# EDGAR Filing Document

**Accession Number:** 0000719269
**File Stem:** 0001752724-25-200826
**Filing Date:** 2025-8
**Character Count:** 518067
**Document Hash:** 765c0dc16b4256f6e7af5bf9eab76f1c
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-200826.hdr.sgml**: 20250825

**ACCESSION NUMBER**: 0001752724-25-200826

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250825

**DATE AS OF CHANGE**: 20250825

**PERIOD START**: 20251231

**FILER**: 

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

**ORGANIZATION NAME:**
- **EIN:** 046540044
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-03732
- **FILM NUMBER:** 251248128

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

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

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** BOSTON

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02199

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

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

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

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

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

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

- **a. Date of fiscal year-end:** 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:** $352957997.14

**Total Liabilities:** $12396994.53

**Net Assets:** $340561002.61

**Delayed Delivery Securities:** $4915659.79

**Cash Not Reported:** $2782548.77

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -153.80000000 | **1-Year:** -3725.82000000 | **5-Year:** -19050.61000000 | **10-Year:** -25996.06000000 | **30-Year:** -9793.16000000

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

- **3-Month:** -4.96000000 | **1-Year:** -929.18000000 | **5-Year:** -2937.95000000 | **10-Year:** -1639.23000000 | **30-Year:** -470.27000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000007291 | 0.87%                | 1.20%                | 1.71%                |
| Class ID C000007292 | 0.82%                | 1.23%                | 1.68%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $495913.96               | $3137886.87                                |
| Month 2  | $-1617494.09             | $2516574.71                                |
| Month 3  | $789840.69               | $6451330.74                                |

