03-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | USD/CHF FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |            1 | NC      | $90646.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                    | CUSIP: 3140XRAN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11034934 | PA      | $11314661.48  | 0.33%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/CHF FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $273473.90    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JT INTL FIN SERVICES BV                                           | JT International Financial Services BV                             | CUSIP: 000000000<br>LEI: 549300U2F0PG10VZUN93 | Long             | DBT              | CORP              | NL        |      6457000 | PA      | $7636072.65   | 0.23%             | 2035-06-17      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                   | United States Treasury Note/Bond                                   | CUSIP: 91282CNE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000000 | PA      | $100242188.00 | 2.97%             | 2027-05-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| SUEZ                                                              | Suez SACA                                                          | CUSIP: 000000000<br>LEI: 5493007LKZ37MXEN5D79 | Long             | DBT              | CORP              | FR        |      1700000 | PA      | $2120245.40   | 0.06%             | 2033-11-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | EUR/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |            1 | NC      | $1521492.17   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | CNH/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-15177.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                                              | Enel Finance International NV                                      | CUSIP: 000000000<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |      2885000 | PA      | $3448992.37   | 0.10%             | 2035-01-23      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| BONOS Y OBLIG DEL ESTADO                                          | Spain Government Bond                                              | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     27750000 | PA      | $28514592.36  | 0.84%             | 2032-04-30      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN PUBLIC SERV                                          | Southwestern Public Service Co                                     | CUSIP: 845743BY8<br>LEI: OL6FE7QD5EQ3DOYEO258 | Long             | DBT              | CORP              | US        |      4990000 | PA      | $5017452.78   | 0.15%             | 2035-05-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | USD/KRW FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-37674.21    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                                | Credit Agricole SA                                                 | CUSIP: 22535WAR8<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |      1971000 | PA      | $2008448.39   | 0.06%             | 2031-05-27      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                   | United States Treasury Note/Bond                                   | CUSIP: 91282CLJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     60000000 | PA      | $59453906.40  | 1.76%             | 2031-08-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                    | CUSIP: 3140XQW52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17275940 | PA      | $15827092.25  | 0.47%             | 2052-08-01      | Fixed         | 3.50%                 | 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        |      3123763 | PA      | $3132738.65   | 0.09%             | 2068-05-25      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| GENERAL MILLS INC                                                 | General Mills Inc                                                  | CUSIP: 000000000<br>LEI: 2TGYMUGI08PO8X8L6150 | Long             | DBT              | CORP              | US        |      5720000 | PA      | $6770057.46   | 0.20%             | 2032-04-17      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORP                                          | Queensland Treasury Corp                                           | CUSIP: 000000000<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | NUSS              | AU        |      9979000 | PA      | $5097635.29   | 0.15%             | 2034-07-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                                 | EURO-OAT                                                           | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |         -548 | NC      | $303758.82    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                    | CUSIP: 3140QDWM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31088409 | PA      | $27579665.38  | 0.82%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | COP/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-919814.67   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                                     | PEN/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-52017.56    | -0.00%            |  |  |  | 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        |     23429582 | NS      | $23429582.21  | 0.69%             |  |  |  | No            |                  1 | On Loan: No      |
| AUSTRALIAN SECURITIES EXCHANGE TRADE24                            | AUST 3YR BOND                                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | AU        |        -4141 | NC      | $20966.50     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                    | CUSIP: 31418ED80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6866895 | PA      | $6402468.91   | 0.19%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                    | Morgan Stanley                                                     | CUSIP: 61747YFL4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      6103000 | PA      | $6246113.09   | 0.18%             | 2035-01-18      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| NOVO NORDISK A/S                                                  | Novo Nordisk Finance Netherlands BV                                | CUSIP: 000000000<br>LEI: 549300X0PCJ6M2JZQW91 | Long             | DBT              | CORP              | NL        |      2190000 | PA      | $2605837.16   | 0.08%             | 2034-05-21      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| NEW ZEALAND GOVERNMENT                                            | New Zealand Government Bond                                        | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |     60205000 | PA      | $31885595.28  | 0.94%             | 2032-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                             | Wells Fargo & Co                                                   | CUSIP: 95000U3H4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      5180000 | PA      | $5663974.03   | 0.17%             | 2034-10-23      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                                  | French Republic Government Bond OAT                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |      8625000 | PA      | $8783760.40   | 0.26%             | 2055-05-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | USD/CAD FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $161410.34    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Octagon 61 Ltd                                                    | Octagon 61 Ltd                                                     | CUSIP: 675947AL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      7900000 | PA      | $7928131.90   | 0.23%             | 2038-04-20      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                                  | French Republic Government Bond OAT                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     11685000 | PA      | $14453224.00  | 0.43%             | 2038-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | CAD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-144179.21   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW S WALES TREASURY CRP                                          | New South Wales Treasury Corp                                      | CUSIP: 000000000<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |     10116000 | PA      | $6283674.49   | 0.19%             | 2036-02-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Pool                                                   | CUSIP: 3132DVLF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16144995 | PA      | $13625169.90  | 0.40%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Stack Infrastructure Issuer LL                                    | Stack Infrastructure Issuer LLC                                    | CUSIP: 85236KAF9<br>LEI: 254900AV7V87H3A2WM57 | Long             | ABS-O            | CORP              | US        |      1430000 | PA      | $1437047.76   | 0.04%             | 2048-03-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| DIAGEO FINANCE PLC                                                | Diageo Finance PLC                                                 | CUSIP: 000000000<br>LEI: BPF79TJMIH3DK8XCKI50 | Long             | DBT              | CORP              | GB        |      3040000 | PA      | $3507611.87   | 0.10%             | 2035-08-30      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | CDS ELECTROLUX AB                                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              | CORP              | US        |            1 | NC      | $-32853.