**Designated Index Information**

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

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

### Schedule of Portfolio Investments

| Name                                              | Title                                                                                                                                  | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |    Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| AMS-OSRAM AG                                      | ams-OSRAM AG                                                                                                                           | CUSIP: 000000000<br>LEI: 5299001JPPT2QFTV5D76 | Long             | DBT              | CORP              | AT        |     240000 | PA      | $295941.72    | 0.09%             | 2029-03-30      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| Honeywell International Inc                       | Honeywell International Inc                                                                                                            | CUSIP: 438516106<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | EC               | CORP              | US        |       2291 | NS      | $533528.08    | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED GBP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | GB        |          1 | NC      | $5241.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED JPY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | JP        |          1 | NC      | $-1757.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-5453.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FISERV FUNDING UNLTD CO                           | Fiserv Funding ULC                                                                                                                     | CUSIP: 000000000<br>LEI: 254900RNWK5SE9A0I712 | Long             | DBT              | CORP              | IE        |     240000 | PA      | $281865.12    | 0.08%             | 2032-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MARS INC                                          | Mars Inc                                                                                                                               | CUSIP: 571676BA2<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     387000 | PA      | $391635.93    | 0.11%             | 2035-03-01      | Fixed         | 5.20%                 | Yes           |                  2 | On Loan: No      |
| ENTERGY CORP                                      | Entergy Corp                                                                                                                           | CUSIP: 29364GAM5<br>LEI: 4XM3TW50JULSLG8BNC79 | Long             | DBT              | CORP              | US        |     389000 | PA      | $386078.93    | 0.11%             | 2025-09-15      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                                                         | CUSIP: 6174468P7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     262000 | PA      | $251246.82    | 0.07%             | 2031-04-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-3486.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | PURCHASED AUD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | AU        |          1 | NC      | $28377.14     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HOSPITAL SPECIAL SURGERY                          | NY Society for Relief of Ruptured & Crippled Maintaining Hosp Special Surgery                                                          | CUSIP: 44107HAF9<br>LEI: 549300U0XV0GGBTV6I72 | Long             | DBT              | CORP              | US        |     394000 | PA      | $234013.92    | 0.07%             | 2050-10-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK AUST                            | Commonwealth Bank of Australia                                                                                                         | CUSIP: 202712BN4<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |     735000 | PA      | $655406.25    | 0.19%             | 2031-03-11      | Fixed         | 2.69%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD INR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-1431.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | N/A       |          1 | NC      | $3840.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                    | Home Depot Inc/The                                                                                                                     | CUSIP: 437076CQ3<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |     109000 | PA      | $79338.59     | 0.02%             | 2052-04-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Equitable Holdings Inc                            | Equitable Holdings Inc                                                                                                                 | CUSIP: 29452E101<br>LEI: 549300FIBAKMNHPZ4009 | Long             | EC               | CORP              | US        |       6400 | NS      | $359040.00    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| AIB GROUP PLC                                     | AIB Group PLC                                                                                                                          | CUSIP: 000000000<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |     270000 | PA      | $321995.54    | 0.09%             | 2033-03-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CHILE ELECTRICITY LUX                             | Chile Electricity Lux Mpc II Sarl                                                                                                      | CUSIP: 16882LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     218961 | PA      | $218979.10    | 0.06%             | 2035-10-20      | Fixed         | 5.58%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED CNH / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CN        |          1 | NC      | $5844.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-9884.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED KRW / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | KR        |          1 | NC      | $25634.63     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-10604.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Australia Government Bonds                        | Australia Government Bonds                                                                                                             | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |    2550000 | PA      | $1342492.15   | 0.39%             | 2041-05-21      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                                     | UniCredit SpA                                                                                                                          | CUSIP: 000000000<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |     400000 | PA      | $470357.81    | 0.14%             | 2035-06-10      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED CLP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CL        |          1 | NC      | $5827.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Business Jet Securities, LLC                      | Business Jet Securities 2024-1 LLC                                                                                                     | CUSIP: 12327CAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     228596 | PA      | $233510.36    | 0.07%             | 2039-05-15      | Fixed         | 6.20%                 | Yes           |                  2 | On Loan: No      |
| PERUSAHAAN LISTRIK NEGAR                          | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara                                                                              | CUSIP: 71568PAP4<br>LEI: 254900OYVDRYS9J51J61 | Long             | DBT              | CORP              | ID        |     333000 | PA      | $234371.99    | 0.07%             | 2050-06-30      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138EMUX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     189617 | PA      | $188056.00    | 0.06%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GENERALI                                          | Generali                                                                                                                               | CUSIP: 000000000<br>LEI: 549300X5UKJVE386ZB61 | Long             | DBT              | CORP              | IT        |     200000 | PA      | $234922.47    | 0.07%             | 2036-06-18      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| L3Harris Technologies Inc                         | L3Harris Technologies Inc                                                                                                              | CUSIP: 502431109<br>LEI: 549300UTE50ZMDBG8A20 | Long             | EC               | CORP              | US        |       2096 | NS      | $525760.64    | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| B3 SA - Brasil, Bolsa, Balcao                     | MINI BOVESPA FUT JUN25                                                                                                                 | CUSIP: 000000000<br>LEI: 4GTK5S46E6H318LMDS44 | N/A              | DE               |  | BR        |          0 | NC      | $5521.91      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SMURFIT KAPPA TREASURY                            | Smurfit Kappa Treasury Funding DAC                                                                                                     | CUSIP: 832724AB4<br>LEI: 635400DTNR8KCJUMW380 | Long             | DBT              | CORP              | IE        |     243000 | PA      | $245593.76    | 0.07%             | 2025-11-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                          | Constellation Brands Inc                                                                                                               | CUSIP: 21036PBH0<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |     169000 | PA      | $146405.18    | 0.04%             | 2031-08-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                    | European Union                                                                                                                         | CUSIP: 000000000<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | N/A       |     600000 | PA      | $606572.71    | 0.18%             | 2053-03-04      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179XDD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     122704 | PA      | $114652.29    | 0.03%             | 2052-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                                                                          | CUSIP: 842400JG9<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     122000 | PA      | $119756.93    | 0.04%             | 2035-03-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE SA                          | Electricite de France SA                                                                                                               | CUSIP: 000000000<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |     200000 | PA      | $230556.22    | 0.07%             | 2045-05-07      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                        | Intel Corp                                                                                                                             | CUSIP: 458140CJ7<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     195000 | PA      | $181474.51    | 0.05%             | 2053-02-10      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Accenture PLC                                     | Accenture PLC                                                                                                                          | CUSIP: 000000000<br>LEI: 5493000EWHDSR3MZWH98 | Long             | EC               | CORP              | IE        |       1373 | NS      | $410375.97    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Hong Kong Futures Exchange Ltd.                   | HANG SENG IDX FUT JUL25                                                                                                                | CUSIP: 000000000<br>LEI: 213800YTVSXYQN17BW16 | N/A              | DE               |  | HK        |         60 | NC      | $221688.72    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| FAIRFAX FINL HLDGS LTD                            | Fairfax Financial Holdings Ltd                                                                                                         | CUSIP: 303901AZ5<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |     456000 | PA      | $341295.95    | 0.10%             | 2027-12-06      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179WNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     230253 | PA      | $195719.46    | 0.06%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BANK OF IRELAND GROUP                             | Bank of Ireland Group PLC                                                                                                              | CUSIP: 000000000<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |     130000 | PA      | $154258.81    | 0.05%             | 2032-05-19      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3133A0A53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     424881 | PA      | $386734.91    | 0.11%             | 2049-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MASTERCARD INC                                    | Mastercard Inc                                                                                                                         | CUSIP: 57636QBC7<br>LEI: AR5L2ODV9HN37376R084 | Long             | DBT              | CORP              | US        |     161000 | PA      | $158332.66    | 0.05%             | 2035-01-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED GBP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | GB        |          1 | NC      | $51597.17     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED KRW / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | KR        |          1 | NC      | $47486.79     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust       | MF1 2022-FL8 Ltd                                                                                                                       | CUSIP: 55284JAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     281312 | PA      | $276204.56    | 0.08%             | 2037-02-19      | Floating      | 6.27%                 | Yes           |                  2 | On Loan: No      |
| HUNGARY                                           | Hungary Government International Bond                                                                                                  | CUSIP: 000000000<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |    1200000 | PA      | $1450483.74   | 0.43%             | 2029-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-2937.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                | Credit Agricole SA                                                                                                                     | CUSIP: 000000000<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |     300000 | PA      | $353692.02    | 0.10%             | 2035-05-27      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-1578.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                 | NatWest Group PLC                                                                                                                      | CUSIP: 000000000<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     230000 | PA      | $313310.03    | 0.09%             | 2032-02-28      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-2502.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Exchange traded                                   | EQI00104 MFS                                                                                                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |        100 | NC      | $226519.91    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                       | PURCHASED CLP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | CL        |          1 | NC      | $6076.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KROGER CO                                         | Kroger Co/The                                                                                                                          | CUSIP: 501044DW8<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |     167000 | PA      | $158525.10    | 0.05%             | 2054-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| KENVUE INC                                        | Kenvue Inc                                                                                                                             | CUSIP: 49177JAP7<br>LEI: 5493008HSF8L4M2LIJ82 | Long             | DBT              | CORP              | US        |     213000 | PA      | $198121.52    | 0.06%             | 2053-03-22      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| FLUTTER TREASURY DAC                              | Flutter Treasury DAC                                                                                                                   | CUSIP: 000000000<br>LEI: 635400JE8VLL9UFVIC38 | Long             | DBT              | CORP              | IE        |     220000 | PA      | $304124.99    | 0.09%             | 2031-06-04      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                                                    | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1877000 | PA      | $1731532.50   | 0.51%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED IDR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | ID        |          1 | NC      | $9829.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED SEK / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | SE        |          1 | NC      | $-13932.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Merrill Lynch International                       | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DFE              |  | US        |          1 | NC      | $-6268.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Borsa Istanbul                                    | BIST 30 FUTURES AUG25                                                                                                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | TR        |       2385 | NC      | $500351.74    | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| FERGUSON ENTERPRISES INC                          | Ferguson Enterprises Inc                                                                                                               | CUSIP: 31488VAA5<br>LEI: 2138003JYQMRP3SLX189 | Long             | DBT              | CORP              | US        |     255000 | PA      | $253072.48    | 0.07%             | 2034-10-03      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-16004.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-4718.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2021-B24 Mortgage Trust                                                                                                      | CUSIP: 08163CBE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2008834 | PA      | $85142.03     | 0.03%             | 2054-03-15      | Variable      | 1.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179XTD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     111135 | PA      | $111895.61    | 0.03%             | 2053-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                            | Marriott International Inc/MD                                                                                                          | CUSIP: 571903BG7<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |     279000 | PA      | $253337.99    | 0.07%             | 2031-04-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179W7K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     165140 | PA      | $146123.55    | 0.04%             | 2052-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Australia Government Bonds                        | Australia Government Bonds                                                                                                             | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |    3385000 | PA      | $2120857.64   | 0.62%             | 2034-12-21      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Kontoor Brands Inc                                | Kontoor Brands Inc                                                                                                                     | CUSIP: 50050N103<br>LEI: 549300M0CPXV65RFF271 | Long             | EC               | CORP              | US        |       1478 | NS      | $97503.66     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD AUD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-10032.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Union Pacific Corp                                | Union Pacific Corp                                                                                                                     | CUSIP: 907818108<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | EC               | CORP              | US        |       3310 | NS      | $761564.80    | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138ELAF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     770341 | PA      | $714962.72    | 0.21%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Johnson & Johnson                                 | Johnson & Johnson                                                                                                                      | CUSIP: 478160104<br>LEI: 549300G0CFPGEF6X2043 | Long             | EC               | CORP              | US        |      13143 | NS      | $2007593.25   | 0.59%             |  |  |  | No            |                  1 | On Loan: No      |
| XPLR INFRAST OPERATING                            | XPLR Infrastructure Operating Partners LP                                                                                              | CUSIP: 65342QAM4<br>LEI: 549300KJEC5IUVJWR786 | Long             | DBT              | CORP              | US        |      73000 | PA      | $74834.64     | 0.02%             | 2029-01-15      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| Highwoods Properties Inc                          | Highwoods Properties Inc                                                                                                               | CUSIP: 431284108<br>LEI: ZIIGTYKL9T0X3HLTDX53 | Long             | EC               | CORP              | US        |       8851 | NS      | $275177.59    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | N/A       |          1 | NC      | $33300.34     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BENTELER INTERNATIONAL A                          | Benteler International AG                                                                                                              | CUSIP: 000000000<br>LEI: 529900ZAFSOBVFCKF263 | Long             | DBT              | CORP              | AT        |     200000 | PA      | $243246.81    | 0.07%             | 2031-06-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| LANDSBANKINN HF                                   | Landsbankinn HF                                                                                                                        | CUSIP: 000000000<br>LEI: 549300TLZPT6JELDWM92 | Long             | DBT              | CORP              | IS        |     272000 | PA      | $325133.86    | 0.10%             | 2029-10-08      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch International                       | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DFE              |  | US        |          1 | NC      | $-18762.66    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                                                    | CUSIP: 912810UJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     193000 | PA      | $191974.69    | 0.06%             | 2045-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418D6B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22149 | PA      | $17587.12     | 0.01%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES CAP INTL                            | TotalEnergies Capital International SA                                                                                                 | CUSIP: 000000000<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |     400000 | PA      | $469606.52    | 0.14%             | 2035-07-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2025-1                                                                                                        | CUSIP: 034934AB5<br>LEI: 254900HC0S1X9R2JZB30 | Long             | ABS-MBS          | CORP              | US        |     264273 | PA      | $265455.72    | 0.08%             | 2070-01-25      | Variable      | 5.84%                 | Yes           |                  2 | On Loan: No      |
| Euronext NV                                       | CAC40 10 EURO FUT JUL25                                                                                                                | CUSIP: 000000000<br>LEI: 724500QJ4QSZ3H9QU415 | N/A              | DE               |  | FR        |         25 | NC      | $-22155.19    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Hess Corp                                         | Hess Corp                                                                                                                              | CUSIP: 42809H107<br>LEI: UASVRYNXNK17ULIGK870 | Long             | EC               | CORP              | US        |       6325 | NS      | $876265.50    | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| PSEG POWER LLC                                    | PSEG Power LLC                                                                                                                         | CUSIP: 69362BBD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     320000 | PA      | $326542.13    | 0.10%             | 2030-05-15      | Fixed         | 5.20%                 | Yes           |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD AUD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-50492.64    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED SEK / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | SE        |          1 | NC      | $186668.44    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-22776.56    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Merrill Lynch International                       | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DFE              |  | US        |          1 | NC      | $-275.42      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GFL ENVIRONMENTAL INC                             | GFL Environmental Inc                                                                                                                  | CUSIP: 36168QAM6<br>LEI: 549300FYK4MBXWIVZU26 | Long             | DBT              | CORP              | CA        |     182000 | PA      | $175559.09    | 0.05%             | 2028-09-01      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | N/A       |          1 | NC      | $3915.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38379QC94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      99559 | PA      | $96553.91     | 0.03%             | 2045-10-20      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch International                       | PURCHASED CAD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DFE              |  | CA        |          1 | NC      | $6763.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Philip Morris International Inc                   | Philip Morris International Inc                                                                                                        | CUSIP: 718172109<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | EC               | CORP              | US        |       8138 | NS      | $1482173.94   | 0.44%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                            | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $-7298.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31410LDU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      90490 | PA      | $90200.75     | 0.03%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |          1 | NC      | $-10776.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179NF78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     348773 | PA      | $326059.44    | 0.10%             | 2043-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140KG3Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38598 | PA      | $32813.04     | 0.01%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| British American Tobacco PLC                      | British American Tobacco PLC                                                                                                           | CUSIP: 000000000<br>LEI: 213800FKA5MF17RJKT63 | Long             | EC               | CORP              | GB        |      31353 | NS      | $1490360.42   | 0.44%             |  |  |  | No            |                  1 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED JPY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | JP        |          1 | NC      | $-643.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179Y2N3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18751 | PA      | $19276.03     | 0.01%             | 2054-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co                                  | Wells Fargo & Co                                                                                                                       | CUSIP: 949746101<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | EC               | CORP              | US        |       5100 | NS      | $408612.00    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Northern Trust Corp                               | Northern Trust Corp                                                                                                                    | CUSIP: 665859104<br>LEI: 549300GLF98S992BC502 | Long             | EC               | CORP              | US        |      18673 | NS      | $2367549.67   | 0.70%             |  |  |  | No            |                  1 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-105728.34   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2024-12                                                                                                       | CUSIP: 034932AA1<br>LEI: 254900S8TF74AZOT0548 | Long             | ABS-MBS          | CORP              | US        |     611579 | PA      | $613034.19    | 0.18%             | 2069-10-25      | Variable      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| Bundesrepublik Deutschland Bundesanleihe          | Bundesrepublik Deutschland Bundesanleihe                                                                                               | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |     985000 | PA      | $1030995.87   | 0.30%             | 2054-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group Inc                | Mitsubishi UFJ Financial Group Inc                                                                                                     | CUSIP: 000000000<br>LEI: 353800V2V8PUY9TK3E06 | Long             | EC               | CORP              | JP        |     108000 | NS      | $1487198.36   | 0.44%             |  |  |  | No            |                  1 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS Trust 2021-C10                                                                                                                   | CUSIP: 05551VBK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2701629 | PA      | $143531.59    | 0.04%             | 2054-07-15      | Variable      | 1.33%                 | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED USD / SOLD AUD                                                                                                               | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $-678.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEACH ACQUISITION BIDCO                           | Beach Acquisition Bidco LLC                                                                                                            | CUSIP: 000000000<br>LEI: 254900F2FNX3GBTB6202 | Long             | DBT              | CORP              | US        |     235000 | PA      | $278750.59    | 0.08%             | 2032-07-15      | Fixed         | 5.25%                 | 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        |    7458000 | PA      | $1131840.14   | 0.33%             | 2035-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | N/A       |          1 | NC      | $18654.46     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD CHF                                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-10291.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED IDR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | ID        |          1 | NC      | $1859.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Stora Enso OYJ                                    | Stora Enso Oyj                                                                                                                         | CUSIP: 86210MAC0<br>LEI: 7437000ZP669LKUTZ738 | Long             | DBT              | CORP              | FI        |     309000 | PA      | $326190.13    | 0.10%             | 2036-04-15      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| INTL FLAVOR & FRAGRANCES                          | International Flavors & Fragrances Inc                                                                                                 | CUSIP: 459506AL5<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |     169000 | PA      | $145464.08    | 0.04%             | 2048-09-26      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                                                                                   | CUSIP: 06051GLG2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     266000 | PA      | $271841.89    | 0.08%             | 2029-04-25      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD CZK                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-9084.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                    | Microsoft Corp                                                                                                                         | CUSIP: 594918CC6<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |     378000 | PA      | $233592.24    | 0.07%             | 2050-06-01      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| ROCKET COS INC                                    | Rocket Cos Inc                                                                                                                         | CUSIP: 77311WAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      98000 | PA      | $99864.94     | 0.03%             | 2030-08-01      | Fixed         | 6.13%                 | Yes           |                  2 | On Loan: No      |
| General Mills Inc                                 | General Mills Inc                                                                                                                      | CUSIP: 370334104<br>LEI: 2TGYMUGI08PO8X8L6150 | Long             | EC               | CORP              | US        |      13742 | NS      | $711973.02    | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED JPY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | JP        |          1 | NC      | $-108077.22   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-8396.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Tesco PLC                                         | Tesco PLC                                                                                                                              | CUSIP: 000000000<br>LEI: 2138002P5RNKC5W2JZ46 | Long             | EC               | CORP              | GB        |     370510 | NS      | $2040933.28   | 0.60%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                                                                                   | CUSIP: 06051GJT7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     312000 | PA      | $279996.55    | 0.08%             | 2032-04-22      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                | Union Pacific Corp                                                                                                                     | CUSIP: 907818FK9<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |     410000 | PA      | $283081.63    | 0.08%             | 2050-02-05      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| COMMERZBANK AG                                    | Commerzbank AG                                                                                                                         | CUSIP: 000000000<br>LEI: 851WYGNLUQLFZBSYGB56 | Long             | DBT              | CORP              | DE        |     200000 | PA      | $237521.26    | 0.07%             | 2032-01-14      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                      | Alphabet Inc                                                                                                                           | CUSIP: 000000000<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     126000 | PA      | $145960.62    | 0.04%             | 2054-05-06      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| METLIFE INC                                       | MetLife Inc                                                                                                                            | CUSIP: 59156RCN6<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |     284000 | PA      | $291746.88    | 0.09%             | 2034-12-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-856.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                          | Corebridge Financial Inc                                                                                                               | CUSIP: 21871XAP4<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |     177000 | PA      | $182591.68    | 0.05%             | 2052-12-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | N/A       |          1 | NC      | $11213.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STELLANTIS NV                                     | Stellantis NV                                                                                                                          | CUSIP: 000000000<br>LEI: 549300LKT9PW7ZIBDF31 | Long             | DBT              | CORP              | NL        |     290000 | PA      | $338622.16    | 0.10%             | 2035-06-06      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| AEROPORTI DI ROMA SPA                             | Aeroporti di Roma SpA                                                                                                                  | CUSIP: 000000000<br>LEI: 8156007259ABDEA3F444 | Long             | DBT              | CORP              | IT        |     270000 | PA      | $317986.25    | 0.09%             | 2032-06-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED CAD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | CA        |          1 | NC      | $3298.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BMP Trust                                         | BMP 2024-MF23                                                                                                                          | CUSIP: 05593JAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     235440 | PA      | $235734.30    | 0.07%             | 2041-06-15      | Floating      | 6.15%                 | Yes           |                  2 | On Loan: No      |
| AbbVie Inc                                        | AbbVie Inc                                                                                                                             | CUSIP: 00287Y109<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | EC               | CORP              | US        |       6131 | NS      | $1138036.22   | 0.33%             |  |  |  | No            |                  1 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | N/A       |          1 | NC      | $5155.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BM11834   IRS EUR R V 12MCPTEE SM11834 CCPINFLATIONZERO / Short: BM11834   IRS EUR P F  1.83120 SM11834 CCPINFLATIONZERO         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1900000 | OU      | $7978.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-374.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418QPN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     246866 | PA      | $249935.50    | 0.07%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LINDE PLC                                         | Linde PLC                                                                                                                              | CUSIP: 000000000<br>LEI: 5299003QR1WT0EF88V51 | Long             | DBT              | CORP              | IE        |     200000 | PA      | $233609.76    | 0.07%             | 2036-02-14      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| APA INFRASTRUCTURE LTD                            | APA Infrastructure Ltd                                                                                                                 | CUSIP: 00188LAB3<br>LEI: 261700SS8OEHDOCOUJ33 | Long             | DBT              | CORP              | AU        |     102000 | PA      | $98293.31     | 0.03%             | 2044-09-16      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Osaka Exchange                                    | TOPIX INDX FUTR SEP25                                                                                                                  | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DE               |  | JP        |        -57 | NC      | $-310312.27   | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | PURCHASED NOK / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | NO        |          1 | NC      | $517141.44    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED HUF / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | HU        |          1 | NC      | $5804.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                                                                            | CUSIP: 694308KT3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      85000 | PA      | $77064.88     | 0.02%             | 2054-10-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch International                       | PURCHASED CAD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DFE              |  | CA        |          1 | NC      | $2124.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED CAD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | CA        |          1 | NC      | $2207.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PG&E CORP                                         | PG&E Corp                                                                                                                              | CUSIP: 69331CAL2<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |      97000 | PA      | $96253.10     | 0.03%             | 2027-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC                           | Duke Energy Florida LLC                                                                                                                | CUSIP: 26444HAR2<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |     208000 | PA      | $221346.19    | 0.06%             | 2053-11-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD COP                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-10322.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ASX Clear (Futures)                               | AUST 10Y BOND FUT SEP25                                                                                                                | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |        -42 | NC      | $-6186.07     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ROCKIES EXPRESS PIPELINE                          | Rockies Express Pipeline LLC                                                                                                           | CUSIP: 77340RAD9<br>LEI: W2ZGZGZKY5GGNY6F3V51 | Long             | DBT              | CORP              | US        |     130000 | PA      | $131871.61    | 0.04%             | 2038-07-15      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| ERSTE GROUP BANK AG                               | Erste Group Bank AG                                                                                                                    | CUSIP: 000000000<br>LEI: PQOH26KWDF7CG10L6792 | Long             | DBT              | CORP              | AT        |     200000 | PA      | $237651.54    | 0.07%             | 2032-04-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| ENGINEERING SPA                                   | Engineering - Ingegneria Informatica - SpA                                                                                             | CUSIP: 000000000<br>LEI: 81560042F5E23EE61346 | Long             | DBT              | CORP              | IT        |     110000 | PA      | $136882.58    | 0.04%             | 2028-05-15      | Fixed         | 11.13%                | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                                                    | CUSIP: 912810TV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2217000 | PA      | $2196908.44   | 0.65%             | 2053-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch International                       | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DFE              |  | N/A       |          1 | NC      | $6616.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Amadeus IT Group SA                               | Amadeus IT Group SA                                                                                                                    | CUSIP: 000000000<br>LEI: 9598004A3FTY3TEHHN09 | Long             | EC               | CORP              | ES        |       9600 | NS      | $808319.16    | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| BERKSHIRE HATHAWAY ENERG                          | Berkshire Hathaway Energy Co                                                                                                           | CUSIP: 084659BF7<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |      76000 | PA      | $63509.76     | 0.02%             | 2053-05-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED DKK / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | DK        |          1 | NC      | $16867.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Costa Rica Government International Bonds         | Costa Rica Government International Bonds                                                                                              | CUSIP: 000000000<br>LEI: 549300S1EK2VN6XVJP58 | Long             | DBT              | NUSS              | CR        |     545000 | PA      | $568315.10    | 0.17%             | 2034-04-03      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179XLD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     159025 | PA      | $141499.48    | 0.04%             | 2052-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE SA                          | Electricite de France SA                                                                                                               | CUSIP: 000000000<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |     100000 | PA      | $129381.24    | 0.04%             | 2064-11-08      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31417YRW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27546 | PA      | $27888.94     | 0.01%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138ERZ60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     347598 | PA      | $345735.87    | 0.10%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                            | PNC Financial Services Group Inc/The                                                                                                   | CUSIP: 693475CC7<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |     121000 | PA      | $124711.04    | 0.04%             | 2036-01-29      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Boston Properties LP                              | Boston Properties LP                                                                                                                   | CUSIP: 10112RAY0<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |     194000 | PA      | $189709.61    | 0.06%             | 2026-10-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BLDG SOCIETY                           | Nationwide Building Society                                                                                                            | CUSIP: 000000000<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |     210000 | PA      | $249807.55    | 0.07%             | 2035-07-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Mercado Mexicano De Derivados                     | MEX BOLSA IDX FUT SEP25                                                                                                                | CUSIP: 000000000<br>LEI: 5493003M56ZNEEL5EQ10 | N/A              | DE               |  | MX        |        223 | NC      | $31521.66     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| U.K. Gilts                                        | U.K. Gilts                                                                                                                             | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    2414000 | PA      | $1946726.09   | 0.57%             | 2041-10-22      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Nomad Foods Ltd                                   | Nomad Foods Ltd                                                                                                                        | CUSIP: 000000000<br>LEI: 5493000ZZ1837DS2SI43 | Long             | EC               | CORP              | VG        |       5246 | NS      | $89129.54     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                 | EURO-SCHATZ FUT SEP25                                                                                                                  | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         -3 | NC      | $717.12       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| NORTHERN STATES PWR-MINN                          | Northern States Power Co/MN                                                                                                            | CUSIP: 665772CZ0<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |     225000 | PA      | $227247.81    | 0.07%             | 2035-05-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                             | Mexico Government International Bond                                                                                                   | CUSIP: 91087BBF6<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     200000 | PA      | $203000.00    | 0.06%             | 2038-01-29      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch International                       | PURCHASED SEK / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DFE              |  | SE        |          1 | NC      | $8618.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Massachusetts Educational Financing Authority     | MASSACHUSETTS ST EDUCTNL FING AUTH                                                                                                     | CUSIP: 57563RSU4<br>LEI: 5493007K5OP7V6CL0Y88 | Long             | DBT              | MUN               | US        |     530000 | PA      | $515518.23    | 0.15%             | 2038-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| CLP Holdings Ltd                                  | CLP Holdings Ltd                                                                                                                       | CUSIP: 000000000<br>LEI: 25490002BUTSMP94GO68 | Long             | EC               | CORP              | HK        |      14000 | NS      | $117886.10    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3132DWDZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     161665 | PA      | $139964.09    | 0.04%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED CNH / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | CN        |          1 | NC      | $156826.20    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Australia Government Bonds                        | Australia Government Bonds                                                                                                             | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |    1930000 | PA      | $1074868.53   | 0.32%             | 2031-11-21      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-4805.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Cognizant Technology Solutions Corp               | Cognizant Technology Solutions Corp                                                                                                    | CUSIP: 192446102<br>LEI: 5493006IEVQEFQO40L83 | Long             | EC               | CORP              | US        |       2405 | NS      | $187662.15    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                          | Charter Communications Operating LLC / Charter Communications Operating Capital                                                        | CUSIP: 161175CQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     235000 | PA      | $246031.88    | 0.07%             | 2029-06-01      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Masco Corp                                        | Masco Corp                                                                                                                             | CUSIP: 574599106<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | EC               | CORP              | US        |      14397 | NS      | $926590.92    | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140KHW31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30910 | PA      | $26268.73     | 0.01%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | BNP Paribas SA                                                                                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | EC               | CORP              | FR        |      14570 | NS      | $1309860.39   | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| Toyota Tsusho Corp                                | Toyota Tsusho Corp                                                                                                                     | CUSIP: 000000000<br>LEI: 549300CEE2ENIUJNXB84 | Long             | EC               | CORP              | JP        |      27400 | NS      | $621996.46    | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| PPL ELECTRIC UTILITIES                            | PPL Electric Utilities Corp                                                                                                            | CUSIP: 69351UBB8<br>LEI: 549300GCZLSGYEYPIR35 | Long             | DBT              | CORP              | US        |     337000 | PA      | $321364.24    | 0.09%             | 2053-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| VITERRA FINANCE BV                                | Viterra Finance BV                                                                                                                     | CUSIP: 92852LAB5<br>LEI: 213800HBZGEIZLKJBI17 | Long             | DBT              | CORP              | NL        |     223000 | PA      | $204790.57    | 0.06%             | 2031-04-21      | Fixed         | 3.20%                 | Yes           |                  2 | On Loan: No      |
| EOG Resources Inc                                 | EOG Resources Inc                                                                                                                      | CUSIP: 26875P101<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | EC               | CORP              | US        |        680 | NS      | $81334.80     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| MAXAM PRILL SARL                                  | Maxam Prill Sarl                                                                                                                       | CUSIP: 000000000<br>LEI: 984500C4C5B820A6B691 | Long             | DBT              | CORP              | LU        |     333000 | PA      | $389919.71    | 0.11%             | 2030-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED JPY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | JP        |          1 | NC      | $-16200.54    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-12576.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GALAXY PIPELINE ASSETS                            | Galaxy Pipeline Assets Bidco Ltd                                                                                                       | CUSIP: 36321PAD2<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | JE        |     219671 | PA      | $194757.87    | 0.06%             | 2034-03-31      | Fixed         | 2.16%                 | Yes           |                  2 | On Loan: No      |
| NIKE Inc                                          | NIKE Inc                                                                                                                               | CUSIP: 654106103<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | EC               | CORP              | US        |       2050 | NS      | $145632.00    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Agilent Technologies Inc                          | Agilent Technologies Inc                                                                                                               | CUSIP: 00846U101<br>LEI: QUIX8Y7A2WP0XRMW7G29 | Long             | EC               | CORP              | US        |       3023 | NS      | $356744.23    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Enterprise Fleet Financing LLC                    | Enterprise Fleet Financing 2025-1 LLC                                                                                                  | CUSIP: 29390HAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      66000 | PA      | $66189.36     | 0.02%             | 2027-10-20      | Fixed         | 4.65%                 | Yes           |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-6164.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-9413.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MACQUARIE AIRFINANCE HLD                          | Macquarie Airfinance Holdings Ltd                                                                                                      | CUSIP: 55609NAE8<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |      64000 | PA      | $63956.99     | 0.02%             | 2030-03-17      | Fixed         | 5.15%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137FXZ50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6674012 | PA      | $93071.77     | 0.03%             | 2031-01-25      | Variable      | 0.41%                 | No            |                  2 | On Loan: No      |
| WESTINGHOUSE AIR BRAKE                            | Westinghouse Air Brake Technologies Corp                                                                                               | CUSIP: 960386AR1<br>LEI: 06BTX5UWZD0GQ5N5Y745 | Long             | DBT              | CORP              | US        |     124000 | PA      | $128364.29    | 0.04%             | 2034-03-11      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                      | Broadcom Inc                                                                                                                           | CUSIP: 11135FCC3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     336000 | PA      | $332891.43    | 0.10%             | 2032-02-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED THB / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | TH        |          1 | NC      | $23973.78     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Aramark                                           | Aramark                                                                                                                                | CUSIP: 03852U106<br>LEI: 549300MR6PG2DWZUIL39 | Long             | EC               | CORP              | US        |      19013 | NS      | $796074.31    | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| COPT DEFENSE PROP LP                              | COPT Defense Properties LP                                                                                                             | CUSIP: 22003BAN6<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |      87000 | PA      | $79263.10     | 0.02%             | 2029-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                               | Elevance Health Inc                                                                                                                    | CUSIP: 036752AZ6<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |     154000 | PA      | $157403.57    | 0.05%             | 2034-06-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140A1FR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     328816 | PA      | $334347.66    | 0.10%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                       | PURCHASED USD / SOLD CNH                                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-29655.72    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| AIB GROUP PLC                                     | AIB Group PLC                                                                                                                          | CUSIP: 00135TAE4<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |     200000 | PA      | $206246.60    | 0.06%             | 2035-03-28      | Fixed         | 5.87%                 | Yes           |                  2 | On Loan: No      |
| FLUTTER TREASURY DAC                              | Flutter Treasury DAC                                                                                                                   | CUSIP: 344045AA7<br>LEI: 635400JE8VLL9UFVIC38 | Long             | DBT              | CORP              | IE        |     349000 | PA      | $359485.01    | 0.11%             | 2029-04-29      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| KUO SAB DE CV                                     | KUO SAB De CV                                                                                                                          | CUSIP: 40052CAC0<br>LEI: 549300WIYIAVCFZI6Z04 | Long             | DBT              | CORP              | MX        |     306000 | PA      | $300670.43    | 0.09%             | 2027-07-07      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD CNY                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $68.07        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                          | Cheniere Energy Partners LP                                                                                                            | CUSIP: 16411QAV3<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     299000 | PA      | $301350.77    | 0.09%             | 2035-10-30      | Fixed         | 5.55%                 | Yes           |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-14569.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                | Dominican Republic International Bond                                                                                                  | CUSIP: 25714PET1<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |     179000 | PA      | $187538.30    | 0.06%             | 2031-02-03      | Fixed         | 7.05%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs International                       | PURCHASED CZK / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | CZ        |          1 | NC      | $5191.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chubb Ltd                                         | Chubb Ltd                                                                                                                              | CUSIP: 000000000<br>LEI: E0JAN6VLUDI1HITHT809 | Long             | EC               | CORP              | CH        |       4021 | NS      | $1164964.12   | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| UNICAJA BANCO SA                                  | Unicaja Banco SA                                                                                                                       | CUSIP: 000000000<br>LEI: 5493007SJLLCTM6J6M37 | Long             | DBT              | CORP              | ES        |     300000 | PA      | $352604.21    | 0.10%             | 2031-06-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BRUCE POWER LP                                    | Bruce Power LP                                                                                                                         | CUSIP: 116705AK0<br>LEI: 549300R8DACS3G0K8262 | Long             | DBT              | CORP              | CA        |     365000 | PA      | $262116.50    | 0.08%             | 2028-12-21      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | N/A       |          1 | NC      | $1591.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PAYCHEX INC                                       | Paychex Inc                                                                                                                            | CUSIP: 704326AB3<br>LEI: 529900K900DW6SUBM174 | Long             | DBT              | CORP              | US        |     238000 | PA      | $244389.30    | 0.07%             | 2032-04-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch International                       | PURCHASED USD / SOLD CNH                                                                                                               | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DFE              |  | US        |          1 | NC      | $-11893.39    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Omnicom Group Inc                                 | Omnicom Group Inc                                                                                                                      | CUSIP: 681919106<br>LEI: HKUPACFHSSASQK8HLS17 | Long             | EC               | CORP              | US        |      14538 | NS      | $1045863.72   | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-2709.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-885.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Samsung Electronics Co Ltd                        | Samsung Electronics Co Ltd                                                                                                             | CUSIP: 000000000<br>LEI: 9884007ER46L6N7EI764 | Long             | EC               | CORP              | KR        |      20452 | NS      | $906216.36    | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| PNC Financial Services Group Inc/The              | PNC Financial Services Group Inc/The                                                                                                   | CUSIP: 693475105<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | EC               | CORP              | US        |       1894 | NS      | $353079.48    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| INFORMA PLC                                       | Informa PLC                                                                                                                            | CUSIP: 000000000<br>LEI: 5493006VM2LKUPSEDU20 | Long             | DBT              | CORP              | GB        |     150000 | PA      | $175764.96    | 0.05%             | 2031-06-09      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $807.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| REGAL REXNORD CORP                                | Regal Rexnord Corp                                                                                                                     | CUSIP: 758750AN3<br>LEI: QH78R09VCJGQKPBPYU33 | Long             | DBT              | CORP              | US        |     112000 | PA      | $117322.82    | 0.03%             | 2030-02-15      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| ENEL SPA                                          | Enel SpA                                                                                                                               | CUSIP: 000000000<br>LEI: WOCMU6HCI0OJWNPRZS33 | Long             | DBT              | CORP              | IT        |     310000 | PA      | $361903.51    | 0.11%             | 2032-10-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch International                       | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DFE              |  | N/A       |          1 | NC      | $50397.11     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-32343.41    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137FVNL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1615349 | PA      | $94349.79     | 0.03%             | 2030-06-25      | Variable      | 1.44%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS Mortgage Trust 2021-C9                                                                                                           | CUSIP: 05493EAZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6468898 | PA      | $437662.34    | 0.13%             | 2054-02-15      | Variable      | 1.70%                 | No            |                  2 | On Loan: No      |
| RICHEMONT INTERNATIONAL                           | Richemont International Holding SA                                                                                                     | CUSIP: 000000000<br>LEI: 549300V9893NUQX6X069 | Long             | DBT              | CORP              | LU        |     140000 | PA      | $124112.03    | 0.04%             | 2040-05-26      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| Spain Government Bonds                            | Spain Government Bonds                                                                                                                 | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    1255000 | PA      | $1518457.29   | 0.45%             | 2034-10-31      | Fixed         | 3.45%                 | Yes           |                  2 | On Loan: No      |
| Iberdrola SA                                      | Iberdrola SA                                                                                                                           | CUSIP: 000000000<br>LEI: 5QK37QC7NWOJ8D7WVQ45 | Long             | EC               | CORP              | ES        |      55468 | NS      | $1064365.25   | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| General Dynamics Corp                             | General Dynamics Corp                                                                                                                  | CUSIP: 369550108<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | EC               | CORP              | US        |       1462 | NS      | $426406.92    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| JBS USA HOLD/FOOD GRP/CO                          | JBS USA Holding Lux Sarl / JBS USA Foods Group Holdings Inc / JBS USA Food Co                                                          | CUSIP: 472140AE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     329000 | PA      | $329483.63    | 0.10%             | 2036-01-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| DBS Group Holdings Ltd                            | DBS Group Holdings Ltd                                                                                                                 | CUSIP: 000000000<br>LEI: 5493007FKT78NKPM5V55 | Long             | EC               | CORP              | SG        |      19250 | NS      | $679919.39    | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| HEATHROW FUNDING LTD                              | Heathrow Funding Ltd                                                                                                                   | CUSIP: 000000000<br>LEI: 7TI96JO3DYEIQWZ7Z726 | Long             | DBT              | CORP              | JE        |     140000 | PA      | $194184.14    | 0.06%             | 2032-03-05      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                | Energy Transfer LP                                                                                                                     | CUSIP: 29273VAW0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     167000 | PA      | $158866.66    | 0.05%             | 2054-05-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Xcel Energy Inc                                   | Xcel Energy Inc                                                                                                                        | CUSIP: 98389B100<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | EC               | CORP              | US        |       1184 | NS      | $80630.40     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD MXN                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-96508.66    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-19274.82    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-715.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY INC                                | NextEra Energy Inc                                                                                                                     | CUSIP: 65339F119<br>LEI: 254900RHL9MEUS5NKX63 | Long             | EP               | CORP              | US        |      10232 | NS      | $452766.00    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179XX50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      41932 | PA      | $41428.28     | 0.01%             | 2053-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                      | CaixaBank SA                                                                                                                           | CUSIP: 000000000<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |     200000 | PA      | $235109.53    | 0.07%             | 2036-01-27      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| The Montreal Exchange / Bourse De Montreal        | CAN 10YR BOND FUT SEP25                                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |        -12 | NC      | $-6494.36     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD SGD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-34335.85    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Vale SA                                           | Vale SA                                                                                                                                | CUSIP: 000000000<br>LEI: 254900SMTWBX7RU2SR20 | Long             | EC               | CORP              | BR        |      40100 | NS      | $388593.07    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| TCW Ltd                                           | TCW CLO 2020-1 Ltd                                                                                                                     | CUSIP: 87190CBL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     780000 | PA      | $775771.62    | 0.23%             | 2034-04-20      | Floating      | 5.87%                 | Yes           |                  2 | On Loan: No      |
| Comcast Corp                                      | Comcast Corp                                                                                                                           | CUSIP: 20030N101<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | EC               | CORP              | US        |      36852 | NS      | $1315247.88   | 0.39%             |  |  |  | No            |                  1 | On Loan: No      |
| Fujitsu Ltd                                       | Fujitsu Ltd                                                                                                                            | CUSIP: 000000000<br>LEI: 3538000246DHJLRTUZ24 | Long             | EC               | CORP              | JP        |      36800 | NS      | $898246.59    | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| TARGA RESOURCES CORP                              | Targa Resources Corp                                                                                                                   | CUSIP: 87612GAB7<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |     236000 | PA      | $196876.34    | 0.06%             | 2052-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| PPG Industries Inc                                | PPG Industries Inc                                                                                                                     | CUSIP: 693506107<br>LEI: 549300BKPEP01R3V6C59 | Long             | EC               | CORP              | US        |       6454 | NS      | $734142.50    | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| Tata Consultancy Services Ltd                     | Tata Consultancy Services Ltd                                                                                                          | CUSIP: 000000000<br>LEI: 335800ZJKU9GPQRE2U66 | Long             | EC               | CORP              | IN        |       5605 | NS      | $226265.28    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| CHINA GOVERNMENT BOND                             | China Government Bond                                                                                                                  | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    8600000 | PA      | $1256785.41   | 0.37%             | 2034-05-25      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED AUD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | AU        |          1 | NC      | $6114.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Kraft Heinz Foods Co                              | Kraft Heinz Foods Co                                                                                                                   | CUSIP: 50077LAB2<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |     316000 | PA      | $255652.82    | 0.08%             | 2046-06-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $-9819.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BECTON DICKINSON & CO                             | Becton Dickinson & Co                                                                                                                  | CUSIP: 075887CR8<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |     397000 | PA      | $402601.84    | 0.12%             | 2029-02-08      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| Atmos Energy Corp                                 | Atmos Energy Corp                                                                                                                      | CUSIP: 049560105<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | EC               | CORP              | US        |       3847 | NS      | $592861.17    | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-11330.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED GBP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | GB        |          1 | NC      | $1339.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JERSEY CENTRAL PWR & LT                           | Jersey Central Power & Light Co                                                                                                        | CUSIP: 476556DD4<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |     184000 | PA      | $161302.36    | 0.05%             | 2032-03-01      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| IVORY COAST                                       | Ivory Coast Government International Bond                                                                                              | CUSIP: 221625AU0<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |     200000 | PA      | $192641.83    | 0.06%             | 2037-01-30      | Fixed         | 8.25%                 | Yes           |                  2 | On Loan: No      |
| ABBVIE INC                                        | AbbVie Inc                                                                                                                             | CUSIP: 00287YDW6<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     131000 | PA      | $127378.59    | 0.04%             | 2054-03-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Inner Mongolia Yili Industrial Group Co Ltd       | Inner Mongolia Yili Industrial Group Co Ltd                                                                                            | CUSIP: 000000000<br>LEI: 3003002Q2A863JPQFH06 | Long             | EC               | CORP              | CN        |      23200 | NS      | $90268.09     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust       | MF1 2022-FL8 Ltd                                                                                                                       | CUSIP: 55284JAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     182045 | PA      | $182043.73    | 0.05%             | 2037-02-19      | Floating      | 5.67%                 | Yes           |                  2 | On Loan: No      |
| PUNCH FINANCE PLC                                 | Punch Finance PLC                                                                                                                      | CUSIP: 000000000<br>LEI: 2138006IJRIU1Q5DN388 | Long             | DBT              | CORP              | GB        |     237000 | PA      | $331074.67    | 0.10%             | 2030-12-30      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch International                       | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DFE              |  | US        |          1 | NC      | $-21833.49    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Akzo Nobel NV                                     | Akzo Nobel NV                                                                                                                          | CUSIP: 000000000<br>LEI: 724500XYIJUGXAA5QD70 | Long             | EC               | CORP              | NL        |       7346 | NS      | $514001.59    | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| GEA Group AG                                      | GEA Group AG                                                                                                                           | CUSIP: 000000000<br>LEI: 549300PHUU0ZZWO8EO07 | Long             | EC               | CORP              | DE        |       1554 | NS      | $108733.80    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-56714.59    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MACQUARIE AIRFINANCE HLD                          | Macquarie Airfinance Holdings Ltd                                                                                                      | CUSIP: 55609NAD0<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |     166000 | PA      | $175680.12    | 0.05%             | 2031-03-26      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-8418.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-14248.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                                                         | CUSIP: 61747YFG5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     306000 | PA      | $313467.17    | 0.09%             | 2034-07-21      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| Lear Corp                                         | Lear Corp                                                                                                                              | CUSIP: 521865204<br>LEI: 549300UPNBTXA1SYTQ33 | Long             | EC               | CORP              | US        |       5897 | NS      | $560097.06    | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BOBL FUTURE SEP25                                                                                                                 | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         45 | NC      | $-22255.20    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Hitachi Ltd                                       | Hitachi Ltd                                                                                                                            | CUSIP: 000000000<br>LEI: 549300T6IPOCDWLKC615 | Long             | EC               | CORP              | JP        |      26500 | NS      | $773809.94    | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| LCH Ltd.                                          | Long: BM11829   IRS USD R V 12MSOFR SM11829_FLO CCPOIS / Short: BM11829   IRS USD P F  4.03100 SM11829_FIX CCPOIS                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   11900000 | OU      | $-255793.12   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Italian Derivatives Market                        | FTSE/MIB IDX FUT SEP25                                                                                                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | IT        |         13 | NC      | $4925.39      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Axalta Coating Systems Ltd                        | Axalta Coating Systems Ltd                                                                                                             | CUSIP: 000000000<br>LEI: 529900AGLPA40GV6H619 | Long             | EC               | CORP              | BM        |       8738 | NS      | $259431.22    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418DKQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     122892 | PA      | $103254.59    | 0.03%             | 2050-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31417VPC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36602 | PA      | $37057.40     | 0.01%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Medtronic PLC                                     | Medtronic PLC                                                                                                                          | CUSIP: 000000000<br>LEI: 549300GX3ZBSQWUXY261 | Long             | EC               | CORP              | IE        |      22449 | NS      | $1956879.33   | 0.57%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179XDA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     563567 | PA      | $480777.70    | 0.14%             | 2052-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD CHF                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-31497.78    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ALLIANZ SE                                        | Allianz SE                                                                                                                             | CUSIP: 018820AB6<br>LEI: 529900K9B0N5BT694847 | Long             | DBT              | CORP              | DE        |     400000 | PA      | $350386.68    | 0.10%             | 2027-10-30      | Fixed         | 3.20%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF ALBANIA                               | Albania Government International Bond                                                                                                  | CUSIP: 000000000<br>LEI: 254900EDM43U3SGRND29 | Long             | DBT              | NUSS              | AL        |     423000 | PA      | $497365.20    | 0.15%             | 2035-02-14      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                                                                       | CUSIP: 95000U3P6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     228000 | PA      | $233890.95    | 0.07%             | 2031-01-24      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| Reckitt Benckiser Group PLC                       | Reckitt Benckiser Group PLC                                                                                                            | CUSIP: 000000000<br>LEI: 5493003JFSMOJG48V108 | Long             | EC               | CORP              | GB        |       8362 | NS      | $568739.69    | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| ADANI ELECTRICITY MUMBAI                          | Adani Electricity Mumbai Ltd                                                                                                           | CUSIP: 00654GAA1<br>LEI: 335800AIC1B5EBFVUC38 | Long             | DBT              | CORP              | IN        |     422000 | PA      | $377661.68    | 0.11%             | 2030-02-12      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| NORTHWESTERN MUTUAL LIFE                          | Northwestern Mutual Life Insurance Co/The                                                                                              | CUSIP: 668138AF7<br>LEI: 1DU7IM20QESYGDO4HO54 | Long             | DBT              | CORP              | US        |     412000 | PA      | $430234.42    | 0.13%             | 2055-05-29      | Fixed         | 6.17%                 | Yes           |                  2 | On Loan: No      |
| PepsiCo Inc                                       | PepsiCo Inc                                                                                                                            | CUSIP: 713448108<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | EC               | CORP              | US        |       1943 | NS      | $256553.72    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-17148.25    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CME Group Inc                                     | CME Group Inc                                                                                                                          | CUSIP: 12572Q105<br>LEI: LCZ7XYGSLJUHFXXNXD88 | Long             | EC               | CORP              | US        |       3008 | NS      | $829064.96    | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-8521.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust             | Wells Fargo Commercial Mortgage Trust 2021-C60                                                                                         | CUSIP: 95003DBP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4809988 | PA      | $314628.99    | 0.09%             | 2054-08-15      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| NEXI SPA                                          | Nexi SpA                                                                                                                               | CUSIP: 000000000<br>LEI: 5493000P70CQRQG8SN85 | Long             | DBT              | CORP              | IT        |     200000 | PA      | $237521.97    | 0.07%             | 2031-05-21      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| COUSINS PROPERTIES LP                             | Cousins Properties LP                                                                                                                  | CUSIP: 222793AA9<br>LEI: 254900ZQIHJ5FQH4C329 | Long             | DBT              | CORP              | US        |     142000 | PA      | $146072.78    | 0.04%             | 2034-10-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31419JSM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     279207 | PA      | $269783.53    | 0.08%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2024-NQM1 Trust                                                                                                                    | CUSIP: 67448LAA0<br>LEI: 254900UI1468MQ7I8472 | Long             | ABS-MBS          | CORP              | US        |     259686 | PA      | $260586.36    | 0.08%             | 2063-11-25      | Variable      | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED NZD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | NZ        |          1 | NC      | $2773.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PLAINS ALL AMER PIPELINE                          | Plains All American Pipeline LP / PAA Finance Corp                                                                                     | CUSIP: 72650RBP6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     281000 | PA      | $286451.77    | 0.08%             | 2034-09-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| MARS INC                                          | Mars Inc                                                                                                                               | CUSIP: 571676AY1<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     168000 | PA      | $170217.59    | 0.05%             | 2030-03-01      | Fixed         | 4.80%                 | Yes           |                  2 | On Loan: No      |