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ATHORA HOLDING LTD                                                | Athora Holding Ltd                                                 | CUSIP: 000000000<br>LEI: 98450059DQ10TFC4B020 | Long             | DBT              | CORP              | BM        |      7100000 | PA      | $8801042.19   | 0.26%             | 2034-09-10      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | CAD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |            1 | NC      | $124167.23    | 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      | $158846.62    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                   | United States Treasury Note/Bond                                   | CUSIP: 91282CMD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    151275000 | PA      | $155062783.80 | 4.59%             | 2029-12-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                                             | Duke Energy Carolinas LLC                                          | CUSIP: 26442CBM5<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |     15715000 | PA      | $15701593.38  | 0.46%             | 2034-01-15      | Fixed         | 4.85%                 | 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        |     36927718 | NS      | $36927718.04  | 1.09%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | USD/GBP FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-10379.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OBRIGACOES DO TESOURO                                             | Portugal Obrigacoes do Tesouro OT                                  | CUSIP: 000000000<br>LEI: 549300P6U1FJ3IMP7K42 | Long             | DBT              | NUSS              | PT        |      5250000 | PA      | $6146996.02   | 0.18%             | 2034-10-20      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Pool                                                   | CUSIP: 3132E0U75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7338648 | PA      | $7285915.37   | 0.22%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | USD/AUD FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-83581.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE E                                          | Alexandria Real Estate Equities Inc                                | CUSIP: 015271BC2<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |      3102000 | PA      | $3045988.02   | 0.09%             | 2036-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                                 | EURO-BUND                                                          | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |         -149 | NC      | $113296.84    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | KRW/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-168986.88   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WEA FINANCE LLC                                                   | WEA Finance LLC                                                    | CUSIP: 000000000<br>LEI: 3CYEJKBUJZO3UW777J80 | Long             | DBT              | CORP              | US        |      2764000 | PA      | $2690839.38   | 0.08%             | 2027-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Dominos Pizza Master Issuer LL                                    | Domino's Pizza Master Issuer LLC                                   | CUSIP: 25755TAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5470312 | PA      | $5112988.95   | 0.15%             | 2051-04-25      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                                     | USD/EUR FORWARD                                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-1099649.00  | -0.03%            |  |  |  | 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        |      8662000 | PA      | $7054785.48   | 0.21%             | 2044-09-17      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                                     | USD/CHF FORWARD                                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-124202.51   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KOREA TREASURY BOND                                               | Korea Treasury Bond                                                | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |  19526800000 | PA      | $15922422.41  | 0.47%             | 2032-12-10      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | GBP/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |            1 | NC      | $51980.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | CHF/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-188593.00   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BONOS Y OBLIG DEL ESTADO                                          | Spain Government Bond                                              | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     16975000 | PA      | $20294223.67  | 0.60%             | 2034-04-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| JAPAN (40 YEAR ISSUE)                                             | Japan Government Forty Year Bond                                   | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   1473600000 | PA      | $5716989.33   | 0.17%             | 2062-03-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FMC CORP                                                          | FMC Corp                                                           | CUSIP: 302491AX3<br>LEI: CKDHZ2X64EEBQCSP7013 | Long             | DBT              | CORP              | US        |      3490000 | PA      | $3451732.78   | 0.10%             | 2033-05-18      | Fixed         | 5.65%                 | No            |                  2 | On Loan: —       |
| OSAKA EXCHANGE,INC                                                | JAPAN 10Y BOND(OSE)                                                | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              | CORP              | JP        |         -108 | NC      | $-255745.62   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| POLAND GOVERNMENT BOND                                            | Republic of Poland Government Bond                                 | CUSIP: 000000000<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |     11625000 | PA      | $3363808.37   | 0.10%             | 2033-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/AUD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $289510.20    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                   | United States Treasury Note/Bond                                   | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     14275000 | PA      | $13900281.25  | 0.41%             | 2055-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: —       |
| HSBC SECURITIES (USA) INC.                                        | USD/SEK FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $487051.13    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | CAD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-14626.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                                               | United Kingdom Gilt                                                | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     21500000 | PA      | $27608718.52  | 0.82%             | 2033-01-31      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| ENI SPA                                                           | Eni SpA                                                            | CUSIP: 26874RAN8<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |      4609000 | PA      | $4646620.55   | 0.14%             | 2034-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | USD/GBP FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-1902217.30  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | USD/SEK FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-310070.44   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | NOK/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $11200.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | CAD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |            1 | NC      | $76832.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                            | General Motors Financial Co Inc                                    | CUSIP: 000000000<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |      1962000 | PA      | $2371941.03   | 0.07%             | 2030-07-10      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                              | Kraft Heinz Foods Co                                               | CUSIP: 50077LBN5<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |      1142000 | PA      | $1157864.88   | 0.03%             | 2035-03-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: —       |