| L'OREAL SA                                        | L'Oreal SA                                                                                                                             | CUSIP: 502117AA2<br>LEI: 529900JI1GG6F7RKVI53 | Long             | DBT              | CORP              | FR        |     200000 | PA      | $203359.69    | 0.06%             | 2035-05-20      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| WSP GLOBAL INC                                    | WSP Global Inc                                                                                                                         | CUSIP: 92938WAB9<br>LEI: 549300IQ87LU6X6ERQ78 | Long             | DBT              | CORP              | CA        |     471000 | PA      | $372161.77    | 0.11%             | 2030-11-22      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED GBP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | GB        |          1 | NC      | $-76.29       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3133B9LB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     123369 | PA      | $102348.70    | 0.03%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division  | FTSE 100 IDX FUT SEP25                                                                                                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | GB        |          6 | NC      | $-10514.36    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| COPT DEFENSE PROP LP                              | COPT Defense Properties LP                                                                                                             | CUSIP: 22003BAL0<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |      95000 | PA      | $93188.32     | 0.03%             | 2026-03-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED PEN / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | PE        |          1 | NC      | $6993.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Phillips 66                                       | Phillips 66                                                                                                                            | CUSIP: 718546104<br>LEI: 5493005JBO5YSIGK1814 | Long             | EC               | CORP              | US        |       5773 | NS      | $688718.90    | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| Bank                                              | BANK 2022-BNK41                                                                                                                        | CUSIP: 06540MBQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     592000 | PA      | $541203.32    | 0.16%             | 2065-04-15      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-15330.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Cenovus Energy Inc                                | Cenovus Energy Inc                                                                                                                     | CUSIP: 15135U109<br>LEI: 549300F4XPHJ7NOSP309 | Long             | EC               | CORP              | CA        |       4901 | NS      | $66690.31     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Henkel AG & Co KGaA                               | Henkel AG & Co KGaA                                                                                                                    | CUSIP: 000000000<br>LEI: 549300VZCL1HTH4O4Y49 | Long             | EP               | CORP              | DE        |      13471 | NS      | $1057772.42   | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| TELUS CORP                                        | TELUS Corp                                                                                                                             | CUSIP: 87971MBV4<br>LEI: L2TEUTQ8OSHMJWVLCE40 | Long             | DBT              | CORP              | CA        |     642000 | PA      | $441793.12    | 0.13%             | 2031-11-13      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED CNH / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | CN        |          1 | NC      | $804.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LPL HOLDINGS INC                                  | LPL Holdings Inc                                                                                                                       | CUSIP: 50212YAD6<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |     412000 | PA      | $400228.59    | 0.12%             | 2029-03-15      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Kubota Corp                                       | Kubota Corp                                                                                                                            | CUSIP: 000000000<br>LEI: 549300CSY4INHEHQQT13 | Long             | EC               | CORP              | JP        |      26600 | NS      | $299609.04    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| SAUDI ARABIAN OIL CO                              | Saudi Arabian Oil Co                                                                                                                   | CUSIP: 80414L2P9<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | CORP              | SA        |     317000 | PA      | $296363.30    | 0.09%             | 2054-07-17      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418EBS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21231 | PA      | $17659.65     | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Sodexo SA                                         | Sodexo SA                                                                                                                              | CUSIP: 000000000<br>LEI: 969500LCBOG12HXPYM84 | Long             | EC               | CORP              | FR        |       7781 | NS      | $478446.09    | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| Roche Holding AG                                  | Roche Holding AG                                                                                                                       | CUSIP: 000000000<br>LEI: 549300U41AUUVOAAOB37 | Long             | EC               | CORP              | CH        |       7360 | NS      | $2396904.66   | 0.70%             |  |  |  | No            |                  1 | On Loan: No      |
| Informa PLC                                       | Informa PLC                                                                                                                            | CUSIP: 000000000<br>LEI: 5493006VM2LKUPSEDU20 | Long             | EC               | CORP              | GB        |      56014 | NS      | $619560.27    | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| CAIXABANK SA                                      | CaixaBank SA                                                                                                                           | CUSIP: 000000000<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |     300000 | PA      | $347451.15    | 0.10%             | 2035-06-26      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| OCADO GROUP PLC                                   | Ocado Group PLC                                                                                                                        | CUSIP: 000000000<br>LEI: 213800LO8F61YB8MBC74 | Long             | DBT              | CORP              | GB        |     300000 | PA      | $401038.82    | 0.12%             | 2029-08-08      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3132DWDJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     226965 | PA      | $188653.67    | 0.06%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SAMMONS FINANCIAL GROUP                           | Sammons Financial Group Inc                                                                                                            | CUSIP: 79588TAF7<br>LEI: 254900SHCOQLVJ21CT59 | Long             | DBT              | CORP              | US        |     235000 | PA      | $251610.24    | 0.07%             | 2034-04-15      | Fixed         | 6.88%                 | Yes           |                  2 | On Loan: No      |
| ACCENTURE CAPITAL INC                             | Accenture Capital Inc                                                                                                                  | CUSIP: 00440KAD5<br>LEI: 254900FRO0P7RIINYT25 | Long             | DBT              | CORP              | US        |     123000 | PA      | $119705.34    | 0.04%             | 2034-10-04      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                          | Anheuser-Busch InBev Worldwide Inc                                                                                                     | CUSIP: 03523TBV9<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |     160000 | PA      | $158786.39    | 0.05%             | 2049-01-23      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Lam Research Corp                                 | Lam Research Corp                                                                                                                      | CUSIP: 512807306<br>LEI: 549300I4GMO6D34U1T02 | Long             | EC               | CORP              | US        |       1559 | NS      | $151753.06    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| UNIVERSITY OF PENNSYLVAN                          | Trustees of the University of Pennsylvania/The                                                                                         | CUSIP: 91481CAD2<br>LEI: 549300FG60YK9HZ7DS75 | Long             | DBT              | CORP              | US        |     409000 | PA      | $234479.34    | 0.07%             | 2050-10-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                  | T-Mobile USA Inc                                                                                                                       | CUSIP: 87264ACY9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     246000 | PA      | $247667.14    | 0.07%             | 2033-07-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| NXP Semiconductors NV                             | NXP Semiconductors NV                                                                                                                  | CUSIP: 000000000<br>LEI: 724500M9BY5293JDF951 | Long             | EC               | CORP              | NL        |       4421 | NS      | $965944.29    | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED PLN / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | PL        |          1 | NC      | $29285.91     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Leidos Holdings Inc                               | Leidos Holdings Inc                                                                                                                    | CUSIP: 525327102<br>LEI: 549300IUTGTP6EJP8124 | Long             | EC               | CORP              | US        |       2509 | NS      | $395819.84    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Peru Government International Bonds               | Peru Government International Bonds                                                                                                    | CUSIP: 715638EB4<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     810000 | PA      | $808517.70    | 0.24%             | 2035-02-08      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch International                       | PURCHASED ILS / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DFE              |  | IL        |          1 | NC      | $31636.05     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| M&T BANK CORPORATION                              | M&T Bank Corp                                                                                                                          | CUSIP: 55261FAT1<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |     199000 | PA      | $210155.72    | 0.06%             | 2032-03-13      | Fixed         | 6.08%                 | No            |                  2 | On Loan: No      |
| Fiserv Inc                                        | Fiserv Inc                                                                                                                             | CUSIP: 337738108<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | EC               | CORP              | US        |       4387 | NS      | $756362.67    | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| ROMANIA                                           | Romanian Government International Bond                                                                                                 | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     230000 | PA      | $257818.86    | 0.08%             | 2036-02-22      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Edison International                              | Edison International                                                                                                                   | CUSIP: 281020107<br>LEI: 549300I7ROF15MAEVP56 | Long             | EC               | CORP              | US        |       9184 | NS      | $473894.40    | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| TotalEnergies SE                                  | TotalEnergies SE                                                                                                                       | CUSIP: 000000000<br>LEI: 529900S21EQ1BO4ESM68 | Long             | EC               | CORP              | FR        |      21250 | NS      | $1304138.61   | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                          | Corebridge Financial Inc                                                                                                               | CUSIP: 21871XAK5<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |     166000 | PA      | $139333.17    | 0.04%             | 2042-04-05      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137H3EZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1902494 | PA      | $85111.30     | 0.02%             | 2031-09-25      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $7247.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140XJXH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93055 | PA      | $94742.66     | 0.03%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MediaTek Inc                                      | MediaTek Inc                                                                                                                           | CUSIP: 000000000<br>LEI: 254900UEGBK1I4DM4E14 | Long             | EC               | CORP              | TW        |      13000 | NS      | $556278.24    | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| BP CAPITAL MARKETS BV                             | BP Capital Markets BV                                                                                                                  | CUSIP: 000000000<br>LEI: 7245003VD7E4T30HJD24 | Long             | DBT              | CORP              | NL        |     180000 | PA      | $134011.72    | 0.04%             | 2040-12-04      | Fixed         | 0.93%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                             | Truist Financial Corp                                                                                                                  | CUSIP: 89788MAR3<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |     165000 | PA      | $169945.47    | 0.05%             | 2030-01-24      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                       | PURCHASED USD / SOLD KRW                                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-207815.05   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY ENERG                          | Berkshire Hathaway Energy Co                                                                                                           | CUSIP: 59562VBD8<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |      92000 | PA      | $86381.74     | 0.03%             | 2043-11-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED SEK / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | SE        |          1 | NC      | $8148.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-31466.77    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD CHF                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-18208.64    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-8908.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NatWest Group PLC                                 | NatWest Group PLC                                                                                                                      | CUSIP: 000000000<br>LEI: 2138005O9XJIJN4JPN90 | Long             | EC               | CORP              | GB        |     393171 | NS      | $2759954.44   | 0.81%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140QKNN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     212115 | PA      | $175978.05    | 0.05%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140MKJB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     463230 | PA      | $401321.26    | 0.12%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31410KGB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22544 | PA      | $23266.82     | 0.01%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | N/A       |          1 | NC      | $46009.64     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128MJM64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     107012 | PA      | $106855.52    | 0.03%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD AUD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-5583.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROCKIES EXPRESS PIPELINE                          | Rockies Express Pipeline LLC                                                                                                           | CUSIP: 77340RAR8<br>LEI: W2ZGZGZKY5GGNY6F3V51 | Long             | DBT              | CORP              | US        |      41000 | PA      | $40249.51     | 0.01%             | 2029-07-15      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD CZK                                                                                                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-41493.48    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| EPR PROPERTIES                                    | EPR Properties                                                                                                                         | CUSIP: 26884UAG4<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |     176000 | PA      | $159870.51    | 0.05%             | 2031-11-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                       | PURCHASED USD / SOLD MXN                                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-26970.34    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| National Bank of Greece SA                        | National Bank of Greece SA                                                                                                             | CUSIP: 000000000<br>LEI: 5UMCZOEYKCVFAW8ZLO05 | Long             | EC               | CORP              | GR        |      18912 | NS      | $241264.27    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140QKSJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     196544 | PA      | $163061.10    | 0.05%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Finning International Inc                         | Finning International Inc                                                                                                              | CUSIP: 318071404<br>LEI: 549300QLDCP11KB6XW55 | Long             | EC               | CORP              | CA        |       5077 | NS      | $217061.09    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED MYR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | MY        |          1 | NC      | $9034.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FLOWERS FOODS INC                                 | Flowers Foods Inc                                                                                                                      | CUSIP: 343498AE1<br>LEI: 7YNCQQNDK8FBM9BBTK25 | Long             | DBT              | CORP              | US        |      79000 | PA      | $78191.19     | 0.02%             | 2055-03-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Boston Properties LP                              | Boston Properties LP                                                                                                                   | CUSIP: 10112RAX2<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |     106000 | PA      | $105312.81    | 0.03%             | 2026-02-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-2652.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-13109.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MAGYAR EXPORT-IMPORT BAN                          | Magyar Export-Import Bank Zrt                                                                                                          | CUSIP: 55977YAA6<br>LEI: 529900O4UGETQ9Q3AA63 | Long             | DBT              | NUSS              | HU        |     208000 | PA      | $212562.13    | 0.06%             | 2027-12-04      | Fixed         | 6.13%                 | Yes           |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | N/A       |          1 | NC      | $16603.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Kao Corp                                          | Kao Corp                                                                                                                               | CUSIP: 000000000<br>LEI: 353800HM38HFCB8RGL63 | Long             | EC               | CORP              | JP        |       2700 | NS      | $121064.55    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138EPUM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     137045 | PA      | $136184.37    | 0.04%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NORTHERN STAR RESOU                               | Northern Star Resources Ltd                                                                                                            | CUSIP: 66573RAA6<br>LEI: 254900XFXCRYYZAX6M78 | Long             | DBT              | CORP              | AU        |     240000 | PA      | $249886.34    | 0.07%             | 2033-04-11      | Fixed         | 6.13%                 | Yes           |                  2 | On Loan: No      |
| Microsoft Corp                                    | Microsoft Corp                                                                                                                         | CUSIP: 594918104<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | EC               | CORP              | US        |       2585 | NS      | $1285804.85   | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-17005.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Suncor Energy Inc                                 | Suncor Energy Inc                                                                                                                      | CUSIP: 867224107<br>LEI: 549300W70ZOQDVLCHY06 | Long             | EC               | CORP              | CA        |      21457 | NS      | $803761.02    | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| LCH Ltd.                                          | Long: SM11689   IRS CNY R F  1.64450 SM11689_FIX CCPVANILLA / Short: SM11689   IRS CNY P V 03MCNRR SM11689_FLO CCPVANILLA              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   33500000 | OU      | $33094.24     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 2YR NOTE (CBT) SEP25                                                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         92 | NC      | $83062.25     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-4266.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Gerdau SA                                         | Gerdau SA                                                                                                                              | CUSIP: 000000000<br>LEI: 254900YDV6SEQQPZVG24 | Long             | EP               | CORP              | BR        |      31068 | NS      | $91492.52     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140XDYN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55732 | PA      | $46899.34     | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Becton Dickinson & Co                             | Becton Dickinson & Co                                                                                                                  | CUSIP: 075887109<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | EC               | CORP              | US        |       7147 | NS      | $1231070.75   | 0.36%             |  |  |  | No            |                  1 | On Loan: No      |
| MEX BONOS DESARR FIX RT                           | Mexican Bonos                                                                                                                          | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   16000000 | PA      | $778261.08    | 0.23%             | 2033-05-26      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SM11827   IRS USD R F  3.61200 SM11827_FIX CCPOIS / Short: SM11827   IRS USD P V 12MSOFR SM11827_FLO CCPOIS                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   45300000 | OU      | $460975.52    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| Japan Government Thirty Year Bonds                | Japan Government Thirty Year Bonds                                                                                                     | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  180600000 | PA      | $752611.83    | 0.22%             | 2050-03-20      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-3367.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                                                                                   | CUSIP: 06051GMB2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     249000 | PA      | $248926.56    | 0.07%             | 2035-08-15      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| CADILLAC FAIRVIEW PRP TR                          | Ontario Teachers' Cadillac Fairview Properties Trust                                                                                   | CUSIP: 68327LAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     317000 | PA      | $278060.04    | 0.08%             | 2031-10-15      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-19575.60    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ACCENTURE CAPITAL INC                             | Accenture Capital Inc                                                                                                                  | CUSIP: 00440KAC7<br>LEI: 254900FRO0P7RIINYT25 | Long             | DBT              | CORP              | US        |     206000 | PA      | $204074.39    | 0.06%             | 2031-10-04      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138A2AX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     173946 | PA      | $165840.82    | 0.05%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31297CWY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7459 | PA      | $7561.95      | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RIO TINTO FIN USA PLC                             | RIO TINTO FIN USA PLC                                                                                                                  | CUSIP: 76720AAT3<br>LEI: 2138006TSNBEUA761G16 | Long             | DBT              | CORP              | GB        |     438000 | PA      | $445649.52    | 0.13%             | 2032-03-14      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD KRW                                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-303034.61   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Regal Rexnord Corp                                | Regal Rexnord Corp                                                                                                                     | CUSIP: 758750103<br>LEI: QH78R09VCJGQKPBPYU33 | Long             | EC               | CORP              | US        |       3182 | NS      | $461262.72    | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED JPY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | JP        |          1 | NC      | $-1363.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-53440.66    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CEMEX SAB DE CV                                   | Cemex SAB de CV                                                                                                                        | CUSIP: 151290CC5<br>LEI: 549300RIG2CXWN6IV731 | Long             | DBT              | CORP              | MX        |     200000 | PA      | $202050.00    | 0.06%             | 2030-06-10      | Fixed         | 7.20%                 | Yes           |                  2 | On Loan: No      |
| Aptiv PLC                                         | Aptiv PLC                                                                                                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JE        |      11139 | NS      | $759902.58    | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-6202.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-16256.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                              | Enel Finance International NV                                                                                                          | CUSIP: 29278GAP3<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |     230000 | PA      | $201752.88    | 0.06%             | 2031-07-12      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-2080.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SAGE GROUP PLC/THE                                | Sage Group PLC/The                                                                                                                     | CUSIP: 000000000<br>LEI: 2138005RN5XYLTF8G138 | Long             | DBT              | CORP              | GB        |     191000 | PA      | $219380.56    | 0.06%             | 2034-02-08      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| ORANGE SA                                         | Orange SA                                                                                                                              | CUSIP: 000000000<br>LEI: 969500MCOONR8990S771 | Long             | DBT              | CORP              | FR        |     100000 | PA      | $117667.33    | 0.03%             | 2035-05-19      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | N/A       |          1 | NC      | $5626.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SANDOZ FINANCE B.V.                               | Sandoz Finance BV                                                                                                                      | CUSIP: 000000000<br>LEI: 213800DFA3WXJ7KC9R74 | Long             | DBT              | CORP              | NL        |     140000 | PA      | $168034.90    | 0.05%             | 2035-03-26      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Exchange traded                                   | EQI00103 MFS                                                                                                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |         76 | NC      | $98387.15     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                                                                            | CUSIP: 694308KM8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      69000 | PA      | $72126.53     | 0.02%             | 2033-06-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD AUD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-149796.63   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Willis Towers Watson PLC                          | Willis Towers Watson PLC                                                                                                               | CUSIP: 000000000<br>LEI: 549300WHC56FF48KL350 | Long             | EC               | CORP              | IE        |       3234 | NS      | $991221.00    | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137FWHX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1436842 | PA      | $102731.47    | 0.03%             | 2030-08-25      | Variable      | 1.70%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                                   | AREIT 2022-CRE6 Trust                                                                                                                  | CUSIP: 04002VAJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     100000 | PA      | $99174.12     | 0.03%             | 2037-01-20      | Floating      | 7.15%                 | Yes           |                  2 | On Loan: No      |
| NVIDIA Corp                                       | NVIDIA Corp                                                                                                                            | CUSIP: 67066G104<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | EC               | CORP              | US        |       1876 | NS      | $296389.24    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Global Payments, Inc.                             | Global Payments, Inc.                                                                                                                  | CUSIP: 37940XAS1<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     210000 | PA      | $259713.38    | 0.08%             | 2031-03-17      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                                                                                      | CUSIP: 000000000<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     260000 | PA      | $309302.26    | 0.09%             | 2036-05-19      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| FLOWERS FOODS INC                                 | Flowers Foods Inc                                                                                                                      | CUSIP: 343498AD3<br>LEI: 7YNCQQNDK8FBM9BBTK25 | Long             | DBT              | CORP              | US        |     222000 | PA      | $227512.54    | 0.07%             | 2035-03-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD IDR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-7295.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                          | Occidental Petroleum Corp                                                                                                              | CUSIP: 674599DF9<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     202000 | PA      | $206670.76    | 0.06%             | 2036-09-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| Johnson Controls International plc                | Johnson Controls International plc                                                                                                     | CUSIP: 000000000<br>LEI: 549300XQ6S1GYKGBL205 | Long             | EC               | CORP              | IE        |      12657 | NS      | $1336832.34   | 0.39%             |  |  |  | No            |                  1 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-963.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128M4V42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4223 | PA      | $4355.44      | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ROCHE HOLDINGS INC                                | Roche Holdings Inc                                                                                                                     | CUSIP: 771196CH3<br>LEI: PVJRP0EQNV6OGDPZGY95 | Long             | DBT              | CORP              | US        |     378000 | PA      | $400845.70    | 0.12%             | 2033-11-13      | Fixed         | 5.59%                 | Yes           |                  2 | On Loan: No      |
| Italy Buoni Poliennali Del Tesoro                 | Italy Buoni Poliennali Del Tesoro                                                                                                      | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     115000 | PA      | $135876.28    | 0.04%             | 2054-10-01      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| Infosys Ltd                                       | Infosys Ltd                                                                                                                            | CUSIP: 456788108<br>LEI: 335800TYLGG93MM7PR89 | Long             | EC               | CORP              | IN        |      11331 | NS      | $209963.43    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD INR                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-4.65        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ABBVIE INC                                        | AbbVie Inc                                                                                                                             | CUSIP: 00287YDZ9<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |      78000 | PA      | $79871.99     | 0.02%             | 2030-03-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | N/A       |          1 | NC      | $12704.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VOLKSWAGEN BANK GMBH                              | Volkswagen Bank GmbH                                                                                                                   | CUSIP: 000000000<br>LEI: 529900GJD3OQLRZCKW37 | Long             | DBT              | CORP              | DE        |     200000 | PA      | $234911.87    | 0.07%             | 2031-06-19      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | N/A       |          1 | NC      | $6943.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EP INFRASTRUCTURE AS                              | EP Infrastructure AS                                                                                                                   | CUSIP: 000000000<br>LEI: 315700I4J1M1NKGWWY89 | Long             | DBT              | CORP              | CZ        |     333000 | PA      | $375749.02    | 0.11%             | 2028-10-09      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | S+P500 EMINI FUT SEP25                                                                                                                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |        -18 | NC      | $-136954.26   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| ROCKIES EXPRESS PIPELINE                          | Rockies Express Pipeline LLC                                                                                                           | CUSIP: 77340RAM9<br>LEI: W2ZGZGZKY5GGNY6F3V51 | Long             | DBT              | CORP              | US        |      58000 | PA      | $58101.09     | 0.02%             | 2040-04-15      | Fixed         | 6.88%                 | Yes           |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-4386.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Advanced Info Service PCL                         | Advanced Info Service PCL                                                                                                              | CUSIP: 000000000<br>LEI: 529900DU2YW1NO5RMU78 | Long             | EC               | CORP              | TH        |      13200 | NS      | $112474.33    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-2599.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31403DBY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64376 | PA      | $65543.42     | 0.02%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                       | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-39801.31    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Cigna Group/The                                   | Cigna Group/The                                                                                                                        | CUSIP: 125523100<br>LEI: 549300VIWYMSIGT1U456 | Long             | EC               | CORP              | US        |       5891 | NS      | $1947446.78   | 0.57%             |  |  |  | No            |                  1 | On Loan: No      |