| CITIGROUP GLOBAL MARKETS INC.                                     | NZD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-160206.96   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BAHN FIN GMBH                                            | Deutsche Bahn Finance GMBH                                         | CUSIP: 000000000<br>LEI: 52990002BAIDUAIIYU29 | Long             | DBT              | CORP              | DE        |      5370000 | PA      | $4763591.05   | 0.14%             | 2036-04-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | JPY/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-48970.93    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TREASURY CORP VICTORIA                                            | Treasury Corp of Victoria                                          | CUSIP: 000000000<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | NUSS              | AU        |      8814000 | PA      | $4428375.08   | 0.13%             | 2035-09-17      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                               | JPMorgan Chase & Co                                                | CUSIP: 46647PDY9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      1370000 | PA      | $1489520.77   | 0.04%             | 2034-10-23      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CZECH REPUBLIC                                                    | Czech Republic Government Bond                                     | CUSIP: 000000000<br>LEI: 3157007EFDLQABN47912 | Long             | DBT              | NUSS              | CZ        |     96730000 | PA      | $4297367.45   | 0.13%             | 2033-03-03      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TRUST                                                   | SBA Tower Trust                                                    | CUSIP: 78403DAX8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      6340000 | PA      | $5537132.20   | 0.16%             | 2031-10-15      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                   | United States Treasury Note/Bond                                   | CUSIP: 91282CMU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     61175000 | PA      | $61758074.22  | 1.83%             | 2030-03-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                                          | Italy Buoni Poliennali Del Tesoro                                  | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     42870000 | PA      | $50656928.98  | 1.50%             | 2054-10-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| KOREA TREASURY BOND                                               | Korea Treasury Bond                                                | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |   8610000000 | PA      | $6841347.47   | 0.20%             | 2052-09-10      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | USD/CAD FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-10542.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                        | SGD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-44785.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                                               | United Kingdom Gilt                                                | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     15710000 | PA      | $21279682.32  | 0.63%             | 2034-07-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | USD/CHF FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $1080340.68   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| AES CORP/THE                                                      | AES Corp/The                                                       | CUSIP: 00130HCM5<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |      1948000 | PA      | $1978833.14   | 0.06%             | 2032-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: —       |
| SARTORIUS FINANCE BV                                              | Sartorius Finance BV                                               | CUSIP: 000000000<br>LEI: 529900JCAKTMRXK9EA58 | Long             | DBT              | CORP              | NL        |      4000000 | PA      | $5044045.18   | 0.15%             | 2035-09-14      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Pool                                                   | CUSIP: 3132DUU62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15944375 | PA      | $16383127.52  | 0.48%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Regatta XXV Funding Ltd.                                          | Regatta XXV Funding Ltd                                            | CUSIP: 758978AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      5775000 | PA      | $5775288.75   | 0.17%             | 2036-07-15      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/CAD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $328805.51    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                       | US 10YR NOTE (CBT)                                                 | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          199 | NC      | $201756.15    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/JPY FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $2012154.06   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| RENTOKIL TERMINIX LLC                                             | Rentokil Terminix Funding LLC                                      | CUSIP: 760130AA2<br>LEI: 984500D5BAA7560EKJ44 | Long             | DBT              | CORP              | US        |      7250000 | PA      | $7303783.18   | 0.22%             | 2030-04-28      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | CAD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-258312.16   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW ZEALAND GOVERNMENT                                            | New Zealand Government Bond                                        | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |     95600000 | PA      | $57428014.80  | 1.70%             | 2034-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE SA                                          | Electricite de France SA                                           | CUSIP: 000000000<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |      1100000 | PA      | $1287078.07   | 0.04%             | 2043-01-25      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                                  | GBP/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-47670.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                                                     | Ballyrock CLO 24 Ltd                                               | CUSIP: 05875AAA6<br>LEI: 254900B0CDDYIJW8YL36 | Long             | ABS-CBDO         | CORP              | JE        |      5420000 | PA      | $5420271.00   | 0.16%             | 2036-07-15      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                                            | Mitsubishi UFJ Financial Group Inc                                 | CUSIP: 606822DK7<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |      4850000 | PA      | $4967462.49   | 0.15%             | 2031-04-24      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT                                               | Canadian Government Bond                                           | CUSIP: 135087M68<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     22100000 | PA      | $10985489.26  | 0.33%             | 2053-12-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                    | Ginnie Mae II Pool                                                 | CUSIP: 3622ADKZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4652323 | PA      | $4491217.64   | 0.13%             | 2050-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                    | CUSIP: 3140XQAW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10455549 | PA      | $10548599.36  | 0.31%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TRP LLC                                                           | TRP 2021 LLC                                                       | CUSIP: 87267CAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6073352 | PA      | $5759012.64   | 0.17%             | 2051-06-19      | Fixed         | 2.07%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding                                    | Avis Budget Rental Car Funding AESOP LLC                           | CUSIP: 05377RKQ6<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |      3804000 | PA      | $3879162.09   | 0.11%             | 2031-08-20      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                    | CUSIP: 3140QPH59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       854256 | PA      | $806225.27    | 0.02%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMPRION GMBH                                                      | Amprion GmbH                                                       | CUSIP: 000000000<br>LEI: 529900ZIV0ETYHYZM863 | Long             | DBT              | CORP              | DE        |      9300000 | PA      | $11205959.56  | 0.33%             | 2031-05-21      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| HUNGARY GOVERNMENT BOND                                           | Hungary Government Bond                                            | CUSIP: 000000000<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |       710000 | PA      | $1532.30      | 0.00%             | 2033-04-20      | Fixed         | 2.25%                 | 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        |      5979000 | PA      | $6071226.67   | 0.18%             | 2048-11-20      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | CDS UNICREDIT SPA                                                  | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DCR              | CORP              | FR        |            1 | NC      | $-28017.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WOOLWORTHS GROUP LTD                                              | Woolworths Group Ltd                                               | CUSIP: 000000000<br>LEI: QNWEWQBS7HP85QHXQL92 | Long             | DBT              | CORP              | AU        |      3230000 | PA      | $3838455.28   | 0.11%             | 2032-10-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: —       |
| HSBC SECURITIES (USA) INC.                                        | BRL/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-5163455.23  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| MOTABILITY OPERATIONS GR                                          | Motability Operations Group PLC                                    | CUSIP: 000000000<br>LEI: AZ3NL8JCZDCNUXFWI720 | Long             | DBT              | CORP              | GB        |      2920000 | PA      | $3494951.34   | 0.10%             | 2034-01-24      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| SWITZERLAND                                                       | Swiss Confederation Government Bond                                | CUSIP: 000000000<br>LEI: 5067006OA1BJ88912Q83 | Long             | DBT              | NUSS              | CH        |     14445000 | PA      | $18547306.27  | 0.55%             | 2032-06-27      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/AUD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $112877.33    | 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      | $277.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | USD/GBP FORWARD                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-2788702.92  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| HELLENIC REPUBLIC                                                 | Hellenic Republic Government Bond                                  | CUSIP: 000000000<br>LEI: 2138003EKTMKZ5598902 | Long             | DBT              | NUSS              | GR        |      3438000 | PA      | $4365297.75   | 0.13%             | 2038-07-18      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | JPY/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $18799.94     | 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      | $241037.16    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| NASDAQ INC                                                        | Nasdaq Inc                                                         | CUSIP: 63111XAM3<br>LEI: 549300L8X1Q78ERXFD06 | Long             | DBT              | CORP              | US        |      6990000 | PA      | $8784210.05   | 0.26%             | 2032-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| HSBC SECURITIES (USA) INC.                                        | CNH/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-35948.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                        | Verus Securitization Trust 2023-4                                  | CUSIP: 92539TAA1<br>LEI: 2138008DC17PCNG48R87 | Long             | ABS-MBS          | CORP              | US        |      1746607 | PA      | $1749325.42   | 0.05%             | 2068-05-25      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                    | CUSIP: 3140XRAJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10808332 | PA      | $10880892.35  | 0.32%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CELLNEX FINANCE CO SA                                             | Cellnex Finance Co SA                                              | CUSIP: 000000000<br>LEI: 549300OUROMFTRFA7T23 | Long             | DBT              | CORP              | ES        |      3300000 | PA      | $3456696.28   | 0.10%             | 2033-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                       | US 5YR NOTE (CBT)                                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         6715 | NC      | $9113994.97   | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| US TREASURY N/B                                                   | United States Treasury Note/Bond                                   | CUSIP: 91282CMP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     52075000 | PA      | $52353682.49  | 1.55%             | 2027-02-28      | Fixed         | 4.12%                 | No            |                  2 | On Loan: —       |
| BNP PARIBAS SECURITIES CORP.                                      | CAD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-638911.62   | -0.02%            |  |  |  | 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      | $26060.74     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIAN GOVERNMENT                                             | Australia Government Bond                                          | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |      5240000 | PA      | $2639812.01   | 0.08%             | 2047-03-21      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                                 | EURO-SCHATZ                                                        | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |         2032 | NC      | $-400436.95   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Pool                                                   | CUSIP: 3133USKU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7932306 | PA      | $6619969.14   | 0.20%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/GBP FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-599966.65   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Invesco CLO LTD                                                   | Invesco US CLO 2023-3 Ltd                                          | CUSIP: 46091RAA1<br>LEI: 213800YAVR2FVYDIRM63 | Long             | ABS-CBDO         | CORP              | JE        |      5600000 | PA      | $5600280.00   | 0.17%             | 2036-07-15      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| Tricon American Homes                                             | Tricon American Homes 2019-SFR1 Trust                              | CUSIP: 89612LAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7393942 | PA      | $7295518.08   | 0.22%             | 2038-03-17      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | CAD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $33109.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WEA FINANCE LLC                                                   | WEA Finance LLC                                                    | CUSIP: 92928QAD0<br>LEI: 3CYEJKBUJZO3UW777J80 | Long             | DBT              | CORP              | US        |       379000 | PA      | $295284.23    | 0.01%             | 2048-09-20      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Triumph Rail LLC                                                  | Triumph Rail Holdings LLC                                          | CUSIP: 89683LAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5975156 | PA      | $5665423.63   | 0.17%             | 2051-06-19      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | USD/MYR FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-43509.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN (20 YEAR ISSUE)                                             | Japan Government Twenty Year Bond                                  | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   1066400000 | PA      | $6185611.71   | 0.18%             | 2043-03-20      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                                               | United Kingdom Gilt                                                | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     27525000 | PA      | $32738268.72  | 0.97%             | 2054-07-31      | Fixed         | 4.38%                 | 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      | $11895.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NOTA DO TESOURO NACIONAL                                          | Brazil Notas do Tesouro Nacional Serie F                           | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    342150000 | PA      | $53560320.08  | 1.58%             | 2033-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | USD/NZD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |            1 | NC      | $93776.72     | 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      | $3866.