| Cie Financiere Richemont SA                       | Cie Financiere Richemont SA                                                                                                            | CUSIP: 000000000<br>LEI: 549300YIPGJ6UX2QPS51 | Long             | EC               | CORP              | CH        |       2521 | NS      | $474842.08    | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| BIOGEN INC                                        | Biogen Inc                                                                                                                             | CUSIP: 09062XAN3<br>LEI: W8J5WZB5IY3K0NDQT671 | Long             | DBT              | CORP              | US        |     213000 | PA      | $216856.15    | 0.06%             | 2031-01-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| ENBW INTL FINANCE BV                              | EnBW International Finance BV                                                                                                          | CUSIP: 000000000<br>LEI: 724500CNCIO1ZTJ0X675 | Long             | DBT              | CORP              | NL        |     200000 | PA      | $236101.91    | 0.07%             | 2035-11-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-8425.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED GBP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | GB        |          1 | NC      | $1476.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED SGD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | SG        |          1 | NC      | $45714.03     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128M9BH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      95228 | PA      | $96604.02     | 0.03%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| M&T Bank Corp                                     | M&T Bank Corp                                                                                                                          | CUSIP: 55261F104<br>LEI: 549300WYXDDBYRASEG81 | Long             | EC               | CORP              | US        |       1012 | NS      | $196317.88    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-3836.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-3833.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED GBP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | GB        |          1 | NC      | $12400.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3133BQTE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      76562 | PA      | $78465.82     | 0.02%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-14775.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Shimamura Co Ltd                                  | Shimamura Co Ltd                                                                                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |       1900 | NS      | $133523.14    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140L1Y41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     277626 | PA      | $223325.56    | 0.07%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AMPRION GMBH                                      | Amprion GmbH                                                                                                                           | CUSIP: 000000000<br>LEI: 529900ZIV0ETYHYZM863 | Long             | DBT              | CORP              | DE        |     200000 | PA      | $235858.97    | 0.07%             | 2036-06-05      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2024-9                                                                                                        | CUSIP: 03466JAA7<br>LEI: 254900O3R79X1AD55F36 | Long             | ABS-MBS          | CORP              | US        |     530092 | PA      | $527275.23    | 0.15%             | 2069-09-25      | Variable      | 5.14%                 | Yes           |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD KRW                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-73115.10    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-2705.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Kasikornbank PCL                                  | Kasikornbank PCL                                                                                                                       | CUSIP: 000000000<br>LEI: 5493004COSQ54937AW41 | Long             | EC               | CORP              | TH        |      34600 | NS      | $161777.98    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31416BW87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     340933 | PA      | $339075.60    | 0.10%             | 2034-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                 | Eversource Energy                                                                                                                      | CUSIP: 30040WAX6<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |     253000 | PA      | $257644.55    | 0.08%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2021-BNK35                                                                                                                        | CUSIP: 06540CBL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2900148 | PA      | $129298.76    | 0.04%             | 2064-06-15      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| Japan Government Ten Year Bonds                   | Japan Government Ten Year Bonds                                                                                                        | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  231000000 | PA      | $1599266.55   | 0.47%             | 2035-03-20      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | N/A       |          1 | NC      | $14702.69     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD AUD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-16812.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BPCE SA                                           | BPCE SA                                                                                                                                | CUSIP: 05583JAJ1<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     550000 | PA      | $475890.15    | 0.14%             | 2032-01-20      | Fixed         | 2.28%                 | Yes           |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-23062.54    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                               | American Express Co                                                                                                                    | CUSIP: 000000000<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |     260000 | PA      | $308917.57    | 0.09%             | 2032-05-20      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                           | Oncor Electric Delivery Co LLC                                                                                                         | CUSIP: 68233JCZ5<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |     349000 | PA      | $355527.81    | 0.10%             | 2035-04-01      | Fixed         | 5.35%                 | Yes           |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | N/A       |          1 | NC      | $3157.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Massachusetts Educational Financing Authority     | MASSACHUSETTS ST EDUCTNL FING AUTH                                                                                                     | CUSIP: 57563RRZ4<br>LEI: 5493007K5OP7V6CL0Y88 | Long             | DBT              | MUN               | US        |     535000 | PA      | $498915.86    | 0.15%             | 2037-07-01      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| Spain Government Bonds                            | Spain Government Bonds                                                                                                                 | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     853000 | PA      | $1003314.86   | 0.29%             | 2035-04-30      | Fixed         | 3.15%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140QEAV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46939 | PA      | $39579.28     | 0.01%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Target Corp                                       | Target Corp                                                                                                                            | CUSIP: 87612E106<br>LEI: 8WDDFXB5T1Z6J0XC1L66 | Long             | EC               | CORP              | US        |       2556 | NS      | $252149.40    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-4131.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Merrill Lynch International                       | PURCHASED GBP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DFE              |  | GB        |          1 | NC      | $17690.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31410KJU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61021 | PA      | $63971.44     | 0.02%             | 2038-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                           | Hyundai Capital America                                                                                                                | CUSIP: 44891ACT2<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     154000 | PA      | $155432.07    | 0.05%             | 2027-01-08      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED INR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $-76.85       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                             | China Government Bond                                                                                                                  | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |   16970000 | PA      | $2539059.33   | 0.75%             | 2029-11-21      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2021-B26 Mortgage Trust                                                                                                      | CUSIP: 08163EBE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5565112 | PA      | $193063.20    | 0.06%             | 2054-06-15      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | N/A       |          1 | NC      | $13931.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THERMO FISHER SC FNCE I                           | Thermo Fisher Scientific Finance I BV                                                                                                  | CUSIP: 000000000<br>LEI: 549300SM0PJC1F3RPL91 | Long             | DBT              | CORP              | NL        |     210000 | PA      | $159679.54    | 0.05%             | 2051-10-18      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BRITISH COLUMBIA PROV OF                          | Province of British Columbia Canada                                                                                                    | CUSIP: 110709GJ5<br>LEI: 54930058TO7MEKUHWL16 | Long             | DBT              | NUSS              | CA        |     300000 | PA      | $170037.82    | 0.05%             | 2050-06-18      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch International                       | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DFE              |  | US        |          1 | NC      | $-2520.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC                                 | Brown & Brown Inc                                                                                                                      | CUSIP: 115236AN1<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |      66000 | PA      | $68033.20     | 0.02%             | 2055-06-23      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED AUD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | AU        |          1 | NC      | $14678.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRYKER CORP                                      | Stryker Corp                                                                                                                           | CUSIP: 863667BM2<br>LEI: 5493002F0SC4JTBU5137 | Long             | DBT              | CORP              | US        |     307000 | PA      | $312841.11    | 0.09%             | 2035-02-10      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| BOSTON GAS COMPANY                                | Boston Gas Co                                                                                                                          | CUSIP: 100743AP8<br>LEI: FN7P4E7K9JOBORDEUX61 | Long             | DBT              | CORP              | US        |     321000 | PA      | $333631.33    | 0.10%             | 2035-01-10      | Fixed         | 5.84%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs International                       | PURCHASED USD / SOLD NOK                                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-29173.35    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                    | Home Depot Inc/The                                                                                                                     | CUSIP: 437076BD3<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |     178000 | PA      | $164366.51    | 0.05%             | 2044-02-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179WR26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     210032 | PA      | $178530.27    | 0.05%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      52181 | PA      | $44355.23     | 0.01%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Japan Government Thirty Year Bonds                | Japan Government Thirty Year Bonds                                                                                                     | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  145000000 | PA      | $1045504.32   | 0.31%             | 2040-03-20      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Japan Government Thirty Year Bonds                | Japan Government Thirty Year Bonds                                                                                                     | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  221650000 | PA      | $955078.24    | 0.28%             | 2051-12-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-8738.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Volvo Financial Equipment LLC                     | Volvo Financial Equipment LLC Series 2024-1                                                                                            | CUSIP: 92887QAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     210481 | PA      | $210528.52    | 0.06%             | 2027-05-17      | Fixed         | 4.56%                 | Yes           |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED CHF / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | CH        |          1 | NC      | $21317.66     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Techtronic Industries Co Ltd                      | Techtronic Industries Co Ltd                                                                                                           | CUSIP: 000000000<br>LEI: 549300HZW2SBE758OK89 | Long             | EC               | CORP              | HK        |      43500 | NS      | $478225.98    | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| MARSH & MCLENNAN COS INC                          | Marsh & McLennan Cos Inc                                                                                                               | CUSIP: 571748CD2<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |     221000 | PA      | $212923.69    | 0.06%             | 2055-03-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Stanley Black & Decker Inc                        | Stanley Black & Decker Inc                                                                                                             | CUSIP: 854502101<br>LEI: 549300DJ09SMTO561131 | Long             | EC               | CORP              | US        |       3005 | NS      | $203588.75    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED CNH / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | CN        |          1 | NC      | $830.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | N/A       |          1 | NC      | $11449.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Merrill Lynch International                       | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DFE              |  | US        |          1 | NC      | $15.58        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HUNGARIAN DEVELOPMENT BA                          | MFB Magyar Fejlesztesi Bank Zrt                                                                                                        | CUSIP: 000000000<br>LEI: 549300KCFVCFTUJZYT59 | Long             | DBT              | NUSS              | HU        |     281000 | PA      | $335126.56    | 0.10%             | 2030-06-27      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-11546.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Exxon Mobil Corp                                  | Exxon Mobil Corp                                                                                                                       | CUSIP: 30231G102<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | EC               | CORP              | US        |       6267 | NS      | $675582.60    | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | N/A       |          1 | NC      | $33302.92     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                                                                            | CUSIP: 694308KL0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      68000 | PA      | $70451.68     | 0.02%             | 2029-01-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                                     | CUSIP: 3137HJAS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     321620 | PA      | $323137.17    | 0.09%             | 2055-02-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31413RFX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17058 | PA      | $17674.32     | 0.01%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Nestle SA                                         | Nestle SA                                                                                                                              | CUSIP: 000000000<br>LEI: KY37LUS27QQX7BB93L28 | Long             | EC               | CORP              | CH        |       2611 | NS      | $259405.29    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-2404.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Doosan Bobcat Inc                                 | Doosan Bobcat Inc                                                                                                                      | CUSIP: 000000000<br>LEI: 9884007K6X0Q0112FX44 | Long             | EC               | CORP              | KR        |       4701 | NS      | $202725.40    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| CEZ AS                                            | CEZ AS                                                                                                                                 | CUSIP: 000000000<br>LEI: 529900S5R9YHJHYKKG94 | Long             | DBT              | CORP              | CZ        |     238000 | PA      | $283537.22    | 0.08%             | 2033-04-30      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| NATIONAL GRID NA INC                              | National Grid North America Inc                                                                                                        | CUSIP: 000000000<br>LEI: 5Q3U0WRKWZZGRMPYFT08 | Long             | DBT              | CORP              | US        |     250000 | PA      | $295300.80    | 0.09%             | 2035-06-03      | Fixed         | 3.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140MGEZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44894 | PA      | $37366.28     | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division  | LONG GILT FUTURE SEP25                                                                                                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         69 | NC      | $212482.26    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3132E0A85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32903 | PA      | $28494.25     | 0.01%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-541.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                     | Boeing Co/The                                                                                                                          | CUSIP: 097023204<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | EP               | CORP              | US        |       4275 | NS      | $290700.00    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                            | PURCHASED USD / SOLD RON                                                                                                               | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $-13459.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137FUZZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1747943 | PA      | $125394.46    | 0.04%             | 2030-05-25      | Variable      | 1.77%                 | No            |                  2 | On Loan: No      |
| Japan Government Five Year Bonds                  | Japan Government Five Year Bonds                                                                                                       | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  333000000 | PA      | $2314315.89   | 0.68%             | 2030-03-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $-6982.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AA BOND CO LTD                                    | AA Bond Co Ltd                                                                                                                         | CUSIP: 000000000<br>LEI: 2138002EPF6QVRZBMC58 | Long             | DBT              | CORP              | JE        |     150000 | PA      | $213380.79    | 0.06%             | 2031-07-31      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137FYUL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8086017 | PA      | $190992.53    | 0.06%             | 2031-03-25      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2021-B28 Mortgage Trust                                                                                                      | CUSIP: 08163GAZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5188768 | PA      | $278368.05    | 0.08%             | 2054-08-15      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINL HLDGS LTD                            | Fairfax Financial Holdings Ltd                                                                                                         | CUSIP: 303901BV3<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |     282000 | PA      | $285918.86    | 0.08%             | 2035-05-20      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD CHF                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-416191.67   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179XVS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20650 | PA      | $20391.50     | 0.01%             | 2053-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED JPY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | JP        |          1 | NC      | $867.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NetEase Inc                                       | NetEase Inc                                                                                                                            | CUSIP: 000000000<br>LEI: 5299004AF4DSJDB0PA32 | Long             | EC               | CORP              | KY        |       3400 | NS      | $91389.12     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Fortress CBO Investments Ltd                      | FORT CRE 2022-FL3 Issuer LLC                                                                                                           | CUSIP: 34706CAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     269500 | PA      | $267782.21    | 0.08%             | 2039-02-23      | Floating      | 6.55%                 | Yes           |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-4023.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DB Insurance Co Ltd                               | DB Insurance Co Ltd                                                                                                                    | CUSIP: 000000000<br>LEI: 9884000ZF26VNJBWSJ91 | Long             | EC               | CORP              | KR        |       2578 | NS      | $235527.12    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Secom Co Ltd                                      | Secom Co Ltd                                                                                                                           | CUSIP: 000000000<br>LEI: 529900TYCL9N3E9PGE47 | Long             | EC               | CORP              | JP        |      10000 | NS      | $359918.06    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-122626.73   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Osaka Exchange                                    | JPN 10Y BOND(OSE) SEP25                                                                                                                | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              |  | JP        |          9 | NC      | $-5156.07     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| COLT Funding LLC                                  | COLT 2024-6 Mortgage Loan Trust                                                                                                        | CUSIP: 19688XAA4<br>LEI: 213800U2X2TO1PQH1O75 | Long             | ABS-MBS          | CORP              | US        |     172410 | PA      | $172527.86    | 0.05%             | 2069-11-25      | Variable      | 5.39%                 | Yes           |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $-2681.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140F5DA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      84542 | PA      | $78181.16     | 0.02%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD CNY                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-17907.42    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Iowa Student Loan Liquidity Corp                  | IOWA ST STUDENT LOAN LIQUIDITY CORP                                                                                                    | CUSIP: 462590NG1<br>LEI: 549300FO1LWVSZKGJK70 | Long             | DBT              | MUN               | US        |     135000 | PA      | $128357.74    | 0.04%             | 2039-12-01      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| Massachusetts Housing Finance Agency              | MASSACHUSETTS ST HSG FIN AGY HSG REVENUE                                                                                               | CUSIP: 57587GTN5<br>LEI: 549300NLJBK1VP6K2K81 | Long             | DBT              | MUN               | US        |     470000 | PA      | $479410.25    | 0.14%             | 2052-12-01      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3132DM5N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     764344 | PA      | $634107.47    | 0.19%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WHITBREAD GROUP PLC                               | Whitbread Group PLC                                                                                                                    | CUSIP: 000000000<br>LEI: 2138006LIAYQKUCYBB20 | Long             | DBT              | CORP              | GB        |     105000 | PA      | $142991.91    | 0.04%             | 2032-05-31      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                        | Humana Inc                                                                                                                             | CUSIP: 444859CD2<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |     341000 | PA      | $342907.06    | 0.10%             | 2035-05-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON INGALLS INDUS                          | Huntington Ingalls Industries Inc                                                                                                      | CUSIP: 446413AT3<br>LEI: 5TZLZ6WJTBVJ0QWBG121 | Long             | DBT              | CORP              | US        |     148000 | PA      | $144630.42    | 0.04%             | 2030-05-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| BSPRT Issuer, Ltd.                                | BSPRT 2021-FL7 Issuer Ltd                                                                                                              | CUSIP: 05602CAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     161000 | PA      | $159519.28    | 0.05%             | 2038-12-15      | Floating      | 6.73%                 | Yes           |                  2 | On Loan: No      |
| NESTLE FINANCE INTL LTD                           | Nestle Finance International Ltd                                                                                                       | CUSIP: 000000000<br>LEI: 0KLLMNHINTFDRMU6DI05 | Long             | DBT              | CORP              | LU        |     190000 | PA      | $214799.34    | 0.06%             | 2045-01-14      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED MXN / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | MX        |          1 | NC      | $40627.19     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ROCKET COS INC                                    | Rocket Cos Inc                                                                                                                         | CUSIP: 77311WAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      98000 | PA      | $100273.65    | 0.03%             | 2033-08-01      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| BNP PARIBAS                                       | BNP Paribas SA                                                                                                                         | CUSIP: 09659W2Z6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     322000 | PA      | $328137.55    | 0.10%             | 2030-11-19      | Fixed         | 5.28%                 | Yes           |                  2 | On Loan: No      |
| APA INFRASTRUCTURE LTD                            | APA Infrastructure Ltd                                                                                                                 | CUSIP: 00188LAA5<br>LEI: 261700SS8OEHDOCOUJ33 | Long             | DBT              | CORP              | AU        |     271000 | PA      | $265763.07    | 0.08%             | 2034-09-16      | Fixed         | 5.13%                 | Yes           |                  2 | On Loan: No      |
| Merrill Lynch International                       | PURCHASED CNH / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DFE              |  | CN        |          1 | NC      | $213.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128M6VZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      63736 | PA      | $64711.38     | 0.02%             | 2038-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-9239.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-250365.97   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                             | Truist Financial Corp                                                                                                                  | CUSIP: 89788MAS1<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |     122000 | PA      | $126459.11    | 0.04%             | 2035-01-24      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31411UZX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18763 | PA      | $19303.70     | 0.01%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Exchange traded                                   | S+P 500 INDEX                                                                                                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          7 | NC      | $26670.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| EMPIRE DISTRICT BONDCO                            | Empire District Bondco LLC                                                                                                             | CUSIP: 291918AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     313621 | PA      | $315795.87    | 0.09%             | 2033-01-01      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| ELM Trust 2024                                    | ELM Trust 2024-ELM                                                                                                                     | CUSIP: 26860XBC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $100380.47    | 0.03%             | 2039-06-10      | Variable      | 6.40%                 | Yes           |                  2 | On Loan: No      |
| BOEING CO/THE                                     | Boeing Co/The                                                                                                                          | CUSIP: 097023DR3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      88000 | PA      | $94573.10     | 0.03%             | 2031-05-01      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                          | Charter Communications Operating LLC / Charter Communications Operating Capital                                                        | CUSIP: 161175CP7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      77000 | PA      | $82454.72     | 0.02%             | 2034-02-01      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137HHJ44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1094107 | PA      | $76443.29     | 0.02%             | 2034-09-25      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| GFL ENVIRONMENTAL INC                             | GFL Environmental Inc                                                                                                                  | CUSIP: 36168QAQ7<br>LEI: 549300FYK4MBXWIVZU26 | Long             | DBT              | CORP              | CA        |      70000 | PA      | $73249.61     | 0.02%             | 2031-01-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Koninklijke KPN NV                                | Koninklijke KPN NV                                                                                                                     | CUSIP: 000000000<br>LEI: 549300YO0JZHAL7FVP81 | Long             | EC               | CORP              | NL        |     111372 | NS      | $542604.81    | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| JH NORTH AMERICA HOLDING                          | JH North America Holdings Inc                                                                                                          | CUSIP: 46593WAB1<br>LEI: 254900A6FXA0D81TL967 | Long             | DBT              | CORP              | US        |     180000 | PA      | $182988.72    | 0.05%             | 2032-07-31      | Fixed         | 6.13%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD KRW                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-53980.02    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Bacardi Ltd                                       | Bacardi Ltd                                                                                                                            | CUSIP: 067316AG4<br>LEI: 549300R32WTQNHNN5055 | Long             | DBT              | CORP              | BM        |     335000 | PA      | $308667.62    | 0.09%             | 2038-05-15      | Fixed         | 5.15%                 | Yes           |                  2 | On Loan: No      |
| Meff Financial Derivatives                        | IBEX 35 INDX FUTR JUL25                                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | ES        |         51 | NC      | $-21687.25    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140QMZC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57709 | PA      | $48432.46     | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD CHF                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-28822.41    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MBANK SA                                          | mBank SA                                                                                                                               | CUSIP: 000000000<br>LEI: 259400DZXF7UJKK2AY35 | Long             | DBT              | CORP              | PL        |     300000 | PA      | $357357.24    | 0.10%             | 2030-09-27      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |          1 | NC      | $-3382.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-11228.09    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | E-MINI RUSS 2000 SEP25                                                                                                                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |       -107 | NC      | $-180773.82   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                                                                                    | CUSIP: 46647PBX3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     548000 | PA      | $475230.90    | 0.14%             | 2032-02-04      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | DAX INDEX FUTURE SEP25                                                                                                                 | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               |  | DE        |          4 | NC      | $37680.52     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs International                       | PURCHASED USD / SOLD HUF                                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-9535.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | PURCHASED USD / SOLD ILS                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |          1 | NC      | $-19333.44    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Japan Government Twenty Year Bonds                | Japan Government Twenty Year Bonds                                                                                                     | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  783800000 | PA      | $4303348.02   | 1.26%             | 2039-12-20      | Fixed         | 0.30%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                                     | UniCredit SpA                                                                                                                          | CUSIP: 000000000<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |     200000 | PA      | $231040.88    | 0.07%             | 2032-12-03      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| VISA INC                                          | Visa Inc                                                                                                                               | CUSIP: 000000000<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | DBT              | CORP              | US        |     130000 | PA      | $152705.27    | 0.04%             | 2044-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD/LUX CO                          | JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl                                                                             | CUSIP: 46590XAX4<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     194000 | PA      | $201282.57    | 0.06%             | 2052-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CITADEL SECURITIES GLOBA                          | Citadel Securities Global Holdings LLC                                                                                                 | CUSIP: 17289RAA4<br>LEI: 549300NV5RXBUS3X7L47 | Long             | DBT              | CORP              | US        |     250000 | PA      | $252970.24    | 0.07%             | 2030-06-18      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Popular Inc                                       | Popular Inc                                                                                                                            | CUSIP: 733174700<br>LEI: 5493008CARDZMVQ3LO89 | Long             | EC               | CORP              | PR        |       1166 | NS      | $128504.86    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137H2NA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1499257 | PA      | $74610.52     | 0.02%             | 2031-07-25      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| ICON PLC                                          | ICON PLC                                                                                                                               | CUSIP: 000000000<br>LEI: 6354008SRQGEMC4XFI67 | Long             | EC               | CORP              | IE        |       4073 | NS      | $592417.85    | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| LCH Ltd.                                          | Long: BM11759   IRS USD R V 12MUSCPI SM11759_FLO CCPINFLATIONZERO / Short: BM11759   IRS USD P F  2.46300 SM11759_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2400000 | OU      | $9642.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America Corp                              | Bank of America Corp                                                                                                                   | CUSIP: 060505104<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | EC               | CORP              | US        |      31651 | NS      | $1497725.32   | 0.44%             |  |  |  | No            |                  1 | On Loan: No      |
| JH NORTH AMERICA HOLDING                          | JH North America Holdings Inc                                                                                                          | CUSIP: 46593WAA3<br>LEI: 254900A6FXA0D81TL967 | Long             | DBT              | CORP              | US        |     180000 | PA      | $181571.76    | 0.05%             | 2031-01-31      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3132DWC68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1685806 | PA      | $1338207.36   | 0.39%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | N/A       |          1 | NC      | $207.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Enel Americas SA                                  | Enel Americas SA                                                                                                                       | CUSIP: 29274FAF1<br>LEI: 549300LKH11TFCJLZK20 | Long             | DBT              | CORP              | CL        |     855000 | PA      | $848191.29    | 0.25%             | 2026-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| EQT Trust 2024-EXTR                               | EQT Trust 2024-EXTR                                                                                                                    | CUSIP: 29439DAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     169941 | PA      | $172770.72    | 0.05%             | 2041-07-05      | Variable      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| SIEMENS FINANCIERINGSMAT                          | Siemens Financieringsmaatschappij NV                                                                                                   | CUSIP: 000000000<br>LEI: TAFO772JB70PDRN5VS48 | Long             | DBT              | CORP              | NL        |     100000 | PA      | $117011.92    | 0.03%             | 2045-05-27      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED KRW / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | KR        |          1 | NC      | $51437.29     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED CAD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | CA        |          1 | NC      | $33052.49     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137F84L4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1823916 | PA      | $92376.79     | 0.03%             | 2030-11-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU                          | Venture Global Calcasieu Pass LLC                                                                                                      | CUSIP: 92328MAB9<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |     362000 | PA      | $335064.34    | 0.10%             | 2031-08-15      | Fixed         | 4.13%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                                                    | CUSIP: 912810TS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2225000 | PA      | $1987376.94   | 0.58%             | 2043-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED CAD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | CA        |          1 | NC      | $7210.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                               | Nomura Holdings Inc                                                                                                                    | CUSIP: 000000000<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |     320000 | PA      | $379369.07    | 0.11%             | 2030-05-28      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-17511.15    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ARTHUR J GALLAGHER & CO                           | Arthur J Gallagher & Co                                                                                                                | CUSIP: 04316JAF6<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |      75000 | PA      | $82284.88     | 0.02%             | 2034-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                  | Deutsche Bank AG                                                                                                                       | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     100000 | PA      | $117826.04    | 0.03%             | 2029-06-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38384XSB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     231565 | PA      | $230219.59    | 0.07%             | 2054-10-20      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| GREAT AMERICA LEASING RECEIVABLES                 | GreatAmerica Leasing Receivables Funding LLC Series 2023-1                                                                             | CUSIP: 39154TCB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      13439 | PA      | $13445.85     | 0.00%             | 2026-02-16      | Fixed         | 5.35%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3133KPF52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39747 | PA      | $37268.90     | 0.01%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD MXN                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-4724.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Merrill Lynch International                       | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DFE              |  | US        |          1 | NC      | $-3217.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| National Stock Exchange Of India                  | IFSC NIFTY 50 FUT JUL25                                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | IN        |       -147 | NC      | $-150246.56   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Home Depot Inc/The                                | Home Depot Inc/The                                                                                                                     | CUSIP: 437076102<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | EC               | CORP              | US        |       1115 | NS      | $408803.60    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Enterprise Fleet Financing LLC                    | Enterprise Fleet Financing 2024-3 LLC                                                                                                  | CUSIP: 29375QAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     109411 | PA      | $109848.07    | 0.03%             | 2027-04-20      | Fixed         | 5.31%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-3181.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140XL4T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     533774 | PA      | $480801.82    | 0.14%             | 2053-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Japan Government Thirty Year Bonds                | Japan Government Thirty Year Bonds                                                                                                     | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  233000000 | PA      | $1760302.42   | 0.52%             | 2034-12-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| TESCO CORP TREASURY SERV                          | Tesco Corporate Treasury Services PLC                                                                                                  | CUSIP: 000000000<br>LEI: 21380018AJDKNF3A6712 | Long             | DBT              | CORP              | GB        |     140000 | PA      | $164505.59    | 0.05%             | 2032-05-06      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Intel Corp                                        | Intel Corp                                                                                                                             | CUSIP: 458140100<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | EC               | CORP              | US        |      20225 | NS      | $453040.00    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust       | MF1 2021-FL6 Ltd                                                                                                                       | CUSIP: 55283TAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     600000 | PA      | $598476.78    | 0.18%             | 2036-07-16      | Floating      | 6.08%                 | Yes           |                  2 | On Loan: No      |
| Corebridge Financial Inc                          | Corebridge Financial Inc                                                                                                               | CUSIP: 21871X109<br>LEI: 549300XY1661QCIA7J65 | Long             | EC               | CORP              | US        |      14617 | NS      | $518903.50    | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| WOLF MIDSTREAM CANADA LP                          | Wolf Midstream Canada LP                                                                                                               | CUSIP: 977734AA0<br>LEI: 2549001Q852MSO20OC46 | Long             | DBT              | CORP              | CA        |     402000 | PA      | $299636.50    | 0.09%             | 2029-07-18      | Fixed         | 6.40%                 | Yes           |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-3755.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Hellenic Telecommunications Organization SA       | Hellenic Telecommunications Organization SA                                                                                            | CUSIP: 000000000<br>LEI: ELPUFM0XZRZO4LFXW404 | Long             | EC               | CORP              | GR        |      16781 | NS      | $319042.44    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-10663.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EASTERN ENERGY GAS                                | Eastern Energy Gas Holdings LLC                                                                                                        | CUSIP: 27636AAA0<br>LEI: 549300BFOD6TDMVV4O24 | Long             | DBT              | CORP              | US        |     266000 | PA      | $254198.04    | 0.07%             | 2054-10-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-8135.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEVELOPMENT BANK OF KAZA                          | Development Bank of Kazakhstan JSC                                                                                                     | CUSIP: 48129VAD8<br>LEI: 213800LCDPGJ1BI7KX98 | Long             | DBT              | NUSS              | KZ        |     554000 | PA      | $558272.49    | 0.16%             | 2030-04-07      | Fixed         | 5.63%                 | Yes           |                  2 | On Loan: No      |
| COMMERZBANK AG                                    | Commerzbank AG                                                                                                                         | CUSIP: 000000000<br>LEI: 851WYGNLUQLFZBSYGB56 | Long             | DBT              | CORP              | DE        |     300000 | PA      | $352030.32    | 0.10%             | 2037-06-30      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-13381.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                       | PURCHASED IDR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | ID        |          1 | NC      | $32716.99     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140KE2N7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23987 | PA      | $20381.75     | 0.01%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-6405.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                                                                       | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     351000 | PA      | $320550.73    | 0.09%             | 2033-03-02      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Rio Tinto PLC                                     | Rio Tinto PLC                                                                                                                          | CUSIP: 000000000<br>LEI: 213800YOEO5OQ72G2R82 | Long             | EC               | CORP              | GB        |      17268 | NS      | $1006188.73   | 0.30%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3133C5VR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     290404 | PA      | $252328.76    | 0.07%             | 2053-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                           | Exxon Mobil Corp                                                                                                                       | CUSIP: 000000000<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |     250000 | PA      | $213538.30    | 0.06%             | 2039-06-26      | Fixed         | 1.41%                 | No            |                  2 | On Loan: No      |
| Italy Buoni Poliennali Del Tesoro                 | Italy Buoni Poliennali Del Tesoro                                                                                                      | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    1691000 | PA      | $2017859.24   | 0.59%             | 2030-07-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                                                                                   | CUSIP: 06051GMW6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     205000 | PA      | $210209.67    | 0.06%             | 2036-05-09      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| ABN AMRO Bank NV                                  | ABN AMRO Bank NV                                                                                                                       | CUSIP: 000000000<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | EC               | CORP              | NL        |      27627 | NS      | $756304.96    | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| STORE CAPITAL LLC                                 | Store Capital LLC                                                                                                                      | CUSIP: 862121AD2<br>LEI: 254900Z9PIEFQ6AYXK50 | Long             | DBT              | CORP              | US        |      23000 | PA      | $19507.09     | 0.01%             | 2031-12-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED NOK / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | NO        |          1 | NC      | $-9445.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                             | Mexico Government International Bond                                                                                                   | CUSIP: 91087BBE9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     495000 | PA      | $500940.00    | 0.15%             | 2032-07-02      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| PG&E Corp                                         | PG&E Corp                                                                                                                              | CUSIP: 69331C108<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | EC               | CORP              | US        |      60282 | NS      | $840331.08    | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| Japan Government Twenty Year Bonds                | Japan Government Twenty Year Bonds                                                                                                     | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  213000000 | PA      | $1452417.28   | 0.43%             | 2034-12-20      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| Organon & Co                                      | Organon & Co                                                                                                                           | CUSIP: 68622V106<br>LEI: 549300AMCKY57OK2CO56 | Long             | EC               | CORP              | US        |      11018 | NS      | $106654.24    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| JD.com Inc                                        | JD.com Inc                                                                                                                             | CUSIP: 000000000<br>LEI: 549300HVTWB0GJZ16V92 | Long             | EC               | CORP              | KY        |      10050 | NS      | $163745.63    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                                                      | CUSIP: 3620AXZK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22819 | PA      | $23116.45     | 0.01%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $3578.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Korea Exchange (Futures Market)                   | KOSPI2 INX FUT SEP25                                                                                                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | KR        |        -44 | NC      | $-231364.33   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| AREIT CRE Trust                                   | AREIT 2022-CRE6 Trust                                                                                                                  | CUSIP: 04002VAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     289000 | PA      | $286803.37    | 0.08%             | 2037-01-20      | Floating      | 6.15%                 | Yes           |                  2 | On Loan: No      |
| DICK'S SPORTING GOODS                             | Dick's Sporting Goods Inc                                                                                                              | CUSIP: 253393AG7<br>LEI: 529900SSBV5I4LWSK313 | Long             | DBT              | CORP              | US        |     212000 | PA      | $151488.07    | 0.04%             | 2052-01-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN                           | Jane Street Group / JSG Finance Inc                                                                                                    | CUSIP: 47077WAD0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     324000 | PA      | $327092.97    | 0.10%             | 2032-11-01      | Fixed         | 6.13%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31410KQ64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11486 | PA      | $11854.05     | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                      | Barclays PLC                                                                                                                           | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     260000 | PA      | $320163.84    | 0.09%             | 2036-05-31      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| RAIZEN FUELS FINANCE                              | Raizen Fuels Finance SA                                                                                                                | CUSIP: 75102XAB2<br>LEI: 52990010NH26VC32Q522 | Long             | DBT              | CORP              | LU        |     325000 | PA      | $325319.48    | 0.10%             | 2034-03-05      | Fixed         | 6.45%                 | Yes           |                  2 | On Loan: No      |
| Legrand SA                                        | Legrand SA                                                                                                                             | CUSIP: 000000000<br>LEI: 969500XXRPGD7HCAFA90 | Long             | EC               | CORP              | FR        |       4233 | NS      | $565941.09    | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| PG&E CORP                                         | PG&E Corp                                                                                                                              | CUSIP: 69331C306<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | EP               | CORP              | US        |       6896 | NS      | $259289.60    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140MNAT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24600 | PA      | $21297.82     | 0.01%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Italy Buoni Poliennali Del Tesoro                 | Italy Buoni Poliennali Del Tesoro                                                                                                      | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    4123000 | PA      | $3986225.88   | 1.17%             | 2036-03-01      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-7879.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLICA ORIENT URUGUAY                          | Uruguay Government International Bond                                                                                                  | CUSIP: 917288BM3<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |   29336000 | PA      | $716477.52    | 0.21%             | 2031-05-21      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| SAUDI INTERNATIONAL BOND                          | Saudi Government International Bond                                                                                                    | CUSIP: 80413TBJ7<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     249000 | PA      | $252900.57    | 0.07%             | 2028-01-13      | Fixed         | 5.13%                 | Yes           |                  2 | On Loan: No      |
| Synchrony Financial                               | Synchrony Financial                                                                                                                    | CUSIP: 87165B103<br>LEI: 549300RS7EWPM9MA6C78 | Long             | EC               | CORP              | US        |       5031 | NS      | $335768.94    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| LOW INCOME INVESTMENT                             | Low Income Investment Fund                                                                                                             | CUSIP: 54750AAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     150000 | PA      | $147153.35    | 0.04%             | 2026-07-01      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                  | Georgia Power Co                                                                                                                       | CUSIP: 373334KT7<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |     247000 | PA      | $248913.27    | 0.07%             | 2033-05-17      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2024-13                                                                                                       | CUSIP: 03466PAA3<br>LEI: 254900WA697298AD1C53 | Long             | ABS-MBS          | CORP              | US        |     200280 | PA      | $200233.10    | 0.06%             | 2069-12-26      | Variable      | 5.46%                 | Yes           |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | N/A       |          1 | NC      | $17903.48     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD IDR                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-14210.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | N/A       |          1 | NC      | $43184.61     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED GBP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | GB        |          1 | NC      | $26139.17     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31335ALX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     204070 | PA      | $203604.66    | 0.06%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Kenvue Inc                                        | Kenvue Inc                                                                                                                             | CUSIP: 49177J102<br>LEI: 5493008HSF8L4M2LIJ82 | Long             | EC               | CORP              | US        |      56691 | NS      | $1186542.63   | 0.35%             |  |  |  | No            |                  1 | On Loan: No      |
| BP CAPITAL MARKETS PLC                            | BP Capital Markets PLC                                                                                                                 | CUSIP: 000000000<br>LEI: 549300CRVT18MXX0AG93 | Long             | DBT              | CORP              | GB        |     190000 | PA      | $262529.96    | 0.08%             | 2029-11-19      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STORE CAPITAL LLC                                 | Store Capital LLC                                                                                                                      | CUSIP: 862121AC4<br>LEI: 254900Z9PIEFQ6AYXK50 | Long             | DBT              | CORP              | US        |     501000 | PA      | $441507.30    | 0.13%             | 2030-11-18      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137FTZU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1365340 | PA      | $104320.03    | 0.03%             | 2030-04-25      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED NOK / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | NO        |          1 | NC      | $70901.51     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                            | PNC Financial Services Group Inc/The                                                                                                   | CUSIP: 693475BW4<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |     281000 | PA      | $291957.87    | 0.09%             | 2035-01-22      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD INR                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-908.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137H4BT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6201367 | PA      | $181768.27    | 0.05%             | 2031-09-25      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                                                                                    | CUSIP: 46647PEW2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     196000 | PA      | $201879.66    | 0.06%             | 2036-01-24      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140QKQL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17412 | PA      | $14559.91     | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                                                    | CUSIP: 91282CMM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1337000 | PA      | $1379407.97   | 0.41%             | 2035-02-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | N/A       |          1 | NC      | $33415.79     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| IG Group Holdings PLC                             | IG Group Holdings PLC                                                                                                                  | CUSIP: 000000000<br>LEI: 2138003A5Q1M7ANOUD76 | Long             | EC               | CORP              | GB        |       6579 | NS      | $96086.25     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| AMERICAN TOWER CORP                               | American Tower Corp                                                                                                                    | CUSIP: 000000000<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     210000 | PA      | $249126.49    | 0.07%             | 2032-05-30      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| MONDI FINANCE PLC                                 | Mondi Finance PLC                                                                                                                      | CUSIP: 000000000<br>LEI: 213800BJV32JT6IRCS96 | Long             | DBT              | CORP              | GB        |     250000 | PA      | $296001.92    | 0.09%             | 2033-05-18      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| HYDRO ONE INC                                     | Hydro One Inc                                                                                                                          | CUSIP: 44810ZCS7<br>LEI: 549300X54QEYZVDC8R04 | Long             | DBT              | CORP              | CA        |     493000 | PA      | $366679.05    | 0.11%             | 2035-01-04      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-3226.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MFS Institutional Money Market Portfolio          | MFS Institutional Money Market Portfolio                                                                                               | CUSIP: 55291X109<br>LEI: 5L2W638H85N8T1136O07 | Long             | EC               | RF                | US        |   15582070 | NS      | $15583627.90  | 4.58%             |  |  |  | No            |                  1 | On Loan: No      |
| DSV FINANCE BV                                    | DSV Finance BV                                                                                                                         | CUSIP: 000000000<br>LEI: 529900RTQQ0IIS4B3E03 | Long             | DBT              | CORP              | NL        |     100000 | PA      | $115245.21    | 0.03%             | 2034-11-06      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Chesapeake Funding II LLC                         | Chesapeake Funding II LLC                                                                                                              | CUSIP: 165183CU6<br>LEI: 5493000HT7H4OFOD6Z12 | Long             | ABS-O            | CORP              | US        |     118762 | PA      | $119350.80    | 0.04%             | 2035-05-15      | Fixed         | 5.65%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group Inc/The                       | Goldman Sachs Group Inc/The                                                                                                            | CUSIP: 38141G104<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | EC               | CORP              | US        |       2243 | NS      | $1587483.25   | 0.47%             |  |  |  | No            |                  1 | On Loan: No      |
| CF Hippolyta Issuer LLC                           | CF Hippolyta Issuer LLC                                                                                                                | CUSIP: 12530MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     197245 | PA      | $195134.61    | 0.06%             | 2060-07-15      | Fixed         | 1.69%                 | Yes           |                  2 | On Loan: No      |
| BRUCE POWER LP                                    | Bruce Power LP                                                                                                                         | CUSIP: 116705AQ7<br>LEI: 549300R8DACS3G0K8262 | Long             | DBT              | CORP              | CA        |     410000 | PA      | $297985.02    | 0.09%             | 2034-12-21      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BUND FUTURE SEP25                                                                                                                 | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         -9 | NC      | $5844.25      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ARTHUR J GALLAGHER & CO                           | Arthur J Gallagher & Co                                                                                                                | CUSIP: 04316JAE9<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |     161000 | PA      | $156822.40    | 0.05%             | 2053-03-02      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| PetroChina Co Ltd                                 | PetroChina Co Ltd                                                                                                                      | CUSIP: 000000000<br>LEI: 529900RPY4YG47TRSV05 | Long             | EC               | CORP              | CN        |     530000 | NS      | $455735.39    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | N/A       |          1 | NC      | $6362.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Italy Buoni Poliennali Del Tesoro                 | Italy Buoni Poliennali Del Tesoro                                                                                                      | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    1447000 | PA      | $1770529.83   | 0.52%             | 2039-10-01      | Fixed         | 4.15%                 | Yes           |                  2 | On Loan: No      |
| VOLKSWAGEN INTL FIN NV                            | Volkswagen International Finance NV                                                                                                    | CUSIP: 000000000<br>LEI: 5299004PWNHKYTR23649 | Long             | DBT              | CORP              | NL        |     200000 | PA      | $237835.47    | 0.07%             | 2033-11-15      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | N/A       |          1 | NC      | $13297.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| New Hampshire Business Finance Authority          | NATIONAL FIN AUTH NH UTL REV                                                                                                           | CUSIP: 63610HAA0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     275000 | PA      | $283669.76    | 0.08%             | 2034-04-01      | Fixed         | 6.89%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-14222.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | N/A       |          1 | NC      | $6559.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EUTELSAT SA                                       | Eutelsat SA                                                                                                                            | CUSIP: 000000000<br>LEI: 549300MCOOY1V7P2PG30 | Long             | DBT              | CORP              | FR        |     300000 | PA      | $321330.87    | 0.09%             | 2028-10-13      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $14012.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NatWest Markets PLC                               | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: RR3QWICWWIPCS8A4S074 | N/A              | DFE              |  | US        |          1 | NC      | $-25506.52    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fidelity National Information Services Inc        | Fidelity National Information Services Inc                                                                                             | CUSIP: 31620M106<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | EC               | CORP              | US        |       4603 | NS      | $374730.23    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Julius Baer Group Ltd                             | Julius Baer Group Ltd                                                                                                                  | CUSIP: 000000000<br>LEI: 5299007MF0604ZGJER92 | Long             | EC               | CORP              | CH        |       9632 | NS      | $651156.95    | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-3240.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BSPRT Issuer, Ltd.                                | BSPRT 2021-FL7 Issuer Ltd                                                                                                              | CUSIP: 05602CAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     177500 | PA      | $176450.09    | 0.05%             | 2038-12-15      | Floating      | 6.48%                 | Yes           |                  2 | On Loan: No      |
| Sandoz Group AG                                   | Sandoz Group AG                                                                                                                        | CUSIP: 000000000<br>LEI: 5493000JWK6XWFEUD320 | Long             | EC               | CORP              | CH        |       4266 | NS      | $233448.51    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | N/A       |          1 | NC      | $43561.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SEVERN TRENT WATER UTIL                           | Severn Trent Utilities Finance PLC                                                                                                     | CUSIP: 000000000<br>LEI: 213800KY9PT6WBH33232 | Long             | DBT              | CORP              | GB        |     230000 | PA      | $272531.05    | 0.08%             | 2035-08-04      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179W2V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      45943 | PA      | $40652.71     | 0.01%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WH Group Ltd                                      | WH Group Ltd                                                                                                                           | CUSIP: 000000000<br>LEI: 254900A4AYEDRWYSE928 | Long             | EC               | CORP              | KY        |     100500 | NS      | $96659.85     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| EQT Trust 2024-EXTR                               | EQT Trust 2024-EXTR                                                                                                                    | CUSIP: 29439DAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $101830.06    | 0.03%             | 2041-07-05      | Variable      | 6.05%                 | Yes           |                  2 | On Loan: No      |
| ROCKETMTGE CO-ISSUER INC                          | Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc                                                                                    | CUSIP: 74841CAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     138000 | PA      | $127928.60    | 0.04%             | 2031-03-01      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Japan Government Twenty Year Bonds                | Japan Government Twenty Year Bonds                                                                                                     | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   26000000 | PA      | $149893.82    | 0.04%             | 2043-06-20      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-4812.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CORP ANDINA DE FOMENTO                            | Corp Andina de Fomento                                                                                                                 | CUSIP: 219868CM6<br>LEI: UKZ46SXGNYCZK0UOZE76 | Long             | DBT              | NUSS              | N/A       |     200000 | PA      | $203584.88    | 0.06%             | 2030-06-17      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31417SBQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      99962 | PA      | $101204.81    | 0.03%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-21853.92    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-320037.19   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Danone SA                                         | Danone SA                                                                                                                              | CUSIP: 000000000<br>LEI: 969500KMUQ2B6CBAF162 | Long             | EC               | CORP              | FR        |       8967 | NS      | $732627.73    | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128PR3G2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          6 | PA      | $5.72         | 0.00%             | 2025-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31292K2A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      56781 | PA      | $56607.74     | 0.02%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Charles Schwab Corp/The                           | Charles Schwab Corp/The                                                                                                                | CUSIP: 808513105<br>LEI: 549300VSGCJ7E698NM85 | Long             | EC               | CORP              | US        |      27965 | NS      | $2551526.60   | 0.75%             |  |  |  | No            |                  1 | On Loan: No      |
| MetLife Inc                                       | MetLife Inc                                                                                                                            | CUSIP: 59156R108<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | EC               | CORP              | US        |       5166 | NS      | $415449.72    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-8681.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                   | Sands China Ltd                                                                                                                        | CUSIP: 80007RAL9<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |     226000 | PA      | $216030.98    | 0.06%             | 2030-06-18      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF POLAND                                | Republic of Poland Government International Bond                                                                                       | CUSIP: 000000000<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |     500000 | PA      | $602319.75    | 0.18%             | 2034-01-11      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| KOREA TREASURY BOND                               | Korea Treasury Bond                                                                                                                    | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        | 3260190000 | PA      | $2355028.35   | 0.69%             | 2029-06-10      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| MASTERCARD INC                                    | Mastercard Inc                                                                                                                         | CUSIP: 57636QAQ7<br>LEI: AR5L2ODV9HN37376R084 | Long             | DBT              | CORP              | US        |     102000 | PA      | $80536.41     | 0.02%             | 2050-03-26      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BM11734   IRS USD R V 12MUSCPI SM11734_FLO CCPINFLATIONZERO / Short: BM11734   IRS USD P F  2.52300 SM11734_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    7200000 | OU      | $5991.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                   | Danske Bank A/S                                                                                                                        | CUSIP: 23636ABB6<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |     332000 | PA      | $320682.99    | 0.09%             | 2027-09-10      | Fixed         | 1.55%                 | Yes           |                  2 | On Loan: No      |
| P3 GROUP SARL                                     | P3 Group Sarl                                                                                                                          | CUSIP: 000000000<br>LEI: 529900GR62MT0O5VW110 | Long             | DBT              | CORP              | LU        |     220000 | PA      | $260577.05    | 0.08%             | 2032-04-19      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp                                  | Duke Energy Corp                                                                                                                       | CUSIP: 26441C204<br>LEI: I1BZKREC126H0VB1BL91 | Long             | EC               | CORP              | US        |       3872 | NS      | $456896.00    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Pfizer Inc                                        | Pfizer Inc                                                                                                                             | CUSIP: 717081103<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | EC               | CORP              | US        |      97479 | NS      | $2362890.96   | 0.69%             |  |  |  | No            |                  1 | On Loan: No      |
| E.ON SE                                           | E.ON SE                                                                                                                                | CUSIP: 000000000<br>LEI: Q9MAIUP40P25UFBFG033 | Long             | EC               | CORP              | DE        |      48420 | NS      | $891193.29    | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-60627.53    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED CHF / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | CH        |          1 | NC      | $21679.32     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| NATIONWIDE BLDG SOCIETY                           | Nationwide Building Society                                                                                                            | CUSIP: 000000000<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $281050.02    | 0.08%             | 2031-12-20      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-6731.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD AUD                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-32616.60    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140XEAU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74691 | PA      | $65239.50     | 0.02%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                      | UBS Group AG                                                                                                                           | CUSIP: 000000000<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | EC               | CORP              | CH        |      61715 | NS      | $2088408.53   | 0.61%             |  |  |  | No            |                  1 | On Loan: No      |
| PRYSMIAN SPA                                      | Prysmian SpA                                                                                                                           | CUSIP: 000000000<br>LEI: 529900X0H1IO3RS1A464 | Long             | DBT              | CORP              | IT        |     200000 | PA      | $241781.44    | 0.07%             | 2030-05-21      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179WVT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     309504 | PA      | $252095.24    | 0.07%             | 2052-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                                                             | CUSIP: 21H062677<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     350000 | PA      | $359285.36    | 0.11%             | 2054-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| The Montreal Exchange / Bourse De Montreal        | S+P/TSX 60 IX FUT SEP25                                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | CA        |         35 | NC      | $69499.83     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| HUNTINGTON INGALLS INDUS                          | Huntington Ingalls Industries Inc                                                                                                      | CUSIP: 446413BB1<br>LEI: 5TZLZ6WJTBVJ0QWBG121 | Long             | DBT              | CORP              | US        |     191000 | PA      | $196945.01    | 0.06%             | 2035-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD PLN                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-22635.43    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                            | UnitedHealth Group Inc                                                                                                                 | CUSIP: 91324PFJ6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     332000 | PA      | $335352.38    | 0.10%             | 2034-07-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138ENSU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     101790 | PA      | $101182.22    | 0.03%             | 2043-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED KRW / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | KR        |          1 | NC      | $5699.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN INTERNATIONAL                            | American International Group Inc                                                                                                       | CUSIP: 026874DS3<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | DBT              | CORP              | US        |     247000 | PA      | $251113.82    | 0.07%             | 2033-03-27      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD THB                                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-11778.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Eni SpA                                           | Eni SpA                                                                                                                                | CUSIP: 000000000<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | EC               | CORP              | IT        |      76607 | NS      | $1241692.29   | 0.36%             |  |  |  | No            |                  1 | On Loan: No      |
| PKO BANK POLSKI SA                                | Powszechna Kasa Oszczednosci Bank Polski SA                                                                                            | CUSIP: 000000000<br>LEI: P4GTT6GF1W40CVIMFR43 | Long             | DBT              | CORP              | PL        |     217000 | PA      | $255934.81    | 0.08%             | 2031-06-30      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                      | CUSIP: 3136BN6P6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     556010 | PA      | $542410.64    | 0.16%             | 2052-10-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE TELEKOM AG                               | Deutsche Telekom AG                                                                                                                    | CUSIP: 000000000<br>LEI: 549300V9QSIG4WX4GJ96 | Long             | DBT              | CORP              | DE        |     150000 | PA      | $164931.29    | 0.05%             | 2045-02-03      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-1166.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED GBP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | GB        |          1 | NC      | $35961.45     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ASX Clear (Futures)                               | SPI 200 FUTURES SEP25                                                                                                                  | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DE               |  | AU        |        -35 | NC      | $5090.79      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3133CA7G9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      98503 | PA      | $101994.63    | 0.03%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Exchange traded                                   | S+P 500 INDEX                                                                                                                          | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |          9 | NC      | $18810.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                              | Edison International                                                                                                                   | CUSIP: 281020AU1<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |     290000 | PA      | $289550.44    | 0.09%             | 2025-08-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Boeing Co/The                                     | Boeing Co/The                                                                                                                          | CUSIP: 097023105<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | EC               | CORP              | US        |        992 | NS      | $207853.76    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-4713.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                  | COLT 2024-1 Mortgage Loan Trust                                                                                                        | CUSIP: 19688TAA3<br>LEI: 2138001HZNOLT1K3WY73 | Long             | ABS-MBS          | CORP              | US        |     209778 | PA      | $210603.61    | 0.06%             | 2069-02-25      | Variable      | 5.84%                 | Yes           |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2024-NQM3 Trust                                                                                                                    | CUSIP: 67118KAA1<br>LEI: 2549001QDCO9VU0HH514 | Long             | ABS-MBS          | CORP              | US        |      96673 | PA      | $97430.99     | 0.03%             | 2063-12-25      | Variable      | 6.13%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140QM3U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44351 | PA      | $35454.92     | 0.01%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                       | PURCHASED HUF / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | HU        |          1 | NC      | $10077.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Aon PLC                                           | Aon PLC                                                                                                                                | CUSIP: 000000000<br>LEI: 635400FALWQYX5E6QC64 | Long             | EC               | CORP              | IE        |       4166 | NS      | $1486262.16   | 0.44%             |  |  |  | No            |                  1 | On Loan: No      |