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| YORKSHIRE WATER FINANCE                                           | Yorkshire Water Finance PLC                                        | CUSIP: 000000000<br>LEI: 213800O8BDOGHJMTCP32 | Long             | DBT              | CORP              | GB        |      2200000 | PA      | $3178649.71   | 0.09%             | 2031-04-17      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| Springcastle SPV                                                  | SpringCastle America Funding LLC                                   | CUSIP: 85022WAP9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1600547 | PA      | $1508289.79   | 0.04%             | 2037-09-25      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                    | CUSIP: 3140QVGP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17986103 | PA      | $17672592.81  | 0.52%             | 2054-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                    | CUSIP: 3140QVMK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21109649 | PA      | $20797094.39  | 0.62%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TAKE-TWO INTERACTIVE SOF                                          | Take-Two Interactive Software Inc                                  | CUSIP: 874054AN9<br>LEI: BOMSTHHJK882EWYX3334 | Long             | DBT              | CORP              | US        |      1590000 | PA      | $1650812.28   | 0.05%             | 2034-06-12      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| RBC DOMINION SECURITIES INC.                                      | USD/NZD FORWARD                                                    | CUSIP: 000000000<br>LEI: 549300QJJX6CVVUXLE15 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-714760.16   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                             | Mexico Government International Bond                               | CUSIP: 91087BBD1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |       746000 | PA      | $771916.04    | 0.02%             | 2055-05-13      | Fixed         | 7.38%                 | No            |                  2 | On Loan: —       |
| DEUTSCHE BAHN FIN GMBH                                            | Deutsche Bahn Finance GMBH                                         | CUSIP: 000000000<br>LEI: 52990002BAIDUAIIYU29 | Long             | DBT              | CORP              | DE        |      6540000 | PA      | $4329358.33   | 0.13%             | 2051-05-29      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| NASDAQ INC                                                        | Nasdaq Inc                                                         | CUSIP: 63111XAL5<br>LEI: 549300L8X1Q78ERXFD06 | Long             | DBT              | CORP              | US        |      1360000 | PA      | $1388407.61   | 0.04%             | 2063-06-28      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Pool                                                   | CUSIP: 3142GS5R5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6282096 | PA      | $6189081.22   | 0.18%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                   | United States Treasury Note/Bond                                   | CUSIP: 912810UJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     38400000 | PA      | $38208000.00  | 1.13%             | 2045-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| EUROPEAN UNION                                                    | European Union                                                     | CUSIP: 000000000<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | N/A       |     14551000 | PA      | $12557195.74  | 0.37%             | 2036-06-04      | Fixed         | 0.20%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/PLN FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-107795.17   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Pool                                                   | CUSIP: 3132DUAD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17934090 | PA      | $18095289.59  | 0.54%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BALLYROCK LTD                                                     | BALLYROCK CLO 24 LTD                                               | CUSIP: 05875AAJ7<br>LEI: 254900B0CDDYIJW8YL36 | Long             | ABS-CBDO         | CORP              | JE        |      5420000 | PA      | $5424065.00   | 0.16%             | 2038-07-15      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON EURO                                             | Becton Dickinson Euro Finance Sarl                                 | CUSIP: 000000000<br>LEI: 549300W40NLZ25XUTH09 | Long             | DBT              | CORP              | LU        |      1390000 | PA      | $1113297.64   | 0.03%             | 2041-08-13      | Fixed         | 1.34%                 | No            |                  2 | On Loan: No      |
| AUTOSTRADE PER L'ITALIA                                           | Autostrade per l'Italia SpA                                        | CUSIP: 000000000<br>LEI: 815600149448CEB9B230 | Long             | DBT              | CORP              | IT        |      3835000 | PA      | $4650282.96   | 0.14%             | 2036-02-28      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Pool                                                   | CUSIP: 3132DSYE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6376771 | PA      | $6439573.23   | 0.19%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MERCK KGAA                                                        | Merck KGaA                                                         | CUSIP: 000000000<br>LEI: 529900OAREIS0MOPTW25 | Long             | DBT              | CORP              | DE        |      1400000 | PA      | $1660756.37   | 0.05%             | 2054-08-27      | Fixed         | 3.88%                 | No            |                  2 | On Loan: —       |
| HSBC SECURITIES (USA) INC.                                        | USD/MXN FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-115312.13   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                                         | IRS IFS GBP                                                        | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |            1 | NC      | $5558398.61   | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | USD/AUD FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-38023.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | EUR/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-785799.64   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                    | Carvana Auto Receivables Trust 2021-N2                             | CUSIP: 14686KAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       605330 | PA      | $586961.97    | 0.02%             | 2028-03-10      | Fixed         | 1.07%                 | No            |                  2 | On Loan: No      |
| SAUDI INTERNATIONAL BOND                                          | Saudi Government International Bond                                | CUSIP: 80413TBL2<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |      6241000 | PA      | $6514612.43   | 0.19%             | 2035-01-13      | Fixed         | 5.62%                 | No            |                  2 | On Loan: —       |
| EUREX CLEARING AKTIENGESELLSCHAFT                                 | EURO-BTP                                                           | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |          137 | NC      | $112780.63    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHINA GOVERNMENT BOND                                             | China Government Bond                                              | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    492050000 | PA      | $68240317.00  | 2.02%             | 2035-02-15      | Fixed         | 1.61%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                                  | Peruvian Government International Bond                             | CUSIP: 715638EA6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      8000000 | PA      | $2403385.97   | 0.07%             | 2039-08-12      | Fixed         | 7.60%                 | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT                                               | Canadian Government Bond                                           | CUSIP: 135087S21<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     13200000 | PA      | $9692439.88   | 0.29%             | 2034-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | USD/JPY FORWARD                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |            1 | NC      | $1043547.53   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| RLGH FINANCE BERMUDA LTD                                          | RLGH Finance Bermuda Ltd                                           | CUSIP: 000000000<br>LEI: 549300JARQYXR76TRX40 | Long             | DBT              | CORP              | BM        |      7045000 | PA      | $7819950.00   | 0.23%             | 2031-07-17      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | NZD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-1419340.47  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                    | CUSIP: 3140XJS53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4640385 | PA      | $4235314.19   | 0.13%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                                               | United Kingdom Gilt                                                | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     11600000 | PA      | $16075070.47  | 0.48%             | 2029-07-22      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | USD/CAD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |            1 | NC      | $79753.