| PROVINCE OF ALBERTA                               | Province of Alberta Canada                                                                                                             | CUSIP: 013051EP8<br>LEI: LQPXMHHNJKIPJYE53543 | Long             | DBT              | NUSS              | CA        |     431000 | PA      | $289911.79    | 0.09%             | 2031-06-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Exchange traded                                   | CS100179 MFS                                                                                                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | CA        |    3320000 | NC      | $13195.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED CNH / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | CN        |          1 | NC      | $672.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED CAD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | CA        |          1 | NC      | $-4329.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| South African Futures Exchange                    | FTSE/JSE TOP 40 SEP25                                                                                                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | ZA        |        -50 | NC      | $-38596.19    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| TESCO CORP TREASURY SERV                          | Tesco Corporate Treasury Services PLC                                                                                                  | CUSIP: 000000000<br>LEI: 21380018AJDKNF3A6712 | Long             | DBT              | CORP              | GB        |     160000 | PA      | $214104.09    | 0.06%             | 2034-05-22      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| TDC NET AS                                        | TDC Net A/S                                                                                                                            | CUSIP: 000000000<br>LEI: 549300SH2G3R15Y3FX20 | Long             | DBT              | CORP              | DK        |     100000 | PA      | $120410.12    | 0.04%             | 2032-08-09      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2021-L6                                                                                                 | CUSIP: 61692CBK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4645022 | PA      | $201721.21    | 0.06%             | 2054-06-15      | Variable      | 1.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128PR3E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         32 | PA      | $31.44        | 0.00%             | 2025-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | N/A       |          1 | NC      | $6257.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED KRW / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | KR        |          1 | NC      | $9268.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-8615.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED JPY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | JP        |          1 | NC      | $579.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BX Trust                                          | BX Commercial Mortgage Trust 2024-PURE                                                                                                 | CUSIP: 74625PAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | CA        |     457000 | PA      | $339071.31    | 0.10%             | 2041-11-15      | Floating      | 4.66%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-14818.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US ULTRA BOND CBT SEP25                                                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         -3 | NC      | $-14823.99    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED AUD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | AU        |          1 | NC      | $4267.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Baidu Inc                                         | Baidu Inc                                                                                                                              | CUSIP: 056752108<br>LEI: 254900AL64IANZYI1E02 | Long             | EC               | CORP              | KY        |       1939 | NS      | $166288.64    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Heidelberg Materials AG                           | Heidelberg Materials AG                                                                                                                | CUSIP: 000000000<br>LEI: LZ2C6E0W5W7LQMX5ZI37 | Long             | EC               | CORP              | DE        |       1783 | NS      | $418902.04    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128M73V6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24524 | PA      | $24918.71     | 0.01%             | 2036-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Euronext NV                                       | Euronext NV                                                                                                                            | CUSIP: 000000000<br>LEI: 724500QJ4QSZ3H9QU415 | Long             | EC               | CORP              | NL        |       1145 | NS      | $195704.13    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418EE30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64124 | PA      | $55537.93     | 0.02%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Dominican Republic International Bonds            | Dominican Republic International Bonds                                                                                                 | CUSIP: 000000000<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |     750000 | PA      | $691762.50    | 0.20%             | 2032-09-23      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch International                       | PURCHASED CAD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DFE              |  | CA        |          1 | NC      | $1998.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Sompo Holdings Inc                                | Sompo Holdings Inc                                                                                                                     | CUSIP: 000000000<br>LEI: 353800CWW4SRGEYEB512 | Long             | EC               | CORP              | JP        |       9000 | NS      | $271553.07    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138ETDL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     184831 | PA      | $184201.58    | 0.05%             | 2043-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2021-L5                                                                                                 | CUSIP: 61691YAP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2236059 | PA      | $110463.31    | 0.03%             | 2054-05-15      | Variable      | 1.40%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC                                 | Brown & Brown Inc                                                                                                                      | CUSIP: 115236AL5<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |      51000 | PA      | $52015.06     | 0.02%             | 2032-06-23      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-5611.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-8511.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ELEMENT FLEET MANAGEMENT                          | Element Fleet Management Corp                                                                                                          | CUSIP: 286181AH5<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |     156000 | PA      | $158209.71    | 0.05%             | 2026-06-26      | Fixed         | 6.27%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-5937.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                                                                            | CUSIP: 38141GB60<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     164000 | PA      | $164492.58    | 0.05%             | 2030-10-23      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| Sanofi SA                                         | Sanofi SA                                                                                                                              | CUSIP: 000000000<br>LEI: 549300E9PC51EN656011 | Long             | EC               | CORP              | FR        |       9300 | NS      | $900605.70    | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | N/A       |          1 | NC      | $146058.75    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Altria Group Inc                                  | Altria Group Inc                                                                                                                       | CUSIP: 02209S103<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | EC               | CORP              | US        |       6069 | NS      | $355825.47    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Mitsubishi Electric Corp                          | Mitsubishi Electric Corp                                                                                                               | CUSIP: 000000000<br>LEI: 549300TRXM9Y6561AX39 | Long             | EC               | CORP              | JP        |      42400 | NS      | $915984.86    | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| LKQ Corp                                          | LKQ Corp                                                                                                                               | CUSIP: 501889208<br>LEI: DS830JTTZQN6GK0I2E41 | Long             | EC               | CORP              | US        |      16022 | NS      | $592974.22    | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| Capgemini SE                                      | Capgemini SE                                                                                                                           | CUSIP: 000000000<br>LEI: 96950077L0TN7BAROX36 | Long             | EC               | CORP              | FR        |       6049 | NS      | $1033542.67   | 0.30%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS GROUP AG                                      | UBS Group AG                                                                                                                           | CUSIP: 902613AD0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     365000 | PA      | $322596.86    | 0.09%             | 2031-02-10      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| SUDZUCKER INT FINANCE                             | Sudzucker International Finance BV                                                                                                     | CUSIP: 000000000<br>LEI: 724500M1VGG79HOVI026 | Long             | DBT              | CORP              | NL        |     200000 | PA      | $232728.89    | 0.07%             | 2030-05-28      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-3699.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED CHF / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CH        |          1 | NC      | $7372.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Exchange traded                                   | CS100178 MFS                                                                                                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | LU        |   -3320000 | NC      | $-6209.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                                                                                    | CUSIP: 46647PEG7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     267000 | PA      | $277241.28    | 0.08%             | 2030-04-22      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| E.ON INTL FINANCE BV                              | E.ON International Finance BV                                                                                                          | CUSIP: 000000000<br>LEI: 549300TG53AWJ719M814 | Long             | DBT              | CORP              | NL        |     200000 | PA      | $277106.83    | 0.08%             | 2037-10-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | N/A       |          1 | NC      | $21300.25     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ALLIANDER NV                                      | Alliander NV                                                                                                                           | CUSIP: 000000000<br>LEI: 724500XBZ9QOPTI11U82 | Long             | DBT              | CORP              | NL        |     190000 | PA      | $222774.40    | 0.07%             | 2037-05-06      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TOLEDO HOSPITAL/THE                               | Toledo Hospital/The                                                                                                                    | CUSIP: 889184AG2<br>LEI: 5493009DCR7NWV6K4T34 | Long             | DBT              | CORP              | US        |     309000 | PA      | $303839.74    | 0.09%             | 2048-11-15      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31412MAJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6151 | PA      | $6447.96      | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED JPY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | JP        |          1 | NC      | $36158.55     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD KRW                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-4079.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| XPLR INFRAST OPERATING                            | XPLR Infrastructure Operating Partners LP                                                                                              | CUSIP: 98380MAB1<br>LEI: 549300KJEC5IUVJWR786 | Long             | DBT              | CORP              | US        |      35000 | PA      | $37512.20     | 0.01%             | 2033-03-15      | Fixed         | 8.63%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED GBP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | GB        |          1 | NC      | $22921.93     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limited                  | Bain Capital Credit CLO 2021-7 Ltd                                                                                                     | CUSIP: 05682NAQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     633790 | PA      | $632293.62    | 0.19%             | 2035-01-22      | Floating      | 5.77%                 | Yes           |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED JPY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | JP        |          1 | NC      | $1855.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Michigan Finance Authority                        | MICHIGAN ST FIN AUTH REVENUE                                                                                                           | CUSIP: 59447TXX6<br>LEI: 54930022O46HOX5J1D14 | Long             | DBT              | MUN               | US        |     480000 | PA      | $392584.22    | 0.12%             | 2040-12-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| AVIVA PLC                                         | Aviva PLC                                                                                                                              | CUSIP: 000000000<br>LEI: YF0Y5B0IB8SM0ZFG9G81 | Long             | DBT              | CORP              | GB        |     330000 | PA      | $396449.11    | 0.12%             | 2056-08-28      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| U.K. Gilts                                        | U.K. Gilts                                                                                                                             | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    3565000 | PA      | $4864030.61   | 1.43%             | 2031-10-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                                  | CUSIP: 01F020687<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     450000 | PA      | $356335.36    | 0.10%             | 2054-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust       | MF1 Multifamily Housing Mortgage Loan Trust                                                                                            | CUSIP: 55282XAG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     200000 | PA      | $199455.60    | 0.06%             | 2036-07-15      | Floating      | 6.13%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418XGC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     152047 | PA      | $152976.23    | 0.04%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VULCAN MATERIALS CO                               | Vulcan Materials Co                                                                                                                    | CUSIP: 929160BD0<br>LEI: 549300Q8LSNHAVWBNI21 | Long             | DBT              | CORP              | US        |     142000 | PA      | $140864.50    | 0.04%             | 2054-12-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPCO                           | Columbia Pipelines Operating Co LLC                                                                                                    | CUSIP: 19828TAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     118000 | PA      | $123815.38    | 0.04%             | 2033-11-15      | Fixed         | 6.04%                 | Yes           |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD AUD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-10428.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3132DWDS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     858297 | PA      | $743970.92    | 0.22%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED JPY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | JP        |          1 | NC      | $-37061.95    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Tenaris SA                                        | Tenaris SA                                                                                                                             | CUSIP: 000000000<br>LEI: 549300Y7C05BKC4HZB40 | Long             | EC               | CORP              | LU        |       4397 | NS      | $82741.70     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD AUD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-18738.81    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-25860.66    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ELM Trust 2024                                    | ELM Trust 2024-ELM                                                                                                                     | CUSIP: 26860XBA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     334396 | PA      | $337001.61    | 0.10%             | 2039-06-10      | Variable      | 6.20%                 | Yes           |                  2 | On Loan: No      |
| SHURGARD LUXEMBOURG                               | Shurgard Luxembourg Sarl                                                                                                               | CUSIP: 000000000<br>LEI: 54930064DJ4U15OBV665 | Long             | DBT              | CORP              | LU        |     200000 | PA      | $234990.92    | 0.07%             | 2035-05-27      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SERBIA                                | Serbia International Bond                                                                                                              | CUSIP: 817477AH5<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |     255000 | PA      | $268476.26    | 0.08%             | 2033-09-26      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| U.K. Gilts                                        | U.K. Gilts                                                                                                                             | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    1176000 | PA      | $1265954.58   | 0.37%             | 2052-07-22      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2021-BNK34                                                                                                                        | CUSIP: 06541JAR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2936922 | PA      | $118787.04    | 0.03%             | 2063-06-15      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137FTG43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1420926 | PA      | $106186.79    | 0.03%             | 2030-04-25      | Variable      | 1.91%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137FUZG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3920368 | PA      | $301236.37    | 0.09%             | 2030-05-25      | Variable      | 1.91%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SERBIA                                | Serbia International Bond                                                                                                              | CUSIP: 817477AJ1<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |     450000 | PA      | $453647.72    | 0.13%             | 2034-06-12      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Singapore Exchange Derivatives Clearing Ltd.      | FTSE TAIWAN INDEX JUL25                                                                                                                | CUSIP: 000000000<br>LEI: 549300ZLWT3FK3F0FW61 | N/A              | DE               |  | SG        |        -50 | NC      | $-113472.20   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| ENGINEERING SPA                                   | Engineering - Ingegneria Informatica - SpA                                                                                             | CUSIP: 000000000<br>LEI: 81560042F5E23EE61346 | Long             | DBT              | CORP              | IT        |     100000 | PA      | $126021.40    | 0.04%             | 2030-02-15      | Fixed         | 8.63%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED CAD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | CA        |          1 | NC      | $1274.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 10YR NOTE (CBT)SEP25                                                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -258 | NC      | $-422652.74   | -0.12%            |  |  |  | No            |                  1 | On Loan: No      |
| Sberbank of Russia PJSC                           | Sberbank of Russia PJSC                                                                                                                | CUSIP: 000000000<br>LEI: 549300WE6TAF5EEWQS81 | Long             | EC               | CORP              | RU        |     137348 | NS      | $0.00         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| PKO BANK POLSKI SA                                | Powszechna Kasa Oszczednosci Bank Polski SA                                                                                            | CUSIP: 000000000<br>LEI: P4GTT6GF1W40CVIMFR43 | Long             | DBT              | CORP              | PL        |     260000 | PA      | $309770.87    | 0.09%             | 2027-09-12      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |          1 | NC      | $-1310.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MBANK SA                                          | mBank SA                                                                                                                               | CUSIP: 000000000<br>LEI: 259400DZXF7UJKK2AY35 | Long             | DBT              | CORP              | PL        |     200000 | PA      | $237062.57    | 0.07%             | 2035-09-25      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| Canada Government Bonds                           | Canada Government Bonds                                                                                                                | CUSIP: 135087N59<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    3026000 | PA      | $2074301.61   | 0.61%             | 2032-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED CAD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | CA        |          1 | NC      | $2129.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HAMMERSON PLC                                     | Hammerson PLC                                                                                                                          | CUSIP: 000000000<br>LEI: 213800G1C9KKVVDN1A60 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $270399.03    | 0.08%             | 2036-10-08      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2024-1                                                                                                      | CUSIP: 92540EAA1<br>LEI: 984500A3F1D749452747 | Long             | ABS-MBS          | CORP              | US        |     225986 | PA      | $226419.52    | 0.07%             | 2069-01-25      | Variable      | 5.71%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD CLP                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-2996.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AIB GROUP PLC                                     | AIB Group PLC                                                                                                                          | CUSIP: 00135TAD6<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |     400000 | PA      | $423181.10    | 0.12%             | 2029-09-13      | Fixed         | 6.61%                 | Yes           |                  2 | On Loan: No      |
| CARNIVAL CORP                                     | Carnival Corp                                                                                                                          | CUSIP: 000000000<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |     130000 | PA      | $163214.37    | 0.05%             | 2030-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| EPH FIN INTERNATIONAL AS                          | EPH Financing International AS                                                                                                         | CUSIP: 000000000<br>LEI: 3157003E5A4ZV0JCSM65 | Long             | DBT              | CORP              | CZ        |     273000 | PA      | $323625.78    | 0.10%             | 2032-07-02      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | N/A       |          1 | NC      | $7361.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MARS INC                                          | Mars Inc                                                                                                                               | CUSIP: 571676BC8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     259000 | PA      | $258367.72    | 0.08%             | 2055-05-01      | Fixed         | 5.70%                 | Yes           |                  2 | On Loan: No      |
| Petroleo Brasileiro SA - Petrobras                | Petroleo Brasileiro SA - Petrobras                                                                                                     | CUSIP: 71654V408<br>LEI: 5493000J801JZRCMFE49 | Long             | EC               | CORP              | BR        |      23739 | NS      | $296974.89    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | N/A       |          1 | NC      | $3324.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Pembina Pipeline Corp                             | Pembina Pipeline Corp                                                                                                                  | CUSIP: 70632ZAD3<br>LEI: 5493002W3L9YICM6FU21 | Long             | DBT              | CORP              | CA        |     425000 | PA      | $293909.31    | 0.09%             | 2044-03-25      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                       | PURCHASED JPY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | JP        |          1 | NC      | $-776.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD SGD                                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-7310.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Astra International Tbk PT                        | Astra International Tbk PT                                                                                                             | CUSIP: 000000000<br>LEI: 529900L49TRJOMG4DK47 | Long             | EC               | CORP              | ID        |     433300 | NS      | $120101.63    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS Mortgage Trust 2020-C7                                                                                                           | CUSIP: 05492VAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     954433 | PA      | $46315.28     | 0.01%             | 2053-04-15      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| Spain Government Bonds                            | Spain Government Bonds                                                                                                                 | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    2640000 | PA      | $3226301.09   | 0.95%             | 2039-07-30      | Fixed         | 3.90%                 | Yes           |                  2 | On Loan: No      |
| Diageo PLC                                        | Diageo PLC                                                                                                                             | CUSIP: 000000000<br>LEI: 213800ZVIELEA55JMJ32 | Long             | EC               | CORP              | GB        |      24560 | NS      | $616260.41    | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | N/A       |          1 | NC      | $3051.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-18808.03    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                          | Anheuser-Busch InBev Worldwide Inc                                                                                                     | CUSIP: 035240AM2<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |     180000 | PA      | $167952.45    | 0.05%             | 2038-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| REPUBLICA ORIENT URUGUAY                          | Uruguay Government International Bond                                                                                                  | CUSIP: 760942BF8<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |   22117000 | PA      | $582275.83    | 0.17%             | 2033-07-20      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                  | Deutsche Bank AG/New York NY                                                                                                           | CUSIP: 25160PAQ0<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     300000 | PA      | $305266.05    | 0.09%             | 2029-01-10      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137H4SM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1517361 | PA      | $46067.69     | 0.01%             | 2031-12-25      | Variable      | 0.66%                 | No            |                  2 | On Loan: No      |
| Cie Generale des Etablissements Michelin SCA      | Cie Generale des Etablissements Michelin SCA                                                                                           | CUSIP: 000000000<br>LEI: 549300SOSI58J6VIW052 | Long             | EC               | CORP              | FR        |      21437 | NS      | $796439.50    | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| JERSEY CENTRAL PWR & LT                           | Jersey Central Power & Light Co                                                                                                        | CUSIP: 476556DF9<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |     221000 | PA      | $220346.66    | 0.06%             | 2035-01-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED CZK / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | CZ        |          1 | NC      | $62358.01     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| XPLR INFRAST OPERATING                            | XPLR Infrastructure Operating Partners LP                                                                                              | CUSIP: 98380MAA3<br>LEI: 549300KJEC5IUVJWR786 | Long             | DBT              | CORP              | US        |     155000 | PA      | $165556.12    | 0.05%             | 2031-01-15      | Fixed         | 8.38%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140KFYV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24715 | PA      | $20926.05     | 0.01%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-4112.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK GOSPODARSTWA KRAJOW                          | Bank Gospodarstwa Krajowego                                                                                                            | CUSIP: 06237MAB9<br>LEI: 259400BCOV9JJIGLYF05 | Long             | DBT              | NUSS              | PL        |     253000 | PA      | $266319.38    | 0.08%             | 2028-10-31      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | N/A       |          1 | NC      | $4785.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140KG4A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23997 | PA      | $20365.54     | 0.01%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                            | NextEra Energy Capital Holdings Inc                                                                                                    | CUSIP: 65339KBS8<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |     277000 | PA      | $277406.13    | 0.08%             | 2025-09-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-37866.40    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-5350.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BAT INTL FINANCE PLC                              | BAT International Finance PLC                                                                                                          | CUSIP: 000000000<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |     167000 | PA      | $201970.12    | 0.06%             | 2032-04-12      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| GOVT OF BERMUDA                                   | Bermuda Government International Bond                                                                                                  | CUSIP: 085209AJ3<br>LEI: 549300FP5PUZXX9FVJ40 | Long             | DBT              | NUSS              | BM        |     716000 | PA      | $705618.00    | 0.21%             | 2032-07-15      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137F62R7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     905456 | PA      | $48112.22     | 0.01%             | 2030-09-25      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| Glencore PLC                                      | Glencore PLC                                                                                                                           | CUSIP: 000000000<br>LEI: 2138002658CPO9NBH955 | Long             | EC               | CORP              | JE        |     158056 | NS      | $615285.85    | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | PURCHASED USD / SOLD CHF                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |          1 | NC      | $-1716.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEWS CORP                                         | News Corp                                                                                                                              | CUSIP: 65249BAA7<br>LEI: 549300ITS31QK8VRBQ14 | Long             | DBT              | CORP              | US        |     352000 | PA      | $336772.62    | 0.10%             | 2029-05-15      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Telefonaktiebolaget LM Ericsson                   | Telefonaktiebolaget LM Ericsson                                                                                                        | CUSIP: 000000000<br>LEI: 549300W9JLPW15XIFM52 | Long             | EC               | CORP              | SE        |      59538 | NS      | $509360.18    | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 31427NMZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     293523 | PA      | $303785.46    | 0.09%             | 2054-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Hartford Insurance Group Inc/The                  | Hartford Insurance Group Inc/The                                                                                                       | CUSIP: 416515104<br>LEI: IU7C3FTM7Y3BQM112U94 | Long             | EC               | CORP              | US        |       2819 | NS      | $357646.53    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| ANHEUSER-BUSCH INBEV SA/                          | Anheuser-Busch InBev SA/NV                                                                                                             | CUSIP: 000000000<br>LEI: 5493008H3828EMEXB082 | Long             | DBT              | CORP              | BE        |     100000 | PA      | $117477.84    | 0.03%             | 2045-05-19      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Electronic Arts Inc                               | Electronic Arts Inc                                                                                                                    | CUSIP: 285512109<br>LEI: 549300O7A67PUEYKDL45 | Long             | EC               | CORP              | US        |       2626 | NS      | $419372.20    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140X54P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65218 | PA      | $54799.01     | 0.02%             | 2050-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES                           | Royal Caribbean Cruises Ltd                                                                                                            | CUSIP: 780153BV3<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |     285000 | PA      | $290493.95    | 0.09%             | 2033-02-01      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Verisk Analytics Inc                              | Verisk Analytics Inc                                                                                                                   | CUSIP: 92345Y106<br>LEI: 549300I1YSWNIRKBWP67 | Long             | EC               | CORP              | US        |        591 | NS      | $184096.50    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Humana Inc                                        | Humana Inc                                                                                                                             | CUSIP: 444859102<br>LEI: 529900YLDW34GJAO4J06 | Long             | EC               | CORP              | US        |        702 | NS      | $171624.96    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Tapestry Inc                                      | Tapestry Inc                                                                                                                           | CUSIP: 876030107<br>LEI: 549300LJNVY5SW3VTN33 | Long             | EC               | CORP              | US        |       3615 | NS      | $317433.15    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| LOW INCOME INVESTMENT                             | Low Income Investment Fund                                                                                                             | CUSIP: 54750AAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     400000 | PA      | $376111.76    | 0.11%             | 2029-07-01      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-2904.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BM11815   IRS USD R V 12MUSCPI SM11815_FLO CCPINFLATIONZERO / Short: BM11815   IRS USD P F  2.74500 SM11815_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    5600000 | OU      | $-1240.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $620.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Oracle Corp                                       | Oracle Corp                                                                                                                            | CUSIP: 68389XBJ3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     190000 | PA      | $146537.58    | 0.04%             | 2046-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Cie de Saint-Gobain SA                            | Cie de Saint-Gobain SA                                                                                                                 | CUSIP: 000000000<br>LEI: NFONVGN05Z0FMN5PEC35 | Long             | EC               | CORP              | FR        |       7674 | NS      | $900705.07    | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| WMG ACQUISITION CORP                              | WMG Acquisition Corp                                                                                                                   | CUSIP: 92933BAQ7<br>LEI: 549300NAS11NXI33CP80 | Long             | DBT              | CORP              | US        |     194000 | PA      | $181325.98    | 0.05%             | 2030-07-15      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                                     | CUSIP: 3137HLVG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     346288 | PA      | $348709.04    | 0.10%             | 2055-06-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3132DWMS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     394036 | PA      | $394110.01    | 0.12%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED KRW / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | KR        |          1 | NC      | $1752.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                                                    | CUSIP: 91282CMU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2628000 | PA      | $2652432.20   | 0.78%             | 2030-03-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                                   | AREIT 2022-CRE6 Trust                                                                                                                  | CUSIP: 04002VAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     119000 | PA      | $117841.00    | 0.03%             | 2037-01-20      | Floating      | 6.45%                 | Yes           |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED GBP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | GB        |          1 | NC      | $78826.89     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | N/A       |          1 | NC      | $5806.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED GBP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | GB        |          1 | NC      | $3801.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WEA FINANCE LLC                                   | WEA Finance LLC                                                                                                                        | CUSIP: 92928QAH1<br>LEI: 3CYEJKBUJZO3UW777J80 | Long             | DBT              | CORP              | US        |     323000 | PA      | $314273.27    | 0.09%             | 2027-01-15      | Fixed         | 2.88%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3132DM5R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     155701 | PA      | $123794.21    | 0.04%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2025-NQM3                                                                                          | CUSIP: 64832CAC7<br>LEI: 2138002D8CMDYG7QOU84 | Long             | ABS-MBS          | CORP              | US        |     175860 | PA      | $175663.05    | 0.05%             | 2065-05-25      | Variable      | 5.53%                 | Yes           |                  2 | On Loan: No      |
| TPG Real Estate Finance                           | TRTX 2021-FL4 Issuer Ltd                                                                                                               | CUSIP: 87276WAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     350000 | PA      | $348909.40    | 0.10%             | 2038-03-15      | Floating      | 5.83%                 | Yes           |                  2 | On Loan: No      |