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN (40 YEAR ISSUE)                                             | Japan Government Forty Year Bond                                   | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  10000000000 | PA      | $55882142.29  | 1.65%             | 2064-03-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | GBP/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-57323.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMPRION GMBH                                                      | Amprion GmbH                                                       | CUSIP: 000000000<br>LEI: 529900ZIV0ETYHYZM863 | Long             | DBT              | CORP              | DE        |      3800000 | PA      | $4624361.72   | 0.14%             | 2032-09-22      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | CAD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |            1 | NC      | $2782.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | CAD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |            1 | NC      | $77682.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | CZK/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-110499.00   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | AUD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-124887.21   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RBC DOMINION SECURITIES INC.                                      | USD/GBP FORWARD                                                    | CUSIP: 000000000<br>LEI: 549300QJJX6CVVUXLE15 | N/A              | DFE              | CORP              | US        |            1 | NC      | $3178.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                    | CUSIP: 3140QEYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6147797 | PA      | $5221272.17   | 0.15%             | 2050-09-01      | Fixed         | 2.50%                 | 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      | $-1272360.66  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                    | Morgan Stanley                                                     | CUSIP: 61747YFE0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      8200000 | PA      | $8344512.95   | 0.25%             | 2034-04-21      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| PERNOD RICARD SA                                                  | Pernod Ricard SA                                                   | CUSIP: 000000000<br>LEI: 52990097YFPX9J0H5D87 | Long             | DBT              | CORP              | FR        |      4000000 | PA      | $4676780.72   | 0.14%             | 2032-03-03      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                                                       | PepsiCo Inc                                                        | CUSIP: 713448EK0<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |      3495000 | PA      | $3734560.52   | 0.11%             | 2031-03-18      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Pool                                                   | CUSIP: 3132DTLF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2798103 | PA      | $2445831.03   | 0.07%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NOTA DO TESOURO NACIONAL                                          | Brazil Notas do Tesouro Nacional Serie F                           | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    262740000 | PA      | $39893261.44  | 1.18%             | 2035-01-01      | Fixed         | 10.00%                | 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      | $10176.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                             | Toronto-Dominion Bank/The                                          | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |      4680000 | PA      | $5617758.80   | 0.17%             | 2031-04-16      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BAHN FIN GMBH                                            | Deutsche Bahn Finance GMBH                                         | CUSIP: 000000000<br>LEI: 52990002BAIDUAIIYU29 | Long             | DBT              | CORP              | DE        |      4836000 | PA      | $4935567.62   | 0.15%             | 2034-03-03      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | EUR/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-1884957.66  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| KOMMUNALKREDIT AUSTRIA A                                          | Kommunalkredit Austria AG                                          | CUSIP: 000000000<br>LEI: 549300IEVCBWVV97WC81 | Long             | DBT              | CORP              | AT        |      2800000 | PA      | $3347409.85   | 0.10%             | 2031-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                                          | Italy Buoni Poliennali Del Tesoro                                  | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     51375000 | PA      | $65899011.70  | 1.95%             | 2033-05-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                                | LONG GILT                                                          | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |          175 | NC      | $308244.17    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/KRW FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $168783.86    | 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      | $-151025.83   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | JPY/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-263094.42   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NETHERLANDS GOVERNMENT                                            | Netherlands Government Bond                                        | CUSIP: 000000000<br>LEI: 254900G14ALGVKORFN62 | Long             | DBT              | NUSS              | NL        |     13300000 | PA      | $15394439.31  | 0.46%             | 2034-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | USD/CHF FORWARD                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |            1 | NC      | $71451.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ENI SPA                                                           | Eni SpA                                                            | CUSIP: 26874RAP3<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |      5459000 | PA      | $5287020.48   | 0.16%             | 2054-05-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                           | HCA Inc                                                            | CUSIP: 404121AK1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      1001000 | PA      | $1010095.84   | 0.03%             | 2034-09-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                            | Diamondback Energy Inc                                             | CUSIP: 25278XBB4<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |      2690000 | PA      | $2492532.16   | 0.07%             | 2064-04-18      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | CNH/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $35836.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK MILLENNIUM SA                                                | Bank Millennium SA                                                 | CUSIP: 000000000<br>LEI: 259400OFDZ9KPZEO8K78 | Long             | DBT              | CORP              | PL        |      2775000 | PA      | $3418252.93   | 0.10%             | 2029-09-25      | Fixed         | 5.31%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                     | Citigroup Inc                                                      | CUSIP: 172967PL9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       670000 | PA      | $684635.53    | 0.02%             | 2035-06-11      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | AUD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-656029.15   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | JPY/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-32137.11    | -0.00%            |  |  |  | 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      | $-1069553.51  | -0.03%            |  |  |  | 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        |     11382000 | PA      | $8559882.52   | 0.25%             | 2028-09-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES CAP INTL                                            | TotalEnergies Capital International SA                             | CUSIP: 000000000<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |      6600000 | PA      | $7373727.17   | 0.22%             | 2045-03-03      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                                              | Enel Finance International NV                                      | CUSIP: 000000000<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |      4500000 | PA      | $4719415.63   | 0.14%             | 2031-01-17      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                                 | EURO-BOBL                                                          | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |          420 | NC      | $-133789.95   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| AA BOND CO LTD                                                    | AA Bond Co Ltd                                                     | CUSIP: 000000000<br>LEI: 2138002EPF6QVRZBMC58 | Long             | DBT              | CORP              | JE        |      5400000 | PA      | $7453096.16   | 0.22%             | 2027-07-31      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | GBP/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-5271.00     | -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      | $-173531.20   | -0.01%            |  |  |  | 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      | $-66846.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                        | USD/GBP FORWARD                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-161629.25   | -0.00%            |  |  |  | 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        |      2014774 | PA      | $1968437.67   | 0.06%             | 2053-09-22      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Pool                                                   | CUSIP: 3132DTM56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6416235 | PA      | $5881324.29   | 0.17%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                    | Morgan Stanley                                                     | CUSIP: 61747YFJ9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      1972000 | PA      | $2174564.39   | 0.06%             | 2034-11-01      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| UNITED UTILITIES WAT FIN                                          | United Utilities Water Finance PLC                                 | CUSIP: 000000000<br>LEI: 213800313INX42GDLR44 | Long             | DBT              | CORP              | GB        |      2730000 | PA      | $3219211.83   | 0.10%             | 2034-05-23      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/HUF FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $65137.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                        | USD/CHF FORWARD                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-330379.23   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| P3 GROUP SARL                                                     | P3 Group Sarl                                                      | CUSIP: 000000000<br>LEI: 529900GR62MT0O5VW110 | Long             | DBT              | CORP              | LU        |      3951000 | PA      | $4687543.29   | 0.14%             | 2032-04-19      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Pool                                                   | CUSIP: 3132E0Z39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8818588 | PA      | $8919518.17   | 0.26%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | AUD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-1215009.34  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                    | CUSIP: 3140QUSS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15136831 | PA      | $15504109.56  | 0.46%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AUSTRALIAN SECURITIES EXCHANGE TRADE24                            | AUST 10Y BOND                                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | AU        |         -839 | NC      | $-509365.68   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| NEW S WALES TREASURY CRP                                          | New South Wales Treasury Corp                                      | CUSIP: 000000000<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |      4848000 | PA      | $3185382.71   | 0.09%             | 2035-02-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                    | CUSIP: 31418EF21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14085442 | PA      | $13505872.05  | 0.40%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                                           | Romanian Government International Bond                             | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      9096000 | PA      | $10579286.70  | 0.31%             | 2032-05-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                                               | United Kingdom Gilt                                                | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    113800000 | PA      | $70915781.20  | 2.10%             | 2053-07-31      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Pool                                                   | CUSIP: 3132DUV87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6830978 | PA      | $6866731.63   | 0.20%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WEA FINANCE LLC                                                   | WEA Finance LLC                                                    | CUSIP: 92928QAE8<br>LEI: 3CYEJKBUJZO3UW777J80 | Long             | DBT              | CORP              | US        |      2326000 | PA      | $2285205.91   | 0.07%             | 2028-09-20      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Pool                                                   | CUSIP: 3132DVMB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5944615 | PA      | $5010354.18   | 0.15%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | CDS ELECTROLUX AB                                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              | CORP              | US        |            1 | NC      | $-46241.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SBA TOWER TRUST                                                   | SBA Tower Trust                                                    | CUSIP: 78403DAP5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      6860000 | PA      | $6748667.69   | 0.20%             | 2026-01-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| EXPERIAN FINANCE PLC                                              | Experian Finance PLC                                               | CUSIP: 000000000<br>LEI: 635400RKRK5EGXSPC782 | Long             | DBT              | CORP              | GB        |      5415000 | PA      | $6293890.24   | 0.19%             | 2034-10-10      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | SEK/EUR FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-21396.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | CHF/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-760339.06   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                   | United States Treasury Note/Bond                                   | CUSIP: 91282CKC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     19300000 | PA      | $19676953.13  | 0.58%             | 2031-02-28      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | USD/GBP FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-1106337.75  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                   | United States Treasury Note/Bond                                   | CUSIP: 91282CMM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     49400000 | PA      | $50982343.75  | 1.51%             | 2035-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: —       |
| AUSTRALIAN GOVERNMENT                                             | Australia Government Bond                                          | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |     22400000 | PA      | $15318994.10  | 0.45%             | 2033-04-21      | Fixed         | 4.50%                 | 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        |      5716000 | PA      | $5741364.18   | 0.17%             | 2048-03-16      | Fixed         | 6.32%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                                         | IRS IFS USD                                                        | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |            1 | NC      | $-254459.66   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | EUR/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-16167589.34 | -0.48%            |  |  |  | No            |                  2 | On Loan: No      |