| KOREA TREASURY BOND                               | Korea Treasury Bond                                                                                                                    | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        | 4940400000 | PA      | $3448683.45   | 1.01%             | 2030-06-10      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                      | UBS Group AG                                                                                                                           | CUSIP: 902613AK4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     448000 | PA      | $390863.83    | 0.11%             | 2033-02-11      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| Taiwan Semiconductor Manufacturing Co Ltd         | Taiwan Semiconductor Manufacturing Co Ltd                                                                                              | CUSIP: 000000000<br>LEI: 549300KB6NK5SBD14S87 | Long             | EC               | CORP              | TW        |       5000 | NS      | $181432.29    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $18186.18     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FLORA FOOD MANAGEMENT BV                          | Flora Food Management BV                                                                                                               | CUSIP: 000000000<br>LEI: 2549002VGA888UKFKS25 | Long             | DBT              | CORP              | NL        |     140000 | PA      | $167345.19    | 0.05%             | 2029-07-02      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | N/A       |          1 | NC      | $6032.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FISERV INC                                        | Fiserv Inc                                                                                                                             | CUSIP: 337738AV0<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |     356000 | PA      | $291452.15    | 0.09%             | 2049-07-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| KDDI Corp                                         | KDDI Corp                                                                                                                              | CUSIP: 000000000<br>LEI: 5299003FU7V4I45FU310 | Long             | EC               | CORP              | JP        |      66100 | NS      | $1138349.36   | 0.33%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | N/A       |          1 | NC      | $11858.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOOZ ALLEN HAMILTON INC                           | Booz Allen Hamilton Inc                                                                                                                | CUSIP: 09951LAD5<br>LEI: 549300D7XCH2480XU542 | Long             | DBT              | CORP              | US        |     262000 | PA      | $265900.92    | 0.08%             | 2035-04-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| GLENCORE CAP FIN DAC                              | Glencore Capital Finance DAC                                                                                                           | CUSIP: 000000000<br>LEI: 213800HCUCI1HC7X6Q34 | Long             | DBT              | CORP              | IE        |     290000 | PA      | $342832.05    | 0.10%             | 2032-02-04      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CLARIOS GLOBAL LP/US FIN                          | Clarios Global LP / Clarios US Finance Co                                                                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |     100000 | PA      | $118247.40    | 0.03%             | 2031-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CELLNEX FINANCE CO SA                             | Cellnex Finance Co SA                                                                                                                  | CUSIP: 000000000<br>LEI: 549300OUROMFTRFA7T23 | Long             | DBT              | CORP              | ES        |     200000 | PA      | $234603.35    | 0.07%             | 2032-05-22      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3132A5GF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     218495 | PA      | $201509.07    | 0.06%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | PURCHASED USD / SOLD CHF                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |          1 | NC      | $-7413.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418ECQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22497 | PA      | $18701.42     | 0.01%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PAYCHEX INC                                       | Paychex Inc                                                                                                                            | CUSIP: 704326AA5<br>LEI: 529900K900DW6SUBM174 | Long             | DBT              | CORP              | US        |      98000 | PA      | $100369.64    | 0.03%             | 2030-04-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| MARATHON PETROLEUM CORP                           | Marathon Petroleum Corp                                                                                                                | CUSIP: 56585ABL5<br>LEI: 3BNYRYQHD39K4LCKQF12 | Long             | DBT              | CORP              | US        |     197000 | PA      | $199792.07    | 0.06%             | 2035-03-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD NOK                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $15759.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | N/A       |          1 | NC      | $32035.32     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED COP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | CO        |          1 | NC      | $23912.53     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Nasdaq Stockholm AB                               | OMXS30 IND FUTURE JUL25                                                                                                                | CUSIP: 000000000<br>LEI: 549300KBQIVNEJEZVL96 | N/A              | DE               |  | SE        |       -154 | NC      | $-14480.97    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137FTFW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     809000 | PA      | $17077.26     | 0.01%             | 2027-03-25      | Variable      | 1.49%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US LONG BOND(CBT) SEP25                                                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         16 | NC      | $62642.68     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| AEP TRANSMISSION CO LLC                           | AEP Transmission Co LLC                                                                                                                | CUSIP: 00115AAS8<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |     234000 | PA      | $239091.83    | 0.07%             | 2035-06-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                       | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-17281.11    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED INR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | IN        |          1 | NC      | $17580.33     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                       | PURCHASED USD / SOLD CZK                                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-21767.58    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | N/A       |          1 | NC      | $27699.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Kyocera Corp                                      | Kyocera Corp                                                                                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |      46200 | NS      | $556145.27    | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-453.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED MXN / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | MX        |          1 | NC      | $7198.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Manulife Financial Corp                           | Manulife Financial Corp                                                                                                                | CUSIP: 56501R106<br>LEI: 5493007GBX87QOZACS27 | Long             | EC               | CORP              | CA        |      23880 | NS      | $763528.69    | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-5255.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3133BAFE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      40316 | PA      | $34981.68     | 0.01%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                                    | Eli Lilly & Co                                                                                                                         | CUSIP: 532457CY2<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |     283000 | PA      | $284763.62    | 0.08%             | 2055-02-12      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                          | Ford Motor Credit Co LLC                                                                                                               | CUSIP: 345397D26<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     228000 | PA      | $231116.48    | 0.07%             | 2026-06-10      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                         | Boeing Co/The                                                                                                                          | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     337000 | PA      | $323183.27    | 0.09%             | 2050-05-01      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                                                                                      | CUSIP: 404280ER6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     234000 | PA      | $237124.37    | 0.07%             | 2031-03-03      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch International                       | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DFE              |  | N/A       |          1 | NC      | $96958.52     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179YHS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     411332 | PA      | $413782.56    | 0.12%             | 2053-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3132DWMY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     468097 | PA      | $468184.70    | 0.14%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch International                       | PURCHASED CAD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DFE              |  | CA        |          1 | NC      | $-8.78        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-4447.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED NZD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | NZ        |          1 | NC      | $4434.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARKEMA                                            | Arkema SA                                                                                                                              | CUSIP: 000000000<br>LEI: 9695000EHMS84KKP2785 | Long             | DBT              | CORP              | FR        |     100000 | PA      | $118825.77    | 0.03%             | 2030-05-27      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | N/A       |          1 | NC      | $6922.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Small Business Administration Participation Certs | United States Small Business Administration                                                                                            | CUSIP: 83162CRA3<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |       4318 | PA      | $4300.40      | 0.00%             | 2027-05-01      | Fixed         | 5.31%                 | No            |                  2 | On Loan: No      |
| Canada Government Bonds                           | Canada Government Bonds                                                                                                                | CUSIP: 135087S21<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     703000 | PA      | $516082.28    | 0.15%             | 2034-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED BRL / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | BR        |          1 | NC      | $14930.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPCO                           | Columbia Pipelines Operating Co LLC                                                                                                    | CUSIP: 19828TAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     265000 | PA      | $273887.97    | 0.08%             | 2053-11-15      | Fixed         | 6.54%                 | Yes           |                  2 | On Loan: No      |
| COMMERZBANK AG                                    | Commerzbank AG                                                                                                                         | CUSIP: 000000000<br>LEI: 851WYGNLUQLFZBSYGB56 | Long             | DBT              | CORP              | DE        |     200000 | PA      | $234197.32    | 0.07%             | 2034-06-06      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Kimberly-Clark Corp                               | Kimberly-Clark Corp                                                                                                                    | CUSIP: 494368103<br>LEI: MP3J6QPYPGN75NVW2S34 | Long             | EC               | CORP              | US        |       8004 | NS      | $1031875.68   | 0.30%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3133KNEG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     114969 | PA      | $96574.79     | 0.03%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Singapore Exchange Derivatives Clearing Ltd.      | MSCI SING IX ETS JUL25                                                                                                                 | CUSIP: 000000000<br>LEI: 549300ZLWT3FK3F0FW61 | N/A              | DE               |  | SG        |        228 | NC      | $204419.98    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| National Grid PLC                                 | National Grid PLC                                                                                                                      | CUSIP: 000000000<br>LEI: 8R95QZMKZLJX5Q2XR704 | Long             | EC               | CORP              | GB        |      91920 | NS      | $1339336.57   | 0.39%             |  |  |  | No            |                  1 | On Loan: No      |
| Interpublic Group of Cos Inc/The                  | Interpublic Group of Cos Inc/The                                                                                                       | CUSIP: 460690100<br>LEI: 5493008IUOJ5VWTRC333 | Long             | EC               | CORP              | US        |       4165 | NS      | $101959.20    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| CHINA GOVERNMENT BOND                             | China Government Bond                                                                                                                  | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |   24800000 | PA      | $3451700.03   | 1.01%             | 2030-01-25      | Fixed         | 1.43%                 | No            |                  2 | On Loan: No      |
| BONOS DE TESORERIA                                | Peru Government Bond                                                                                                                   | CUSIP: 000000000<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    3856000 | PA      | $1120332.64   | 0.33%             | 2035-08-12      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |          1 | NC      | $-1193069.13  | -0.35%            |  |  |  | No            |                  2 | On Loan: No      |
| HELLENIC REPUBLIC                                 | Hellenic Republic Government Bond                                                                                                      | CUSIP: 000000000<br>LEI: 2138003EKTMKZ5598902 | Long             | DBT              | NUSS              | GR        |    2609000 | PA      | $3157024.77   | 0.93%             | 2035-06-15      | Fixed         | 3.63%                 | Yes           |                  2 | On Loan: No      |
| VIDEOTRON LTD                                     | Videotron Ltd                                                                                                                          | CUSIP: 92660FAN4<br>LEI: 549300LW4GNJRBECSD81 | Long             | DBT              | CORP              | CA        |     288000 | PA      | $275374.14    | 0.08%             | 2029-06-15      | Fixed         | 3.63%                 | Yes           |                  2 | On Loan: No      |
| NEC Corp                                          | NEC Corp                                                                                                                               | CUSIP: 000000000<br>LEI: 5493000QYMPFRTEY4K28 | Long             | EC               | CORP              | JP        |      31700 | NS      | $928733.72    | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                                  | CUSIP: 01F020679<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     425000 | PA      | $336339.73    | 0.10%             | 2054-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                   | Danske Bank A/S                                                                                                                        | CUSIP: 000000000<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |     270000 | PA      | $318018.91    | 0.09%             | 2033-05-26      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ELEMENT FLEET MANAGEMENT                          | Element Fleet Management Corp                                                                                                          | CUSIP: 286181AP7<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |     268000 | PA      | $270355.17    | 0.08%             | 2030-03-25      | Fixed         | 5.04%                 | Yes           |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-6226.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                           | Hyundai Capital America                                                                                                                | CUSIP: 44891ABL0<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     157000 | PA      | $166774.71    | 0.05%             | 2030-04-08      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| Hon Hai Precision Industry Co Ltd                 | Hon Hai Precision Industry Co Ltd                                                                                                      | CUSIP: 000000000<br>LEI: 30030004CM3GSZXX7O56 | Long             | EC               | CORP              | TW        |     123000 | NS      | $677906.34    | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| NIPPON LIFE INSURANCE                             | Nippon Life Insurance Co                                                                                                               | CUSIP: 000000000<br>LEI: 549300Y0HHMFW3EVWY08 | Long             | DBT              | CORP              | JP        |     110000 | PA      | $127744.55    | 0.04%             | 2055-01-23      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3132DWDY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36421 | PA      | $30277.34     | 0.01%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CORPORACION INMOBILIARIA                          | Corp Inmobiliaria Vesta SAB de CV                                                                                                      | CUSIP: 000000000<br>LEI: 4469000001BIRIFZJ959 | Long             | DBT              | CORP              | MX        |     265000 | PA      | $234324.66    | 0.07%             | 2031-05-13      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140XGQ69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     106983 | PA      | $93619.91     | 0.03%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                           | BPCE SA                                                                                                                                | CUSIP: 000000000<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     100000 | PA      | $117339.46    | 0.03%             | 2036-02-26      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| QatarEnergy                                       | QatarEnergy                                                                                                                            | CUSIP: 000000000<br>LEI: 254900QTESJKJ3P87J26 | Long             | DBT              | CORP              | QA        |     236000 | PA      | $173932.00    | 0.05%             | 2041-07-12      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| WMG ACQUISITION CORP                              | WMG Acquisition Corp                                                                                                                   | CUSIP: 92933BAT1<br>LEI: 549300NAS11NXI33CP80 | Long             | DBT              | CORP              | US        |     145000 | PA      | $135913.47    | 0.04%             | 2029-12-01      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | N/A       |          1 | NC      | $62517.82     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Starwood Commercial Mortgage Trust                | STWD 2021-FL2 Ltd                                                                                                                      | CUSIP: 78486BAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     534500 | PA      | $528045.65    | 0.16%             | 2038-04-18      | Floating      | 6.23%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3132DWK93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     880248 | PA      | $880413.04    | 0.26%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-25997.48    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138WHNH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     196338 | PA      | $181339.32    | 0.05%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MARSH & MCLENNAN COS INC                          | Marsh & McLennan Cos Inc                                                                                                               | CUSIP: 571748CB6<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |     205000 | PA      | $208164.11    | 0.06%             | 2031-11-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BUXL 30Y BND SEP25                                                                                                                | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         -3 | NC      | $6919.11      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD CHF                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-15375.54    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED NZD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | NZ        |          1 | NC      | $18316.82     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF PARAGUAY                              | Paraguay Government International Bond                                                                                                 | CUSIP: 699149AN0<br>LEI: 529900UXKJTJPCU0HK83 | Long             | DBT              | NUSS              | PY        |     200000 | PA      | $203060.00    | 0.06%             | 2036-02-09      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 5YR NOTE (CBT) SEP25                                                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         51 | NC      | $44228.87     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | N/A       |          1 | NC      | $7633.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CESKE DRAHY                                       | Ceske Drahy AS                                                                                                                         | CUSIP: 000000000<br>LEI: 31570010000000034336 | Long             | DBT              | CORP              | CZ        |     133000 | PA      | $159096.54    | 0.05%             | 2030-07-28      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 31427MHC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     194920 | PA      | $199741.15    | 0.06%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3133KMZB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      37538 | PA      | $31513.91     | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HELLENIC REPUBLIC                                 | Hellenic Republic Government Bond                                                                                                      | CUSIP: 000000000<br>LEI: 2138003EKTMKZ5598902 | Long             | DBT              | NUSS              | GR        |     110000 | PA      | $129134.34    | 0.04%             | 2054-06-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2021-BNK32                                                                                                                        | CUSIP: 06542BBN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1227711 | PA      | $38417.53     | 0.01%             | 2054-04-15      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                                                                            | CUSIP: 38141GB78<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     342000 | PA      | $337863.20    | 0.10%             | 2035-10-23      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| Cousins Properties Inc                            | Cousins Properties Inc                                                                                                                 | CUSIP: 222795502<br>LEI: 5493007XPYD5EJABN062 | Long             | EC               | CORP              | US        |       4797 | NS      | $144053.91    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| VF Corp                                           | VF Corp                                                                                                                                | CUSIP: 918204108<br>LEI: CWAJJ9DJ5Z7P057HV541 | Long             | EC               | CORP              | US        |      21245 | NS      | $249628.75    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Expand Energy Corp                                | Expand Energy Corp                                                                                                                     | CUSIP: 165167735<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | EC               | CORP              | US        |       5579 | NS      | $652408.26    | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                          | Charter Communications Operating LLC / Charter Communications Operating Capital                                                        | CUSIP: 161175BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     254000 | PA      | $203217.34    | 0.06%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Ambev SA                                          | Ambev SA                                                                                                                               | CUSIP: 000000000<br>LEI: 549300TH5Q6VRP8OT012 | Long             | EC               | CORP              | BR        |     159600 | NS      | $391281.59    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Colgate-Palmolive Co                              | Colgate-Palmolive Co                                                                                                                   | CUSIP: 194162103<br>LEI: YMEGZFW4SBUSS5BQXF88 | Long             | EC               | CORP              | US        |      12496 | NS      | $1135886.40   | 0.33%             |  |  |  | No            |                  1 | On Loan: No      |
| HEATHROW FUNDING LTD                              | Heathrow Funding Ltd                                                                                                                   | CUSIP: 000000000<br>LEI: 7TI96JO3DYEIQWZ7Z726 | Long             | DBT              | CORP              | JE        |     290000 | PA      | $337284.86    | 0.10%             | 2036-01-16      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| HEIMSTADEN AB                                     | Heimstaden AB                                                                                                                          | CUSIP: 000000000<br>LEI: 549300WD2QBD89VBPV88 | Long             | DBT              | CORP              | SE        |     280000 | PA      | $345272.60    | 0.10%             | 2030-01-29      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD INR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-11459.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-905.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SERVICE CORP INTL                                 | Service Corp International/US                                                                                                          | CUSIP: 817565CH5<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |     183000 | PA      | $184866.23    | 0.05%             | 2032-10-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CHOICE PROPERTIES REIT                            | Choice Properties Real Estate Investment Trust                                                                                         | CUSIP: 17039AAZ9<br>LEI: 5493007MYGFSLOZGT937 | Long             | DBT              | CORP              | CA        |     433000 | PA      | $332876.60    | 0.10%             | 2031-02-28      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD DKK                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-25035.56    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-895566.93   | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | PURCHASED KRW / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | KR        |          1 | NC      | $648.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                               | JPMorgan Chase & Co                                                                                                                    | CUSIP: 46625H100<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | EC               | CORP              | US        |       3978 | NS      | $1153261.98   | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| Schneider Electric SE                             | Schneider Electric SE                                                                                                                  | CUSIP: 000000000<br>LEI: 969500A1YF1XUYYXS284 | Long             | EC               | CORP              | FR        |       4076 | NS      | $1084139.60   | 0.32%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140XGK40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32990 | PA      | $27472.60     | 0.01%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FASTIGHETS AB BALDER                              | Fastighets AB Balder                                                                                                                   | CUSIP: 000000000<br>LEI: 549300GHKJCEZOAEUU82 | Long             | DBT              | CORP              | SE        |     280000 | PA      | $329015.80    | 0.10%             | 2032-02-19      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31419GP24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89036 | PA      | $88613.79     | 0.03%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-8858.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |          1 | NC      | $-18471.80    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418EBR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     356202 | PA      | $282721.40    | 0.08%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $-1918.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                  | Societe Generale SA                                                                                                                    | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |     200000 | PA      | $233722.91    | 0.07%             | 2035-05-17      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                             | China Government Bond                                                                                                                  | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |   35210000 | PA      | $5350703.88   | 1.57%             | 2033-02-25      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                   | Danske Bank A/S                                                                                                                        | CUSIP: 23636ABJ9<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |     273000 | PA      | $271884.35    | 0.08%             | 2030-10-02      | Fixed         | 4.61%                 | Yes           |                  2 | On Loan: No      |
| Westinghouse Air Brake Technologies Corp          | Westinghouse Air Brake Technologies Corp                                                                                               | CUSIP: 929740108<br>LEI: 06BTX5UWZD0GQ5N5Y745 | Long             | EC               | CORP              | US        |       1021 | NS      | $213746.35    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| LCH Ltd.                                          | Long: SM11826   IRS USD R F  3.59900 SM11826_FIX CCPOIS / Short: SM11826   IRS USD P V 12MSOFR SM11826_FLO CCPOIS                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  107700000 | OU      | $508132.91    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| GRAPHIC PACKAGING INTERN                          | Graphic Packaging International LLC                                                                                                    | CUSIP: 38869PAP9<br>LEI: SO75N4VY5NXGQSK8YQ65 | Long             | DBT              | CORP              | US        |     359000 | PA      | $349617.93    | 0.10%             | 2026-04-15      | Fixed         | 1.51%                 | Yes           |                  2 | On Loan: No      |
| JAPAN TOBACCO INC                                 | Japan Tobacco Inc                                                                                                                      | CUSIP: 471105AD8<br>LEI: 353800Z0ENYBQO0XRJ31 | Long             | DBT              | CORP              | JP        |     267000 | PA      | $274780.11    | 0.08%             | 2030-06-15      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Merrill Lynch International                       | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DFE              |  | US        |          1 | NC      | $-23436.95    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                  | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | N/A       |          1 | NC      | $7480.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FAIRFAX FINL HLDGS LTD                            | Fairfax Financial Holdings Ltd                                                                                                         | CUSIP: 303901BR2<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |     242000 | PA      | $245097.09    | 0.07%             | 2054-03-22      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| B3 SA - Brasil, Bolsa, Balcao                     | MINI BOVESPA FUT AUG25                                                                                                                 | CUSIP: 000000000<br>LEI: 4GTK5S46E6H318LMDS44 | N/A              | DE               |  | BR        |       1703 | NC      | $-19728.85    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-3471.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137HKSB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1005200 | PA      | $24148.92     | 0.01%             | 2030-01-25      | Variable      | 0.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140A3YP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68096 | PA      | $68266.42     | 0.02%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3133A67D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38229 | PA      | $33696.75     | 0.01%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED KRW / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | KR        |          1 | NC      | $2567.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Anhui Conch Cement Co Ltd                         | Anhui Conch Cement Co Ltd                                                                                                              | CUSIP: 000000000<br>LEI: 300300JVKW56SSAEQZ33 | Long             | EC               | CORP              | CN        |     148000 | NS      | $376318.32    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | N/A       |          1 | NC      | $9758.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                               | Charles Schwab Corp/The                                                                                                                | CUSIP: 808513CH6<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |     256000 | PA      | $276986.68    | 0.08%             | 2034-08-24      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 10YR ULTRA FUT SEP25                                                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -45 | NC      | $-91634.35    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| ARQIVA BROADC FINANCE PL                          | Arqiva Broadcast Finance PLC                                                                                                           | CUSIP: 000000000<br>LEI: 5493007PMKIGKNYH2S25 | Long             | DBT              | CORP              | GB        |     236000 | PA      | $327601.05    | 0.10%             | 2030-07-01      | Fixed         | 8.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                                                    | CUSIP: 91282CJZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     965000 | PA      | $954935.35    | 0.28%             | 2034-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch International                       | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DFE              |  | US        |          1 | NC      | $-1646.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | N/A       |          1 | NC      | $58125.58     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| U.K. Gilts                                        | U.K. Gilts                                                                                                                             | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     929000 | PA      | $661696.90    | 0.19%             | 2047-07-22      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                  | Deutsche Bank AG                                                                                                                       | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     200000 | PA      | $239975.64    | 0.07%             | 2030-10-30      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2021-B27 Mortgage Trust                                                                                                      | CUSIP: 08163HAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6561307 | PA      | $345546.65    | 0.10%             | 2054-07-15      | Variable      | 1.35%                 | No            |                  2 | On Loan: No      |
| BURLINGTN NORTH SANTA FE                          | Burlington Northern Santa Fe LLC                                                                                                       | CUSIP: 12189LBL4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     340000 | PA      | $336656.12    | 0.10%             | 2055-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                        | Humana Inc                                                                                                                             | CUSIP: 444859CA8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |     125000 | PA      | $127865.88    | 0.04%             | 2031-04-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch International                       | PURCHASED USD / SOLD CNH                                                                                                               | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DFE              |  | US        |          1 | NC      | $-8431.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AROUNDTOWN SA                                     | Aroundtown SA                                                                                                                          | CUSIP: 000000000<br>LEI: 529900H4DWG3KWMBMQ39 | Long             | DBT              | CORP              | LU        |     300000 | PA      | $347633.56    | 0.10%             | 2030-05-13      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HELLENIC REPUBLIC                                 | Hellenic Republic Government Bond                                                                                                      | CUSIP: 000000000<br>LEI: 2138003EKTMKZ5598902 | Long             | DBT              | NUSS              | GR        |    2955000 | PA      | $3536969.89   | 1.04%             | 2034-06-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| American Express Co                               | American Express Co                                                                                                                    | CUSIP: 025816109<br>LEI: R4PP93JZOLY261QX3811 | Long             | EC               | CORP              | US        |        342 | NS      | $109091.16    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| XCEL ENERGY INC                                   | Xcel Energy Inc                                                                                                                        | CUSIP: 98389BBB5<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |     213000 | PA      | $216361.07    | 0.06%             | 2034-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | N/A       |          1 | NC      | $805.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BM11828   IRS USD R V 12MSOFR SM11828_FLO CCPOIS / Short: BM11828   IRS USD P F  3.87200 SM11828_FIX CCPOIS                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   24800000 | OU      | $-388970.14   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK GOSPODARSTWA KRAJOW                          | Bank Gospodarstwa Krajowego                                                                                                            | CUSIP: 06237MAA1<br>LEI: 259400BCOV9JJIGLYF05 | Long             | DBT              | NUSS              | PL        |     208000 | PA      | $209679.01    | 0.06%             | 2033-05-22      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| REGAL REXNORD CORP                                | Regal Rexnord Corp                                                                                                                     | CUSIP: 758750AM5<br>LEI: QH78R09VCJGQKPBPYU33 | Long             | DBT              | CORP              | US        |     268000 | PA      | $276169.50    | 0.08%             | 2028-04-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138EQTZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     418538 | PA      | $415723.37    | 0.12%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch International                       | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DFE              |  | US        |          1 | NC      | $-21313.33    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| American International Group Inc                  | American International Group Inc                                                                                                       | CUSIP: 026874784<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | EC               | CORP              | US        |       1087 | NS      | $93036.33     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| LINDE PLC                                         | Linde PLC                                                                                                                              | CUSIP: 000000000<br>LEI: 5299003QR1WT0EF88V51 | Long             | DBT              | CORP              | IE        |     300000 | PA      | $344074.61    | 0.10%             | 2037-02-18      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                        | AbbVie Inc                                                                                                                             | CUSIP: 00287YDV8<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     184000 | PA      | $180352.19    | 0.05%             | 2044-03-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-821.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Kirin Holdings Co Ltd                             | Kirin Holdings Co Ltd                                                                                                                  | CUSIP: 000000000<br>LEI: 353800GBVL72LLMTYM96 | Long             | EC               | CORP              | JP        |      23800 | NS      | $333766.88    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Eaton Corp PLC                                    | Eaton Corp PLC                                                                                                                         | CUSIP: 000000000<br>LEI: 549300VDIGTMXUNT7H71 | Long             | EC               | CORP              | IE        |       1267 | NS      | $452306.33    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED AUD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | AU        |          1 | NC      | $50599.61     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2024-NQM2 Trust                                                                                                                    | CUSIP: 67118HAA8<br>LEI: 254900OHTVKDKZL33I54 | Long             | ABS-MBS          | CORP              | US        |     442469 | PA      | $444478.34    | 0.13%             | 2063-12-25      | Variable      | 5.88%                 | Yes           |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SM11716   IRS CNY R F  1.49000 SM11716_FIX CCPVANILLA / Short: SM11716   IRS CNY P V 03MCNRR SM11716_FLO CCPVANILLA              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   20400000 | OU      | $1583.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                               | Nomura Holdings Inc                                                                                                                    | CUSIP: 65535HCC1<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |     200000 | PA      | $202550.20    | 0.06%             | 2030-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| China Construction Bank Corp                      | China Construction Bank Corp                                                                                                           | CUSIP: 000000000<br>LEI: 5493001KQW6DM7KEDR62 | Long             | EC               | CORP              | CN        |     827000 | NS      | $834379.84    | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED MXN / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | MX        |          1 | NC      | $67106.59     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| ConocoPhillips                                    | ConocoPhillips                                                                                                                         | CUSIP: 20825C104<br>LEI: WPTL2Z3FIYTHSP5V2253 | Long             | EC               | CORP              | US        |      10590 | NS      | $950346.60    | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED AUD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |          1 | NC      | $7072.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Merrill Lynch International                       | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DFE              |  | US        |          1 | NC      | $-16214.83    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Heineken NV                                       | Heineken NV                                                                                                                            | CUSIP: 000000000<br>LEI: 724500K5PTPSST86UQ23 | Long             | EC               | CORP              | NL        |       5709 | NS      | $497778.60    | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2025-07-15

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

**Signature:** James Byrne

**Name of Signer:** James Byrne

**Title:** Assistant Treasurer