| Tower Bridge Funding                                              | Tower Bridge Funding 2021-2 PLC                                    | CUSIP: 000000000<br>LEI: 63540046RPZ8IOOPGL28 | Long             | ABS-MBS          | CORP              | GB        |      1540207 | PA      | $2115806.24   | 0.06%             | 2063-11-20      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                | Banco Santander SA                                                 | CUSIP: 000000000<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |      3800000 | PA      | $4857738.19   | 0.14%             | 2031-10-18      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| DOW CHEMICAL CO/THE                                               | Dow Chemical Co/The                                                | CUSIP: 260543DH3<br>LEI: ZQUIP1CSZO8LXRBSOU78 | Long             | DBT              | CORP              | US        |      3850000 | PA      | $4146256.85   | 0.12%             | 2053-05-15      | Fixed         | 6.90%                 | No            |                  2 | On Loan: —       |
| CHINA GOVERNMENT BOND                                             | China Government Bond                                              | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    331320000 | PA      | $46322709.92  | 1.37%             | 2055-01-15      | Fixed         | 1.92%                 | 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      | $13163936.07  | 0.39%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | AUD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |            1 | NC      | $699137.67    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | CHF/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-310672.62   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                                  | COLT 2023-4 Mortgage Loan Trust                                    | CUSIP: 12598WAA0<br>LEI: 213800EHDFO4A3F7P416 | Long             | ABS-MBS          | CORP              | US        |      4934496 | PA      | $5016402.62   | 0.15%             | 2068-10-25      | Variable      | 7.16%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/DKK FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-77961.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | CHF/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |            1 | NC      | $73431.06     | 0.00%             |  |  |  | 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        |      2112000 | PA      | $2130373.13   | 0.06%             | 2029-01-16      | Fixed         | 6.24%                 | 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      | $453719.66    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF AUSTRIA                                               | Republic of Austria Government Bond                                | CUSIP: 000000000<br>LEI: 529900QWWUI4XRVR7I03 | Long             | DBT              | NUSS              | AT        |      9875000 | PA      | $11661988.30  | 0.35%             | 2034-02-20      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| KERING                                                            | Kering SA                                                          | CUSIP: 000000000<br>LEI: 549300VGEJKB7SVUZR78 | Long             | DBT              | CORP              | FR        |      9500000 | PA      | $11236532.05  | 0.33%             | 2031-09-05      | Fixed         | 3.62%                 | No            |                  2 | On Loan: —       |
| BARCLAYS PLC                                                      | USD/NOK FORWARD                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-345431.44   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPCO                                           | Columbia Pipelines Operating Co LLC                                | CUSIP: 19828TAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      3441000 | PA      | $3612551.26   | 0.11%             | 2033-11-15      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | CDS ELECTROLUX AB                                                  | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DCR              | CORP              | FR        |            1 | NC      | $-64434.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RAIFFEISEN BANK INTL                                              | Raiffeisen Bank International AG                                   | CUSIP: 000000000<br>LEI: 9ZHRYM6F437SQJ6OUG95 | Long             | DBT              | CORP              | AT        |      5300000 | PA      | $6147989.62   | 0.18%             | 2032-06-18      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/CNH FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-656736.84   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | USD/COP FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-25248.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                          | CHF/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-461800.45   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Pool                                                   | CUSIP: 3132DUTC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2749893 | PA      | $2774425.58   | 0.08%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORP                                          | Queensland Treasury Corp                                           | CUSIP: 000000000<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | NUSS              | AU        |      9700000 | PA      | $6166550.25   | 0.18%             | 2035-08-22      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BAHN FIN GMBH                                            | Deutsche Bahn Finance GMBH                                         | CUSIP: 000000000<br>LEI: 52990002BAIDUAIIYU29 | Long             | DBT              | CORP              | DE        |      8067000 | PA      | $9217375.70   | 0.27%             | 2030-05-24      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| NATIONAL GRID PLC                                                 | National Grid PLC                                                  | CUSIP: 000000000<br>LEI: 8R95QZMKZLJX5Q2XR704 | Long             | DBT              | CORP              | GB        |      3180000 | PA      | $3008068.68   | 0.09%             | 2033-09-01      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/SEK FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-15023.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                    | CUSIP: 3140QVVE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14569785 | PA      | $14594014.78  | 0.43%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                                           | Romanian Government International Bond                             | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      2758000 | PA      | $2706536.27   | 0.08%             | 2034-01-30      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| MALAYSIA GOVERNMENT                                               | Malaysia Government Bond                                           | CUSIP: 000000000<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |     41200000 | PA      | $10592607.77  | 0.31%             | 2033-11-07      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                   | United States Treasury Note/Bond                                   | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     44825000 | PA      | $44986089.84  | 1.33%             | 2034-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | SEK/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-846592.29   | -0.03%            |  |  |  | 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      | $-25010.94    | -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        |          250 | NC      | $1263257.50   | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| MONTREAL EXCHANGE INC.                                            | CAN 10YR BOND                                                      | CUSIP: 000000000<br>LEI: 549300DKBYNOI0B1NP44 | N/A              | DIR              | CORP              | CA        |          256 | NC      | $167740.99    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                        | BRL/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-69872.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MetroNet Infrastructure Issuer                                    | MetroNet Infrastructure Issuer LLC                                 | CUSIP: 59170JAG3<br>LEI: 5493000BIROCAEATAQ61 | Long             | ABS-O            | CORP              | US        |      1643978 | PA      | $1681532.21   | 0.05%             | 2054-04-20      | Fixed         | 6.23%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | USD/NOK FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |            1 | NC      | $270629.42    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW S WALES TREASURY CRP                                          | New South Wales Treasury Corp                                      | CUSIP: 000000000<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |     19591000 | PA      | $10829903.42  | 0.32%             | 2033-03-08      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-08-25

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

**Signature:** James Windels

**Name of Signer:** James Windels

**Title:** Treasurer